/raid1/www/Hosts/bankrupt/TCR_Public/250216.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, February 16, 2025, Vol. 29, No. 46
Headlines
1211 AVENUE 2015-1211: Fitch Affirms 'BBsf' Rating on Class E Certs
37 CAPITAL 4: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes
AB BSL 3: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
AIMCO CLO 23: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
ALINEA CLO: Moody's Assigns Ba3 Rating to $25MM E-R Notes
AMERICAN CREDIT 2025-1: DBRS Gives Prov. BB(low) Rating on E Notes
AMERICAN CREDIT 2025-1: S&P Assigns BB-(sf) Rating on Cl. E Notes
AREIT 2025-CRE10: Fitch Assigns 'B-sf' Final Rating on Cl. G Notes
ARES LII: S&P Assigns BB- (sf) Rating on Class E-RR Notes
ARES LXVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
BALLYROCK CLO 25: S&P Assigns BB- (sf) Rating on Cl. D-R Notes
BANK 2020-BNK29: Fitch Affirms B- Rating on 2 Tranches
BANK5 2025-5YR13: Fitch Affirms 'B-(EXP)sf' Rating on 2 Tranches
BARCLAYS MORTGAGE 2025-NQM1: Fitch Assigns Bsf Rating on B-2 Notes
BARDOT CLO: Moody's Assigns Ba3 Rating to $30MM Cl. E-RR Notes
BARINGS LOAN 3: Fitch Affirms 'BB+sf' Rating on Class E Notes
BATTALION CLO XV: S&P Affirms 'BB- (sf)' Rating on Class E Notes
BBCMS MORTGAGE 2025-C32: S&P Assigns B+ (sf) Rating on J-RR Certs
BENCHMARK 2018-B7: DBRS Confirms B(high) Rating on Class F Certs
BENCHMARK 2020-IG2: DBRS Confirms BB(low) Rating on UBR-D Certs
BENCHMARK 2020-IG3: DBRS Confirms BB Rating on Class T333-D Certs
BENCHMARK 2022-B36: Fitch Affirms 'B-sf' Rating on Two Tranches
BENCHMARK 2025-V13: Fitch Assigns 'B-(EXP)sf' Rating on G-RR Certs
BHG SECURITIZATION 2024-1CON: Fitch Affirms BB Rating on E Notes
BIRCH GROVE 3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
BLP COMMERCIAL 2024-IND2: DBRS Confirms BB(high) Rating on E Certs
BMO 2025-C11: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs
BRAVO RESIDENTIAL 2025-NQM1: DBRS Gives Prov BB Rating on B-2 Notes
BREAN ASSET 2025-RM10: DBRS Gives Prov. B Rating on Class M5 Notes
CANYON CLO 2019-2: S&P Assigns BB- (sf) Rating on E-R2 Notes
CARLYLE US 2020-1: Fitch Assigns 'BB-sf' Rating on Class D-RR Notes
CASTLELAKE AIRCRAFT 2025-1: Fitch Gives BB(EXP) Rating on C Notes
CEDAR FUNDING VIII: S&P Assigns Prelim 'BB-' Rating on E-RR Notes
CFCRE 2016-C7: Fitch Lowers Rating on Two Tranches to 'Csf'
CG-CCRE COMMERCIAL 2014-FL1: S&P Cuts C Notes Rating to 'B-'
CHASE HOME 2025-1: DBRS Gives Prov. B(low) Rating on B-5 Certs
CIFC FUNDING 2018-IV: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
CIM TRUST 2025-I1: DBRS Gives Prov. B(low) Rating on Cl. B-2 Notes
CLOVER CREDIT III: Moody's Affirms B2 Rating on $19MM Cl. E Notes
COLT 2025-INV2: S&P Assigns Prelim BB (sf) Rating on Cl. B-1 Certs
CPS AUTO 2025-A: DBRS Finalizes BB Rating on Class E Notes
EFMT 2025-CES1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs
GALTON FUNDING 2019-1: S&P Affirms 'CCC' Rating on Class B5 Notes
GENERATE CLO 10: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
GOLDENTREE LOAN 1: S&P Assigns BB- (sf) Rating on Cl. E-R-3 Notes
GREEN LAKES: Fitch Assigns 'BB+sf' Rating on Class E-RR Notes
GS MORTGAGE 2014-GC24: DBRS Confirms C Rating on 4 Classes
HALSEYPOINT CLO 6: Fitch Assigns 'BB+sf' Rating on Class E-R Notes
HALSEYPOINT CLO 6: Moody's Assigns B3 Rating to $250,000 F-R Notes
HILTON GRAND 2024-1B: Fitch Affirms 'BB-sf' Rating on Class D Notes
ILPT COMMERCIAL 2022-LPFX: DBRS Confirms BB(high) on HRR Certs
IVY HILL XII: S&P Assigns Prelim BB- (sf) Rating on Cl. D-RR Notes
JPMBB COMMERCIAL 2015-C29: DBRS Confirms C Rating on 2 Classes
JPMBB COMMERCIAL 2015-C32: DBRS Confirms C Rating on 4 Classes
KKR CLO 35: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
MF1 2024-FL14: DBRS Confirms B(low) Rating on 3 Classes
MF1 2025-FL17: Fitch Assigns 'B-sf' Final Rating on Three Tranches
MP CLO VII: Fitch Lowers Rating on Class F-RR Notes to 'CCsf'
MSC 2020-L4: Fitch Affirms 'B-sf' Rating on Class G-RR Certificates
N-STAR REL VIII: Fitch Lowers Rating on Three Tranches to 'Dsf'
NEUBERGER BERMAN 31: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
NEW MOUNTAIN 1: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes
NEW MOUNTAIN CLO 1: S&P Withdraws 'BB- (sf)' Rating on E-R Notes
NEW RESIDENTIAL 2025-NQM1: Fitch Assigns B-sf Rating on B-2 Notes
OAKTREE CLO 2021-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
OCEANVIEW MORTGAGE 2025-INV1: Moody's Gives B3 Rating to B-5 Certs
OCP CLO 2015-9: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes
OCP CLO 2021-21: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
OHA CREDIT VII: S&P Assigns Prelim BB- (sf) Rating on E-R4 Notes
PALMER SQUARE 2025-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
PARALLEL 2021-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
PFP 2021-8: DBRS Confirms B(low) Rating on Class G Notes
POST ROAD 2025-1: Fitch Assigns 'BBsf' Rating on Class E Notes
PREFERRED TERM XVI: Moody's Hikes Rating on $77.65MM C Notes to B2
PRM5 TRUST 2025-PRM5: Fitch Gives 'B-(EXP)sf' Rating on Cl. F Certs
RADIAN MORTGAGE 2025-J1: Fitch Gives 'B(EXP)sf' Rating on B-5 Certs
RATE MORTGAGE 2025-J1: Fitch Gives B(EXP)sf Rating on Cl. B-5 Certs
REALT 2014-1: Fitch Affirms 'Bsf' Rating on Class G Certs
SCULPTOR CLO XXVIII: S&P Assigns BB-(sf) Rating on Class E-R Notes
SEQUOIA MORTGAGE 2025-2: Fitch Gives 'B(EXP)sf' Rating on B5 Certs
SIGNAL PEAK 10: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
SIXTH STREET XIII: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
SOUND POINT 2025R-1: Fitch Assigns 'BB-sf' Rating on Class E Notes
TOWD POINT 2025-R1: Fitch Gives 'B-(EXP)sf' Rating on Cl. M2 Bonds
TRINITAS CLO XXI: S&P Assigns BB- (sf) Rating on Class E-R Notes
UBS COMMERCIAL 2017-C4: S&P Cuts Cl. X-F Notes Rating to 'CCC(sf)'
VERUS SECURITIZATION 2025-INV1: S&P Assigns B-(sf) on B-2 Notes
VITALITY RE XVI 2025: Fitch Assigns 'BB-sf' Rating on Class C Notes
VOYA CLO 2021-1: Moody's Assigns Ba3 Rating to $17MM Cl. E-R Notes
WELLFLEET CLO 2024-2: S&P Assigns BB- (sf) Rating on Cl. E Notes
WELLS FARGO 2021-FCMT: Fitch Affirms B-sf Rating to Class F Certs
WELLS FARGO 2025-C64: Fitch Assigns B-(EXP)sf Rating on J-RR Certs
WESTLAKE AUTOMOBILE 2025-1: DBRS Finalizes BB Rating on E Notes
WFRBS COMMERCIAL 2014-C21: DBRS Confirms B Rating on Class D Certs
ZAIS CLO 16: S&P Assigns BB- (sf) Rating on E-R2 Replacement Debts
[] DBRS Confirms Ratings on 59 Classes From 11 U.S. RMBS Deals
[] DBRS Reviews 151 Classes From 29 US RMBS Transactions
[] Moody's Takes Action on 21 Bonds From 3 US RMBS Deals
[] Moody's Upgrades Ratings on 13 Bonds From 7 US RMBS Deals
[] Moody's Upgrades Ratings on 17 Bonds From 6 US RMBS Deals
*********
1211 AVENUE 2015-1211: Fitch Affirms 'BBsf' Rating on Class E Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed eight classes of 1211 Avenue of the
Americas Trust 2015-1211 commercial mortgage pass-through
certificates. The Rating Outlooks for classes B and X-B have been
revised to Negative from Stable. The Rating Outlooks for classes C,
D and E remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
1211 Avenue of the
Americas Trust
2015-1211
A-1A1 90117PAA3 LT AAAsf Affirmed AAAsf
A-1A2 90117PAC9 LT AAAsf Affirmed AAAsf
B 90117PAJ4 LT AA-sf Affirmed AA-sf
C 90117PAL9 LT A-sf Affirmed A-sf
D 90117PAN5 LT BBB-sf Affirmed BBB-sf
E 90117PAQ8 LT BBsf Affirmed BBsf
X-A 90117PAE5 LT AAAsf Affirmed AAAsf
X-B 90117PAG0 LT AA-sf Affirmed AA-sf
Transaction Summary
The certificates represent the beneficial interests in the mortgage
loan securing the borrower's fee simple interest in a 45-story
office building totaling approximately two million sf of office and
retail space, located at 1211 Avenue of the Americas in New York,
NY. The 10-year, fixed-rate, interest-only loan matures in August
2025.
KEY RATING DRIVERS
Overall Stable Performance; Near Term Maturity: The affirmations
reflect overall stable performance from issuance. The Negative
Outlooks reflect risks related to the loan's refinanceability given
the upcoming August 2025 maturity and coupon of 4.15%, the size of
the outstanding debt amount, and Fitch's stressed debt service
coverage ratio (DSCR) on the total debt of 0.93x. Due to a lack of
reporting on the borrower's refinance efforts, a transfer to
special servicing is possible; a loan modification and/or extension
to the maturity date are also possible.
The property continues to maintain a high occupancy compared to the
submarket, with servicer-reported occupancy of 91.5% as of
September 2024, down from 96% at YE 2023 and 94.7% at YE 2022. Per
CoStar, the Times Square submarket's 4Q 2024 vacancy rate was 15.8%
with an availability rate of 17.9%.
The most recent servicer-reported net cash flow (NCF) DSCR was
2.11x as of September 2024 compared to 2.19x at YE 2023, 2.34x at
YE 2022, 2.31x at YE 2021 and 2.38x at YE 2020. The loan has
benefitted from the recent news that tenants Fox Corporation and
News Corporation both renewed their leases for 20 years through
2042. It has been also reported that the borrower is planning a
$300 million capital improvement project that includes renovating
the existing lobby, adding an additional lobby along 47th Street,
adding amenity and conference space and upgrading the outdoor
plazas.
Fitch's updated NCF of $84.3 million is in line with the prior
rating action and reflects leases in place per the September 2024
rent roll and a 10% vacancy assumption given the property's
continued outperformance of the submarket. Despite the positive
news regarding the Fox Corporation and News Corporation renewals,
Fitch assumed a lower expense reimbursement ratio of approximately
28% compared to historical levels of approximately 40% given a base
year reset for the tenants in 2026. The Fitch issuance NCF was
$95.5 million.
Above Average Property Quality in Strong Location: 1211 Avenue of
the Americas consists of a 45-story, class A office building
located in Midtown Manhattan. The property is adjacent to
Rockefeller Center and near subway lines and major transportation
hubs.
High-Quality Tenancy: The top five tenants account for
approximately 86.5% of the NRA and include Fox Corporation (39.3%
of NRA; rated A-; lease expiry in 2042), News Corporation (24.5% of
NRA; rated BBB-; lease expiry in 2042), Ropes & Gray (16.7% of NRA;
lease expiry in March 2027), RBC (3.2% of NRA; rated AA-; lease
expiry in December 2026) and Nordea (2.2% of NRA; rated AA-; lease
expiry in April 2031). Tenants with investment-grade credit ratings
account for approximately 68% of the NRA.
Upcoming Tenant Expiration; Departure Expected: Media reports
indicate that Ropes & Gray has signed a new lease at 1285 Avenue of
the Americas and is expected to vacate upon its lease expiration in
2027. Approximately 3% of the NRA expires before YE 2025.
Fitch Leverage: The $1.035 billion mortgage loan ($507 psf) has a
Fitch DSCR and loan-to-value (LTV) of 0.93x and 95.1%,
respectively, compared to 1.12x and 78.6% at issuance. In its
analysis, Fitch increased the stressed cap rate to 7.75% from 7.5%
at the prior rating action to align with comparable properties in
the submarket.
Sponsorship/New Equity Partner: At issuance, the loan sponsor was
Ivanhoé Cambridge Inc. According to media reports in January 2025,
RXR Realty has acquired a 49% interest in the building with Ivanhoe
Cambridge Inc. retaining a 51% stake.
Single Asset Office: The transaction is secured by a single office
property and is, therefore, more susceptible to single-event risks
related to the secular shifts in market demand for office space,
sponsor, or the largest tenants occupying the property.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades are possible with sustained and significant decline in
asset occupancy and/or a material deterioration in property NCF
resulting in a lower Fitch sustainable NCF assumption and property
value. A downgrade to classes B, C, D, E and X-B are possible if
the loan fails to repay at maturity, interest shortfalls affect the
classes and/or there is a prolonged workout of the loan leading to
a value decline.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes B through E are possible with stable to
improved occupancy and increase in Fitch's sustainable NCF and
property value but are not likely given the upcoming maturity.
Fitch rates classes A-1A1 and A-1A2 at 'AAAsf'; therefore, upgrades
are not possible.
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.
37 CAPITAL 4: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to 37
Capital CLO 4, Ltd reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
37 Capital CLO 4,
Ltd.
A-1L LT PIFsf Paid In Full AAAsf
A-1N 883932AA3 LT PIFsf Paid In Full AAAsf
A-2 883932AJ4 LT PIFsf Paid In Full AAAsf
X LT AAAsf New Rating
A-R LT AAAsf New Rating
A-L-R LT AAAsf New Rating
AJ-R LT AAAsf New Rating
B 883932AC9 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 883932AE5 LT PIFsf Paid In Full Asf
C-R LT Asf New Rating
D 883932AG0 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBBsf New Rating
D-2-R LT BBB-sf New Rating
E 883933AA1 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Transaction Summary
37 Capital CLO 4, Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Franklin Advisers, Inc. that originally closed in December 2023.
The existing secured notes will be redeemed in whole on Jan. 31,
2025 with proceeds from the new secured notes. Net proceeds from
the issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $400 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.77, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.00. 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
99.75% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.59% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.2%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45% 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 2.2-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.
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 A-R, between 'BBB+sf' and 'AA+sf' for class AJ-R, between
'BB+sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R,
between less than 'B-sf' and 'BB+sf' for class D-2-R, and between
less than 'B-sf' and 'BB-sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X, class A-R and
class AJ-R 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-R, 'AAsf' for class C-R, 'Asf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, 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 37 Capital CLO 4,
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.
AB BSL 3: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R replacement
debt from AB BSL CLO 3 Ltd./AB BSL CLO 3 LLC, a CLO originally
issued in 2021 that is managed by AB Broadly Syndicated Loan
Manager.
The preliminary ratings are based on information as of Feb. 13,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 18, 2025 refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement debt is expected to be issued at a lower spread
over three-month CME term SOFR than the original debt.
-- The original class A, C, and D debt is being replaced by two
new classes of debt each--classes A-1-R and A-2-R, C-1-R and C-2-R,
D-1-R and D-2-R--which are sequential in payment.
-- The reinvestment period will be extended to April 20, 2030.
-- The non-call period will be extended to April 20, 2027.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to April 20,
2038.
-- Additional assets will be purchased on the Feb. 18, 2025,
refinancing date, and the target initial par amount will remain
$500 million. There will be no additional effective date or ramp-up
period, and the first payment date following the refinancing is
April 20, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- Additional subordinated notes will be issued on the refinancing
date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
AB BSL CLO 3 Ltd./AB BSL CLO 3 LLC
Class A-1-R, $310.00 million: AAA (sf)
Class A-2-R, $20.00 million: AAA (sf)
Class B-R, $50.00 million: AA (sf)
Class C-1-R (deferrable), $25.00 million: A+ (sf)
Class C-2-R (deferrable), $10.00 million: A (sf)
Class D-1-R (deferrable), $25.00 million: BBB (sf)
Class D-2-R (deferrable), $5.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $48.63 million: Not rated
AIMCO CLO 23: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AIMCO CLO 23
Ltd./AIMCO CLO 23 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 Allstate Investment Management Co.
The preliminary ratings are based on information as of Feb. 13,
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
AIMCO CLO 23 Ltd./AIMCO CLO 23 LLC
Class A, $312.50 million: AAA (sf)
Class B, $67.50 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1 (deferrable), $30.00 million: BBB- (sf)
Class D-2 (deferrable), $2.50 million: BBB- (sf)
Class E (deferrable), $17.50 million: BB- (sf)
Subordinated notes, $49.10 million: Not rated
ALINEA CLO: Moody's Assigns Ba3 Rating to $25MM E-R Notes
---------------------------------------------------------
Moody's Ratings has assigned ratings to five classes of refinancing
notes issued and one class of loans incurred by Alinea CLO, Ltd.
(the "Issuer") (together, the "Refinancing Debt").
Moody's rating action is as follows:
US$95,750,000 Class A-R Senior Secured Floating Rate Notes due
2031, Assigned Aaa (sf)
US$41,034,748 Class A-R Loans maturing in 2031, Assigned Aaa (sf)
US$51,000,000 Class B-R Senior Secured Floating Rate Notes due
2031, Assigned Aaa (sf)
US$26,000,000 Class C-R Deferrable Mezzanine Secured Floating Rate
Notes due 2031, Assigned Aaa (sf)
US$33,000,000 Class D-R Deferrable Mezzanine Secured Floating Rate
Notes due 2031, Assigned A3 (sf)
US$25,000,000 Class E-R Deferrable Junior Secured Floating Rate
Notes due 2031, 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 debt are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Invesco Senior Secured Management, Inc. (the "Manager") will
continue to direct the selection, acquisition and disposition of
the assets on behalf of the Issuer.
The Issuer previously issued one class of subordinated notes, which
will remain outstanding.
In addition to the issuance of the Refinancing Debt, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the non-call period
and updates to the definition of "Reference Rate" to adopt Term
SOFR as the initial reference rate for the Refinancing Debt.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, 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:
Performing par and principal proceeds balance: $296,972,902
Defaulted par: $3,505,720
Diversity Score: 60
Weighted Average Rating Factor (WARF): 3059
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.50%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.91%
Weighted Average Life (WAL): 3.13 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology 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 debt is subject to uncertainty. The
performance of the rated debt 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 debt.
AMERICAN CREDIT 2025-1: DBRS Gives Prov. BB(low) Rating on E Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of notes to be issued by American Credit Acceptance
Receivables Trust 2025-1 (ACAR 2025-1 or the Issuer):
-- $286,500,000 Class A Notes at (P) AAA (sf)
-- $65,250,000 Class B Notes at (P) AA (sf)
-- $127,500,000 Class C Notes at (P) A (low) (sf)
-- $106,870,000 Class D Notes at (P) BBB (low) (sf)
-- $52,880,000 Class E Notes at (P) BB (low) (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 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 on which
they have invested. For this transaction, the ratings address the
payment of timely interest on a monthly basis and principal by the
final scheduled distribution date.
(2) ACAR 2025-1 provides for Class A, B, C, D, and E coverage
multiples slightly below the Morningstar DBRS range of multiples
set forth in the criteria for this asset class. Morningstar DBRS
believes that this is warranted, given the magnitude of expected
loss and structural features of the transaction.
(3) ACA's operating history and its capabilities with regard to
originations, underwriting, and servicing.
-- Morningstar DBRS has performed an operational review of ACA and
considers the Company an acceptable originator and servicer of
subprime automobile loan contracts.
-- ACA has completed 49 securitizations since 2011, including four
transactions in 2024.
(4) The credit quality of the collateral and the consistent
performance of ACA's auto loan portfolio.
-- Availability of considerable historical performance data and a
history of consistent performance on the ACA portfolio.
The Statistical Pool characteristics:
-- The pool is seasoned by approximately three months and contains
ACA originations from Q4 2017 through Q4 2024.
-- The cutoff date pool is expected to include 6.00% highly
seasoned called collateral.
-- The weighted-average (WA) remaining term of the collateral pool
is approximately 68 months.
-- The WA FICO score of the pool is 555 and 574 Vantage Score.
(5) The Morningstar DBRS CNL assumption is 28.75% based on the
expected cut-off date pool composition.
(6) 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 COVID-19 pandemic scenarios, which were first
published in April 2020.
(7) The legal structure and presence of legal opinions, which are
expected to address the true sale of the assets to the Issuer, the
nonconsolidation of each of the depositor and the Issuer with ACA,
that the Issuer has a valid first-priority security interest in the
assets, and the consistency with the Morningstar DBRS "Legal
Criteria for U.S. Structured Finance."
Morningstar DBRS' credit ratings on the securities listed above
address 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 Monthly Interest Distributable Amount and the
related Note Balance.
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 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 ratings reflect S&P's view of:
-- The availability of approximately 64.61%, 57.88%, 47.14%,
38.22%, and 34.46% 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, S&P believes, 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, 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.
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)
AREIT 2025-CRE10: Fitch Assigns 'B-sf' Final Rating on Cl. G Notes
------------------------------------------------------------------
Fitch Ratings has assigned final 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 ratings are based on information provided by the issuer as of
Feb. 3, 2025.
Transaction Summary
The notes are collateralized by 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.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 55.4% of the pool by
balance and cash flow analysis on 93.4% of the pool by balance.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on all 25
loans in the pool. Fitch's resulting aggregate net cash flow (NCF)
of $37.0 million represents a 10.97% decline from the issuer's
aggregate underwritten NCF of $41.6 million, excluding loans for
which Fitch utilized an alternate value analysis. Aggregate cash
flows include only the prorated 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 148.1% is between the 2024 and 2023 CRE-CLO averages
of 140.7% and 171.2%, respectively. The pool's Fitch NCF debt yield
(DY) of 5.7% is between 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
recently rated Fitch CRE-CLO transactions. The top 10 loans make up
51.7% of the pool, which is lower than both the 2024 and 2023
CRE-CLO averages of 70.5% and 62.5%, respectively. 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 23.0. Fitch views diversity as a key
mitigant to idiosyncratic risk. Fitch raises the overall loss for
pools with effective loan counts below 40.
Multifamily Concentration: The pool 100% comprises multifamily
properties, compared with the 2024 and 2023 CRE-CLO averages of
78.4% and 82.6%, respectively. The quality of the pool is
comparable to that of Fitch-rated Freddie Mac transactions.
Therefore, Fitch modelled the pool as such, removing the property
type concentration adjustment similar to Freddie Mac and
Fitch-rated MF1 CRE-CLO transactions.
No Amortization: The pool is 100% comprised of interest-only 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 have zero principal paydown by the
maturity of the loans. 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.
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'/'BB-sf'/'B-sf'/lower 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'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'.
SUMMARY OF FINANCIAL ADJUSTMENTS
Cash Flow Modeling
This transaction utilizes note protection tests to provide
additional credit enhancement (CE) to the investment-grade
noteholders, if needed. The note protection tests comprise an
interest coverage test and a par value test at the 'BBB-' level
(class E) in the capital structure. Should either of these metrics
fall below a minimum requirement then interest payments to the
retained notes are diverted to pay down the senior most notes. This
diversion of interest payments continues until the note protection
tests are back above their minimums.
As a result of this structural feature, Fitch's analysis of the
transaction included an evaluation of the liabilities structure
under different stress scenarios. To undertake this evaluation,
Fitch used the cash flow modeling referenced in the Fitch criteria
"U.S. and Canadian Multiborrower CMBS Rating Criteria." Different
scenarios were run where asset default timing distributions and
recovery timing assumptions were stressed.
Key inputs, including Rating Default Rate (RDR) and Rating Recovery
Rate (RRR), were based on the CMBS multiborrower model output in
combination with CMBS analytical insight. The cash flow modeling
results showed that the default rates in the stressed scenarios did
not exceed the available CE in any stressed scenario.
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 LII: S&P Assigns BB- (sf) Rating on Class E-RR Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-RR,
A-2-RR, B-RR, C-RR, D-RR, and E-RR replacement debt from Ares LII
CLO Ltd./Ares LII CLO LLC, a CLO managed by Ares CLO Management LLC
that was originally issued in March 2019 and underwent a
refinancing in July 2021. At the same time, S&P withdrew its
ratings on the class A-1-R, B-R, C-R, D-R, and E-R debt following
payment in full on the Feb. 10, 2025, refinancing date. The class
A-2-R debt is not rated by S&P Global Ratings.
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 notes were issued at a lower spread than
the existing notes.
-- The non-call period for the replacement notes was extended to
August 2025.
-- The reinvestment period and the legal final maturity dates (for
the replacement debt and the existing subordinated notes) were
unchanged.
Replacement And July 2021 Debt Issuances
Replacement debt
-- Class A-1-RR, $196.97 million: Three-month CME term SOFR +
0.88%
-- Class A-2-RR, $25.00 million: Three-month CME term SOFR +
1.10%
-- Class B-RR, $52.50 million: Three-month CME term SOFR + 1.35%
-- Class C-RR, $32.50 million: Three-month CME term SOFR + 1.55%
-- Class D-RR, $29.75 million: Three-month CME term SOFR + 2.50%
-- Class E-RR, $17.75 million: Three-month CME term SOFR + 5.50%
July 2021 debt
-- Class A-1-R, $300.00 million: Benchmark + 1.05% + CSA(i)
-- Class A-2-R, $25.00 million: Benchmark + 1.45% + CSA(i)
-- Class B-R, $52.50 million: Benchmark + 1.65% + CSA(i)
-- Class C-R, $32.50 million: Benchmark + 2.10% + CSA(i)
-- Class D-R, $29.75 million: Benchmark + 3.30% + CSA(i)
-- Class E-R, $17.75 million: Benchmark + 6.45% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Ares LII CLO Ltd./Ares LII CLO LLC
Class A-1-RR, $196.97 million: AAA (sf)
Class A-2-RR, $25.00 million: AAA (sf)
Class B-RR, $52.50 million: AA (sf)
Class C-RR, $32.50 million: A (sf)
Class D-RR, $29.75 million: BBB- (sf)
Class E-RR, $17.75 million: BB- (sf)
Ratings Withdrawn
Ares LII CLO Ltd./Ares LII CLO LLC
Class A-1-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-R to NR from 'A (sf)'
Class D-R to NR from 'BBB- (sf)'
Class E-R to NR from 'BB- (sf)'
Other Debt
Ares LII CLO Ltd./ Ares LII CLO LLC
Subordinated notes, $$50.00 million: NR
NR--Not rated.
ARES LXVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Ares
LXVII CLO Ltd. Reset Transaction
Entity/Debt Rating Prior
----------- ------ -----
Ares LXVII CLO Ltd.
A-1 039939AA1 LT PIFsf Paid In Full AAAsf
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
B-1 039939AE3 LT PIFsf Paid In Full AAsf
B-2 039939AG8 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 039939AJ2 LT PIFsf Paid In Full Asf
C-R LT Asf New Rating
D 039939AL7 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E 039940AA9 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Transaction Summary
Ares LXVII CLO Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Ares CLO Management
LLC.
that originally closed December 12, 2022. The existing secured
notes will be refinanced in full on Feb. 6, 2025. 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 24.82, versus a maximum covenant, in
accordance with the initial expected matrix point of 26.87. 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
96.2% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.15% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.3%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 40% 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 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-R, between
'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf'
for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between
less than 'B-sf' and 'BB+sf' for class D-1-R, between less than
'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf'
and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R and class
A-2-R 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-R, 'AAsf' for class C-R, 'Asf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, 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 LXVII CLO 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. For more information on Fitch's ESG Relevance
Scores, visit the Fitch Ratings ESG Relevance Scores page.
BALLYROCK CLO 25: S&P Assigns BB- (sf) Rating on Cl. D-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1a-R,
A-1b-R, A-2-R, B-R, C-1-R, C-2-R, and D-R replacement debt from
Ballyrock CLO 25 Ltd./Ballyrock CLO 25 LLC, a CLO originally issued
in December 2023 that is managed by Ballyrock Investment Advisors
LLC. At the same time, S&P withdrew its ratings on the original
class A-1a loans and class A-1a, A-1b, A-2, B, C, and D debt
following payment in full on the Feb. 7, 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-1a-R, A-1b-R, A-2-R, B-R, C-1-R, C-2-R,
and D-R notes will be issued at a lower spread over three-month
SOFR than the original notes.
-- The non-call period was extended to January 2027 from January
2025.
-- The stated maturity was extended to January 2038 from January
2036.
-- The reinvestment period was extended to January 2030 from
January 2026.
-- 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
Ballyrock CLO 25 Ltd./Ballyrock CLO 25 LLC
Class A-1a-R, $288.00 million: AAA (sf)
Class A-1b-R, $11.25 million: AAA (sf)
Class A-2-R, $42.75 million: AA (sf)
Class B-R (deferrable), $27.00 million: A (sf)
Class C-1-R (deferrable), $27.00 million: BBB- (sf)
Class C-2-R (deferrable), $4.50 million: BBB- (sf)
Class D-R (deferrable), $13.50 million: BB- (sf)
Ratings Withdrawn
Ballyrock CLO 25 Ltd./Ballyrock CLO 25 LLC
Class A-1a loans to NR from 'AAA (sf)'
Class A-1a to NR from 'AAA (sf)'
Class A-1b to NR from 'AAA (sf)'
Class A-2 to NR from 'AA (sf)'
Class B to NR from 'A (sf)'
Class C to NR from 'BBB- (sf)'
Class D to NR from 'BB- (sf)'
Other Debt
Ballyrock CLO 25 Ltd./Ballyrock CLO 25 LLC
Subordinated notes, $42.0 million: NR
NR--Not rated.
BANK 2020-BNK29: Fitch Affirms B- Rating on 2 Tranches
------------------------------------------------------
Fitch Ratings has affirmed 26 classes of BANK 2020-BNK28, 30
classes of BANK 2020-BNK29 and 34 classes of BANK 2020-BNK30.
Additionally, Fitch revised the Rating Outlooks for classes F, X-F,
G, X-G, H and X-H in BANK 2020-BNK29 to Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
BANK 2020-BNK29
A-1 06541TAY5 LT AAAsf Affirmed AAAsf
A-3 06541TBA6 LT AAAsf Affirmed AAAsf
A-3-1 06541TBB4 LT AAAsf Affirmed AAAsf
A-3-2 06541TBC2 LT AAAsf Affirmed AAAsf
A-3-X1 06541TBD0 LT AAAsf Affirmed AAAsf
A-3-X2 06541TBE8 LT AAAsf Affirmed AAAsf
A-4 06541TBF5 LT AAAsf Affirmed AAAsf
A-4-1 06541TBG3 LT AAAsf Affirmed AAAsf
A-4-2 06541TBH1 LT AAAsf Affirmed AAAsf
A-4-X1 06541TBJ7 LT AAAsf Affirmed AAAsf
A-4-X2 06541TBK4 LT AAAsf Affirmed AAAsf
A-S 06541TBN8 LT AAAsf Affirmed AAAsf
A-S-1 06541TBP3 LT AAAsf Affirmed AAAsf
A-S-2 06541TBQ1 LT AAAsf Affirmed AAAsf
A-S-X1 06541TBR9 LT AAAsf Affirmed AAAsf
A-S-X2 06541TBS7 LT AAAsf Affirmed AAAsf
A-SB 06541TAZ2 LT AAAsf Affirmed AAAsf
B 06541TBT5 LT AA-sf Affirmed AA-sf
C 06541TBU2 LT A-sf Affirmed A-sf
D 06541TAJ8 LT BBBsf Affirmed BBBsf
E 06541TAL3 LT BBB-sf Affirmed BBB-sf
F 06541TAN9 LT BB+sf Affirmed BB+sf
G 06541TAQ2 LT BB-sf Affirmed BB-sf
H 06541TAS8 LT B-sf Affirmed B-sf
X-A 06541TBL2 LT AAAsf Affirmed AAAsf
X-B 06541TBM0 LT A-sf Affirmed A-sf
X-D 06541TAA7 LT BBB-sf Affirmed BBB-sf
X-F 06541TAC3 LT BB+sf Affirmed BB+sf
X-G 06541TAE9 LT BB-sf Affirmed BB-sf
X-H 06541TAG4 LT B-sf Affirmed B-sf
BANK 2020-BNK30
A-1 06541UBN5 LT AAAsf Affirmed AAAsf
A-2 06541UBP0 LT AAAsf Affirmed AAAsf
A-3 06541UBR6 LT AAAsf Affirmed AAAsf
A-3-1 06541UBS4 LT AAAsf Affirmed AAAsf
A-3-2 06541UBT2 LT AAAsf Affirmed AAAsf
A-3-X1 06541UBU9 LT AAAsf Affirmed AAAsf
A-3-X2 06541UBV7 LT AAAsf Affirmed AAAsf
A-4 06541UBW5 LT AAAsf Affirmed AAAsf
A-4-1 06541UBX3 LT AAAsf Affirmed AAAsf
A-4-2 06541UBY1 LT AAAsf Affirmed AAAsf
A-4-X1 06541UBZ8 LT AAAsf Affirmed AAAsf
A-4-X2 06541UCA2 LT AAAsf Affirmed AAAsf
A-S 06541UCD6 LT AAAsf Affirmed AAAsf
A-S-1 06541UCE4 LT AAAsf Affirmed AAAsf
A-S-2 06541UCF1 LT AAAsf Affirmed AAAsf
A-S-X1 06541UCG9 LT AAAsf Affirmed AAAsf
A-S-X2 06541UCH7 LT AAAsf Affirmed AAAsf
A-SB 06541UBQ8 LT AAAsf Affirmed AAAsf
B 06541UCJ3 LT AA-sf Affirmed AA-sf
C 06541UCK0 LT A-sf Affirmed A-sf
D 06541UAJ5 LT BBBsf Affirmed BBBsf
E 06541UAL0 LT BBB-sf Affirmed BBB-sf
F 06541UAN6 LT BB-sf Affirmed BB-sf
G 06541UAQ9 LT B-sf Affirmed B-sf
MCD-D 06541UBA3 LT A-sf Affirmed A-sf
MCD-E 06541UBE5 LT BBB-sf Affirmed BBB-sf
MCD-F 06541UBG0 LT BB-sf Affirmed BB-sf
MCD-G 06541UBJ4 LT B-sf Affirmed B-sf
MCD-X 06541UBC9 LT A-sf Affirmed A-sf
X-A 06541UCB0 LT AAAsf Affirmed AAAsf
X-B 06541UCC8 LT A-sf Affirmed A-sf
X-D 06541UAA4 LT BBB-sf Affirmed BBB-sf
X-F 06541UAC0 LT BB-sf Affirmed BB-sf
X-G 06541UAE6 LT B-sf Affirmed B-sf
BANK 2020-BNK28
A-3 06540YAC3 LT AAAsf Affirmed AAAsf
A-3-1 06540YAD1 LT AAAsf Affirmed AAAsf
A-3-2 06540YAE9 LT AAAsf Affirmed AAAsf
A-3-X1 06540YAF6 LT AAAsf Affirmed AAAsf
A-3-X2 06540YAG4 LT AAAsf Affirmed AAAsf
A-4 06540YAH2 LT AAAsf Affirmed AAAsf
A-4-1 06540YAJ8 LT AAAsf Affirmed AAAsf
A-4-2 06540YAK5 LT AAAsf Affirmed AAAsf
A-4-X1 06540YAL3 LT AAAsf Affirmed AAAsf
A-4-X2 06540YAM1 LT AAAsf Affirmed AAAsf
A-S 06540YAQ2 LT AAAsf Affirmed AAAsf
A-S-1 06540YAR0 LT AAAsf Affirmed AAAsf
A-S-2 06540YAS8 LT AAAsf Affirmed AAAsf
A-S-X1 06540YAT6 LT AAAsf Affirmed AAAsf
A-S-X2 06540YAU3 LT AAAsf Affirmed AAAsf
A-SB 06540YAB5 LT AAAsf Affirmed AAAsf
B 06540YAV1 LT AA-sf Affirmed AA-sf
C 06540YAW9 LT A-sf Affirmed A-sf
D 06540YBF5 LT BBBsf Affirmed BBBsf
E 06540YBH1 LT BBB-sf Affirmed BBB-sf
F 06540YBK4 LT BB+sf Affirmed BB+sf
G 06540YBM0 LT BB-sf Affirmed BB-sf
X-A 06540YAN9 LT AAAsf Affirmed AAAsf
X-B 06540YAP4 LT A-sf Affirmed A-sf
X-D 06540YAX7 LT BBB-sf Affirmed BBB-sf
X-FG 06540YAZ2 LT BB-sf Affirmed BB-sf
KEY RATING DRIVERS
Stable Performance and 'Bsf' Loss Expectations: The affirmations
reflect generally stable pool performance and loss expectations
since Fitch's prior rating action. Deal-level 'Bsf' rating case
losses are 3.7% in BANK 2020-BNK28, 4.4% in BANK 2020-BNK29 and
2.6% in BANK 2020-BNK30. Fitch Loans of Concerns (FLOCs) comprise
five loans (23.7% of the pool) in BANK 2020-BNK28; 13 loans (33.7%)
in BANK 2020-BNK29, including two specially serviced loans (1.3%);
and three loans (12.1%) in BANK 2020-BNK30.
The Negative Outlooks in BANK 2020-BNK29 reflect the potential for
future downgrades with higher than expected losses on the two
specially serviced loans and should performance and/or refinancing
concerns for the Coleman Highline office loan worsen.
BANK 2020-BNK30; McDonald's Global HQ Rakes: BANK 2020-BNK30
includes a $110 million non-pooled junior B-note (rake
certificates) that represent the beneficial interest in the
McDonald's Global HQ loan. The loan-specific certificates will only
be entitled to receive distributions from, and will only incur
losses with respect to, the McDonald's Global HQ trust subordinate
companion loan.
The affirmation and Stable Outlook for rake classes MCD-D, MCD-X,
MCD-E, MCD-F and MCD-G in BANK 2020-BNK30 reflect stable
performance since issuance and Fitch's updated sustainable cash
flow for the McDonald's Global HQ loan of $15.6 million, which
includes a higher 15% vacancy stress aligning with current
submarket conditions. The A-note has paid down 22% since issuance
as the whole loan is on an amortization schedule and expected to
continue to deleverage.
FLOCs: The largest increase in expected losses since the prior
rating action and the second largest contributor to overall loss
expectations in BANK 2020-BNK28 is the Chasewood Technology Park
loan (4%). This FLOC is secured by a 463,969-sf office complex in
Houston, TX. Occupancy has declined from 82% at YE 2022 to 71.4% as
of September 2024, with an estimated further drop to 61.8%
following the departure of top tenant Branch Banking & Trust
(accounting for 9.5% of NRA and 12% of base annual rent) at its
scheduled lease expiration in October 2024.
Per CoStar, as of the first quarter of 2025, comparable properties
in the FM 1960/Hwy 249 office submarket have vacancy and
availability rates of 19.7% and 53.6%, respectively, while the
total submarket reported 18.6% and 27%. Fitch's 'Bsf' rating case
loss of 12% (prior to concentration add-ons) reflects a 10% cap
rate, the Fitch issuance NCF and an elevated probability of default
given declining performance trends.
The two loans with the largest increase in expected losses since
the prior rating action in BANK 2020-BNK29 are the specially
serviced WAG - Dripping Springs & New Orleans (0.7%) and Walgreens
Tumwater (0.6%) loans. The WAG - Dripping Springs & New Orleans
loan was transferred to special servicing in August 2024 due to a
trigger event, and the special servicer is working on implementing
cash management. The Walgreens Tumwater loan was transferred to
special servicing in September 2024 because of the borrower's
non-compliance with cash management.
Walgreens occupies each location under long-term leases through
2084 and 2090 at the WAG - Dripping Springs & New Orleans locations
and 2086 at the Walgreens Tumwater location. Fitch's 'Bsf' rating
case loss of 30% (prior to concentration add-ons) for each loan
reflects a 9% cap rate, Fitch's issuance NCF and an increased
probability of default due to these loan's specially serviced loan
statuses.
The largest driver of expected losses in BANK 2020-BNK29 and BANK
2020-BNK30 is the Coleman Highline loan (10% in BNK29 and 7.7% in
BNK30). The loan is secured by two single-tenant office buildings
in San Jose, CA, totaling 357,106 sf, 100% leased to Roku with
leases expiring in December 2029 (45.5% of NRA) and September 2030
(54.5%) near loan maturity. The leases do not include termination
rights.
This loan is flagged as a FLOC because the single tenant, Roku
Inc., has listed 100% of the NRA for sublease. Per the master
servicer, TikTok is subleasing one building for approximately 45%
of the NRA, while the other building remains dark. A cash
management sweep is in effect. Per CoStar, in the North San Jose
office submarket, comparable properties have a 26.1% vacancy rate
and 29.3% availability rate, while the total submarket shows 20.5%
vacancy and 22.2% availability. Fitch's 'Bsf' rating case loss of
8% (before concentration add-ons) is based on a 9.5% cap rate and
Fitch issuance NCF due to concerns about cash flow sustainability
since issuance.
Increased Credit Enhancement (CE): As of the January 2025
remittance report, the aggregate pool balances of the BANK
2020-BNK28, BANK 2020-BNK29 and BANK 2020-BNK30 transactions have
been paid down by 2.6%, 2.6% and 3.5%, respectively, since
issuance. Loan maturities are concentrated in 2030 with 53 loans
for 100% of the pool in BANK 2020-BNK28, 42 loans for 100% of the
pool in BANK 2020-BNK29, and 43 loans for 99% of the pool in BANK
2020-BNK30.
Respective defeasance percentages in the BANK 2020-BNK28, BANK
2020-BNK29 and BANK 2020-BNK30 transactions include 1.8% (two
loans), 6.2% (five loans) and 0.1% (one loan).
Cumulative interest shortfalls for the BANK 2020-BNK28, BANK
2020-BNK29 and BANK 2020-BNK30 transactions are $2,000, $52,500 and
$329,200, respectively; in all three transactions, they are
affecting the non-rated class J, L H or RR interest.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the 'AAAsf' rated classes are not expected due to the
position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories may
occur should performance of the FLOCs deteriorate further or if
more loans than expected default during the term and/or at or prior
to maturity. These FLOCs include Chasewood Technology Park in BANK
2020-BNK28 and BANK 2020-BNK29, WAG - Dripping Springs & New
Orleans and Walgreens Tumwater in BANK 2020-BNK29, and Coleman
Highline in BANK 2020-BNK29 and BANK 2020-BNK30.
Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf'
categories, particular those with Negative Outlooks, could occur
with higher than expected losses from continued underperformance of
the aforementioned FLOCs and with greater certainty of losses on
the specially serviced loans or other FLOCs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to 'AAsf' and 'Asf' category rated classes are possible
with significantly increased CE from paydowns, coupled with
stable-to-improved pool-level loss expectations from performance
stabilization of the McDonald's Global HQ loan with a lease
extension beyond loan maturity and increased rent as well as FLOCs,
including Chasewood Technology Park in BANK 2020-BNK28 and BANK
2020-BNK29, WAG - Dripping Springs & New Orleans and Walgreens
Tumwater in BANK 2020-BNK29, and Coleman Highline in BANK
2020-BNK29 and BANK 2020-BNK30. Upgrades of these classes to
'AAAsf' will also consider the concentration of defeased loans in
the transaction.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration and would only occur sustained improved performance
of the FLOCs.
Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable and there is sufficient CE to the
classes.
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.
BANK5 2025-5YR13: Fitch Affirms 'B-(EXP)sf' Rating on 2 Tranches
----------------------------------------------------------------
Fitch Ratings has upgraded the expected rating on one class,
withdrawn the expected rating from another class based on changes
made by the issuer and affirmed all other ratings for BANK5
2025-5YR13, commercial mortgage pass-through certificates, series
2025-5YR13.
- $2,050,000 class A-1 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $200,000,000ab class A-2 affirmed at 'AAA(EXP)sf'; Outlook
Stable;
- $0b class A-2-1 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0bc class A-2-X1 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0b class A-2-2 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0bc class A-2-X2 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $288,115,000ab class A-3 affirmed at 'AAA(EXP)sf'; Outlook
Stable;
- $0b class A-3-1 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0bc class A-3-X1 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0b class A-3-2 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0bc class A-3-X2 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $490,165,000c class X-A affirmed at 'AAA(EXP)sf'; Outlook
Stable;
- $66,522,000b class A-S affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0b class A-S-1 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0bc class A-S-X1 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0b class A-S-2 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $0bc class A-S-X2 affirmed at 'AAA(EXP)sf'; Outlook Stable;
- $35,012,000b class B affirmed at 'AA-(EXP)sf'; Outlook Stable;
- $0b class B-1 affirmed at 'AA-(EXP)sf'; Outlook Stable;
- $0bc class B-X1 affirmed at 'AA-(EXP)sf'; Outlook Stable;
- $0b class B-2 affirmed at 'AA-(EXP)sf'; Outlook Stable;
- $0bc class B-X2 affirmed at 'AA-(EXP)sf'; Outlook Stable;
- $101,534,000c class X-B upgraded to 'AA-(EXP)sf'; Outlook
Stable;
- $27,134,000b class C affirmed at 'A-(EXP)sf'; Outlook Stable;
- $0b class C-1 affirmed at 'A-(EXP)sf'; Outlook Stable;
- $0bc class C-X1 affirmed at 'A-(EXP)sf'; Outlook Stable;
- $0b class C-2 affirmed at 'A-(EXP)sf'; Outlook Stable;
- $0bc class C-X2 affirmed at 'A-(EXP)sf'; Outlook Stable;
- $16,630,000d class D affirmed at 'BBB(EXP)sf'; Outlook Stable;
- $7,878,000d class E affirmed at 'BBB-(EXP)sf'; Outlook Stable;
- $9,628,000d class F affirmed at 'BB(EXP)sf'; Outlook Stable;
- $7,003,0000d class G affirmed at 'BB-(EXP)sf'; Outlook Stable;
- $10,503,000d class H affirmed at 'B-(EXP)sf'; Outlook Stable;
- $10,503,000cd class X-H affirmed at 'B-(EXP)sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
- $7,003,000d class J;
- $7,003,000d class X-J;
- $22,757,747d class K;
- $22,757,747d class X-K;
- $29,104,513e class RR;
- $7,750,000e RR Interest.
(a) The initial certificate balances of classes A-2 and A-3 are
unknown and expected to be $488,115,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-2 balance range is $0-$200,000,000 (net of the vertical
risk retention interest), and the expected class A-3 balance range
is $288,115,000-$488,115,000 (net of the vertical risk retention
interest). Fitch's certificate balances for classes A-2 and A-3
reflect the high and low point of each range, respectively.
(b) The class A2, class A3, class AS, class B and class C are
exchangeable certificates. Each class of exchangeable certificates
may be exchanged for the corresponding classes of exchangeable
certificates, and vice versa. The dollar denomination of each of
the received classes of certificates must be equal to the dollar
denomination of each of the surrendered classes of certificates.
(c) Notional Amount and interest only.
(d) Privately Placed and pursuant to Rule 144A.
(e) Vertical-risk retention interest.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 31 loans secured by 59
commercial properties having an aggregate principal balance of
$737,090,260 as of the cut-off date. The loans were contributed to
the trust by Bank of America, National Association, Morgan Stanley
Mortgage Capital Holdings, LLC, Wells Fargo Bank, National
Association and JPMorgan Chase Bank, National Association.
The master servicer is expected to be Wells Fargo Bank, National
Association and the special servicer is expected to be K-Star Asset
Management, LLC. The trustee and certificate administrator is
expected to be Computershare Trust Company, National Association.
The certificates are expected to follow a sequential paydown
structure.
Since Fitch published its expected ratings on Feb. 3, 2025, the
following changes have occurred: The class X-B was restructured by
the issuer to reference the notional balances of class A-S and
class B. The balance of class X-B is now $101,534,000. Class X-D
was removed from the structure by the issuer.
Fitch revised the expected rating on class X-B to 'AA-sf'. This
reflects the rating of the lowest referenced tranche whose payable
interest has an impact on the interest-only payments.
Fitch has withdrawn the expected rating of 'BBB-(EXP)sf' for class
X-D as it was removed from the final structure by the issuer.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans
totaling 92.5% of the pool by balance. Fitch's resulting aggregate
net cash flow (NCF) of $75.9 million represents a 15.5% decline
from the issuer's aggregate underwritten NCF of $89.8 million.
Higher Fitch Leverage: The pool has higher leverage compared to
recent multiborrower transactions rated by Fitch. The pool's Fitch
loan-to-value ratio (LTV) of 99.0% is higher than both the 2024 and
2023 five-year multiborrower transaction averages of 95.2% and
89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 10.3%
is higher than both the 2024 and 2023 averages of 10.2% and 10.6%,
respectively.
Investment Grade Credit Opinion Loans: Two loans representing 13.5%
of the pool by balance received an investment grade credit opinion.
The Spiral received an investment grade credit opinion of 'AA-sf*'
on a standalone basis. Maritime Hotel received an investment grade
credit opinion of 'BBB-sf*' on a standalone basis. The pool's total
credit opinion percentage is higher than the 2024 average of 12.6%,
but lower than the 2023 average of 14.6% for five-year
multiborrower transactions. Excluding the credit opinion loans, the
pool's Fitch LTV and DY are 103.9% and 10.2%, respectively,
compared to the equivalent 2024 five-year multiborrower LTV and DY
averages of 99.1% and 9.9%, respectively.
Higher Pool Concentration: The pool is more concentrated than
recently rated Fitch transactions. The top 10 loans represent 64.7%
of the pool, which is higher than both the 2024 five-year
multiborrower average of 60.2% and the 2023 average of 65.3%. 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 18.8. Fitch views diversity as a
key mitigant to idiosyncratic risk. Fitch raises the overall loss
for pools with effective loan counts below 40.
Shorter-Duration Loans: Loans with five-year terms constitute 100%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default (PD) than 10-year
loans, all else equal. This is mainly attributed to the shorter
window of exposure to potential adverse economic conditions. Fitch
considered its loan performance regression in its analysis of the
pool.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/less than
'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'BBsf'/'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 Ernst & Young 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 its 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.
BARCLAYS MORTGAGE 2025-NQM1: Fitch Assigns Bsf Rating on B-2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned new ratings to the residential
mortgage-backed notes issued by Barclays Mortgage Loan Trust
2025-NQM1 (BARC 2025-NQM1).
Entity/Debt Rating
----------- ------
BARC 2025-NQM1
A-1 LT AAAsf New Rating
A-2 LT AAsf New Rating
A-3 LT Asf New Rating
M-1 LT BBBsf New Rating
B-1 LT BBsf New Rating
B-2 LT Bsf New Rating
B-3 LT NRsf New Rating
SA LT NRsf New Rating
X LT NRsf New Rating
PT LT NRsf New Rating
R LT NRsf New Rating
Transaction Summary
The notes are supported by 603 nonprime loans with a total balance
of approximately $268.7 million as of the cutoff date. Cake
Mortgage Corporation, Citadel Servicing Corporation dba Acra
Lending, NQM Funding, LLC and Rocket Mortgage, LLC originated or
acquired 100.0% of the loans in the pool.
This is Barclays Bank PLC's (Barclays) first issuance of
non-QM/nonprime collateral rated by Fitch in 2025, following 4 NQM
issuances by Barclays in 2024, all of which were rated by Fitch.
Fitch completed a review of Barclays as an aggregator in July 2022,
and Barclays was reviewed as 'Average'. Given that the collateral
production is primarily originated and serviced from similar
counterparties, Fitch views the prior BARC 2024-NQM4 transaction as
closely comparable to 2025-NQM1.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.9% 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.
NonPrime Credit Quality (Negative): The collateral consists of 603
loans, totaling $268.7 million, and seasoned approximately 4 months
in aggregate. The borrowers have a moderate credit profile (738
FICO and 45.5% DTI) and moderately high leverage with an 80.1% sLTV
and 71.2% original combined LTV. The pool consists of 55.6% of
loans where the borrower maintains a primary residence, while 44.4%
is an investor property or second home. Additionally, 40.0% are
non-qualified mortgage (non-QM/NQM), 11.9% are designated as safe
harbor QM, 3.2% are HPQM; the QM rule does not apply to the
remainder. Fitch's expected loss in the 'AAAsf' stress is 28.25%.
This is mostly driven by the non-QM collateral and significant
investor cashflow concentration.
Non-Prime/NQM Concentration and Second Lien Loans (Negative):
Approximately 89.7% of the pool was underwritten to less than full
documentation. Another 34.7% was underwritten to a 12- or 24-month
bank statement program for verifying income, which is not
consistent with Fitch's view of a full documentation program.
Additionally, 0.9% is an Asset Depletion product, 16.6% is a CPA or
PnL product, 1.2% is a 1099 product, 0.8% is a WVOE product, 34.2%
is DSCR product (including 1.1% no-ratio), and the remaining 1.3%
are ALT Documentation products.
There are 209 DSCR products in the pool (34.7% by loan count).
These business-purpose loans are available to real estate investors
that are qualified on a cash flow basis, rather than DTI, and
borrower income and employment are not verified. Compared to
standard investment properties, for DSCR loans, Fitch converts the
DSCR values to a DTI and treats them as low documentation.
Of the pool, 166 loans (27.5% by loan count or 5.0% by UPB) are
second lien loans originated or sold to Rocket Mortgage. Of the 166
second lien loans, 165 were underwritten to a full documentation
product while the remaining one loan was underwritten to a WVOE
product. Fitch treats all second liens with a 100% loss severity
(LS).
Fitch's expected loss for the DSCR loans is 36.7% in the 'AAAsf'
stress, which is driving the higher pool expected losses due to the
34.2% weighted average (WA) concentration.
Modified Sequential-Payment Structure with No Advancing (Mixed):
The structure distributes principal pro rata among the senior
certificates while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
class A-1, A-2 and A-3 certificates until they are reduced to
zero.
Advances of delinquent principal and interest (P&I) will not be
made on the mortgage loans. The lack of advancing reduces loss
severities, as a lower amount is repaid to the servicer when a loan
liquidates and liquidation proceeds are prioritized to cover
principal repayment over accrued but unpaid interest. The downside
to this is the additional stress on the structure, as there is
limited liquidity in the event of large and extended
delinquencies.
BARC 2025-NQM1 has a step-up coupon for the senior classes (A-1,
A-2 and A-3). After four years, the senior classes pay the lesser
of a 100bps increase to the fixed coupon or the net weighted
average coupon (WAC) rate but is subject to a net WA coupon (WAC)
cap. Given the likelihood that the net WAC is lower than the
step-up cap, the coupon likely will not fully realize the 100bps
increase. The unrated class B-3 interest allocation goes first
towards the Net WAC Shortfall Reserve Account to pay the senior
classes any Net WAC shortfalls for as long as the senior classes
are outstanding. This increases the P&I allocation of the senior
classes but reduces the amount of excess spread.
The transaction benefits from excess cash flow (183bps WA excess)
to the rated certificates before being paid out to class XS
certificates. The excess is available to pay timely interest and
protect against realized losses. To the extent the collateral WAC
and corresponding excess are reduced through a rate modification,
Fitch would view the impact as credit-neutral, as the modification
would reduce the borrower's probability of default (PD), resulting
in a lower loss expectation.
Geographic and Loan Count Concentration Concerns (Negative): The
pool has a weighted average number (WAN) of 256 and is incurring
approximately a 75bps penalty at 'AAA'. Fitch calculates the WAN of
pools by using the Herfindahl-Hirschman Index (HHI), which
determines the sum of the squared pool's shares for each loan in
the pool and is expressed in a scale of 0-to-1, with values
approaching zero reflecting greater granularity. Fitch then uses
the HHI ratio to calculate the WAN of loans in the pool. The WAN
accounts for both the number of loans in the pool and distribution
of loan balances; this differs from the loan count, which weighs
all loans regardless of balance equally. Due to the significant
variance of loan sizes and inclusion of smaller balance second
liens, there is a significant difference in the WAN and actual loan
count, which is driving concentration concerns amongst the largest
loans.
RMBS pools with an initial WAN below 300 loans are subject to
probability of default (PD) penalties that are applied to the
pool's model-generated PD. The variability of defaults inherently
increases when a portfolio depends on a small number of assets. The
WAN for this portfolio is less than the number of assets due to
"lumpy" largest loans.
The pool consists of 603 loans with the 10 largest loans by unpaid
principal balance (UPB) accounting for 11.7% of the pool.
Additionally, the 20 largest loans account for 19.3% of the UPB. If
some large loans prepay, the concentration risk will decrease.
Approximately 30.7% of the pool is concentrated in California with
moderate MSA concentration. The largest MSA is the Los Angeles MSA
(19.5%), followed by the New York MSA (13.9%) and the Miami MSA
(10.1%). The top three MSAs account for 43.5% of the pool. As a
result, a 1.03x PD penalty is applied, which increases the 'AAA'
expected loss by 30 bps.
In total, Fitch adjusted the 'AAA' pool level loss expectations by
105 bps due to loan and geographic concentration risks.
Approximately 2.6% (five loans) of the pool is located in an area
in Los Angeles that was evacuated during the recent fires. The
seller (or servicer) will monitor the mortgaged properties, which
were subject to this major disaster. Based on the representation
and warranties, the sponsor is obligated to cure or repurchase any
loan that goes 60+ DQ within six months of the closing date.
Low Operational Risk and Third-Party Due Diligence Review
(Positive): Cake Mortgage Corporation, Acra Lending (Acra)/Citadel
Servicing Corporation (CSC), NQM Funding, LLC and Rocket Mortgage,
LLC originated or acquired all of the loans in the pool which were
subsequently sold to the seller/sponsor (BCAP LLC).
Primary servicing responsibilities will be performed by Selene
Financial (rated RPS3+), Citadel Servicing Corporation though the
firm engages ServiceMac LLC (ServiceMac) to sub-service its loans
via a subservicing agreement dated back in 2020, and Rocket
Mortgage (rated RPS2). Citadel Servicing Corporation does not hold
a servicer rating from Fitch. Citadel engages ServiceMac, LLC as
its subservicer. Fitch views ServiceMac as an acceptable servicer
for residential mortgage loans. The sponsor's retention of an
eligible vertical residual interest of at least 5% of the notes to
ensure alignment of interests between the issuer and investors.
Third-party due diligence was performed on 100% of the loans in the
transaction. Due diligence was performed by SitusAMC, Canopy,
Clarifii, Clayton, Consolidated Analytics, Evolve and Opus, which
are all deemed as 'Acceptable' third-party review firms by Fitch.
All loans were graded either 'A' or 'B', which indicates strong
origination processes with no presence of material exceptions.
Exceptions on loans with 'B' grades were immaterial and identified
strong compensating factors. The model credit for the high
percentage of loan-level due diligence reduced the 'AAAsf' loss
expectation by 53bps.
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 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 10.9% at the base case. The analysis indicates that
there is some potential rating migration with higher MVDs for all
rated classes, compared with the model projection. A 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes. A 10% gain
in home prices would result in a full category upgrade for the
rated class excluding those assigned 'AAAsf' ratings.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton Services, Clarifii, LLC, Consolidated
Analytics, Covius Real Estate Services, Evolve Mortgage Services
and Opus Capital Markets Consultants, LLC.
The third-party due diligence described in Form 15E focused on
credit, compliance and property valuation review. Fitch considered
this information in its analysis and, as a result, Fitch made the
following adjustments to its analysis: a 5% credit at the loan
level for each loan where satisfactory due diligence was completed.
These adjustments resulted in a 53bp reduction in losses at the
'AAAsf' stress.
ESG Considerations
BARC 2025-NQM1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated Operational Risk, which
has a negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BARDOT CLO: Moody's Assigns Ba3 Rating to $30MM Cl. E-RR Notes
--------------------------------------------------------------
Moody's Ratings has assigned ratings to five classes of CLO
refinancing notes (the "Refinancing Notes") issued by Bardot CLO,
Ltd. (the "Issuer").
Moody's rating action is as follows:
US$380,815,836 Class A-RR Senior Secured Floating Rate Notes due
2032 (the "Class A-RR Notes"), Assigned Aaa (sf)
US$72,000,000 Class B-RR Senior Secured Floating Rate Notes due
2032 (the "Class B-RR Notes"), Assigned Aa1 (sf)
US$30,000,000 Class C-RR Deferrable Mezzanine Secured Floating Rate
Notes due 2032 (the "Class C-RR Notes"), Assigned A1 (sf)
US$36,000,000 Class D-RR Deferrable Mezzanine Secured Floating Rate
Notes due 2032 (the "Class D-RR Notes"), Assigned Baa3 (sf)
US$30,000,000 Class E-RR Deferrable Junior Secured Floating Rate
Notes due 2032 (the "Class E-RR Notes"), 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.
Invesco RR Fund L.P. (the "Manager") will continue to direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer.
The Issuer previously issued one class of subordinated notes, which
will remain outstanding.
In addition to the issuance of the Refinancing Notes, the non-call
period will also be extended.
Moody's rating actions are primarily a result of the refinancing,
which increases excess spread available as credit enhancement to
the rated notes. Additionally, the Notes benefited from a
shortening of the weighted average life (WAL).
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, 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:
Performing par and principal proceeds balance: $578,802,184
Defaulted par: $4,046,119
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2830
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.37%
Weighted Average Coupon (WAC): 5.15%
Weighted Average Recovery Rate (WARR): 46.62%
Weighted Average Life (WAL): 4.48 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.
BARINGS LOAN 3: Fitch Affirms 'BB+sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Barings
Loan Partners CLO Ltd. 3 second refinancing notes. Fitch has also
affirmed the class C and class E notes and upgraded the existing
class D notes. Following the upgrade, the class D notes were
assigned a Stable Outlook.
Entity/Debt Rating Prior
----------- ------ -----
Barings Loan Partners
CLO Ltd. 3
A-R2 LT NRsf New Rating
B-R 06762QAM9 LT PIFsf Paid In Full AA+sf
B-R2 LT AA+sf New Rating
C 06762QAE7 LT A+sf Affirmed A+sf
D 06762QAG2 LT BBB+sf Upgrade BBBsf
E 06762RAA3 LT BB+sf Affirmed BB+sf
Transaction Summary
Barings Loan Partners CLO Ltd. 3 (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO), managed by Barings LLC,
that originally closed in August 2022. The CLO's secured notes were
first refinanced in January 2024 and will be refinanced on Feb. 7,
2025 (second refinancing date) from the proceeds of the new secured
notes. Net proceeds from the issuance of the new secured notes, and
existing secured and existing subordinated notes, will provide
financing on a portfolio of approximately $398 million of primarily
first lien senior secured leveraged loans (including principal
cash).
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', 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
99.74% first-lien senior secured loans and has a weighted average
recovery assumption of 76.02%. 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 0.4-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 second refinancing is being implemented via the second
supplemental indenture, which amended certain provisions of the
transaction. The changes include but are not limited to:
- Class A-R notes being refinanced to new class A-R2 notes;
- Class B-R notes being refinanced to new class B-R2 notes;
- The spread for the class A-R2, and B-R2 notes are 0.95%, and
1.35%, compared to the spread of 1.52%, and 2.10% for the class
A-R, and B-R notes, respectively at first refinancing.
The non-call period for the refinancing notes will end in August
2025.
The stated maturity and end of reinvestment period on the second
refinancing remained the same as the first refinancing.
The current portfolio presented to Fitch includes 298 assets from
284 primarily high yield obligors.
The portfolio balance, including the amount of principal cash, was
approximately $398 million. As per the January 2025 trustee report,
the transaction passes all of its coverage tests and concentration
limitations except Minimum Floating Spread Test and Maximum Moody's
Rating Factor test. The weighted average rating of the current
portfolio is 'B'/'B-'.
Fitch has an explicit rating, credit opinion or private rating for
40.9% of the current portfolio par balance. Ratings for 59.1% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map. Analysis focused on the Fitch stressed portfolio
(FSP), and cash flow model analysis was conducted for this
refinancing.
The FSP included the following concentrations, reflecting the
maximum limitations per the indenture or maintained at the current
level:
- Largest five obligors: 2.5% each, for an aggregate of 12.5%;
- Largest three industries: 15.0%, 12.0%, and 12.0%, respectively;
- Assumed risk horizon: 4.59 years;
- Minimum weighted average spread of 3.25%;
- Fixed rate assets: 5.0%;
- Assets rated 'CCC+' or below, and maintained at the current level
of 8.1%, as calculated by Fitch;
- Non-first priority senior secured assets: 7.5%;
- Minimum weighted average coupon of 6.0%.
The transaction will exit reinvestment period on July 20, 2025.
Projected default and recovery statistics for the performing
collateral of the FSP were generated using Fitch's portfolio credit
model (PCM). The PCM default rate outputs for the FSP were 45.7% at
the 'AA+sf' rating stress, 40.1% at the 'A+sf' rating stress, 33.4%
at the 'BBB+sf' rating stress, and 27.5% at the 'BB+sf' rating
stress.
The PCM recovery rate outputs for the FSP were 46.4% at the 'AA+sf'
rating stress, 55.6% at the 'A+sf' rating stress, 65.0% at the
'BBB+sf' rating stress, and 70.2% at the 'BB+sf' rating stress. In
the analysis of the FSP, the class B-R2, C, D, and E notes passed
their respective rating thresholds in all nine cash flow scenarios
with minimum cushions of 6.7%, 5.3%, 2.4%, and 5.5%, respectively.
The PCM default rate outputs for the current portfolio were 43.1%
at the 'AA+sf' rating stress, 38.1% at the 'A+sf' rating stress,
32.0% at the 'BBB+sf' rating stress, and 26.5% at the 'BB+sf'
rating stress. The PCM recovery rate outputs for the current
portfolio 50.1% at the 'AA+sf' rating stress, 59.8% at the 'A+sf'
rating stress, 69.4% at the 'BBB+sf' rating stress, and 74.7% at
the 'BB+sf' rating stress. In the analysis of the current
portfolio, the class B-R2s, C, D, and E notes passed their
respective rating thresholds in all nine cash flow scenarios with
minimum cushions of 12.7%, 10.9%, 7.0%, and 10.5%, respectively.
Fitch has assigned a 'AA+sf' rating and Stable Outlook to class
B-R2. Additionally, Fitch has affirmed the class C and E notes at
'A+sf' and 'BB+sf', respectively with Stable Outlooks. Fitch
believes the notes can sustain a robust level of defaults combined
with low recoveries, as well as other factors. These include the
degree of cushion when analyzing the indicative portfolio and the
strong performance in the sensitivity scenarios.
Fitch has also upgraded the class D notes to 'BBB+sf'/ Stable
Outlook from 'BBBsf' based on improved modelling results in the
updated Fitch Stressed Portfolio (FSP) analysis, which was driven
by stable portfolio performance and reduced cost of funding for the
senior notes.
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 B-R2, between
'BB+sf' and 'A+sf' for class C, between 'B-sf' and 'BBBsf' for
class D, and between less than 'B-sf' and 'BB+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
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, 'A+sf'
for class D, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Barings Loan
Partners CLO Ltd. 3. 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.
BATTALION CLO XV: S&P Affirms 'BB- (sf)' Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-RR,
A-2-RR, B-RR, C-RR, and D-RR replacement debt from Battalion CLO XV
Ltd./Battalion CLO XV LLC, a CLO managed by Brigade Capital
Management L.P. that was originally issued in February 2020 and
underwent a refinancing in February 2024. At the same time, S&P
withdrew its ratings on the class A-1-R, B, C, and D debt following
payment in full on the Feb. 7, 2025, refinancing date. S&P also
affirmed its rating on the class E 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 by approximately 0.4 years to
July 17, 2025.
-- No additional assets were purchased on the Feb. 7, 2025,
refinancing date.
-- No additional effective date or ramp-up period was introduced,
and the first payment date following the refinancing is April 17,
2025.
-- No additional subordinated notes were issued on the refinancing
date.
-- The transaction has adopted benchmark replacement language and
made updates 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 D-RR debt (which was refinanced).
However, we affirmed our 'BBB (sf)' rating on the class D-RR debt
after considering the margin of failure, the relatively stable
overcollateralization ratio since our February 2024 rating actions
on the transaction, and the transaction's amortization phase, which
it just entered on Jan. 17, 2025. Based on the latter, we expect
the credit support available to all rated classes to increase as
principal is collected and the senior debt are paid down."
Replacement And February 2024 Debt Issuances
Replacement debt
-- Class A-1-RR, $248.00 million: Three-month CME term SOFR +
0.98%
-- Class A-2-RR, $10.00 million: Three-month CME term SOFR +
1.30%
-- Class B-RR, $46.00 million: Three-month CME term SOFR + 1.50%
- Class C-RR (deferrable), $20.00 million: Three-month CME term
SOFR + 1.90%
-- Class D-RR (deferrable), $26.00 million: Three-month CME term
SOFR + 3.25%
February 2024 debt
-- Class A-1-R, $248.00 million: Three-month CME term SOFR +
1.30%
-- Class A-2 (not rated), $10.00 million: Three-month CME term
SOFR + 1.60% + CSA(i)
-- Class B, $46.00 million: Three-month CME term SOFR + 1.70% +
CSA(i)
-- Class C (deferrable), $20.00 million: Three-month CME term SOFR
+ 2.25% + CSA(i)
-- Class D (deferrable), $26.00 million: Three-month CME term SOFR
+ 3.25% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Battalion CLO XV Ltd./ Battalion CLO XV LLC
Class A-1-RR, $248.00 million: AAA (sf)
Class A-2-RR, $10.00 million: AAA (sf)
Class B-RR, $46.00 million: AA (sf)
Class C-RR (deferrable), $20.00 million: A (sf)
Class D-RR (deferrable), $26.00 million: BBB (sf)
Ratings Withdrawn
Battalion CLO XV Ltd./ Battalion CLO XV LLC
Class A-1-R 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)'
Rating Affirmed
Battalion CLO XV Ltd./ Battalion CLO XV LLC
Class E (deferrable) 'BB- (sf)'
Other Debt
Battalion CLO XV Ltd./ Battalion CLO XV LLC
Subordinated notes, $41.25 million: NR
NR--Not rated.
BBCMS MORTGAGE 2025-C32: S&P Assigns B+ (sf) Rating on J-RR Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect:
-- The credit support provided by the transaction's structure;
-- The trustee-provided liquidity;
-- The collateral pool's relative diversity;
-- S&P's view of the underlying collateral's economics; and
-- S&P's overall qualitative assessment of the transaction.
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, $52,035,000: AAA (sf)
Class A-5, $601,965,000: AAA (sf)
Class A-SB, $18,800,000: AAA (sf)
Class X-A, $699,815,000 (ii): 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(ii): A- (sf)
Class X-D(iii), $48,737,000(ii): BBB- (sf)
Class X-F(iii), $26,243,000(ii): BB (sf)
Class X-G(iii), $19,995,000(ii): 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) 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.
(iii) Non-offered certificates.
BENCHMARK 2018-B7: DBRS Confirms B(high) Rating on Class F Certs
----------------------------------------------------------------
DBRS, Inc. confirmed the credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-B7
issued by Benchmark 2018-B7 Mortgage Trust as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (high) (sf)
-- Class F at B (high) (sf)
-- Class G-RR at B (low) (sf)
-- Class H-RR at CCC (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (high) (sf)
-- Class X-D at BBB (low) (sf)
-- Class X-F at BB (low) (sf)
Morningstar DBRS changed the trends on Classes B, X-B, C, X-D, D,
E, X-F, F, and G-RR to Stable from Negative. Class H-RR has a
credit rating that does not typically carry a trend in commercial
mortgage-backed securities (CMBS) credit ratings. The trends on
Classes A-2, A-3, A-4, A-SB, A-M, and X-A are Stable.
The credit rating confirmations reflect Morningstar DBRS' unchanged
loss expectations for the pool, mainly driven by Castleton Commons
& Square (Prospectus ID#15; 2.9% of the pool), for which the lender
has filed for foreclosure. Specially serviced and watch listed
loans represent 8.2% and 10.2% of the pool, respectively, which are
decreased from the watch listed and specially serviced
concentrations of 23.3% and 13.4%, respectively, at last review.
With the return of multiple loans to the master servicer, most
notably, DUMBO Heights Portfolio (Prospectus ID#1; 6.7% of the
pool), the pool is in a more favorable position as the majority of
loans approach maturity in 2028, Morningstar DBRS' primary
consideration in changing the trends to Stable from Negative.
However, Morningstar DBRS remains concerned about the pool's high
concentration of loans backed by office properties, which represent
38.0% of the current pool balance.
As of the December 2024 remittance, 48 of the original 51 loans
remain in the pool, with an aggregate principal balance of $1.09
billion, reflecting a 6.4% collateral reduction since issuance. One
loan, representing 2.3% of the pool, is fully defeased. Three
loans, representing 8.2% of the pool, are currently in special
servicing, and seven loans, representing 10.2% of the pool, are
currently on the servicer's watchlist. In its analysis for this
review, Morningstar DBRS analyzed one of the specially serviced
loans, Castleton Commons & Square, with a liquidation scenario, as
detailed further below. Morningstar DBRS also identified seven
loans, representing 28.8% of the pool balance, as exhibiting
increased credit risk since issuance, and stressed loan-to-value
ratios (LTVs) and/or increased probability of default (POD)
assumptions in its analysis, resulting in a weighted-average (WA)
expected loss for these loans that is nearly 50% greater than the
pool average.
Since last review, both DUMBO Heights Portfolio and Concord Plaza
(Prospectus ID#25; 1.7% of the pool) were returned to the master
servicer. Both loans were granted extensions, extending their
maturity dates to September 2025 and have been brought current.
DUMBO Heights Portfolio did receive an updated appraisal in July
2024, reflecting a steep decline of -64.6% from the issuance
appraised value as a result of persistent performance
deterioration. Given this, Morningstar DBRS analyzed the loan using
a stressed LTV.
The largest loan in special servicing, Workspace - Trust
(Prospectus ID#10; 3.7% of the pool), transferred in November 2024
for imminent monetary default. The loan is secured by a portfolio
of 145 properties totaling approximately 10 million square feet
(sf) in four states (Pennsylvania, Florida, Minnesota, and
Arizona). The subject loan amount of $40.0 million is part of a
whole loan totaling $1.27 billion, secured across four other
transactions, three of which are rated by Morningstar DBRS: J.P.
Morgan Chase Commercial Mortgage Securities Trust 2018-WPT (JPMCC
2018-WPT, the lead securitization), Benchmark 2018-B6 Mortgage
Trust (BMARK 2018-B6), and Benchmark 2018-B5 Mortgage Trust. The
loan previously defaulted at its July 2023 maturity and was granted
a modification, extending the maturity to July 2025 subject to a
$30.0 million principal curtailment paid by the borrower. The loan
remains current but occupancy, net cash flow and debt service
coverage have continued to decline year over year. Given the
increased maturity default risk and continued underperformance,
Morningstar DBRS' analysis for this loan included a stressed LTV
and POD scenario, resulting in an EL almost 3.5 times greater than
the pool average.
The second-largest loan in special servicing is Castleton Commons &
Square. The loan is secured by a 279,452 sf anchored retail
property consisting of two adjacent shopping centers in
Indianapolis. No major rollover is scheduled in the next 12 months.
However, the occupancy rate has declined to 76% as of the most
recent reporting, down from 93% at YE2022 and 95% at issuance. Net
cash flow and the debt service coverage ratio have also dropped as
a result of the decrease in occupancy. The special servicer is
pursuing foreclosure. The most recent appraisal, dated December
2023, valued the property at $25.7 million, representing a 51.1%
decline from the issuance appraised value. Morningstar DBRS'
liquidation analysis for this loan is based on a stress to the
December 2023 appraised value and results in a projected loss
severity of almost 50%.
With this review, DBRS Morningstar maintained the shadow ratings on
Moffett Towers; Buildings E, F, G and Aventura Mall given the
continued stable performance and ongoing expectations for those
loans. Morningstar DBRS removed the shadow rating on 636 11th
Avenue as the loan no longer exhibits characteristics consistent
with an investment-grade shadow rating.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENCHMARK 2020-IG2: DBRS Confirms BB(low) Rating on UBR-D Certs
---------------------------------------------------------------
DBRS Limited downgraded its credit ratings on five classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-IG2
issued by Benchmark 2020-IG2 Mortgage Trust as follows:
-- Class A-M to A (high) (sf) from AAA (sf)
-- Class X-A to AA (low) (sf) from AAA (sf)
-- Class B to BB (sf) from A (sf)
-- Class C to CCC (sf) from BBB (sf)
-- Class D to C (sf) from B (high) (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class UBR-B at A (sf)
-- Class UBR-C at BBB (low) (sf)
-- Class UBR-D at BB (low) (sf)
Morningstar DBRS changed the trends on Classes A-M and B to Stable
from Negative and the trends on Classes UBR-B, UBR-C, and UBR-D to
Negative from Stable. The trend changes on Classes UBR-B, UBR-C,
and UBR-D reflect the generally increased risks surrounding the
near-term maturity for a San Francisco office property in the
current lending environment, despite a generally strong story with
the collateral property benefiting from a long-term lease to a
single tenant. Further information on the trend rationale for those
three classes is below. Classes C and D no longer carry trends
given the CCC (sf) or lower credit ratings, which typically do not
carry trends in commercial mortgage-backed securities (CMBS) credit
ratings. The trends on all remaining classes are Stable.
The credit rating downgrades reflect Morningstar DBRS' increased
loss expectations for the 225 Bush loan (Prospectus ID#11; 4.7% of
the pool), which transferred to special servicing since the last
credit rating action. While the property has yet to be reappraised,
Morningstar DBRS expects that the as-is value has plummeted since
issuance, given the sustained deterioration in property
performance. Morningstar DBRS liquidated the loan in the analysis
for this review (as further described below), resulting in
liquidated losses that would fully erode the Class D certificate
balance and approximately half of the Class C certificate balance.
The subject transaction has a top-heavy structure, and the
projected liquidation goes through the first-loss classes and
erodes support for the middle of the capital stack, a factor that
provided support for the credit rating downgrade for Class B. In
addition, all loans in the pool are collateralized by office or
mixed-use properties with office components, with select loans
exhibiting performance declines from issuance and/or elevated
rollover risk. As such, Morningstar DBRS maintains a conservative
outlook and maintained stressed scenarios to reflect these
increased credit risks, with the resulting sizing results further
supporting the credit rating downgrades for Classes B and A-M.
Morningstar DBRS changed the trends on those classes to Stable from
Negative as the scenarios considered with this review were
relatively conservative, with performance expected to remain
generally stable through the near term.
The credit rating confirmations and Stable trends on the top three
classes reflect the transaction's overall stable performance since
Morningstar DBRS' prior credit rating action in April 2024. The 181
West Madison loan (Prospectus ID#12; 2.2% of the pool) that was in
special servicing at the time of that review has since been
returned to the master servicer, and the pool continues to report
overall healthy performance metrics, with a weighted-average debt
service coverage ratio (DSCR) of 2.85 times (x) per the most recent
financials. Additionally, a majority of the loans benefit from
subordinate debt held outside the trust, which contributes to
relatively low loan-to-value ratios (LTVs) on the senior debt held
in the subject transaction. As of the January 2025 remittance, all
original 11 interest-only (IO) loans remained in the pool, with no
loan prepayments or amortization since issuance. There are two
specially serviced loans (12.6% of the pool), including 225 Bush
and Stonemont Net Lease Portfolio (Prospectus ID#5; 8.8% of the
pool), which transferred the current month for maturity default.
Three loans (39.0% of the pool) are being monitored on the
servicer's watchlist for upcoming maturity, declining performance,
and/or informational reasons. Given the pool's significant exposure
to office properties, Morningstar DBRS has a conservative outlook
and maintained elevated adjustments to the individual LTV sizing
benchmarks, where appropriate, to reflect increased credit risks.
Classes UBR-B, UBR-C, and UBR-D are loan-specific certificates that
are collateralized by two subordinate companion notes in an
aggregate amount of $155 million on the Chase Center Tower I/II
loan (Prospectus IDs #1 and #2; 15.8% of the pool), the largest
loans in the pool, secured by two LEED Gold-certified Class A
office buildings in San Francisco's Mission Bay district. The
buildings are part of the larger Chase Center/Golden State Warriors
complex and are fully leased to Uber Technologies, Inc. (Uber)
through September and October 2039. The sponsor is a joint venture
between GSW Sports LLC (45%), Uber (45%), and Alexandria Real
Estate Equities, Inc. (Alexandria; 10%), with Uber investing more
than $158.0 million in equity to build its space across the two
buildings. Morningstar DBRS notes that Uber leases a total of four
buildings at this complex, and in October 2023, CoStar reported
that OpenAI took occupancy on a sublease at the two noncollateral
buildings. Morningstar DBRS has confirmed there are no subleases in
place at the collateral buildings. Morningstar DBRS also notes that
the upcoming maturity dates in March 2025 mean the sponsor is
navigating a tighter lending environment for office and a rise in
interest rates over the past few years. Morningstar DBRS believes
the sponsor remains committed to the property, as supported by a
July 2024 article posted by Crain's Business Journal, which noted
that Alexandria has publicly expressed its interest in contributing
additional equity into the joint venture.
The loan-specific certificates are an asset of the issuing entity
but are not being pooled with the other mortgage loans and are only
entitled to payments of interest and principal from the subordinate
companion notes. Given the loan's upcoming maturity, Morningstar
DBRS changed the trends on those certificates to Negative from
Stable to reflect Morningstar DBRS' expectation that there could be
some volatility as part of the refinance process given the
collateral's location, particularly given the higher LTV when
including the subordinate debt that backs these certificates.
Morningstar DBRS notes that the Morningstar DBRS value of $481.7
million, derived in 2024, yielded low to moderate implied LTVs
ranging from 64.0% and 89.0% on the total senior debt of $270.0
million and the combined debt figure of $425.0 million that
includes the subordinate debt in the subject transaction,
respectively. Uber was assigned investment-grade credit ratings by
Fitch Ratings and S&P Global Ratings as of August 2024. Should Uber
meet the requirements for long-term credit tenant treatment as
outlined in the "Morningstar DBRS North American Commercial Real
Estate Property Analysis Criteria" and if an updated Morningstar
DBRS value were derived, it would likely be significantly above the
2024 figure.
The 225 Bush loan is secured by a mixed-use Class A office/retail
property in San Francisco's financial district. The loan
transferred to special servicing in November 2024 for maturity
default and most recently reported an annualized net cash flow
(NCF) of $7.5 million (reflecting a DSCR of 1.09x for the A Note;
0.64x for the whole loan) for the trailing nine-month period ended
September 30, 2024. In comparison, the NCF at issuance was $26.2
million. The property's occupancy rate dropped to 43.8% per the
July 2024 rent roll from 97.8% at issuance, following the departure
of several tenants since issuance, including the former largest
tenant, Twitch Interactive (formerly 14.5% of the net rentable
area). While the loan's workout strategy remains unconfirmed as of
January 2025, Morningstar DBRS considered a liquidation scenario
for the loan given the significant performance deterioration and
maturity default. The liquidation scenario considered a value of
$117.8 million, based on an 80% haircut to the issuance appraised
value, resulting in a loss severity of approximately 90%.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENCHMARK 2020-IG3: DBRS Confirms BB Rating on Class T333-D Certs
-----------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-IG3
issued by Benchmark 2020-IG3 Mortgage Trust as follows:
-- Class A2 at AAA (sf)
-- Class A3 at AAA (sf)
-- Class A4 at AAA (sf)
-- Class ASB at AAA (sf)
-- Class AS at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at BBB (high) (sf)
-- Class D at BBB (low) (sf)
-- Class XA at AAA (sf)
-- Class 825S-A at A (low) (sf)
-- Class 825S-B at BBB (low) (sf)
-- Class 825S-C at BB (low) (sf)
-- Class 825S-D at B (low) (sf)
-- Class T333-A at A (high) (sf)
-- Class T333-B at BBB (high) (sf)
-- Class T333-C at BB (high) (sf)
-- Class T333-D at BB (sf)
-- Class BX-A at A (low) (sf)
-- Class BX-B at BBB (low) (sf)
-- Class BX-C at BB (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the transaction's overall
stable performance. The pool continues to report healthy
performance metrics, with a weighted-average debt service coverage
ratio (DSCR) of 2.98 times per the most recent financials reported
for the underlying loans. Additionally, the majority of loans
benefit from subordinate debt held outside the trust and the
correspondingly lower loan-to-value ratios (LTVs) on the senior
debt held in the subject transaction. As of the January 2025
remittance, all nine original loans remain in the pool, with only
one loan, Stonemont Net Lease Portfolio (Prospectus ID#9; 7.2% of
the pool), in special servicing as the borrower was not able to
secure takeout financing prior to the loan's maturity on January
10, 2025. Three loans, representing 20.6% of the pool, are on the
servicer's watchlist and are being monitored for low DSCR and/or
upcoming maturity. Per the servicer's most recent commentary, the
individual borrowers are working on refinancing the watch listed
loans that are set to mature in the near term.
The transaction is a pooled securitization of pari passu pieces of
nine fixed-rate loans backed by office, industrial, multifamily,
retail, and mixed-use property types. All loans in the transaction,
with the exception of 825 South Hill (Prospectus ID#8; 8.9% of the
pool), are interest only (IO) during their entire loan terms, and
as of the January 2025 remittance, there has been nominal
collateral reduction since issuance because of the release of
individual properties in the BX Industrial Portfolio (Prospectus
ID#1; 11.8% of the pool). Given the large concentration of office
collateral in the pool (72.1% of the pool), Morningstar DBRS has a
generally conservative outlook and maintained stressed scenarios
where appropriate to reflect increased credit risks. The resulting
analysis supported the credit rating confirmations.
Eleven classes are loan-specific certificates, or rake bonds.
Classes 825S-A, 825S-B, 825S-C, and 825S-D are loan-specific
certificates associated with the subordinate component of the 825
South Hill loan, which is backed by a luxury multifamily property
in Los Angeles. Classes T333-A, T333-B, T333-C, and T333-D are
loan-specific certificates associated with the subordinate
component of the Tower 333 loan (Prospectus ID#5; 13.5% of the
pool), secured by an office tower in Bellevue, Washington. The
property is fully occupied by Amazon.com, Inc. via a lease through
September 2036, with several renewal options and no termination or
contraction clauses. With this review, Morningstar DBRS confirms
that these assets continue to exhibit performance that remains in
line with issuance expectations and is consistent with
investment-grade characteristics.
Classes BX-A, BX-B, and BX-C are loan-specific certificates
associated with the subordinate component of the BX Industrial
Portfolio loan. The loan was secured by a portfolio of 68
industrial and logistics properties at issuance. Releases are
permitted via a prepayment premium of 105.0% of the allocated loan
amount (ALA), until the original principal balance reduces by
30.0%, and 110.0% of the ALA thereafter. To date, approximately 18
properties have been released (more than 20.0% of the issuance
ALA), reducing the issuance senior trust balance and the total
appraisal value by approximately 12.2% and 23.4%, respectively, per
the January 2025 reporting. In the analysis for this credit rating
action, the Morningstar DBRS value was updated to reflect both the
property releases to date and to evaluate the credit ratings'
sensitivity to a value decline over the remainder of the loan term
should temporary performance declines be realized. Morningstar DBRS
considered a conservative haircut to the net cash flow of $47.8
million for the trailing 12-month period ended June 2024 and
maintained the 7.25% capitalization rate applied at the prior
credit rating action, resulting in a Morningstar DBRS value of
$523.4 million, which represents a variance of -28.9% to the
issuance appraised values for the remaining collateral.
Additionally, Morningstar DBRS maintained positive qualitative
adjustments totaling 5.25% in the LTV sizing benchmarks to reflect
the favorable geographic diversification, low cash flow volatility,
and property quality. The resulting proceeds supported the credit
rating confirmations with this review.
The largest loans on the servicer's watchlist are the Chase Center
Towers I/II loans (Prospectus IDs #6 and #7; 11.5% of the pool),
secured by two Class A office buildings totaling more than 586,000
square feet in San Francisco's Mission Bay district. As the
components of the whole mortgage loan are also securitized in
another Morningstar DBRS-rated transaction, Benchmark 2020-IG2
Mortgage Trust, please see the related press release published on
January 21, 2025, at https://dbrs.morningstar.com for a detailed
discussion of that property and Morningstar DBRS' analytical
approach.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENCHMARK 2022-B36: Fitch Affirms 'B-sf' Rating on Two Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Citigroup Commercial
Mortgage Trust 2022-GC48, commercial mortgage pass-through
certificates, series 2022-GC48 (CGCMT 2022-GC48). The Rating
Outlooks on six classes remain Negative.
Fitch has also affirmed 19 classes of Benchmark 2022-B36 Mortgage
Trust commercial mortgage pass-through certificates series 2022-B36
(BMARK 2022-B36). The Rating Outlooks for two classes were revised
to Negative from Stable, and the Outlooks on six classes remain
Negative.
Entity/Debt Rating Prior
----------- ------ -----
Benchmark 2022-B36
A-1 08163QBE7 LT AAAsf Affirmed AAAsf
A-2 08163QBF4 LT AAAsf Affirmed AAAsf
A-4 08163QBG2 LT AAAsf Affirmed AAAsf
A-5 08163QBH0 LT AAAsf Affirmed AAAsf
A-S 08163QBM9 LT AAAsf Affirmed AAAsf
A-SB 08163QBJ6 LT AAAsf Affirmed AAAsf
B 08163QBN7 LT AA-sf Affirmed AA-sf
C 08163QBP2 LT A-sf Affirmed A-sf
D 08163QAN8 LT BBBsf Affirmed BBBsf
E 08163QAQ1 LT BBB-sf Affirmed BBB-sf
F 08163QAS7 LT BBsf Affirmed BBsf
G 08163QAU2 LT B+sf Affirmed B+sf
H 08163QAW8 LT B-sf Affirmed B-sf
X-A 08163QBK3 LT AAAsf Affirmed AAAsf
X-B 08163QBL1 LT AA-sf Affirmed AA-sf
X-D 08163QAA6 LT BBB-sf Affirmed BBB-sf
X-F 08163QAC2 LT BBsf Affirmed BBsf
X-G 08163QAE8 LT B+sf Affirmed B+sf
X-H 08163QAG3 LT B-sf Affirmed B-sf
CGCMT 2022-GC48
A-1 29426VAA4 LT AAAsf Affirmed AAAsf
A-2 29426VAB2 LT AAAsf Affirmed AAAsf
A-4 29426VAC0 LT AAAsf Affirmed AAAsf
A-5 29426VAD8 LT AAAsf Affirmed AAAsf
A-S 29426VAG1 LT AAAsf Affirmed AAAsf
A-SB 29426VAE6 LT AAAsf Affirmed AAAsf
B 29426VAH9 LT AA-sf Affirmed AA-sf
C 29426VAJ5 LT A-sf Affirmed A-sf
D 29426VAK2 LT BBBsf Affirmed BBBsf
E 29426VAM8 LT BBB-sf Affirmed BBB-sf
F 29426VAP1 LT B+sf Affirmed B+sf
G 29426VAR7 LT B-sf Affirmed B-sf
X-A 29426VAF3 LT AAAsf Affirmed AAAsf
X-D 29426VBD7 LT BBB-sf Affirmed BBB-sf
X-F 29426VBF2 LT B+sf Affirmed B+sf
X-G 29426VBH8 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Stable Performance and 'Bsf' Loss Expectations: The affirmations
for both transactions reflect the generally stable pool performance
and loss expectations since Fitch's prior rating action. Deal-level
'Bsf' rating case loss is 4.3% in CGCMT 2022-GC48 and 4.1% in BMARK
2022-B36. The CGCMT 2022-GC48 transaction has five Fitch Loans of
Concern (FLOCs; 22.3% of the pool), including one loan (9.5%) in
special servicing. The BMARK 2022-B36 transaction has five FLOCs
(30.0%), including one loan (8.8%) in special servicing.
The Negative Outlooks in CGCMT 2022-GC48 and BMARK 2022-B36 reflect
the uncertainty surrounding the ultimate workout of the specially
serviced Yorkshire & Lexington Towers loan. Additionally, the
Negative Outlooks also factor performance concerns on FLOCs,
particularly 79 Fifth Avenue in both CGCMT 2022-GC48 and BMARK
2022-B36, as well as 39 Broadway (8.6%), One Campus Martius (6.6%)
and Covington Center (2.1%) in BMARK 2022-B36, and 25-28 Broadway
(1.6%) and 1267 1st Avenue & 4334 Katonah Avenue (1.1%) in CGCMT
2022-GC48 due to low servicer-reported net operating income debt
service coverage ratio (NOI DSCR).
Furthermore, both transactions have a high office concentration of
38.7% and 34.0%, respectively.
The largest FLOC in both transactions is the Yorkshire & Lexington
Towers loan (9.8% of CGCMT 2022-GC48 and 8.8% of BMARK 2022-B36),
which is secured by two multifamily buildings totaling 808 units
and located in the Upper East Side neighborhood of Manhattan.
The loan was transferred to special servicing in November 2024
following a technical default, as the borrower failed to fulfill
its obligation to fund a reserve account. According to the
servicer, the loan is paid current. The requirement for reserve
funding is triggered by not achieving a 5% debt yield on the entire
$714 million debt stack, which includes four mezzanine loans. The
special servicer is in the process of finalizing a pre-negotiation
agreement with the borrower and the four mezzanine lenders to
determine a workout plan.
Fitch requested additional information on whether the supplemental
income reserve amount has been funded as per the loan agreement,
the reasons behind the decline in debt yield, and the workout
strategy, but did not receive a response.
As of the most recently reported 2Q24 period, the property was 94%
occupied with an average rental rate of $4,672 per month. This
compares to 91% occupancy at YE 2023, which remained unchanged from
the time of issuance. The servicer-reported NOI DSCR was 1.67x as
of 2Q24, compared with 1.63x at YE 2023 and 2.05x at YE 2022.
Due to the strong property asset quality and location, Yorkshire &
Lexington Towers remains a credit opinion loan, consistent with
issuance. Fitch's analysis incorporates a 7% cap rate and Fitch's
sustainable net cash flow (NCF) from issuance.
The largest contributor to overall loss expectations in BMARK
2022-B36 is the One Campus Martius loan, secured by a 1.36
million-sf office property in Detroit, MI. The property was built
in 2003 and most recently completed a $95 million renovation and
expansion by over 351,000-sf in 2020. The property is considered
one of the premier office properties in Detroit, and features a
glass atrium, 14-story water feature, a café, several restaurants,
a new fitness center, an on-site daycare and a 10-story parking
garage.
According to the Sept. 2024 rent roll, the property was 85.4%
occupied, compared with 91% at YE 2022. The largest tenant at the
property is Rocket Mortgage, representing 39.6% of the NRA, which
has a lease through December 2028. The second-largest tenant is
Caidan Management Company (19.4% of NRA), which had a scheduled
lease expiration in Dec. 2024. Fitch requested a leasing update to
determine if Caidan is still a tenant at the property, but a
response was not provided. The servicer-reported NOI DSCR was 2.09x
as of 2Q24, compared with 2.06x at YE 2023 and 2.47x at YE 2022.
Fitch's 'Bsf' rating case loss of 7.3% (prior to a concentration
adjustment) is based on a 10% cap rate and Fitch's sustainable NCF
of $18.9 million, which applied a higher vacancy assumption due to
weaker submarket fundamentals.
The second-largest contributor to overall loss expectations in
BMARK 2022-B36 and the fourth-largest contributor in CGCMT
2022-GC48 is the 79 Fifth Avenue loan (7.9% of CGCMT 2022-GC48 and
9.4% of BMARK 2022-B36), secured by a 345,751-sf office building
located in the Union Square neighborhood of Manhattan. The loan was
flagged as a FLOC because the third-largest tenant, Hulu (11.6% of
NRA), will be vacating upon its May 2025 lease expiration.
According to servicer commentary, the Hulu space is being marketed
for lease and as of Jan. 2025, the borrower has not found a
replacement tenant.
Other major tenants at the property include The New School (61.5%
of NRA; lease expiry in June 2030) and CapGemini America, Inc.
(18.7%; Sept. 2027). According to the December 2024 rent roll, the
property was 98.8% occupied with an average rental rate of
approximately $75 psf. The servicer-reported NOI DSCR was 1.84x at
YE 2023 and 1.76x at YE 2022.
Fitch's 'Bsf' rating case loss of 4.5% (prior to a concentration
adjustment) is based on an 8% cap rate and a 20% stress to the YE
2023 NOI to account for the upcoming rollover of the third-largest
tenant.
The largest increase in loss since the prior rating action in BMARK
2022-B36 is the Covington Center loan, secured by a 119,529-sf
retail property located in Covington, WA. The property was built in
1963 and renovated in 2011. The loan was flagged as a FLOC as Big
Lots (24.2%; Jan. 2027) filed for bankruptcy in 2024 and vacated
the property. Major remaining tenants include LA Fitness (37.7%;
Nov. 2038), Big 5 (9.6%; Jan. 2029), and Valley Medical (5.7%; Dec.
2030). Upcoming rollover for the property is granular, with no
single tenant comprising over 4% of the NRA rolling until 2029.
After Big Lots' departure, occupancy dropped to 71% as of 2Q24,
down from 95% at YE 2023 and 94% at YE 2022. The servicer-reported
NOI DSCR was 2.32x at 2Q24, compared with 2.36x at YE 2023, and
2.28x at YE 2022. According to the most recent servicer updates,
there is approximately $697,000 in a reserve account. Fitch's 'Bsf'
rating case loss of 6.4% (prior to a concentration adjustment) is
based on a 9% cap rate and a 25% stress to the YE 2023 NOI to
account for the loss of Big Lots.
Another large FLOC in BMARK 2022-B36 is the 39 Broadway loan,
secured by a 450,583-sf urban office property in Manhattan. This
FLOC was flagged due to upcoming rollover concerns, with 18.4% and
14.2% of the NRA scheduled to roll in 2025 and 2026, respectively.
The largest tenants at the property include Metropolitan Jewish
Health (8.4% of NRA; Sept. 2025), Waterfront Comm of NY Harbor
(5.1%; Nov. 2026), Food Bank for NYC Food (3.8%; March 2026), and
Masterpiece International (3.5%; Feb. 2027). The property was 75.4%
occupied as of June 2024, compared with 78% at YE 2023 and 79% at
YE 2022. The servicer-reported NOI DSCR as of 2Q24 was 1.90x, down
from 2.27x at YE 2023 and 2.27x at YE 2022. Fitch's 'Bsf' rating
case loss of 2.7% (prior to a concentration adjustment) is based on
a 9% cap rate and a 10% stress to the YE 2023 NOI.
The 25-28 Broadway loan in CGCMT 2022-GC48, secured by a 20-unit
multifamily property in Queens, NY, was flagged as a FLOC due to
low DSCR. The servicer-reported NOI DSCR was 1.08x as of 1Q24, down
from 1.10x at YE 2023 and 1.18x at YE 2022. Despite the property
remaining fully occupied, property expenses have continued to
increase each year since issuance. The servicer noted the largest
increase among the expense line items were utilities, and repairs
and maintenance. Fitch's 'Bsf' rating case loss of 11.2% (prior to
a concentration adjustment) is based on an 8.25% cap rate and a
7.5% stress to the YE 2023 NOI.
Minimal Changes to Credit Enhancement (CE): As of the Jan. 2025
distribution date, the pool's aggregate balance in CGCMT 2022-GC48
has been paid down by 0.3% to $852.6 million from $854.8 million at
issuance. One loan (1.2% of the pool) is fully defeased.
Approximately 92.0% of the pool is comprised of full-term
interest-only (IO) loans, two loans (1.4%) are still in their IO
period, and three loans (6.6%) are amortizing.
As of the Jan. 2025 distribution date, the pool's aggregate balance
in BMARK 2022-B36 has been paid down by 0.1% to $753.7 million from
$753.8 million at issuance. Approximately 97.5% of the pool is
comprised of full-term IO loans, one loan (1.1%) is still in its IO
period, and one loan (1.4%) is amortizing.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to the 'AAAsf' classes are not expected due to their
position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls affect
these classes.
- Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf'
categories may occur with outsized loss expectations on the FLOCs
and/or specially serviced loans, including 79 Fifth Avenue, 25-28
Broadway, Yorkshire & Lexington Towers in CGCMT 2022-GC48, and 79
Fifth Avenue, One Campus Martius, 39 Broadway, Covington Center,
Yorkshire & Lexington Towers in BMARK 2022-B36, increase beyond
expectations, and with limited to no improvement in these classes'
CE.
- Downgrades to the 'BBsf' and 'Bsf' categories are likely with
higher-than-expected losses from continued underperformance of the
FLOCs and with greater certainty of losses on the specially
serviced loans or other FLOCs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE from paydowns and/or
defeasance, coupled with stable-to-improved pool-level loss
expectations and stabilized performance on 79 Fifth Avenue, 25-28
Broadway, Yorkshire & Lexington Towers in CGCMT 2022-GC48, and 79
Fifth Avenue, One Campus Martius, 39 Broadway, Covington Center,
Yorkshire & Lexington Towers in BMARK 2022-B36.
- Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
- Upgrades to the 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable, recoveries on the
FLOCs are better than expected and there is sufficient CE to the
classes.
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.
BENCHMARK 2025-V13: Fitch Assigns 'B-(EXP)sf' Rating on G-RR Certs
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Benchmark 2025-V13 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates Series 2025-V13 as follows.
- $300,000 class A-1 'AAA(EXP)sf'; Outlook Stable;
- $76,500,000 class A-2 'AAA(EXP)sf'; Outlook Stable;
- $87,500,000a class A-3 'AAA(EXP)sf'; Outlook Stable;
- $372,866,000a class A-4 'AAA(EXP)sf'; Outlook Stable;
- $537,166,000b class X-A 'AAA(EXP)sf'; Outlook Stable;
- $84,411,000 class A-S 'AAA(EXP)sf'; Outlook Stable;
- $38,369,000 class B 'AA-(EXP)sf'; Outlook Stable;
- $30,696,000 class C 'A-(EXP)sf'; Outlook Stable;
- $153,476,000b class X-B 'A-(EXP)sf'; Outlook Stable;
- $10,167,000c class D 'BBB(EXP)sf'; Outlook Stable;
- $10,167,000bc class X-D 'BBB(EXP)sf'; Outlook Stable;
- $13,813,000cd class E-RR 'BBB-(EXP)sf'; Outlook Stable;
- $15,348,000cd class F-RR 'BB-(EXP)sf'; Outlook Stable;
- $9,592,000cd class G-RR 'B-(EXP)sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $27,818,000cd class J-RR.
(a) The initial certificate balances of Class A-3 and class Class
A-4 are unknown and expected to be 460,360,000 in aggregate,
subject to a 5% variance. The certificate balance will be
determined based on the final pricing of those classes of
certificates. The expected class A-3 balance range is $0- to
$175,000,000, and the expected class A-4 balance range is
$285,366,000-$460,366,000. Fitch's certificate balance for classes
A-3 and A-4 reflect the midpoint of each range, respectively.
(b) Notional Amount and interest only.
(c) Privately Placed and pursuant to Rule 144A.
(d) Horizontal risk retention.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 36 loans secured by the
borrowers' fee and leasehold interests in 120 commercial properties
having an aggregate principal balance of $767,380,000 as of the
cutoff date. The loans were contributed to the trust by Citi Real
Estate Funding Inc., German American Capital Corporation, Goldman
Sachs Mortgage Company, Bank of Montreal, and Barclays Capital Real
Estate Inc.
The master servicer is expected to be Midland Loan Services, a
Division of PNC Bank, National Association, and the special
servicer is expected to be LNR Partners, LLC. Wilmington Savings
Fund Society, FSB will act as trustee and Citibank, N.A. will act
as the Certificate Administrator. The certificates are expected to
follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans
totaling 87.5% of the pool balance. Fitch's aggregate net cash flow
(NCF), including the pro-rated trust portion of any pari passu
loan, is $76.3 million, which represents a 15.1% decline from the
issuer's aggregate underwritten NCF of $89.9 million.
Higher Fitch Leverage: The pool exhibits higher leverage compared
to recent five-year multiborrower transactions rated by Fitch, with
a Fitch loan-to-value (LTV) ratio of 98.0%, surpassing the 2024 and
2023 averages of 95.2% and 89.7%, respectively. Additionally, the
pool's Fitch NCF debt yield (DY) of 9.9% is below the 2024 and 2023
averages of 10.2% and 10.6%.
Investment Grade Credit Opinion Loans: Four loans representing
16.6% of the pool balance received investment-grade credit
opinions. Herald Center (6.5% of pool) received an investment-grade
credit opinion of 'BBB-sf*' on a standalone basis. Queens Center
(6.2% of pool) received an investment-grade credit opinion of
'BBB-sf*' on a standalone basis. CBM Portfolio (2.7% of pool)
received an investment-grade credit opinion of 'A-sf*' on a
standalone basis. The Spiral (1.3% of pool) received an investment
grade credit opinion of 'AA-sf*'. The pool's total credit opinion
percentage is higher than both the 2024 average of 12.6% and the
2023 average of 14.6% for Fitch-rated five-year multiborrower
transactions. Excluding the credit opinion loans, the pool's Fitch
LTV and DY are 103.3% and 9.5%, respectively.
High Loan Concentration: The pool is slightly more concentrated
than recently rated Fitch transactions. The largest 10 loans
represent 62.5% of the pool, which is worse than both the 2024
five-year multiborrower average of 60.2% but better than the 2023
average of 65.3%. 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 21.4.
Geographic Concentration: The pool has an effective MSA count of
5.5. The pool's effective MSA count is below the 2024 and 2023
average of 9.8 and 10.7, respectively. The top three MSA
concentrations are New York-Newark-Jersey City, NY-NJ-PA (39.7%),
Houston-The Woodlands-Sugar Land, TX (7.2%) and
Fayetteville-Springdale-Rogers, AR-MO (6.8%).
Retail Mall Concentration: The transaction's mall concentration
consists of three mall properties (16.9% of the pool) all of which
are within the top 10 by loan cutoff balance. Mall properties
account for 58.4% of the pool's retail exposure. The overall retail
exposure for this transaction is 28.9%, which is above the 2024
average of 24.4% but better than the 2023 average of 31.6%. The
second and third largest property types are multifamily (27.0% of
the pool) and self-storage (13.2% of the pool). Overall, the pool
has better property type diversity compared with recent Fitch-rated
five-year multiborrower transactions. The pool's effective property
type count is 5.0 compared with the 2024 and 2023 averages of 4.3
and 4.1.
Shorter-Duration Loans: Loans with five-year terms constitute 100%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default than 10-year loans,
all else equal. This is mainly attributable to the shorter window
of exposure to potentially adverse economic conditions. Fitch
considered its loan performance regression in its analysis of the
pool.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/
BHG SECURITIZATION 2024-1CON: Fitch Affirms BB Rating on E Notes
----------------------------------------------------------------
Fitch Ratings has affirmed all notes of BHG Securitization Trust
2024-1CON (BHG 2024-1CON). The Rating Outlook remains Stable for
all notes.
Entity/Debt Rating Prior
----------- ------ -----
BHG Securitization
Trust 2024-1CON
A 08862HAA0 LT AAAsf Affirmed AAAsf
B 08862HAB8 LT AA-sf Affirmed AA-sf
C 08862HAC6 LT A-sf Affirmed A-sf
D 08862HAD4 LT BBB-sf Affirmed BBB-sf
E 08862HAE2 LT BBsf Affirmed BBsf
Transaction Summary
BHG 2024-1CON is a discrete trust backed by a pool of consumer
loans originated or purchased by Bankers Healthcare Group, LLC
(BHG), Pinnacle Bank and County Bank. Fitch has affirmed all notes
of 2024-1CON and kept the Stable Outlooks in place due to the notes
passing Fitch's modeling at the requisite rating levels and the
performance of the underlying assets aligning with expectations to
date.
KEY RATING DRIVERS
Collateral Pool Comprised of High FICO Borrowers: The BHG 2024-ICON
receivables pool as of the cutoff date had a weighted average (WA)
FICO score of 746; 1.08% of the borrowers have a score below 661
and 51.24% have a score higher than 740. Consumer loans represent
100% of the pool. The WA original term of 91 months is consistent
with 2023-B but has declined from the previous transactions.
Default Assumption Reflects Securitized Performance: The base case
default assumption assigned at closing was 14.26%. This assumption
was established based on BHG's proprietary risk grade and loan
term. For certain segments where Fitch considered the loans to lack
significant historical performance data, Fitch used the performance
of equivalent commercial loans to determine the base case default
assumption.
For the current review, Fitch maintained the base case default from
closing due to the low seasoning of the pool and performance well
within expectations. As of the January 2025 payment period,
cumulative net losses represented 0.95% of the pool. These levels
remain below the 4.75% amortization trigger.
Credit Enhancement Mitigates Stressed Losses: The current hard
credit enhancement (CE) for 2024-1CON totals 65.72%, 35.33%,
20.69%, 15.10% and 9.52% for class A, B, C, D and E notes,
respectively. This is higher than the 54.70%, 30.20%, 18.40%,
13.90% and 9.40% for class A, B, C, D and E notes, respectively, at
closing. Current CE is sufficient to cover Fitch's stressed cash
flow assumptions for all classes.
Fitch revised the stress multiple from 4.5x at issuance to 4.25x
for consumer loans, primarily due to the higher absolute value of
the base case assumption and the transaction's performance relative
to prior deals. The stress multiples for the subordinate notes
follow the prescribed lower range of the recommended default stress
multiples described in Fitch's "Consumer ABS Rating Criteria."
The default multiple reflects the absolute value of the default
assumption, the length of default performance history, high WA
borrower FICO scores and income and the WA original loan term,
which increases the portfolio's exposure to changing economic
conditions.
Counterparty Risks Addressed: BHG has a long operational history
and demonstrates adequate abilities as the originator, underwriter
and servicer, as evidenced by historical portfolio and previous
securitization performance. Fitch deems BHG capable of servicing
this transaction. Other counterparty risks are mitigated through
the transaction structure and such provisions are in line with
Fitch's counterparty rating criteria.
True Lender Uncertainty for Partner Bank Loan Origination
Continues: BHG, similar to peers, purchases consumer loans and some
commercial loans originated by partner banks. To date, BHG has
purchased consumer and commercial loans from Pinnacle Bank, a
Tennessee state-chartered bank (Pinnacle Bank), and consumer loans
from County Bank, a Delaware state-chartered bank (County Bank).
Uncertainty regarding who is the true lender of the loans remains a
risk inherent to this transaction, particularly for consumer loans
originated at an interest rate higher than a borrower state's usury
rate.
If there are challenges to the true lender status, and if such
challenges are successful, the consumer loans and certain
commercial loans could be found to be unenforceable, or subject to
reduction of the interest rate, paid or to be paid. If any such
challenges are successful trust performance could be negatively
affected, which would increase negative rating pressure. For this
risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG
and BHG 2024-1CON's consumer loans originated at interest rates
below borrower state's usury rate, while the longer WA loan term of
91 months is viewed as negative.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults or charge-offs
could produce loss levels higher than the base case and would
likely result in declines of CE and remaining net loss coverage
levels available to the notes. Decreased CE may make certain
ratings on the notes susceptible to potential negative rating
actions, depending on the extent of the decline in coverage.
Fitch conducts sensitivity analysis by stressing a transaction's
initial base case default assumption by an additional 10%, 25% and
50% and examining the rating implications. These increases of the
base case default rate are intended to provide an indication of the
rating sensitivity of the notes to unexpected deterioration of a
trusts performance. An additional sensitivity run of lowering
recoveries by 10%, 25% and 50% is also conducted.
During the sensitivity analysis, Fitch examines the magnitude of
the multiplier compression by projecting the expected cash flows
and loss coverage levels over the life of investments under higher
than the initial base case default assumptions. Fitch models cash
flows with the revised default estimates while holding constant all
other modeling assumptions.
Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'.
Increased default base case by
10%:'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BBB-sf';
Increased default base case by
25%:'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf';
Increased default base case by
50%:'A+sf'/'BBBsf'/'BB+sf'/'BBsf'/'BBsf';
Reduced recovery base case by 10%:
'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf';
Reduced recovery base case by 25%:
'AAAsf'/'A+sf'/'A-sf'/'BBB+sf'/'BBB-sf';
Reduced recovery base case by 50%:
'AAAsf'/'A+sf'/'A-sf'/'BBB+sf'/'BBB-sf';
Increased default base case by 10% and reduced recovery base case
by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BBB-sf';
Increased default base case by 25% and reduced recovery base case
by 25%: 'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf';
Increased default base case by 50% and reduced recovery base case
by 50%: 'A+sf'/'BBBsf'/'BB+sf'/'BBsf'/'BB-sf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance driven by stable delinquencies
would lead to increasing CE levels and consideration for potential
upgrades.
Rating sensitivity from decreased defaults (class A/class B/class
C/class D/class E):
Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'.
Decreased default base case by 25%:
'AAAsf'/'AA+sf'/'AA-sf'/'A+sf'/'A-sf'.
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.
BIRCH GROVE 3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
--------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the Birch
Grove CLO 3 Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Birch Grove CLO 3 Ltd.
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Birch Grove CLO 3 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Birch Grove Capital
LP that originally closed in December 2021. On Feb. 5, 2025 (the
first refinancing date), the CLO's existing secured notes will be
redeemed in full with refinancing proceeds. The secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first-lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.06, versus a maximum covenant, in accordance with
the initial expected matrix point of 26.00. 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
94.22% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.74% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.20%.
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 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-R, between
'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf'
for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between
less than 'B-sf' and 'BB+sf' for class D-1-R, between less than
'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf'
and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R and class
A-2-R 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-R, 'AAsf' for class C-R, 'A+sf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Birch Grove CLO 3
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.
BLP COMMERCIAL 2024-IND2: DBRS Confirms BB(high) Rating on E Certs
------------------------------------------------------------------
DBRS, Inc. confirmed the credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2024-IND2
(the Certificates) issued by BLP Commercial Mortgage Trust
2024-IND2 as follows:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (high) (sf)
-- Class HRR at BB (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction as evidenced by the steady occupancy
rate across the portfolio since issuance. The portfolio is
predominantly backed by industrial properties and benefits from
experienced sponsorship, long-term leases, and geographical and
sectoral diversity.
The transaction is collateralized by the borrower's fee-simple
interests in a portfolio of 48 cross-collateralized industrial
properties totaling 7.1 million square feet. The portfolio is
spread across nine states, including Texas, California, Illinois,
and 12 markets, including Dallas Fort-Worth; Inland Empire,
California; and Chicago. The properties themselves are a mix of
bulk distribution, light industrial, shallow bay, industrial
service facility (truck terminal) and cold storage properties.
Overall, the subject markets have solid fundamentals with positive
annual growth in rents while absorbing new supply. At issuance,
Morningstar DBRS noted two potential concerns with the low debt
service coverage ratio (DSCR), which was 1.08 times (x) at
issuance, as well as the high rollover through the loan term. As
per the operating statement analysis report (OSAR) for the trailing
12-month period ended September 30, 2024, the DSCR declined very
slightly to 1.05x, however, these concerns continue to be mitigated
by the experienced sponsorship in Brookfield Properties, the
below-market rents, strong markets, and diversification with
investment-grade tenancy. In addition, the majority of tenants with
lease expires in 2024 seem to have renewed their respective leases
based on the portfolio occupancy rate of 96.0% reported in the
September 2024 OSAR.
As of the January 2025 remittance, two of the original 50
properties have been released, contributing to a paydown of the
pool balance to $583.5 million from the issuance balance of $615.0
million. Both releases were subject to a 105.0% release premium in
accordance with the issuance documents, which stipulate that a 105%
release premium be paid for the first 30% of the whole loan
balance, and 110% of the allocated loan amount (ALA) thereafter.
The mortgage loan has a partial pro rata/sequential-pay structure,
which allows for pro rata paydowns across the Certificates for the
first 30.0% of the unpaid principal balance. Morningstar DBRS
considers this structure to be credit negative, particularly at the
top of the capital stack. Under a partial pro rata paydown
structure, deleveraging of the senior notes through the release of
individual properties occurs at a slower pace compared with a
sequential-pay structure. Morningstar DBRS applied a penalty to the
transaction's capital structure to account for the pro rata nature
of certain prepayments.
With this review, Morningstar DBRS updated its value and net cash
flow (NCF) for the portfolio to account for the two property
releases. Morningstar DBRS derived a value of $649.5 million based
on the Morningstar DBRS NCF of $44.0 million and a capitalization
rate of 6.77%, resulting in a current Morningstar DBRS
loan-to-value ratio (LTV) of 89.8% compared with the LTV of 49.3%
based on the appraised value at issuance. Positive qualitative
adjustments totaling 8.5% were applied to the LTV sizing benchmarks
to reflect the portfolio's quality, cash flow volatility, and
strong market fundamentals.
Notes: All figures are in U.S. dollars unless otherwise noted.
BMO 2025-C11: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
BMO 2025-C11 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2025-C11 as follows:
- $19,265,000 class A-1 'AAAsf'; Outlook Stable;
- $250,000,000a class A-4 'AAAsf'; Outlook Stable;
- $338,668,000a class A-5 'AAAsf'; Outlook Stable;
- $26,909,000 class A-SB 'AAAsf'; Outlook Stable;
- $634,842,000b class X-A 'AAAsf'; Outlook Stable;
- $102,029,000 class A-S 'AAAsf'; Outlook Stable;
- $41,944,000 class B 'AA-sf'; Outlook Stable;
- $31,062,000 class C 'A-sf'; Outlook Stable;
- $175,035,000b class X-B 'A-sf'; Outlook Stable;
- $9,070,000c class D 'BBB+sf'; Outlook Stable;
- $9,070,000bc class X-D 'BBB+sf'; Outlook Stable;
- $19,952,000cd class E-RR 'BBB-sf'; Outlook Stable;
- $17,005,000cd class F-RR 'BB-sf'; Outlook Stable;
- $11,336,000cd class G-RR 'B-sf'; Outlook Stable.
Fitch is not expected to rate the following class:
- $39,678,175cd class J-RR.
a) The exact initial certificate balances of class A-4 and A-5
certificates are unknown but are expected to be $588,668,000 in
aggregate, subject to a 5% variance. The certificate balances will
be determined based on the final pricing of these classes of
certificates. The expected class A-4 balance range is $0 to
$250,000,000, and the expected class A-5 balance range is
$338,668,000 to $588,668,000. The balance for class A-4 reflects
the top point of its range, and the balance for class A-5 reflects
the bottom point of its range. If the class A-5 certificates are
issued at $588,668,000, the class A-4 certificates will not be
issued.
b) Notional amount and interest only.
c) Privately placed pursuant to Rule 144A.
d) Horizontal risk retention interest.
Entity/Debt Rating
----------- ------
BMO 2025-C11
A-1 LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-SB LT AAA(EXP)sf Expected Rating
A-S 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-RR LT BBB-(EXP)sf Expected Rating
F-RR LT BB-(EXP)sf Expected Rating
G-RR LT B-(EXP)sf Expected Rating
J-RR LT NR(EXP)sf Expected Rating
X-A LT AAA(EXP)sf Expected Rating
X-B LT A-(EXP)sf Expected Rating
X-D LT BBB+(EXP)sf Expected Rating
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 63 loans secured by 73
commercial properties having an aggregate principal balance of
$906,918,176 as of the cut-off date. The loans were contributed to
the trust by Bank of Montreal, Societe Generale Financial
Corporation, Starwood Mortgage Capital LLC, UBS AG, German American
Capital Corporation, National Cooperative Bank, N.A., Citi Real
Estate Funding Inc., Barclays Capital Real Estate Inc., LMF
Commercial, LLC, LoanCore Capital Markets LLC, Goldman Sachs
Mortgage Company, Greystone Commercial Mortgage Capital LLC and
Natixis Real Estate Capital LLC.
The master servicer is expected to be Midland Loan Services, a
Division of PNC Bank, National Association, and the special
servicer is expected to be KeyBank National Association. National
Cooperative Bank, N.A. is expected to serve as the master servicer
and special servicer for the loans that National Cooperative Bank,
N.A. contributed to the trust. The trustee and certificate
administrator is expected to be Computershare Trust Company,
National Association. The certificates are expected to follow a
sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 29
loans totaling 82.2% of the pool balance. Fitch's aggregate pool
NCF of $120.6 million represents a 13.5% decline from the issuer's
underwritten aggregate pool NCF of $139.6 million.
Fitch Leverage: The pool exhibits higher leverage than recent
10-year multiborrower transactions rated by Fitch, with a Fitch
loan-to-value (LTV) ratio of 90.1%, surpassing the 2024 and 2023
averages of 84.5% and 87.2%, respectively. However, the pool's
Fitch NCF debt yield (DY) of 13.3% is above the 2024 and 2023
averages of 12.3% and 11.1%, respectively. Excluding credit opinion
and co-op loans, the pool's Fitch LTV and DY are 97.5% and 9.8%,
respectively, compared to the equivalent 2024 LTV and DY averages
of 91.5% and 10.9%, respectively.
Investment Grade Credit Opinion Loans: One loan representing 3.97%
of the pool by balance received an investment-grade credit opinion.
299 Park Avenue (3.97%) received an investment-grade credit opinion
of 'A-sf*' on a standalone basis. The pool's total credit opinion
percentage is considerably lower than the 2024 and 2023 averages of
21.4% and 20.1%, respectively.
Lower Loan Concentration: The pool is less concentrated than recent
10-year multiborrower transactions rated by Fitch. The top 10 loans
make up 50.8% of the pool, which is lower than both the 2024
average of 63.0% and the 2023 average of 62.5%. Fitch measures loan
concentration risk using an effective loan count, which accounts
for both the number and size of loans in the pool. The pool's
effective loan count is 27.96. Fitch views diversity as a key
mitigant to idiosyncratic risk. Fitch raises the overall loss for
pools with effective loan counts below 40.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Reduction in cash flow decreases property value and capacity to
meet its debt service obligations.
The table below indicates the model implied rating sensitivity to
changes to the same one variable, Fitch NCF:
- Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf'
/ 'BBB-sf' / 'BB-sf' / 'B-sf';
- 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB-sf' / 'CCC+sf' / less than 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Similarly, improvement in cash flow increases property value and
capacity to meet its debt service obligations.
The list below indicates the model implied rating sensitivity to
changes in one variable, Fitch NCF:
- Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf'
/ 'BBB-sf' / 'BB-sf' / 'B-sf';
- 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'A-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 Deloitte & Touche 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.
BRAVO RESIDENTIAL 2025-NQM1: DBRS Gives Prov BB Rating on B-2 Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Mortgage-Backed Notes, Series 2025-NQM1 (the Notes) to be issued by
BRAVO Residential Funding Trust 2025-NQM1 (the Trust) as follows:
-- $278.3 million Class A-1 at (P) AAA (sf)
-- $241.4 million Class A-1A at (P) AAA (sf)
-- $36.8 million Class A-1B at (P) AAA (sf)
-- $13.4 million Class A-2 at (P) AA (high) (sf)
-- $27.3 million Class A-3 at (P) A (high) (sf)
-- $16.8 million Class M-1 at (P) BBB (sf)
-- $8.5 million Class B-1 at (P) BBB (low) (sf)
-- $7.4 million Class B-2 at (P) BB (sf)
Class A-1 is an exchangeable note and Class A-1A and A-1B are
initial exchangeable notes. These classes can be exchanged in
combinations as specified in the offering documents.
The (P) AAA (sf) credit rating on the Class A-1 Notes reflects
24.45% of credit enhancement provided by subordinated Notes. The
(P) AA (high) (sf), (P) A (high) (sf), (P) BBB (sf), (P) BBB (low)
(sf), and (P) BB (sf) credit ratings reflect 20.80%, 13.40%, 8.85%,
6.55%, and 4.55% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first-lien residential mortgages
funded by the issuance of the Mortgage-Backed Notes. The Notes are
backed by 622 loans with a total principal balance of approximately
$368,334,248 as of the Cut-Off Date (December 31, 2024).
The pool is, on average, four months seasoned with loan ages
ranging from two to 10 months. The originators each comprise less
than 10% of the mortgage loans. Approximately 71.5% of the loans
will be serviced by SPS, 16.1% of the loans will be serviced by
Selene, 9.1% of the loans will be serviced by Shellpoint, and 3.3%
of loans will be serviced by Citadel. ServiceMac, LLC (ServiceMac)
will sub-service all of the Citadel serviced loans.
Nationstar Mortgage LLC will act as Master Servicer. Citibank, N.A.
(rated AA (low) with a Stable trend by Morningstar DBRS), will act
as Indenture Trustee, Paying Agent, and Owner Trustee.
Computershare Trust Company, N.A. (rated BBB (high) with a Stable
trend by Morningstar DBRS) will act as Custodian.
As of the Cut-Off Date, 97.8% of the loans in the pool are
contractually current according to the Mortgage Bankers Association
(MBA) delinquency calculation method.
In accordance with the Consumer Financial Protection Bureau (CFPB)
Qualified Mortgage (QM) rules, 42.2% of the loans by balance are
designated as non-QM. Approximately 41.8% of the loans in the pool
made to investors for business purposes or were underwritten by a
Community Development Financial Institution (CDFI) and are exempt
from the CFPB Ability-to-Repay (ATR) and QM rules. Remaining loans
subject to the ATR rules are designated as QM Safe Harbor (2.7%),
and QM Rebuttable Presumption (13.3%) by UPB.
There will be no advancing of delinquent principal or interest on
any mortgage loan by the servicers or any other party to the
transaction; however, each servicer is obligated to make advances
in respect of taxes and insurance, the cost of preservation,
restoration, and protection of mortgaged properties and any
enforcement or judicial proceedings, including foreclosures and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.
The Sponsor or a majority-owned affiliate of the Sponsor will
acquire and intends to retain an eligible horizontal residual
interest consisting of a portion of the Class B-3 Notes and 100% of
the Class XS Notes, collectively representing at least 5.0% of the
aggregate fair value of the Notes (other than the Class SA, and
Class R Notes) to satisfy the credit risk-retention requirements
under Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder.
The holder of the Trust Certificates may, at its option, on or
after the earlier of (1) the payment date in January 2028 or (2)
the date on which the balance of mortgage loans and real estate
owned properties falls to or less than 30% of the loan balance as
of the Cut-Off Date (Optional Redemption Date), redeem the Notes at
the optional termination price described in the transaction
documents.
The Depositor, at its option, may purchase any mortgage loan that
is 90 days or more delinquent under the MBA method at the
repurchase price (Optional Purchase) described in the transaction
documents. The total balance of such loans purchased by the
Depositor will not exceed 10% of the Cut-Off Date balance.
The Issuer may require the Seller to repurchase loans that become
delinquent in the first three monthly payments following the date
of acquisition. Such loans will be repurchased at the related
repurchase price.
The transaction's cash flow structure is generally similar to that
of other non-QM securitizations. The transaction employs a
sequential-pay cash flow structure with a pro rata principal
distribution among the senior tranches subject to certain
performance triggers related to cumulative losses or delinquencies
exceeding a specified threshold (Credit Event). In the case of a
Credit Event, principal proceeds will be allocated to cover
interest shortfalls on the Class A-1 and then in reduction of the
Class A-1 note balance, before a similar allocation of funds to the
Class A-2 (IPIP). For the Class A-3 Notes (only after a Credit
Event) and for the mezzanine and subordinate classes of notes (both
before and after a Credit Event), principal proceeds will be
available to cover interest shortfalls only after the more senior
notes have been paid off in full. Also, the excess spread can be
used to cover realized losses first before being allocated to
unpaid Cap Carryover Amounts because of Class A-1A, A-1B, A-2, A-3,
M-1, and B-1 (if applicable).
Of note, the Class A-1A, A-1B, A-2, and A-3 Notes coupon rates
step-up by 100 basis points on and after the payment date in
February 2029. Interest and principal otherwise payable to the
Class B-3 Notes as accrued and unpaid interest may be used to pay
the Class A-1A, A-1B, A-2, and A-3 Notes Cap Carryover Amounts
after the Class A coupons step-up.
The mortgage pool contains loans secured by mortgage properties
that are located within certain disaster areas (such as those
impacted by the Greater Los Angeles wildfires). The Sponsor of the
transaction has informed Morningstar DBRS that the servicer has
ordered (and intends to order) property damage inspections (PDI)
for any property located in a known disaster zone prior to the
transactions closing date. Loans secured by properties known to be
materially damaged will not be included in the final transaction
collateral pool. To the extent that a PDI was ordered prior to
closing, but notice of material damages were not available until
after closing, the sponsor will repurchase the related loan/loans
within 90 days of notification.
The transaction documents also include representations and
warranties regarding the property conditions, which state that the
properties have not suffered damage that would have a material and
adverse impact on the values of the properties (including events
such as fire, windstorm, flood, earth movement, and hurricane).
In 2024, the Maryland Appellate Court ruled that a statutory trust
that held a defaulted HELOC must be licensed as both an Installment
Lender and a Mortgage Lender under Maryland law prior to proceeding
to foreclosure on the HELOC. On January 10, 2025, the Maryland
Office of Financial Regulation ("OFR" ) issued emergency
regulations that apply the decision to all secondary market
assignees of Maryland consumer-purpose mortgage loans, and
specifically require "passive trusts" that acquire or take
assignment of Maryland mortgage loans that are serviced by others
to be licensed. While the emergency regulations became effective
immediately, OFR indicated that enforcement would be suspended
until April 10, 2025. The emergency regulations will expire on June
16, 2025, and the OFR has submitted the same provisions as the
proposed, permanent regulations for public comment. Failure of the
Issuer to obtain the appropriate Maryland licenses may result in
the Maryland OFR taking administrative action against the Issuer
and/or other transaction parties, including assessing civil
monetary penalties and issuing a cease and desist order. Further,
there may be delays in payments on, or losses in respect of, the
Notes if the Issuer or Servicer cannot enforce the terms of a
Mortgage Loan or proceed to foreclosure in connection with a
Mortgage Loan secured by a Mortgaged Property located in Maryland,
or if the Issuer is required to pay civil penalties.
Approximately 0.7% of the pool (4 loans) are Maryland
consumer-purpose mortgage loans. While the ultimate resolution of
this regulation is still unclear, Morningstar DBRS, in its
analysis, considered a scenario in which these properties had no
recoveries given default.
Notes: All figures are in U.S. dollars unless otherwise noted.
BREAN ASSET 2025-RM10: DBRS Gives Prov. B Rating on Class M5 Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the
Mortgage-Backed Notes, Series 2025-RM10 (the Notes) to be issued by
Brean Asset-Backed Securities Trust 2025-RM10 as follows:
-- $155.0 million Class A1 at (P) AAA (sf)
-- $27.6 million Class A2 at (P) AAA (sf)
-- $182.6 million Class AM at (P) AAA (sf)
-- $2.5 million Class M1 at (P) AA (sf)
-- $2.6 million Class M2 at (P) A (sf)
-- $1.8 million Class M3 at (P) BBB (sf)
-- $1.8 million Class M4 at (P) BB (sf)
-- $2.0 million Class M5 at (P) B (sf)
Class AM is an exchangeable note. This class can be exchanged for
combinations of exchange notes as specified in the offering
documents.
The (P) AAA (sf) credit rating reflects 112.5% of cumulative
advance rate. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB
(sf), and (P) B (sf) credit ratings reflect 114.1%, 115.7%,
116.8%,117.9%, and 119.1% of cumulative advance rates,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
Reverse mortgage loans are typically offered to people who are at
least 62 years old. Through reverse mortgage loans, borrowers are
able to access home equity through a lump sum amount or a stream of
payments without periodic repayment of principal or interest,
allowing the loan balance to negatively amortize over a period of
time until a maturity event occurs. Loan repayment is required (1)
if the borrower dies, (2) if the borrower sells the related
residence, (3) if the borrower no longer occupies the related
residence for a period (usually a year) or if it is no longer the
primary residence, (4) upon the occurrence of a tax or insurance
default, or (5) if the borrower fails to properly maintain the
related residence. In addition, borrowers are required to be
current on any homeowner's association dues if applicable. Reverse
mortgages are typically nonrecourse: Borrowers are not required to
provide additional assets in cases where the outstanding loan
amount exceeds property value (the crossover point). As a result,
liquidation proceeds will fall below the loan amount in cases where
the crossover point is reached, contributing to higher loss
severities for these loans.
As of the January 2, 2025, cut-off date, the collateral has
approximately $162.29 million in current unpaid principal balance
from 395 performing and one called due (death) fixed-rate jumbo
reverse mortgage loans secured by first liens on single-family
residential properties, condominiums, townhomes, multifamily (two-
to four-family) properties, and co-operatives. All loans in this
pool were originated in 2024, with ages ranging from one month to
four months. All loans in this pool have a fixed interest rate with
a 9.228% weighted-average coupon.
The transaction uses a structure in which cash distributions are
made sequentially to each rated note until the rated amounts with
respect to such Notes are paid off. No subordinate note shall
receive any payments until the balance of senior notes has been
reduced to zero.
The note rate for the Class A1 and A2 Notes (collectively, the
Class A Notes) will reduce to 0.25% if the Home Price Percentage
(as measured using the Standard and Poor's CoreLogic Case-Shiller
U.S. National Home Price Index) declines by 30% or more compared
with the value on the cut-off date.
If the Notes are not paid in full or redeemed by the issuer on the
Expected Repayment Date in January 2030, the issuer will be
required to conduct an auction within 180 calendar days of the
Expected Repayment Date to offer all the mortgage assets and use
the proceeds, net of fees and expenses from auction, to be applied
to payments to all amounts owed. If the proceeds of the auction are
not sufficient to cover all the amounts owed, the issuer will be
required to conduct an auction within six months of the previous
auction.
If, on any Payment Date the average one-month conditional
prepayment rate over the immediately preceding six-month period is
equal to or greater than 25%, 50% of available funds remaining
after payment of fees and expenses and interest to the Class A
Notes will be deposited into the Refunding Account, which may be
used to purchase additional mortgage loans.
Notes: All figures are in U.S. dollars unless otherwise noted.
CANYON CLO 2019-2: S&P Assigns BB- (sf) Rating on E-R2 Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R2, B-R2,
C-R2, D-R2, and E-R2 debt from Canyon CLO 2019-2 Ltd./Canyon CLO
2019-2 LLC, a CLO managed by Canyon CLO Advisors L.P. that was
originally issued in September 2019 and underwent a refinancing in
November 2021. At the same time, S&P withdrew its ratings on the
class A-R, B-R, C-R, D-R, and E-R debt following payment in full on
the Feb. 11, 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:
-- No additional assets were purchased on the Feb. 11, 2025,
refinancing date, and the target initial par amount remains at
$525.00 million. There was no additional effective date or ramp-up
period, and the first payment date following the refinancing is
April 15, 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 November 2021 Debt Issuances
Replacement debt
-- Class A-R2, $336.00 million: Three-month CME term SOFR + 1.01%
-- Class B-R2, $63.00 million: Three-month CME term SOFR + 1.50%
-- Class C-R2 (deferrable), $31.50 million: Three-month CME term
SOFR + 1.90%
-- Class D-R2 (deferrable), $31.50 million: Three-month CME term
SOFR + 2.85%
-- Class E-R2 (deferrable), $21.00 million: Three-month CME term
SOFR + 6.00%
-- Subordinated notes, $49.30 million: Not applicable
November 2021 debt
-- Class A-R, $336.00 million: Three-month CME term SOFR +
1.44161%(i)
-- Class B-R, $63.00 million: Three-month CME term SOFR +
1.96161%(i)
-- Class C-R (deferrable), $31.50 million: Three-month CME term
SOFR + 2.41161%(i)
-- Class D-R (deferrable), $31.50 million: Three-month CME term
SOFR + 3.56161%(i)
-- Class E-R (deferrable), $21.00 million: Three-month CME term
SOFR + 7.01161%(i)
-- Subordinated notes, $49.30 million: Not applicable
(i)Includes a credit spread adjustment of 0.26161%.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Canyon CLO 2019-2 Ltd./Canyon CLO 2019-2 LLC
Class A-R2, $336.00 million: AAA (sf)
Class B-R2, $63.00 million: AA (sf)
Class C-R2 (deferrable), $31.50 million: A (sf)
Class D-R2 (deferrable), $31.50 million: BBB- (sf)
Class E-R2 (deferrable), $21.00 million: BB- (sf)
Ratings Withdrawn
Canyon CLO 2019-2 Ltd./Canyon CLO 2019-2 LLC
Class A-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-R (deferrable) to NR from 'A (sf)'
Class D-R (deferrable) to NR from 'BBB- (sf)'
Class E-R (deferrable) to NR from 'BB- (sf)'
Other Debt
Canyon CLO 2019-2 Ltd./Canyon CLO 2019-2 LLC
Subordinated notes, $49.30 million: NR
NR--Not rated.
CARLYLE US 2020-1: Fitch Assigns 'BB-sf' Rating on Class D-RR Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle
US CLO 2020-1, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Carlyle US CLO
2020-1, Ltd.
A-1-RR LT AAAsf New Rating
A-1A-R 14317XAQ9 LT PIFsf Paid In Full AAAsf
A-2-RR LT AAsf New Rating
A-J-RR LT AAAsf New Rating
B-RR LT Asf New Rating
C-1-RR LT BBB-sf New Rating
C-2-RR LT BBB-sf New Rating
D-RR LT BB-sf New Rating
X-RR LT AAAsf New Rating
Transaction Summary
Carlyle US CLO 2020-1, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that initially closed in
August 2020 and refinanced in July 2021. This will be the second
reset and the existing secured notes will be refinanced in whole on
Jan. 27, 2025 from proceeds of the new secured notes. The
transaction will be managed by Carlyle CLO Management L.L.C. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $500 million
of primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.12 versus a maximum covenant, in accordance with
the initial expected matrix point of 26. 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
95.22% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 72.54% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70%.
Portfolio Composition (Neutral): The largest three industries may
comprise up to 45.5% 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 'AAAsf' for class XRR, between 'BBB+sf' and 'AA+sf' for
class A1RR, between 'BBB+sf' and 'AA+sf' for class AJRR, between
'BB+sf' and 'A+sf' for class A2RR, between 'Bsf' and 'BBB+sf' for
class BRR, between less than 'B-sf' and 'BB+sf' for class C1RR,
between less than 'B-sf' and 'BB+sf' for class C2RR, and between
less than 'B-sf' and 'B+sf' for class DRR.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class XRR, class A1RR
and class AJRR 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 A2RR, 'AAsf' for class BRR, 'Asf'
for class C1RR, 'A-sf' for class C2RR, and 'BBB+sf' for class DRR.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Carlyle US CLO
2020-1, 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.
CASTLELAKE AIRCRAFT 2025-1: Fitch Gives BB(EXP) Rating on C Notes
-----------------------------------------------------------------
Fitch Ratings has assigned the following expected ratings to the
issued notes by Castlelake Aircraft Structured Trust 2025-1 (CLAS
2025-1):
- A Notes 'Asf (EXP)';
- B Notes 'BBBsf (EXP)';
- C Notes 'BBsf (EXP)'.
Transaction Summary
The notes issued by CLAS 2025-1 are secured by lease payments
(rent/maintenance) and disposition proceeds on a pool of 36
passenger aircraft operated by third-party lessees. Proceeds from
the notes will be used to acquire assets from the seller, fund the
initial expense and maintenance reserve accounts, and pay
transaction fees and expenses related to the offering.
Castlelake Aviation Holdings (Ireland) Limited (Castlelake) as
servicer, will be responsible for managing the aircraft, including
aircraft leasing, maintenance and disposition. This is the third
public Fitch-rated Castlelake transaction, and the fourth public
transaction issued since 2018 and serviced by Castlelake.
KEY RATING DRIVERS
Asset Quality and Tiering: The pool is largely mid-life with a
weighted average age of 12.6 years. The distribution of aircraft
ages is quite broad; the youngest aircraft is less than a year old
and the oldest is 19 years old. A320-200s make up the largest
portion of the pool by maintenance adjusted base value (MABV)
(36%). They have an average age of 14 years, with an average
remaining lease term of eight years.
Aircraft models are desirable with Tier 1 narrow-body aircraft
representing 84% of the pool by MABV, Tier 2 represent 5%, and Tier
3 aircraft represent 11%. The age-adjusted Tier percentages are
60%, 24%, and 16% for Tier 1, 2 and 3, respectively. The pool
includes three A320Ns, one A321N, and one 737 MAX-8 aircraft (all
latest technology, best-in-class aircraft), constituting comprising
20% of the pool by MABV.
Pool Concentration: The pool is well diversified across regions and
among lessees. Additionally, the pool is larger than many
comparable transactions. There are 36 aircraft in the pool, with an
effective aircraft count, weighted by aircraft value, of 32.
Emerging Asia Pacific, with eight leases, has the highest
concentration (25% of MABV), followed by Developed North America
(24%) and Emerging South and Central America (22%).
The other regions make up the remaining share (29%). Lessee
concentration is limited. American Airlines, the largest lessee in
the pool, represents only 8% (three aircraft) and is in a favorable
jurisdiction, followed by Avianca (7%, three aircraft).
Lessee Credit Risk: There are 28 lessees in the pool. By value, 3%
are leased to credits that Fitch considers investment grade, along
with 11% to 'BB' lessees, 25% leased to 'B' lessees, and 62% to
'CCC' to 'CC' credits. The weighted average (WA) credit rating by
Fitch Value is between 'B' and 'B-', which is similar to other
aircraft ABS transactions. All of the assets are on-lease and
current.
Operational and Servicing Risk: Fitch has found Castlelake to be an
effective servicer with a demonstrated track-record in remarketing,
underwriting, procuring and managing aircraft maintenance, as well
as portfolio management. Their team's experience and the servicing
of their managed fleet provide evidence of this.
Transaction Structure: The Fitch Value (lower of mean and median of
HLBVs for aircraft less than 15 years of age and a
maintenance-adjusted value for aircraft over 15 years of age; in
aggregate the aircraft are currently $153 million above half-time)
of $861.4 million results in LTVs of 77.8%, 90.5%, and 95.2% for
the A, B and C notes, respectively. Using MABV, class leverage is
acceptable at 67.0%, 78.0%, and 82.0%. Notes amortize straight line
over 13 years for the A and B notes and seven years straight line
for the C note. There is also a partial rapid amortization
mechanism that increases the amortization rate in years 6 and 7 if
there is excess cash.
The transaction is structured with sequential pay with class A
interest and principal paid senior to class B and class C interest
and principal. Concentration risk toward the end of the transaction
is mitigated through a mechanism that results in a cash sweep if
aircraft count drops below eight aircraft.
Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum of 'Asf'. For further details, refer to Fitch's
"Global Structured Finance Rating Criteria" and "Aircraft Operating
Lease ABS Rating Criteria" at www.fitchratings.com.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Credit Stress Sensitivity: The central scenario assumes future
lessees are 'B' credits. Fitch ran a sensitivity assuming future
lessees are rated 'CCC' to test the performance of the transaction
in a more stressed environment, considering the historical
volatility and cyclicality of the commercial aviation industry. The
lower assumed lessee credit quality decreased gross cash flows due
to increased downtime resulting from aircraft repossessions and
remarketing.
Expenses also rose due to repossessions and transition costs.
These, in turn, combined to impact the net cash flow, which
impacted the model-implied ratings of both series of notes. The
model-implied ratings for all classes dropped one notch.
Combined Credit Stress and Gross Rental Cash Flow Sensitivity: The
combined down sensitivities of credit (CCC future lessees) and
haircutting gross rental cash flows (5% under performance) resulted
in a one-to-two notch decrease in the model-implied ratings for
each class of notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Residual Stress Sensitivity: Fitch considered the impact of a 10%
over-performance in residual value realization from sales of
aircraft at the end of their 20-year leasable lives. Under this
scenario, the model-implied ratings of the A, B, and C notes each
increased by one notch. Given the Asf rating cap, the A note would
not be subject to an upgrade.
CRITERIA VARIATION
Fitch applied a variation from its Aircraft Operating Lease ABS
Rating Criteria to deviate downward from the Model Implied Rating
by two notches for the series C notes. The ultimate ratings were
informed by the sensitivity analysis, the sensitivity of the
ratings to model assumptions and conventions, repayment timing and
tranche thickness.
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.
CEDAR FUNDING VIII: S&P Assigns Prelim 'BB-' Rating on E-RR Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-RR loans and class A-RR, B-RR, C-RR, D-RR, and
E-RR debt, and the proposed new class X-RR debt from Cedar Funding
VIII CLO Ltd./Cedar Funding VIII CLO LLC, a CLO managed by Aegon
USA Investment Management LLC that was originally issued in
September 2017 and subsequently refinanced in September 2021.
The preliminary ratings are based on information as of Feb. 6,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 20, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the September 2021 debt.
S&P said, "At that time, we expect to withdraw our ratings on the
September 2021 debt and assign ratings to the replacement and
proposed new debt. However, if the refinancing doesn't occur, we
may affirm our ratings on the September 2021 debt and withdraw our
preliminary ratings on the replacement and proposed new debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:
-- The weighted average cost of debt of the replacement debt is
expected to be lower than the 2021 debt.
-- New class X-RR debt will be issued in connection with this
refinancing. This debt is expected to be paid down using interest
proceeds during the first 20 payment dates, beginning with the
April 2025 payment date.
-- The class A loans and class A-1-R and A-2-R debt are expected
to be replaced by two pari passu floating-rate classes: the class
A-RR loans and class A-RR debt.
-- The non-call period will be extended 3.40 years to January
2027.
-- The reinvestment period and stated maturity will be extended
3.25 years each to January 2030 and January 2038, respectively.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Cedar Funding VIII CLO Ltd./ Cedar Funding VIII CLO LLC
Class X-RR, $4.25 million: AAA (sf)
Class A-RR, $252.05 million: AAA (sf)
Class A-RR loans, $62.31 million: AAA (sf)
Class B-RR, $58.94 million: AA (sf)
Class C-RR (deferrable), $29.50 million: A (sf)
Class D-RR (deferrable), $29.45 million: BBB- (sf)
Class E-RR (deferrable), $19.65 million: BB- (sf)
Other Debt
Cedar Funding VIII CLO Ltd./ Cedar Funding VIII CLO LLC
Subordinated notes, $66.85 million: Not rated
CFCRE 2016-C7: Fitch Lowers Rating on Two Tranches to 'Csf'
-----------------------------------------------------------
Fitch Ratings has downgraded four and affirmed nine classes of the
Cantor Commercial Real Estate's CFCRE 2016-C7 Mortgage Trust (CFCRE
2016-C7) commercial mortgage pass-through certificates. Following
the downgrades, class C has been assigned a Negative Rating
Outlook. The Outlooks for classes A-M, B and X-B have been revised
to Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
CFCRE 2016-C7
A-2 12532BAC1 LT AAAsf Affirmed AAAsf
A-3 12532BAD9 LT AAAsf Affirmed AAAsf
A-M 12532BAE7 LT AAAsf Affirmed AAAsf
A-SB 12532BAB3 LT AAAsf Affirmed AAAsf
B 12532BAF4 LT AA-sf Affirmed AA-sf
C 12532BAG2 LT BBB-sf Downgrade A-sf
D 12532BAL1 LT CCCsf Downgrade B+sf
E 12532BAN7 LT Csf Downgrade CCsf
F 12532BAQ0 LT Csf Affirmed Csf
X-A 12532BAH0 LT AAAsf Affirmed AAAsf
X-B 12532BAJ6 LT AA-sf Affirmed AA-sf
X-E 12532BAW7 LT Csf Downgrade CCsf
X-F 12532BAY3 LT Csf Affirmed Csf
KEY RATING DRIVERS
Increase in 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
loss increased to 6.6% from 5.1% at Fitch's prior rating action.
Fitch identified five loans (10.06% of the pool) as FLOCs,
including one loan (5.9%) in special servicing.
The downgrades of classes C, D, E, and X-E reflect higher pool loss
expectations, driven by a deteriorated appraisal value for the
specially serviced 681 Fifth Avenue loan (5.9%), which became 90+
days delinquent, where performance remains depressed and
foreclosure litigation is ongoing. The Negative Outlooks to classes
A-M, B, X-B, and C, reflect the potential for downgrades with
additional value degradation, prolonged workout and/or increasing
exposure on the 681 Fifth Avenue loan in addition to further
performance declines of the FLOCs.
Fitch performed a sensitivity and liquidation analysis that grouped
the remaining loans based on their current status and collateral
quality, and then ranked them by their perceived likelihood of
repayment and/or loss expectation. The Negative Outlooks reflect
the sensitivity to concentrations and potential for adverse
selection.
Largest Contributors to Loss Expectations: The largest contributor
to expected losses in the pool and the largest increase in loss
since the prior rating action is the 681 Fifth Avenue loan (5.9% of
the pool), which is secured by 82,573-sf mixed-use building located
in Midtown Manhattan's Plaza District. The loan was transferred to
special servicing in September 2023 due to imminent monetary
default after Tommy Hilfiger (27.3% of the NRA; 74.4% of base
rents) vacated at their May 2023 lease expiration.
In addition, Apex (7.0% of the NRA) vacated at their March 2023
lease expiration, causing occupancy to fall to 52%. The loan's NOI
DSCR declined to 0.05x for the YTD September 2024 reporting period
from 1.65x at YE 2022.
As of January 2025, foreclosure litigation is still in progress
with a receiver appointed. A summary judgment was issued on Oct.
21, 2024, and the lender continues to assess leasing opportunities
through the receiver. The foreclosure sale date is yet to be
determined.
Fitch's 'Bsf' rating case loss of 66.2% (prior to concentration
adjustments) reflects a 15% stress to the most recent appraisal
value, which equates to a recovery of $880 psf.
The second largest contributor to expected losses in the pool is
the Fresno Fashion Fair loan (7.1% of the pool), secured by a
536,093 sf of inline space in a super-regional mall located in
Fresno, CA. The property has demonstrated a strong recovery from
the effects of the pandemic, with YE 2023 NOI increasing 29% from
YE 2020, and remains 8% above the originator's underwritten NOI
from issuance. Per the TTM September 2024 sales report, inline
sales were $839 psf ($723 psf excluding Apple), which compares to
$961 psf ($786 psf) for the YE 2022 reporting period and $689 psf
($607 psf) for the TTM June 2021 reporting period.
Per the September 2024 rent roll, the property has remained 97.3%
occupied with a 2.41x NOI DSCR on the YE 2023 NOI. There is
upcoming rollover risk with 11.2% of the NRA expiring in 2025,
15.2% in 2026, 11.4% in 2027, and 20.1% in 2028.
Fitch's 'Bsf' ratings case loss of 8.8% (prior to concentration
add-ons) reflects a 13% cap rate, and a 7.5% stress to the YE 2023
NOI.
The third largest contributor to loss expectations in the pool is
the Potomac Mills loan (7.1% of the pool), which is secured by
1,459,997 sf of an 1,840,009 sf super-regional outlet mall in
Woodbridge, Virginia, along the I-95 corridor between Washington,
D.C. and Richmond, VA. As of September 2024, the property was 89.9%
occupied compared to 98% at issuance. YE 2023 NOI has increased 2%
year over year but remains 2% below the originator's underwritten
NOI from issuance. The property faces rollover exceeding 10%
annually for the next three years, while having a maturity in
November 2026.
Fitch's 'Bsf' ratings case loss of 3.9% (prior to concentration
add-ons) reflects an 11% cap rate, and a 5% stress to the YE 2021
NOI.
Increase to Credit Enhancement: As of the January 2025 distribution
date, the pool's aggregate principal balance has paid down by 12.2%
to $573.5 million from $652.9 million at issuance. Five loans (4.5%
of the pool) are fully defeased. There are 12 full-term,
interest-only (IO) loans (57.5% of pool) and 18 loans (42.5%) that
are currently amortizing. All remaining loans have a maturity date
in 2026, with a concentration in Q4 2026 (62.2% of the pool).
Interest shortfalls and realized losses of $1,201,087 and $18.4
million, respectively, are impacting the non-rated class G.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to senior 'AAAsf' rated classes are not expected due to
the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur.
Downgrades to junior 'AAAsf' and 'AAsf' rated classes with Negative
Outlooks are possible with continued performance deterioration of
the FLOCs, increased expected losses and limited to no improvement
in class CE, or if interest shortfalls occur to or are expected to
impact the AAAsf classes.
Downgrades to the 'BBBsf' and 'Bsf' categories are possible with
higher than expected losses from continued underperformance of the
FLOCs, including Lubbock Parkade, Altama Village, The Shoppes at
Lakeline, Oswego Commons, and the specially serviced 681 Fifth
Avenue loan. Downgrades to distressed classes would occur if
additional loans transfer to special servicing and/or default or as
losses are realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to the 'AAsf' and 'Asf' rated classes could occur with
improvements in credit enhancement (CE) from paydowns and/or
defeasance, coupled with stable-to-improved pool-level loss
expectations and improved performance on the FLOCs. Classes would
not be upgraded above 'AA+sf' if there were likelihood for interest
shortfalls.
Upgrades to the 'BBBsf' rated classes would be limited based on
sensitivity to concentrations or the potential for future
concentration.
Upgrades to the 'Bsf' rated classes are not likely until the later
years in a transaction and only if the performance of the remaining
pool is stable, recoveries on the FLOCs, including Lubbock Parkade,
Altama Village, The Shoppes at Lakeline, Oswego Commons, and the
specially serviced 681 Fifth Avenue, are better than expected and
there is sufficient CE to the classes.
Upgrades to distressed ratings are not expected and would only
occur with better than expected recoveries from the specially
serviced 681 Fifth Avenue loan.
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.
CG-CCRE COMMERCIAL 2014-FL1: S&P Cuts C Notes Rating to 'B-'
------------------------------------------------------------
S&P Global Ratings lowered its ratings on two classes of commercial
mortgage pass-through certificates from CG-CCRE Commercial Mortgage
Trust 2014-FL1, a U.S. CMBS transaction. At the same time, S&P
affirmed its 'CCC (sf)' ratings on five classes from the
transaction.
This U.S. CMBS transaction is currently backed by a floating-rate,
interest-only (IO) mortgage whole loan secured by the borrower's
fee interest in a portion (634,968 sq. ft.) of Yorktown Center, a
two-story, 1.28 million-sq.-ft. regional mall in Lombard, Ill.,
about 19 miles west of the Chicago central business district
(CBD).
Rating Actions
The downgrades on classes B and C and affirmations on classes D, E,
YTC1, and YTC2 primarily reflect:
-- That, since S&P's last review in February 2024, the loan
transferred back to special servicing due to maturity default. The
borrower again was unable to pay off the loan by its modified
extended maturity date in March 2024. The borrower and special
servicer, KeyBank Real Estate Capital, are currently negotiating a
potential loan modification and extension, which may include a
partial principal paydown. However, S&P's revised expected-case
value is significantly below the current whole loan balance.
-- That the reported operating performance of the collateral mall
property securing the remaining loan has not materially improved
since S&P's last review. The servicer-reported net cash flows
(NCFs) for the annualized nine months ending Sept. 30, 2024, and
year-end 2023 are below the reported 2021 and 2022 levels. Further,
the loan has reported debt service coverage (DSC) below 1.00x.
-- S&P's revised expected-case valuation for the property, which
is now 35.8% lower than the value it derived in its last review and
68.4% below its expected-case value at issuance.
-- The affirmations on classes D, E, YTC1, and YTC2 (classes YTC1
and YTC2 derived their cash flows from a subordinate component of
the Yorktown Center whole loan) at 'CCC (sf)' further reflect S&P's
qualitative consideration that their repayments are dependent upon
favorable business, financial, and economic conditions and that
these classes are vulnerable to default. According to the Jan. 15,
2025, trustee remittance report, class E had accumulated interest
shortfalls outstanding totaling $13,856, primarily due to fees
incurred in connection with LIBOR cessation, which we determined to
be non-credit related.
-- The affirmation on the class X-EXT IO certificates follows
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 balance for class X-EXT references
classes A, B, C, D, and E.
-- S&P will continue to monitor the performance of the mall
property and loan, as well as the borrower's ability to make timely
debt service payments and pay off the loan prior to the trust
certificates' rated final distribution date in June 2031. If S&P
receives information that differs materially from its expectations
it may revisit our analysis and take additional rating actions as
we determine appropriate.
Property-Level Analysis
Yorktown Center is a two-story, 1.28 million-sq.-ft. regional mall,
of which 634,968 sq. ft. serves as collateral for the loan, built
in 1968 in Lombard, about 19 miles west of the Chicago CBD.
Non-collateral anchors at the property include JCPenney (238,668
sq. ft.), Von Maur (190,000 sq. ft.), and AMC Cinema (78,485 sq.
ft.; this theater anchor was released from collateral in 2017).
There is also a vacant non-collateral anchor space that was
formerly occupied by Carson Pirie Scott (217,887 sq. ft.).
According to various local news articles and the mall's website, a
planned redevelopment project to add up to 700 residential units
and commercial green space at the vacant Carson's retail building
is underway. The project entails demolishing the former Carson
anchor box, which is expected to be completed in February 2025, and
replacing it with a large park area and several luxury apartment
buildings. The project is anticipated to be completed in the spring
of 2026. Further, an additional 90-unit apartment community project
near the mall at the former Yorktown Convenience Center site is in
progress and expected to be completed in about three years.
S&P said, "In our February 2024 review, we noted that the reported
collateral property's performance appeared to have stabilized, but
it remained well below pre-COVID-19 levels. Assuming an 81.7%
collateral occupancy rate, a $25.16-per-sq.-ft. S&P Global Ratings'
gross rent, and a 54.7% operating expense ratio, we derived an S&P
Global Ratings' sustainable NCF of $8.1 million. Using a 9.75% S&P
Global Ratings' capitalization rate, we arrived at an S&P Global
Ratings' expected-case valuation of $84.6 million."
The servicer-reported NCF for year-end 2023 is slightly below the
2021 and 2022 levels. Furthermore, the servicer-reported NCF of
$5.2 million for year-to-date Sept. 30, 2024, is lower than the
$5.7 million figure reported for the same period last year.
According to the September 2024 rent roll, the collateral was 84.3%
leased after adjusting for known tenant movements, such as former
tenant, Spirit Halloween (7.2% of net rentable area [NRA]), that
vacated after its November 2024 lease expiration. The five largest
collateral tenants, excluding Spirit Halloween, comprise 25.0% of
the collateral's NRA:
-- UFC Gym (6.2% of NRA; 7.8% of gross rent, as calculated by S&P
Global Ratings; September 2028 lease expiry).
-- Forever 21 (5.3%; 1.4%; January 2025. While we did not receive
an update on the tenant's lease status, it is currently still on
the mall's directory).
-- Nordstrom Last Chance (5.2%; 5.3%; October 2026).
-- Marshalls (4.3%; 4.9%; January 2026).
-- HomeGoods (4.1%; 4.6%; January 2026).
-- The mall faces significant tenant rollover in 2025 (33.3% of
NRA, 18.2% of gross rent, as calculated by S&P Global Ratings) and
2026 (19.6%, 25.9%).
According to the December 2024 tenant sales report, the property's
in-line tenant sales and occupancy cost were about $232 per sq. ft.
and 13.1%, respectively, as calculated by S&P Global Ratings.
Anchor Von Maur had reported annual sales of over $300 per sq. ft.,
while JCPenney had reported annual sales below $100 per sq. ft.
S&P said, "In our current analysis, using an 84.3% occupancy rate,
a $24.75-per-sq.-ft. S&P Global Ratings' gross rent, and a 60.2%
operating expense ratio, we derived an S&P Global Ratings' NCF of
$6.3 million, 23.2% lower than our last review NCF. Utilizing an
S&P Global Ratings' capitalization rate of 11.50% (up 175 basis
points from our last review because based on its weak anchors,
performance, and in line sales, we assessed that the property's
credit quality is akin to a class C mall), we arrived at an S&P
Global Ratings' expected-case value of $54.4 million, 35.8% below
our last review value, 68.4% lower than our issuance value
(excluding the released AMC Cinema and convenience store parcels)
and a decline of 69.0% from the revised 2019 appraised value. Our
revised expected-case value yielded an S&P Global Ratings'
loan-to-value ratio of over 100% on the whole loan balance."
Table 1
Servicer-reported collateral performance
Nine months ending September 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 77.9 76.7 72.9
Net cash flow (mil. $) 5.2 8.1 8.7
Debt service coverage (x) 0.71 0.92 1.76
Appraisal value (mil. $)(ii) 175.3 175.3 175.3
(i)Reporting period.
(ii) Excludes the released AMC Cinema and convenience store
parcels.
Table 2
S&P Global Ratings' key assumptions
Current review Last review At issuance
(Feb 2025)(i) (Feb 2024)(i) (June 2014)(i)(ii)
Occupancy rate (%) 84.3 81.7 85.1
Net cash flow (mil. $) 6.3 8.1 12.6
Capitalization rate (%) 11.50 9.75 7.50
Value (mil. $) 54.4 84.6 172.2
Value per sq. ft. ($) 86 133 271
Loan-to-value ratio (%) 221.5 142.3 70.0
(i)Review period.
(ii)Adjusted to exclude the released AMC Cinema and convenience
store parcels.
Transaction Summary
As of the Jan. 15, 2025, trustee remittance report, the transaction
was backed solely by a floating-rate, IO mortgage whole loan with a
pooled trust balance of $107.4 million and a trust balance of
$120.5 million (including the non-pooled loan components), the same
as in S&P's last review, and down from three loans with an
aggregated pooled balance of $326.7 million and a combined trust
balance of $343.0 million at issuance. The pooled trust has not
incurred any principal losses to date.
The sole remaining loan, Yorktown Center, has a whole loan balance
of $120.5 million that is divided into a $107.4 million senior
pooled trust component and a $13.1 million subordinate non-pooled
trust component that supports classes YTC1, YTC2, and YTC3 (the
latter of which is not rated by S&P Global Ratings). At loan
origination, the equity interest in the borrower of the whole loan
secured $35.0 million in mezzanine debt. However, it is our
understanding that as part of the loan modification in 2020, the
mezzanine debt was extinguished. The Yorktown Center whole loan is
IO, pays a floating-rate interest indexed to one-month term SOFR
plus a gross margin of 2.506% (pooled) and 2.500% (non-pooled), and
originally matured on March 9, 2019.
The Yorktown Center whole loan initially transferred to special
servicing on Oct. 15, 2018, due to imminent maturity default. The
borrower was having difficulty refinancing the loan due to tenant
bankruptcies affecting the property's performance and was seeking a
potential loan modification. The loan was modified, which included
extending its maturity date to March 9, 2020, and providing the
borrower an option to further extend the maturity date to March 9,
2021, and returned to the master servicer. The loan transferred
back to special servicing on May 13, 2020, due to the borrower's
request for COVID-19-related relief and was modified and extended
to March 9, 2023, with a one-year extension option to March 9, 2024
(which the sponsor exercised). The modification terms also included
transferring the remaining equity interest in the borrower from an
entity related to KKR & Co. Inc. to Pacific Retail Capital
Partners, the loan's current sponsor.
The loan re-transferred back to special servicing on March 12,
2024, after the borrower failed to pay it off upon its March 2024
maturity date. The borrower and special servicer are currently
negotiating a potential workout, which may include extending the
loan's maturity and paying down an unknown amount of the loan
balance.
As of the January 2025 trustee remittance report, the loan had a
reported performing matured balloon payment status, and there was
about $11.9 million held in various lender-controlled reserve
accounts.
Ratings Lowered
CG-CCRE Commercial Mortgage Trust 2014-FL1
Class B to 'BBB+ (sf)' from 'A+ (sf)'
Class C to 'B- (sf)' from 'BB+ (sf)'
Ratings Affirmed
CG-CCRE Commercial Mortgage Trust 2014-FL1
Class D: CCC (sf)
Class E: CCC (sf)
Class YTC1: CCC (sf)
Class YTC2: CCC (sf)
Class X-EXT: CCC (sf)
CHASE HOME 2025-1: DBRS Gives Prov. B(low) Rating on B-5 Certs
--------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the Mortgage
Pass-Through Certificates, Series 2025-1 (the Certificates) to be
issued by Chase Home Lending Mortgage Trust 2025-1 (CHASE 2025-1)
as follows:
-- $270.7 million Class A-2 at (P) AAA (sf)
-- $270.7 million Class A-3 at (P) AAA (sf)
-- $270.7 million Class A-3-X at (P) AAA (sf)
-- $203.0 million Class A-4 at (P) AAA (sf)
-- $203.0 million Class A-4-A at (P) AAA (sf)
-- $203.0 million Class A-4-X at (P) AAA (sf)
-- $67.7 million Class A-5 at (P) AAA (sf)
-- $67.7 million Class A-5-A at (P) AAA (sf)
-- $67.7 million Class A-5-X at (P) AAA (sf)
-- $162.4 million Class A-6 at (P) AAA (sf)
-- $162.4 million Class A-6-A at (P) AAA (sf)
-- $162.4 million Class A-6-X at (P) AAA (sf)
-- $108.3 million Class A-7 at (P) AAA (sf)
-- $108.3 million Class A-7-A at (P) AAA (sf)
-- $108.3 million Class A-7-X at (P) AAA (sf)
-- $40.6 million Class A-8 at (P) AAA (sf)
-- $40.6 million Class A-8-A at (P) AAA (sf)
-- $40.6 million Class A-8-X at (P) AAA (sf)
-- $34.8 million Class A-9 at (P) AAA (sf)
-- $34.8 million Class A-9-A at (P) AAA (sf)
-- $34.8 million Class A-9-X at (P) AAA (sf)
-- $54.1 million Class A-11 at (P) AAA (sf)
-- $54.1 million Class A-11-X at (P) AAA (sf)
-- $54.1 million Class A-12 at (P) AAA (sf)
-- $54.1 million Class A-13 at (P) AAA (sf)
-- $54.1 million Class A-13-X at (P) AAA (sf)
-- $54.1 million Class A-14 at (P) AAA (sf)
-- $54.1 million Class A-14-X at (P) AAA (sf)
-- $54.1 million Class A-14-X2 at (P) AAA (sf)
-- $54.1 million Class A-14-X3 at (P) AAA (sf)
-- $54.1 million Class A-14-X4 at (P) AAA (sf)
-- $359.6 million Class A-X-1 at (P) AAA (sf)
-- $8.0 million Class B-1 at (P) AA (low) (sf)
-- $8.0 million Class B-1-A at (P) AA (low) (sf)
-- $8.0 million Class B-1-X at (P) AA (low) (sf)
-- $5.9 million Class B-2 at (P) A (low) (sf)
-- $5.9 million Class B-2-A at (P) A (low) (sf)
-- $5.9 million Class B-2-X at (P) A (low) (sf)
-- $4.2 million Class B-3 at (P) BBB (low) (sf)
-- $2.1 million Class B-4 at (P) BB (low) (sf)
-- $765.0 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-11-X,
A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X
are interest-only (IO) certificates. The class balances represent
notional amounts.
Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A,
A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 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, A-8-A, A-11, A-12, A-13, and A-14 are super senior
certificates. These classes benefit from additional protection from
the senior support certificate (Classes A-9 and A-9-A) with respect
to loss allocation.
The (P) AAA (sf) credit ratings on the Certificates reflect 5.90%
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) credit ratings reflect 3.80%,
2.25%, 1.15%, 0.60%, and 0.40% 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 funded by the issuance of
the Mortgage Pass-Through Certificates, Series 2025-1 (the
Certificates). The Certificates are backed by 343 loans with a
total principal balance of $402,256,489 as of the Cut-Off Date
(January 01, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity from 15 to 30 years and a
weighted-average (WA) loan age of three months. 100% of the loans
are traditional, nonagency, prime jumbo mortgage loans.
Approximately 67.1% of the loans were underwritten using an
automated underwriting system (AUS) designated by Fannie Mae or
Freddie Mac. In addition, all the loans in the pool were originated
in accordance with the new general Qualified Mortgage (QM) rule.
JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the
pool and Servicer of 100.0% of the pool.
For this transaction, generally, 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.
U.S. Bank Trust Company, National Association, rated AA with a
Stable trend by Morningstar DBRS, will act as Securities
Administrator. U.S. Bank Trust National Association will act as
Delaware Trustee. JPMCB 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.
The mortgage pool contains loans secured by mortgage properties
that are located within certain disaster areas (such as those
impacted by the Greater Los Angeles wildfires). The Sponsor of the
transaction has informed Morningstar DBRS that the servicer ordered
property damage inspections (PDI) for properties located in Los
Angeles County, designated as a disaster zone, and all were
reported to have no damage.
The transaction documents also include representations and
warranties regarding the property conditions, which state that the
properties have not suffered damage that would have a material and
adverse impact on the values of the properties (including events
such as fire, windstorm, flood, earth movement, and hurricane).
Notes: All figures are in US dollars unless otherwise noted.
CIFC FUNDING 2018-IV: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CIFC
Funding 2018-IV, Ltd reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
CIFC Funding
2018-IV, Ltd
A-1 17181TAA9 LT PIFsf Paid In Full AAAsf
X LT AAAsf New Rating
A-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Transaction Summary
CIFC Funding 2018-IV, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by CIFC CLO Management
II LLC that originally closed in Sept. 2018. The secured notes will
be refinanced in whole on Feb. 6, 2025 from proceeds of the new
secured notes. 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 24.27, versus a maximum covenant, in accordance with
the initial expected matrix point of 26. 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
99.33% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.28% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.7%.
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 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
that of other recent CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for
class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf'
and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf'
for class D-1-R, between less than 'B-sf' and 'BB+sf' for class
D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X and class A-R
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-R, 'AAsf' for class C-R, 'Asf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, 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
2018-IV, 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.
CIM TRUST 2025-I1: DBRS Gives Prov. B(low) Rating on Cl. B-2 Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Mortgage Pass-Through Notes, Series 2025-I1 (the Notes) to be
issued by CIM Trust 2025-I1 (the Issuer):
-- $184.0 million Class A-1 at (P) AAA (sf)
-- $20.6 million Class A-2 at (P) AA (high) (sf)
-- $23.2 million Class A-3 at (P) A (high) (sf)
-- $19.4 million Class M-1 at (P) BBB (high) (sf)
-- $19.7 million Class B-1A at (P) BBB (low) (sf)
-- $8.9 million Class B-1B at (P) BB (low) (sf)
-- $28.6 million Class B-1 at (P) BB (low) (sf)
-- $7.6 million Class B-2 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-1 Notes reflects
36.05% of credit enhancement provided by subordinate notes. The (P)
AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BBB
(low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings
reflect 28.90%, 20.85%, 14.10%, 7.25%, 4.15%, and 1.50% of credit
enhancement, respectively.
This is a securitization of a portfolio Integrated Disclosure
rule.
For this transaction, the representations and warranty remedy
provider, Chimera Funding TRS LLC (the Remedy Provider), will
provide certain representations and warranties as of the Closing
Date, while certain other representations and warranties will be
provided either (1) as of the date when loans were sold by the
originator to the underlying loan seller from which Fifth Avenue
Trust (the Seller) acquired the loans; or (2) the date on which
loans were sold to the Seller.
The Sponsor, or a majority-owned affiliate, will retain an eligible
horizontal interest consisting of a portion of the Class B-2 and
the Class B-3, B-4, and XS Notes representing at least 5% of the
aggregate fair value of the Notes to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
Such retention aligns Sponsor and investor interest in the capital
structure.
On or after the earlier of (1) the Payment Date in February 2028 or
(2) the date when the aggregate unpaid principal balance (UPB) of
the mortgage loans is reduced to 30% of the Cut-Off Date balance,
the holder of the Class XS Notes, at its option, may redeem all of
the outstanding Notes at a price equal to the class balances of the
related Notes plus accrued and unpaid interest, including any Cap
Carryover Amounts, and any non-interest-bearing deferred amounts
due to the Class XS Notes (Optional Redemption). An Optional
Redemption will be followed by a qualified liquidation.
The Seller will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 or more days
delinquent under the Mortgage Bankers Association method at the
Repurchase Price (par plus interest), provided that such
repurchases in aggregate do not exceed 10% of the total principal
balance as of the Cut-Off Date.
On any date following the date on which the aggregate UPB of the
mortgage loans is less than or equal to 10% of the Cut-Off Date
balance, the Depositor will have the option to terminate the
transaction by purchasing all of the mortgage loans and any real
estate owned (REO) property from the Issuer at a price equal to the
sum of the aggregate UPB of the mortgage loans (other than any REO
property) plus accrued interest thereon, the lesser of the fair
market value of any REO property and the stated principal balance
of the related loan, and any outstanding and unreimbursed servicing
advances, accrued and unpaid fees, any non-interest-bearing
deferred amounts, and expenses that are payable or reimbursable to
the transaction parties (Optional Termination). An Optional
Termination is conducted as a qualified liquidation.
For this transaction, the Servicer will fund advances of delinquent
principal and interest (P&I) until loans become 120 days delinquent
or are otherwise deemed unrecoverable. Additionally, the Servicer
is obligated to make advances in respect of taxes, insurance
premiums, and reasonable costs incurred in the course of servicing
and disposing of properties (servicing advances).
The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior classes (Classes
A-1, A-2, and A-3) subject to certain performance triggers related
to cumulative losses or delinquencies exceeding a specified
threshold (Credit Event). Prior to a Credit Event, principal
proceeds can be used to cover interest carryforward amounts on
Classes A-1, A-2, and A-3 before being applied to amortize the
balances of the Notes. After a Credit Event, principal proceeds can
be used to cover interest carryforward amounts on Classes A-1, A-2,
and A-3 sequentially (IIPP). For more subordinated Notes, principal
proceeds can be used to cover interest shortfalls as the more
senior Notes are paid in full.
Excess spread, if available, can be used to cover (1) realized
losses, and (2) cumulative applied realized loss amounts preceding
the allocation of funds to unpaid Cap Carryover Amounts due to
Class A-1 down to M-1 (and B-1A if issued on the Closing Date with
a fixed rate). In addition, the Class A-1, A-2, and A-3 fixed rates
step up by 100 basis points on and after the payment date in
February 2029. On or after February 2029, interest and principal
otherwise payable to Class B-3 and B-4 interest and principal may
be used to pay the Cap Carryover Amounts.
Natural Disasters/Wildfires
The mortgage pool contains loans secured by mortgage properties
that are located within certain disaster areas (such as those
impacted by the Greater Los Angeles wildfires). The Sponsor of the
transaction has informed Morningstar DBRS that the servicer has
ordered (and intends to order) property damage inspections (PDI)
for any property located in a known disaster zone prior to the
transactions closing date. Loans secured by properties known to be
materially damaged will not be included in the final transaction
collateral pool. To the extent that a PDI was ordered prior to
closing, but notice of material damages were not available until
after closing, the sponsor will repurchase the related loan/loans
within 90 days of notification.
The transaction documents also include representations and
warranties regarding the property conditions, which state that the
properties have not suffered damage that would have a material and
adverse impact on the values of the properties.
Notes: All figures are in U.S. dollars unless otherwise noted.
CLOVER CREDIT III: Moody's Affirms B2 Rating on $19MM Cl. E Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Clover Credit Partners CLO III, Ltd.:
US$23.5M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Aa1 (sf); previously on Aug 26, 2024 Upgraded to A2
(sf)
Moody's have also affirmed the ratings on the following notes:
US$17M (Current outstanding amount US$12,455,229) Class C-1
Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa
(sf); previously on Aug 26, 2024 Upgraded to Aaa (sf)
US$8M (Current outstanding amount US$5,861,284) Class C-2
Mezzanine Secured Deferrable Fixed Rate Notes, Affirmed Aaa (sf);
previously on Aug 26, 2024 Upgraded to Aaa (sf)
US$19M (Current outstanding amount US$19,175,376) Class E Junior
Secured Deferrable Floating Rate Notes, Affirmed B2 (sf);
previously on Aug 26, 2024 Downgraded to B2 (sf)
US$8M (Current outstanding amount US$8,508,061) Class F Junior
Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf);
previously on Jul 27, 2020 Downgraded to Caa3 (sf)
Clover Credit Partners CLO III, Ltd., originally issued in
September 2017, is a collateralised loan obligation (CLO) backed by
a portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by Clover CLO Advisors, LLC. The transaction's
reinvestment period ended in October 2021.
RATINGS RATIONALE
The rating upgrade on the Class D notes is primarily a result of
the significant deleveraging of the senior notes following
amortisation of the underlying portfolio since the last rating
action in August 2024.
The affirmations on the ratings on the Class C-1, C-2, E and F
notes are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
Since the last rating action in August 2024, the Class B notes have
been fully repaid and the Classes C-1 and C-2 notes have been paid
down by approximately 26.7% or $6.7 million. As a result of the
deleveraging, over-collateralisation (OC) has increased for the
most senior notes outstanding. According to the trustee report
dated January 2025 [1] the Class C, Class D and Class E OC ratios
are reported at 219.5%, 137.3%, and 105.4% compared to July 2024
[2] levels of 182.7%, 130.5% and 106.0%, respectively. Moody's note
that the January 2025 principal payments of USD 20.9 million are
not reflected in the reported OC ratios.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's use in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD64.62m
Defaulted Securities: USD2.38m
Diversity Score: 21
Weighted Average Rating Factor (WARF): 3208
Weighted Average Life (WAL): 2.79 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.06%
Weighted Average Recovery Rate (WARR): 48.11%
The default probability derives from the credit quality of the
collateral pool and Moody's expectation of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporate these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
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.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, using the methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance" published in
October 2024. Moody's concluded the ratings of the notes are not
constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assume have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
COLT 2025-INV2: S&P Assigns Prelim BB (sf) Rating on Cl. B-1 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to COLT
2025-INV2 Mortgage Loan Trust's pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods) to
both prime and nonprime borrowers. The loans are secured by
single-family residential properties, planned-unit developments,
condominiums, townhouses, two- to four-family residential
properties, and condotels. The pool consists of 700
business-purpose investment property loans, which are all
business-purpose investment property ATR-exempt loans.
The preliminary ratings are based on information as of Feb. 7,
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 aggregator and originators; and
-- 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
in 2024 to below-trend growth in 2025. The U.S. economy is
expanding at a solid pace and while President 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(i)
COLT 2025-INV2 Mortgage Loan Trust
Class A-1, $161,717,000: AAA (sf)
Class A-2, $15,499,000: AA (sf)
Class A-3, $27,033,000: A (sf)
Class M-1, $12,976,000: BBB (sf)
Class B-1, $9,852,000: BB (sf)
Class B-2, $7,569,000: B (sf)
Class B-3, $5,647,492: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, not applicable: NR
(i)The preliminary ratings are based on information in the Feb. 6,
2025, private placement memorandum. The preliminary ratings address
the ultimate payment of interest and principal. They do not address
payment of the cap carryover amounts.
(ii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due
period.
NR--Not rated.
CPS AUTO 2025-A: DBRS Finalizes BB Rating on Class E Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the classes
of notes issued by CPS Auto Receivables Trust 2025-A (the Issuer)
as follows:
-- $202,361,000 Class A Notes at AAA (sf)
-- $60,820,000 Class B Notes at AA (sf)
-- $76,324,000 Class C Notes at A (sf)
-- $47,410,000 Class D Notes at BBB (sf)
-- $55,505,000 Class E Notes at BB (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The 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 does not include a CNL trigger.
-- The Series 2025-A does 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.
EFMT 2025-CES1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to EFMT 2025-CES1.
EFMT 2025-CES1 uses 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
----------- ------
EFMT 2025-CES1
A1A LT AAA(EXP)sf Expected Rating
A1B LT AAA(EXP)sf Expected Rating
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
A3 LT A(EXP)sf Expected Rating
M1 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
R LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed certificates
backed by 100% closed-end second lien (CES) loans on residential
properties to be issued by EFMT 2025-CES1, as indicated above. This
is the second transaction to be rated by Fitch that includes 100%
CES loans off the EFMT shelf.
The pool consists of 4,032 unseasoned, performing CES loans with a
current outstanding balance (as of the cutoff date) of $268.9
million. The entirety of the pool is originated and serviced by
Nationstar Mortgage LLC (dba Mr. Cooper).
Interest and principal distributions follow a sequential structure.
Losses are allocated in reverse sequence, starting with the most
subordinate class.
The servicer, Mr. Cooper, will not be advancing delinquent monthly
payments of principal and interest (P&I). The collateral comprises
100% fixed-rate loans.
Class A-1A, A-1B, A-2 and A-3 certificates with respect to any
distribution date prior to the distribution date in March 2029 will
have an annual rate equal to the lower of (i) the applicable fixed
rate set forth for such class of certificates; and (ii) the net
weighted average coupon (WAC) for such distribution date. On and
after March 2029, the pass-through rate will be a per annum rate
equal to the lower of (i) the sum of (a) the applicable fixed rate
set forth in the table above for such class of certificates, and
(b) the step-up rate (1.0%); and (ii) the net WAC rate for the
related distribution date.
The pass-through rate on class M-1, B-1, and B-2 certificates with
respect to any distribution date and the related accrual period
will be an annual rate equal to the lower of (i) the applicable
fixed rate set forth for such class of certificates; and (ii) the
net WAC for such distribution date. The pass-through rate on class
B-3 certificates with respect to any distribution date and the
related accrual period will be an annual rate equal to the net WAC
for such distribution date.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 11.3% above a long-term sustainable
level (compared with the national level of 11.1% as of 3Q24, down
0.5% since the prior quarter, based on Fitch's updated view of
sustainable home prices). Housing affordability is the worst it has
been in decades, driven by both high interest rates and elevated
home prices. Despite modest regional declines, home prices have
increased 3.8% yoy nationally as of Nov. 2024, but are being
supported by limited inventory.
High-Quality Prime Mortgage Pool (Positive): The pool consists of
4,032 performing, fixed-rate loans totaling $268.9 million. These
loans are secured by CES on primarily one- to four-family
residential properties (including planned unit developments [PUDs])
and townhouses. The loans were made to borrowers with strong credit
profiles and relatively low leverage.
The loans are seasoned at an average of five months, according to
Fitch, and three months, per the transaction documents. The pool
has a weighted average (WA) original FICO score of 738, as
determined by Fitch, indicative of very high credit-quality
borrowers. About 34.9% of the loans, as determined by Fitch, have a
borrower with an original FICO score equal to or above 750. The
original WA combined loan-to-value ratio (CLTV) of 67.6%, as
determined by Fitch, translates to a sustainable loan-to-value
ratio (sLTV) of 76.2%.
The transaction documents stated a WA original LTV of 16.6% and a
WA CLTV of 62.5%. The LTVs represent moderate borrower equity in
the property and reduced default risk, compared with a borrower
CLTV of over 80%. Of the pool loans, 100.0% were originated by a
retail channel. Based on Fitch's documentation review, it considers
100.0% of the loans to be fully documented.
Of the pool, 100.0% of the loans are owner occupied. Single-family
homes, PUDs, townhouses and single-family attached dwellings
constitute 100.0% of the pool. The pool consists of 100% cashout
refinances, consistent with other CES transactions.
None of the loans in the pool have a current balance over $1.0
million.
Of the pool of loans, 14.0% are concentrated in California. The
largest MSA concentration is the Chicago MSA (3.9%), followed by
the New York MSA (3.8%) and the Atlanta MSA (3.5%). The top three
MSAs account for 11.2% of the pool. As a result, no probability of
default (PD) penalty was applied for geographic concentration.
Fitch's prime loan loss model was used for the analysis of this
pool, as most of the loans are fully documented with high FICOs.
Second Lien Collateral (Negative): The entirety of the collateral
pool consists of CES loans originated by Mr. Cooper. Fitch assumed
no recovery and 100% loss severity (LS) on second lien loans, based
on the historical behavior of the 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 Structure with No Advancing of Delinquent P&I (Mixed):
The proposed structure is a sequential structure in which principal
is distributed first to the A-1A and A-1B classes pro-rata, then
sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes.
Interest is prioritized in the principal waterfall and any unpaid
interest amounts are paid prior to principal being paid.
The transaction has monthly excess cash flows to first repay any
realized losses incurred, then cover unpaid cap carryover interest
shortfalls.
A realized loss will occur if, after giving effect to the
allocation of the principal remittance amount and monthly excess
cash flow on any distribution date, the aggregate collateral
balance is less than the aggregate outstanding balance of the
outstanding classes. The allocation of realized losses will occur
in reverse sequence. Losses will be first allocated to class B-3.
Once the A-2 class is written off, class A-1B will take losses
prior to class A-1A (A-1A will only take losses once A-1B is
written off).
The transaction will have subordination and excess spread,
providing credit enhancement (CE) and protection from losses.
180-Day Chargeoff Feature/Best Execution (Positive): With respect
to any mortgage loan that becomes 180 days MBA delinquent, the
servicer will review, and may charge off the mortgage loan (based
on an equity analysis review performed by the servicer) if the
review indicates no significant recovery is likely.
Fitch views the servicer's equity analysis to determine the best
execution strategy for the liquidation of severely delinquent loans
as a positive. The servicer and controlling holder act in the best
interest of the certificateholders to limit losses on the
transaction. If the servicer decides to write off the losses at 180
days, it compares favorably to a delayed liquidation scenario,
whereby the loss occurs later in the life of the transaction and
less excess is available.
In its cash flow analysis, Fitch assumed the loans would be written
off at 180 days, as this is the most likely scenario in a stressed
case when there is limited equity in the home.
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 42.3%, 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 Digital Risk. The third-party due diligence described
in Form 15E focused on three areas: compliance review, credit
review and valuation review. Fitch considered this information in
its analysis. Based on the results of the 100% due diligence
performed on the pool, Fitch reduced the overall 'AAAsf' expected
loss by 0.72%.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
Digital Risk was engaged to perform the review. Loans reviewed
under this engagement were given compliance, and credit grades, and
assigned initial grades for each subcategory. Minimal exceptions
and waivers were noted in the due diligence reports. Refer to the
Third-Party Due Diligence section for more detail.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. 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 ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.
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.
GALTON FUNDING 2019-1: S&P Affirms 'CCC' Rating on Class B5 Notes
-----------------------------------------------------------------
S&P Global Ratings completed its review of 38 classes from Galton
Funding Mortgage Trust 2019-1. The review yielded 38 affirmations;
S&P removed each of these ratings from CreditWatch with negative
implications after gathering and analyzing additional information
related to reported interest shortfalls.
S&P said, "On Nov. 27, 2024, we placed 38 classes from Galton
Funding Mortgage Trust Series 2019-1 on CreditWatch with negative
implications. At the time, the CreditWatch negative placements
reflected interest shortfalls reported in previous months and the
potential impact on creditworthiness if this trend had continued,
given the transaction's low pool factor and serious delinquency
pipeline. As indicated by the trustee at that time, the interest
shortfalls were caused by a loan modification that resulted in zero
available funds in the September distribution period and reduced
available funds in the October distribution period.
"Since the November CreditWatch placements, we gathered additional
information through further correspondence with transaction
participants. We learned that misapplied payments on a single loan
that was modified in September had affected the trust. According to
the transaction documents, capitalized servicer advance
reimbursements related to loan modifications should reimburse from
principal collections only. We observed reimbursements from both
interest and principal collections rather than principal itself. We
believe if capitalized servicer advance reimbursements had been
applied as outlined in the transaction documents, the extent of
interest shortfalls would have been reduced. In addition, based on
our correspondence with transaction parties, we believe the
misapplication is unlikely to reoccur. Finally, since experiencing
interest shortfalls in September, the senior classes, class B-1,
class B-2, and their corresponding interest-only classes have been
fully reimbursed. Although classes B-3 and below have interest
shortfalls outstanding to date, we project full reimbursement in a
timeframe before the applicable maximum potential rating, per our
rating definitions, would fall below each class's current rating.
"The rating actions consider credit analysis using updated
loan-level information, from which we determined foreclosure
frequency, loss severity, and loss coverage amounts commensurate
for each rating level. In addition, we used the same mortgage
operational assessment, representation and warranty, and due
diligence factors that were applied at issuance. Our geographic
concentration and prior credit event adjustment factors were based
on the transaction's current pool composition.
"The affirmations reflect our view that the projected collateral
performance relative to our projected credit support on these
classes remains relatively consistent with our prior projections
and our analysis of interest shortfalls."
Analytical Considerations
S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. Some of these considerations may include:
-- Collateral performance or delinquency trends;
-- Historical interest shortfalls or missed interest payments;
-- Loan modifications;
-- The priority of principal payments;
-- The priority of loss allocation;
-- Available subordination and/or credit enhancement floors; and
-- Large-balance loan exposure or tail risk.
S&P will continue to monitor the transaction's performance and take
further rating actions as it deems appropriate.
Ratings List
Rating
Issuer name
Series Class CUSIP To From
Galton Funding Mortgage Trust 2019-1
2019-1 A11 36418WAA7 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX11 36418WAB5 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A12 36418WAC3 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX12 36418WAD1 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A13 36418WAE9 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX13 36418WAF6 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A21 36418WAG4 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX21 36418WAH2 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A22 36418WAJ8 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX22 36418WAK5 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A23 36418WAL3 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX23 36418WAM1 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A31 36418WAN9 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX31 36418WAP4 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A32 36418WAQ2 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX32 36418WAR0 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A33 36418WAS8 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX33 36418WAT6 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A51 36418WBA6 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX51 36418WBB4 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A52 36418WBC2 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX52 36418WBD0 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A53 36418WBE8 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX53 36418WBF5 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A71 36418WBN8 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX71 36418WBP3 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A72 36418WBQ1 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX72 36418WBR9 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 A73 36418WBS7 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX73 36418WBT5 AAA (sf) AAA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 AX 36418WBU2 AA+ (sf) AA+ (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 B1 36418WBV0 AA (sf) AA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 BX1 36418WBW8 AA (sf) AA (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 B2 36418WBX6 AA- (sf) AA- (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 BX2 36418WBY4 AA- (sf) AA- (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 B3 36418WBZ1 A- (sf) A- (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 B4 36418WCA5 BB (sf) BB (sf)/Watch Neg
Galton Funding Mortgage Trust 2019-1
2019-1 B5 36418WCB3 CCC (sf) CCC (sf)/Watch Neg
GENERATE CLO 10: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt and
proposed new class X debt from Generate CLO 10 Ltd./Generate CLO 10
LLC, a CLO managed by Generate Advisors LLC that was originally
issued July 6, 2022, and was not rated by S&P Global Ratings.
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 preliminary ratings are based on information as of Feb. 11,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 13, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the outstanding class A-1,
A-2, B-1, B-2, C, D-1, D-2, E, and F debt. S&P said, "At that time,
we expect to assign ratings to the replacement and proposed new
debt. However, if the refinancing doesn't occur, we may withdraw
our preliminary ratings on the replacement and proposed debt."
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.
S&P said, "Our review of this transaction included a cash flow and
portfolio analysis, 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.
"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
Generate CLO 10 Ltd./Generate CLO 10 LLC
Class X, $2.50 million: AAA (sf)
Class A-R, $256.00 million: AAA (sf)
Class B-R, $48.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1R (deferrable), $24.00 million: BBB- (sf)
Class D-2R (deferrable), $4.00 million: BBB- (sf)
Class E-R (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $34.00 million: Not rated
GOLDENTREE LOAN 1: S&P Assigns BB- (sf) Rating on Cl. E-R-3 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R-3,
B-1-R-3, C-R-3, D-R-3, and E-R-3 replacement debt from Goldentree
Loan Management US CLO 1 Ltd./Goldentree Loan Management US CLO 1
LLC, a CLO managed by GoldenTree Loan Management L.P. that was
originally issued in April 2017 and underwent a refinancing in
April 2021. At the same time, S&P withdrew its ratings on the class
A-1-R-2, B-1-R-2, C-R-2, D-R-2, and E-R-2 debt following payment in
full on the Feb. 7, 2025, refinancing date. S&P also affirmed its
ratings on the class A-1 and B-1 loans, and class F-R-2 debt, which
were 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 Feb. 7, 2026.
-- 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-R-2 debt (which was not
refinanced). However, we affirmed our 'B (sf)' rating on the class
F-R-2 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 soon 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."
Replacement And April 2021 Debt Issuances
Replacement debt
-- Class A-1 loan, $376.213 million: Three-month CME term SOFR +
0.97%(i)
-- Class A-1-R-3, $72.042 million: Three-month CME term SOFR +
0.97%
-- Class B-1 loan, $35.000 million: Three-month CME term SOFR +
1.35% (i)
-- Class B-1-R-3, $47.755 million: Three-month CME term SOFR +
1.35%
-- Class C-R-3 (deferrable), $34.500 million: Three-month CME term
SOFR + 1.60%
-- Class D-R-3 (deferrable), $41.375 million: Three-month CME term
SOFR + 2.40%
-- Class E-R-3 (deferrable), $27.570 million: Three-month CME term
SOFR + 4.50%
Subordinated notes, $59.00 million: Not applicable
(i)Spread amended and not refinanced.
April 2021 debt
-- Class A-1 loan, $376.213 million: Three-month CME term SOFR +
1.28%(ii)
-- Class A-1-R-2, $72.042 million: Three-month CME term SOFR +
1.28%(ii)
-- Class B-1 loan, $35.000 million: Three-month CME term SOFR +
1.76%(ii)
-- Class B-1-R-2, $47.755 million: Three-month CME term SOFR +
1.76%(ii)
-- Class C-R-2 (deferrable), $34.500 million: Three-month CME term
SOFR + 2.06%(ii)
-- Class D-R-2 (deferrable), $41.375 million: Three-month CME term
SOFR + 3.41%(ii)
-- Class E-R-2 (deferrable), $27.570 million: Three-month CME term
SOFR + 6.76%(ii)
-- Class F-R-2 (deferrable), $8.550 million: Three-month CME term
SOFR + 7.76%(ii)
-- Subordinated notes, $59.00 million: Not applicable
(ii)Includes 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
Goldentree Loan Management US CLO 1 Ltd./
Goldentree Loan Management US CLO 1 LLC
Class A-1-R-3, $72.042 million: AAA (sf)
Class B-1-R-3, $47.755 million: AA (sf)
Class C-R-3 (deferrable), $34.500 million: A (sf)
Class D-R-3 (deferrable), $41.375 million: BBB- (sf)
Class E-R-3 (deferrable), $27.570 million: BB- (sf)
Ratings Withdrawn
Goldentree Loan Management US CLO 1 Ltd./
Goldentree Loan Management US CLO 1 LLC
Class A-1-R-2 to NR from 'AAA (sf)'
Class B-1-R-2 to NR from 'AA (sf)'
Class C-R-2 (deferrable to NR from 'A (sf)'
Class D-R-2 (deferrable)to NR from 'BBB- (sf)'
Class E-R-2 (deferrable)to NR from 'BB- (sf)'
Ratings Affirmed
Goldentree Loan Management US CLO 1 Ltd./
Goldentree Loan Management US CLO 1 LLC
Class A-1 loan: 'AAA (sf)'
Class B-1 loan: 'AA (sf)'
Class F-R-2: 'B (sf)'
Other Debt
Goldentree Loan Management US CLO 1 Ltd./
Goldentree Loan Management US CLO 1 LLC
Subordinated notes, $59.000 million: NR
NR--Not rated.
GREEN LAKES: Fitch Assigns 'BB+sf' Rating on Class E-RR Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Green
Lakes Park CLO, LLC reset transaction.
Entity/Debt Rating
----------- ------
Green Lakes Park
CLO, LLC
X LT NRsf New Rating
A-RR LT NRsf New Rating
B-RR LT AAsf New Rating
C-RR LT Asf New Rating
D-1-RR LT BBBsf New Rating
D-2-RR LT BBB-sf New Rating
E-RR LT BB+sf New Rating
F LT NRsf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Green Lakes Park CLO, LLC (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Clover Credit
Management, LLC that originally closed in November 2019. This will
be the second reset, with the existing secured notes to be
refinanced in whole on Jan. 30, 2025, from proceeds of the new
secured notes. Net proceeds from the issuance of the secured notes,
coupled with the existing 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'/'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 (CE) and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
95.46% first lien senior secured loans and has a weighted average
(WA) recovery assumption of 74.18%. 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 (P&I)
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
metrics. The results under these sensitivity scenarios are as
severe as 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 'BB-sf' for class E-RR.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
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, 'A+sf'
for class D-1-RR, 'Asf' 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.
ESG Considerations
Fitch does not provide ESG relevance scores for Green Lakes Park
CLO, LLC.
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.
GS MORTGAGE 2014-GC24: DBRS Confirms C Rating on 4 Classes
----------------------------------------------------------
DBRS, Inc. downgraded credit ratings on four classes of Commercial
Mortgage Pass-Through Certificates, Series 2014-GC24 issued by GS
Mortgage Securities Trust 2014-GC24 as follows:
-- Class B to A (sf) from AA (low) (sf)
-- Class C to BB (sf) from BBB (sf)
-- Class X-B to A (high) (sf) from AA (sf)
-- Class PEZ to BB (sf) from BBB (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-5 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class X-A at AAA (sf)
-- Class X-C at C (sf)
Morningstar DBRS changed the trends on Classes X-B, B, C, and PEZ
to Stable from Negative. Classes D, X-C, E, and F have credit
ratings that do not typically carry a trend in commercial
mortgage-backed securities (CMBS) credit ratings. The trends on
Classes A-5, A-S, and X-A are Stable.
Since the previous credit rating action in February 2024, a total
of 55 loans have been repaid in full, contributing to a principal
repayment of nearly $758.3 million, leaving the trust with a
current balance of $316.0 million as of the January 2025 reporting.
All remaining loans are in special servicing for default, after
failing to repay upon their scheduled maturities in August 2024.
Given the concentration of defaulted loans remaining, Morningstar
DBRS' analysis considered conservative liquidation scenarios for
all four loans, based on stresses to the most recent appraised
values to determine the recoverability of the outstanding bonds.
Morningstar DBRS concluded that the senior certificates continue to
be insulated from losses, the primary consideration in the
confirmation of Classes A-5 and A-S. While Classes B and C are also
considered to be insulated from losses based on current
projections, Morningstar DBRS' downgrades to these classes was
reflective of the highly concentrated nature of the remaining pool
and extended timeline for recoverability. Morningstar DBRS also
remains concerned with the increased propensity for interest
shortfalls given the four outstanding loans are in default and
underperforming. This combined with the expectation significant
value decline for the remaining assets supports the credit rating
confirmation of Classes D, E, and F.
The largest of the remaining loans, Stamford Plaza Portfolio
(Prospectus ID#1, 40.3% of the pool), is secured by four Class A
office properties totaling 982,483 square feet (sf) in Stamford,
Connecticut. The loan transferred to special servicing in August
2024 for maturity default. Per the most recent servicer commentary,
the loan is in cash management and the special servicer will
discuss workout options with the borrower while dual tracking
foreclosure. Performance remains well below issuance expectations,
with the YE2023 net cash flow (NCF) of $9.6 million representing an
almost 60% decline from the issuer's figure of $22.8 million.
Occupancy has also declined to 65% as of June 2024 from 70.0% at
YE2023 and 88% at issuance. Although an updated appraisal has not
yet been completed, Morningstar DBRS expects the property value has
declined significantly since issuance. The Morningstar DBRS
analysis used a liquidation scenario based on a conservative
haircut to the issuance appraised value, resulting in an implied
loss severity exceeding 50%.
The second largest loan remaining, Coastal Grand Mall (Prospectus
ID#2, 31.1% of the pool), is secured by a 631,152 sf portion of a
1.1 million sf, one-level, super-regional mall in Myrtle Beach,
South Carolina. The loan transferred to special servicing in August
2024 as the borrower was unable to pay off the loan at the
scheduled maturity date. Per the servicer commentary, the borrower
is seeking a maturity extension. Compared with the other loans in
the pool, performance has remained relatively stable. The September
2024 occupancy was 98%, with an NCF of $12.9 million for the
trailing nine-month period ended September 31, 2024, which remains
in line with the YE2023 NCF of $13.6 million. Given the loan's
recent default and uncertain resolution timeline, Morningstar DBRS
used a conservative liquidation scenario based on a haircut to the
issuance appraised value, resulting in an implied loss severity of
approximately 24%.
Notes: All figures are in U.S. dollars unless otherwise noted.
HALSEYPOINT CLO 6: Fitch Assigns 'BB+sf' Rating on Class E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to
HalseyPoint CLO 6, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
HalseyPoint
CLO 6, Ltd.
A-1-R LT NRsf New Rating
A-2-R LT AAAsf New Rating
B-1 40639GAE9 LT PIFsf Paid In Full AAsf
B-2 40639GAL3 LT PIFsf Paid In Full AAsf
B-R LT AA+sf New Rating
C-R LT A+sf New Rating
D 40639GAJ8 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBB+sf New Rating
D-2-R LT BBB-sf New Rating
E 40639JAA1 LT PIFsf Paid In Full BB-sf
E-R LT BB+sf New Rating
F-R LT NRsf New Rating
Transaction Summary
HalseyPoint CLO 6, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by HalseyPoint Asset
Management, LLC that originally closed in September 2022 and was
rated by Fitch. 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
96.62% first-lien senior secured loans and has a weighted average
recovery assumption of 75.66%. 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 40% 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 weighted average life (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-2R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1R,
between less than 'B-sf' and 'BB+sf' for class D-2R, and between
less than 'B-sf' and 'BB-sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2R 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-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1R, 'A-sf' for class D-2R, and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant group 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 HalseyPoint CLO 6,
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.
HALSEYPOINT CLO 6: Moody's Assigns B3 Rating to $250,000 F-R Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by HalseyPoint CLO
6, Ltd. (the Issuer):
US$300,000,000 Class A-1R Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$250,000 Class F-R Junior Secured Deferrable Floating Rate 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%
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 permitted non-loan assets.
HalseyPoint 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 and the other
classes of secured notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extensions of the reinvestment period, the stated maturity
and the 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: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3200
Weighted Average Spread (WAS): 3.40%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 46.0%
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 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.
HILTON GRAND 2024-1B: Fitch Affirms 'BB-sf' Rating on Class D Notes
-------------------------------------------------------------------
Fitch Ratings has affirmed the ratings of Hilton Grand Vacations
Trust series 2018-A, 2019-A, 2020-A, 2024-1B, and 2024-2. The
Rating Outlooks remain Stable for all the classes of notes.
Entity/Debt Rating Prior
----------- ------ -----
Hilton Grand
Vacations Trust
2018-A
A 43284BAA0 LT AAAsf Affirmed AAAsf
B 43284BAB8 LT Asf Affirmed Asf
C 43284BAC6 LT BBBsf Affirmed BBBsf
Hilton Grand
Vacations Trust
2019-A
A 43284HAA7 LT AAAsf Affirmed AAAsf
B 43284HAB5 LT Asf Affirmed Asf
C 43284HAC3 LT BBBsf Affirmed BBBsf
Hilton Grand
Vacations Trust
2024-2
A 43283JAA4 LT AAAsf Affirmed AAAsf
B 43283JAB2 LT Asf Affirmed Asf
C 43283JAC0 LT BBBsf Affirmed BBBsf
Hilton Grand
Vacations Trust
2024-1B
A 43283YAA1 LT AAAsf Affirmed AAAsf
B 43283YAB9 LT Asf Affirmed Asf
C 43283YAC7 LT BBBsf Affirmed BBBsf
D 43283YAD5 LT BB-sf Affirmed BB-sf
Hilton Grand
Vacations Trust
2020-A
A 43285HAA6 LT AAAsf Affirmed AAAsf
B 43285HAB4 LT Asf Affirmed Asf
C 43285HAC2 LT BBBsf Affirmed BBBsf
KEY RATING DRIVERS
The notes' affirmation reflects default coverage levels consistent
with their current ratings. The Stable Outlook for all the classes
of notes reflects Fitch's expectation that default coverage levels
will remain supportive of these ratings.
As of the January 2025 distribution date, cumulative gross defaults
(CGDs) for 2018-A, 2019-A, 2020-A, 2024-1B, and 2024-2 are
currently at 14.47%, 14.24%, 12.36%, 6.73%, and 3.71%,
respectively. When adjusting for cumulative substitutions, CGDs are
10.93%, 11.22% 9.93%, 6.60%, and 3.48%, respectively. Except for
2020-A and 2024-2, all transactions are tracking above their
initial base cases of 10.75% (2018-A), 12.00% (2019-A), and 22.50%
(2024-1B). Due to optional repurchases and substitutions by the
seller, none of the transactions have experienced a net loss to
date.
Accounting for recent performance, Fitch maintained the lifetime
CGD proxy of 12.00%, 13.00%, and 13.00% for 2018-A, 2019-A, and
2020-A, respectively. The lifetime proxies of 22.50% and 16.00% for
2024-1B and 2024-2, respectively, were not changed due to low
seasoning of the pool.
In certain cases, updated extrapolations were higher than the final
CGD proxies. The servicer has the right, but not the obligation, to
substitute or repurchase defaulted loans. As such, Fitch's analysis
does not give any explicit credit to previously substituted or
repurchased defaults, resulting in zero losses to date. When
accounting for previously substituted or repurchased defaults, the
lifetime CGDs are materially lower than the CGD proxies. Therefore,
Fitch believes the CGD proxies are appropriately conservative and
account for the current performance.
Under Fitch's stressed cash flow assumptions, default coverage for
the notes was consistent with the recommended multiples, and any
shortfalls were considered nominal and are within the range of the
multiples for the current ratings.
The ratings also reflect the quality of Hilton Grand Vacations
timeshare receivable originations, the sound financial and legal
structure of the transaction, and the strength of the servicing
provided by Grand Vacation Services LLC (GVS). GVS had adequate
servicing business continuity plans in place to service the
portfolio during the pandemic. Fitch will continue to monitor
economic conditions and their impact as they relate to timeshare
asset-backed securities and the trust level performance variables,
and will update the ratings accordingly.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults could produce
default levels higher than the current projected base case default
proxy and impact available loss coverage and multiples levels for
the transaction.
Weakening asset performance is strongly correlated to increasing
levels of delinquencies and defaults that could negatively impact
credit enhancement (CE) levels. Lower default coverage could affect
ratings and Outlooks, depending on the extent of the decline in
coverage.
Fitch ran a down sensitivity for each transaction that would raise
the CGD proxy by 2.0x the current proxy. This is extremely
stressful to the transactions and could result in downgrades by up
to three categories.
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 higher CE levels and
consideration for potential upgrades. Fitch applied an up
sensitivity by reducing the rating case proxy by 20%. Reducing the
proxies by 20% from the current proxies could result in up to a
category of upgrades or affirmations of ratings with stronger
multiples.
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.
ILPT COMMERCIAL 2022-LPFX: DBRS Confirms BB(high) on HRR Certs
--------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2022-LPFX
issued by ILPT Commercial Mortgage Trust 2022-LPFX as follows:
-- Class A at AAA (sf)
-- Class X at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, as evidenced by the net cash flow
(NCF) growth, minimal rollover, and stable occupancy rates since
issuance. The underlying loan is backed by a portfolio of
industrial properties across several states and consists primarily
of single-tenant properties with triple net leases. The transaction
benefits from a heavy concentration of investment-grade tenants
across several industries and minimal rollover risk through the
remainder of 2025.
The transaction is secured by the borrower's fee-simple interest in
17 industrial properties, totaling 9.4 million square feet across
12 states and 13 different industrial markets, with the largest
concentrations in Philadelphia; Richmond, Virginia; Nashville,
Tennessee; Spartanburg, South Carolina; and Columbus, Ohio. The
sponsor, Industrial Logistics Properties Trust, is a publicly
traded real estate investment trust that was formed to own and
lease industrial and logistics properties throughout the United
States.
The $445 million whole loan is composed of senior A note debt
totaling $341.1 million and junior B note debt totaling $103.9
million. The subject transaction consists of $176.1 million of
senior debt and the entirety of the subordinate debt. The remaining
senior debt is held pari passu across several 2022 multiborrower
commercial mortgage-backed securities (CMBS) transactions, three of
which are rated by Morningstar DBRS. The capital structure also
includes two tranches of mezzanine debt, which had an issuance
balance of $255 million and are also held outside the trust. The
fixed-rate loan is interest only (IO) for the full 10-year term
with a maturity date of March 2032. As of the December 2024
remittance, there have been no property releases.
According to the June 2024 rent rolls, the portfolio remains 100%
occupied, remaining in line with issuance expectations, and there
is only one tenant, FedEx (1.0% of the net rentable area (NRA)),
that has a lease expiring in the next 12 months. The largest
tenants in the portfolio include Amazon (32.3% of NRA, lease expiry
in September 2027), Restoration Hardware, Inc. (12.7% of NRA, lease
expiry in February 2028), and Barrett Distribution (6.8% of NRA,
lease expiry in April 2027). Morningstar DBRS has a favorable view
of the tenant quality, with approximately 63.7% of issuance gross
rent being derived from nine investment grade-rated tenants,
including Amazon and UPS. The tenant roster includes a variety of
industries including air freight and logistics, internet and
catalog retail, commercial services and supplies, specialty retail,
and food and beverage. According to the trailing six-month
financials for the period ended June 30, 2024, the subject reported
an annualized NCF of $42.6 million (debt service coverage ratio
(DSCR) of 2.44 times (x)), which remains in line with the YE2023
figure of $42.2 million (DSCR of 2.42x).
At issuance, Morningstar DBRS derived a value of $536.8 million
based on the Morningstar DBRS NCF of $36.2 million and a
capitalization rate of 6.75%, resulting in a Morningstar DBRS
loan-to-value (LTV) of 130.4% based on the whole-loan debt of $700
million. Positive qualitative adjustments totaling 8.25% were
applied to the LTV Sizing Benchmarks to reflect the elevated
percentage of base rent from investment-grade tenants, high
property quality on relatively newer vintage facilities, and
strategic locations near major transportation hubs.
Notes: All figures are in U.S. dollars unless otherwise noted.
IVY HILL XII: S&P Assigns Prelim BB- (sf) Rating on Cl. D-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-RR, A-LRR, A-2-RR, B-RR, C-RR, and D-RR replacement debt from
Ivy Hill Middle Market Credit Fund XII Ltd./Ivy Hill Middle Market
Credit Fund XII LLC, a CLO managed by Ivy Hill Asset Management
L.P. that was originally issued in April 2017 and underwent a
previous refinancing in June 2021.
The preliminary ratings are based on information as of Feb. 7,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 20, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the June 2021 debt. S&P
said, "At that time, we expect to withdraw our ratings on the June
2021 debt and assign ratings to the replacement debt. However, if
the refinancing doesn't occur, we may affirm our ratings on the
June 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 replacement class A-1-RR, A-LRR, A-2-RR, B-RR, C-RR, and
D-RR notes are expected to be issued at a lower spread over
three-month SOFR than the original notes.
-- The stated maturity will be extended by 3.75 years to April 20,
2037.
-- The reinvestment period will be extended by 4.50 years, ending
April 20, 2030.
-- A two-year non-call period will be implemented, ending Feb. 20,
2027.
-- No additional assets will be purchased on the February 20,
2025, refinancing date, and the target initial par amount will be
$600 million. There will be no additional effective date or ramp-up
period, and the first payment date following the refinancing is
July 20, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will not be amended.
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
Ivy Hill Middle Market Credit Fund XII Ltd./
Ivy Hill Middle Market Credit Fund XII LLC
Class A-1-RR, $170.25 million: AAA (sf)
Class A-LRR, $177.75 million: AAA (sf)
Class A-2-RR, $60.00 million: AA (sf)
Class B-RR (deferrable), $48.00 million: A (sf)
Class C-RR (deferrable), $36.00 million: BBB- (sf)
Class D-RR (deferrable), $36.00 million: BB- (sf)
Other Debt
Ivy Hill Middle Market Credit Fund XII Ltd./
Ivy Hill Middle Market Credit Fund XII LLC
Subordinated notes, $152.85 million: Not rated
JPMBB COMMERCIAL 2015-C29: DBRS Confirms C Rating on 2 Classes
--------------------------------------------------------------
DBRS Limited downgraded its credit ratings on four classes of
Commercial Mortgage Pass-Through Certificates, Series 2015-C29
issued by JPMBB Commercial Mortgage Securities Trust 2015-C29 as
follows:
-- Class C to BB (low) (sf) from A (low) (sf)
-- Class X-C to BB (sf) from A (sf)
-- Class EC to BB (low) (sf) from A (low) (sf)
-- Class D to C (sf) from CCC (sf)
Morningstar DBRS confirmed its credit ratings on the remaining
classes as follows:
-- Class A-3A1 at AAA (sf)
-- Class A-3A2 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class B at AA (low) (sf)
-- Class E at C (sf)
-- Class F at C (sf)
Morningstar DBRS changed the trends on Classes C, X-C, and EC to
Stable from Negative. The remaining classes have Stable trends,
with the exception of Classes D, E, and F, which have credit
ratings that typically do not carry trends in commercial
mortgage-backed securities (CMBS) credit ratings.
The credit rating downgrades largely reflect Morningstar DBRS'
liquidated loss expectations for the pool, driven by the two
specially serviced loans, which are also the two largest loans in
the pool. Together, those loans comprise 22.5% of the remaining
pool balance and were analyzed with liquidation scenarios based on
significant haircuts to the issuance appraised value or an updated
appraised value recently obtained by the special servicer,
resulting in total projected losses of nearly $100 million. The
transaction has realized losses of nearly $20.0 million as of the
December 2024 remittance which have been contained to the unrated
Class NR; however, Morningstar DBRS' liquidated losses are expected
to erode through the remainder of that class, up through all of the
Class F and E certificates, and through most of the Class D
certificate, supporting the credit rating downgrade to C (sf) for
that class. The Class NR and Classes D and E are also currently
exposed to interest shortfalls, with cumulative outstanding
interest shortfalls totaling $4.8 million as of the January 2025
remittance.
The credit rating downgrade for Class C reflects the erosion of
credit support with the liquidation scenarios as outlined above.
The credit rating confirmations elsewhere in the capital stack
reflect Morningstar DBRS' recoverability expectations for the
remaining loans in the pool, with those classes benefitting from
the sizable defeasance concentration of nearly $136.0 million
(26.3% of the pool), as well as significant paydown since issuance
and remaining cushion of more than $50 million against liquidated
losses in the liquidation scenario considered with this review.
Based on the most recent credit metrics reported by the servicer,
Morningstar DBRS identified just six performing loans that combine
for 6.73% of the total pool balance that are exhibiting increased
refinance risk. That analysis also showed 23 loans representing
approximately 43.3% of the pool that are expected to repay at the
scheduled 2025 maturity dates.
Except for two loans (Aspen Heights - Texas A&M University
(Prospectus ID#11, 4.5% of the pool, maturing January 2026), and
The Heights (Prospectus ID#24, 1.3% of the pool, maturing May
2030), the remaining loans in the pool are scheduled to mature by
June 2025. The overall positive maturity outlook is based on the
generally healthy performance of the underlying collateral, as
exhibited by a weighted-average (WA) debt service coverage ratio of
1.51 times (x) and WA debt yield of 11.4% as of the YE2023
reporting. For those five loans exhibiting weak refinance metrics,
stressed scenarios were considered as part of this review to
increase the expected losses in the model.
As of the December 2024 remittance, 45 of the original 63 loans
remain in the pool. The initial pool balance of $984.5 million has
been reduced by 47.7%, to $514.9 million, which includes $19.2
million of losses from loan liquidations. In addition, 26.3% of the
pool has defeased. As of the most recent reporting, 25 loans
representing 46.0% of the pool balance are on the servicer's
watchlist; the bulk of those loans are primarily being monitored
for upcoming maturity dates.
The largest loan in special servicing, One City Centre (Prospectus
ID#2, 11.6% of the pool), is secured by the borrower's fee-simple
interest in a 602,122-square-foot (sf) office property in Houston's
central business district and is part of a whole loan that was
split pari passu between two CMBS transactions, both of which are
rated by Morningstar DBRS. The loan transferred to special
servicing after the former largest tenant, Waste Management (40.5%
of net rentable area (NRA)), vacated at lease expiration in
December 2020. As of the YE2023 servicer reporting, the occupancy
rate was near 24.0%, where it has hovered since the loss of Waste
Management. At issuance, the occupancy rate was 82.6%. Based on the
June 2024 appraisal, the property was valued at $25.9 million, an
84.0% decline from the issuance appraised value of $162.0 million.
Given the lack of progress in resolving the loan, failed attempts
to sell the property, declining performance metrics, dismal leasing
traction, and soft Houston office market fundamentals, Morningstar
DBRS expects there will be low investor appetite for the asset, a
factor that could push the sales price well below the appraiser's
as-is value estimate. As such, a 25.0% haircut was applied to the
June 2024 value, with a resulting loss severity of nearly 100% in
the analysis for this review.
The other loan in special servicing, 2025 M Street (Prospectus
ID#1, 10.8% of the pool), is secured by the borrower's fee interest
in a 191,281-sf office property in the Washington D.C. central
business district. The loan transferred to special servicing in
July 2024 for imminent payment default; negotiations for a loan
modification are ongoing with no formal workout strategy identified
as of the most recent servicer reporting. Occupancy has been
depressed since the departure of the former second-largest tenant,
SmithBucklin Corp (37.3% of NRA), which vacated in June 2020. The
occupancy rate was most recently reported at 58.8% as of March 2024
and cash flows have been below breakeven since 2021. As of the
December 2024 reporting, there is $6.3 million held in reserves,
which includes $2.5 million in the tenant reserve account and $3.5
million in other reserves, which typically include tax and
insurance amounts. The loan remains current as of the December 2024
reporting, with the borrower continuing to fund operating
shortfalls. No updated appraisal has been received, to date;
however, to account for the property's long-term underperformance
and the soft submarket for office assets in Washington D.C.,
Morningstar DBRS considered a steep haircut to the issuance
appraised value of nearly 85%, with a resulting value of
approximately $18.5 million and a resulting liquidated loss
severity of 78.0%.
Notes: All figures are in U.S. dollars unless otherwise noted.
JPMBB COMMERCIAL 2015-C32: DBRS Confirms C Rating on 4 Classes
--------------------------------------------------------------
DBRS, Inc. downgraded credit ratings on four classes of Commercial
Mortgage Pass-Through Certificates, Series 2015-C32 issued by JPMBB
Commercial Mortgage Securities Trust 2015-C32 as follows:
-- Class A-S to AA (low) (sf) from AAA (sf)
-- Class B to BBB (sf) from A (low) (sf)
-- Class X-A to AA (sf) from AAA (sf)
-- Class X-B to BBB (high) (sf) from A (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class C at CCC (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class G at C (sf)
-- Class EC at CCC (sf)
Morningstar DBRS maintained the Negative trends on Classes A-S, B,
X-A, and X-B. Classes C, D, E, F, G, and EC have credit ratings
that do not typically carry trends in commercial mortgage-backed
securities (CMBS) transactions.
The credit rating confirmations for Classes A-4, A-5, and A-SB
reflect Morningstar DBRS' payoff analysis, which suggests those
classes will likely be repaid with successful takeout financing for
the larger performing loans in the pool, as well as the defeased
loans which total just more than $40.0 million. Morningstar DBRS
notes; however, that some loans may require maturity extensions and
the most notable of those might be the One Shell Square loan
(Prospectus ID #9, 4.3% of the pool), backed by an office property
in New Orleans and exposed to a large lease rolling in 2026. In
total, office loans represent 31.9% of the outstanding balance of
the deal, and performance declines for some of the largest office
loans have contributed to credit rating downgrades over the past
several years for this transaction.
The credit rating downgrades and Negative trends reflect
Morningstar DBRS' increased loss projections from the loans in
special servicing as a result of declines in appraised values for
the underlying assets as further discussed below. The pool has a
high concentration of specially serviced loans, at 37.3%, and
Morningstar DBRS continues to project significant liquidated losses
for the largest of those loans, a primary contributor to the CCC
(sf) and C (sf) credit ratings assigned to Classes C, D, E, F, G,
and EC. Given the proximity to maturity for most loans in the pool,
Morningstar DBRS' analysis considered the high likelihood that the
pool's composition will soon wind down to primarily include only
defaulted or underperforming assets, putting downward pressure on
the middle of the capital stack. In addition, Morningstar DBRS
remains concerned with the risk of increasing interest shortfalls,
which as of the December 2024 remittance total $22.5 million, with
interest being shorted up to the Class C certificate. Total
shortfalls have increased from $14.9 million as of Morningstar
DBRS' credit rating action for this deal in February 2024, a result
of an increased special servicing concentration and appraisal
reduction amounts for some loans.
As of the December 2024 remittance, 73 of the original 89 loans
remain outstanding with a pool balance of $707.0 million,
representing a collateral reduction of 38.4%. Six loans,
representing 4.1% of the pool, have been fully defeased. There are
26 loans in special servicing totaling 37.3% of the pool.
Morningstar DBRS considered a liquidation scenario for five of
those loans, representing 31.2% of the pool. Total liquidated
losses considered with this review totaled $162.0 million, with
loss severities averaging approximately 75.0%. Since last review,
Morningstar DBRS' liquidated loss projections have increased by
$31.7 million, partially a factor of lower appraised values for
some loans since the February 2024 credit rating action. There are
21 small specially serviced loans, collectively representing 6.2%
of the pool, which are secured by multifamily properties in
California. All 21 loans recently transferred because of a trigger
event related to ongoing litigation associated with the common
sponsor and based on the collateral performance and other
information available at the time of this review, liquidated losses
are not expected for any of those loans.
The largest loan in the pool, Civic Opera Building (Prospectus
ID#2, 9.6% of the pool), is secured by the borrower's fee-simple
interest in a 915,162-square-foot (sf) office property in Chicago's
West Loop District and is pari passu with a companion note in the
JPMBB Commercial Mortgage Securities Trust 2015-C31 transaction,
which is also rated by Morningstar DBRS. The loan has been in
special servicing since June 2020, and according to servicer
commentary from December 2024, the lender and borrower are awaiting
court ruling on a motion to add a recourse component to the
foreclosure. Occupancy continues to decline, with the June 2024
rent roll reporting an occupancy of 55.4% with an additional 15% of
rollover through 2025. An updated appraisal dated September 2024,
valued the property at $109.8 million, compared with the April 2023
value of $128.3 million, and representing a 50.1% decline from the
appraised value of $220.0 million at issuance. Morningstar DBRS'
analysis included a liquidation scenario based on a stress to the
September 2024 appraised value to reflect the continued declining
occupancy, upcoming rollover, and weak submarket fundamentals,
resulting in an increased projected loss severity approaching 70%
with this review.
The second-largest loan in special servicing is Hilton Suites
Chicago Magnificent Mile (Prospectus ID#1, 9.1% of the pool), which
is secured by a 345-key full-service hotel in the Magnificent Mile
district of Chicago. The loan transferred to special servicing in
May 2020, and the asset became real estate owned (REO) in April
2023. According to the January 2024 servicer commentary, the
property is projected to be put up for sale in Q1 2025. According
to the September 2024 STR report, the property's occupancy, average
daily rate, and revenue per available room (RevPAR) were relatively
unchanged from prior year figures at 68.2%, $210.78, and $140.95,
respectively, for the trailing 12-month period, with a RevPAR
penetration of 116.9%. A February 2024 appraisal valued the asset
at $61.9 million representing a 44.9% reduction in value since
issuance and a $1.2 million decline from the previous appraisal in
March 2023. Given oversaturation concerns with the Chicago hotel
market, as well as additional value decline signaled by the
February 2024 appraisal, Morningstar DBRS' liquidation scenario
included a stress to the most recent appraised value, resulting in
a projected loss severity of more than 50%.
The third-largest loan in special servicing is secured by the
fee-simple interest in Palmer House Retail Shops (Prospectus ID#3,
8.2% of the pool). The collateral consists of 134,536 sf of retail
(40.2% of NRA), office (10.7% of NRA), and parking space (49.1% of
NRA) as part of the Palmer House Hotel in Chicago (noncollateral).
The loan transferred to special servicing in July 2020 and the
asset became REO in September 2023. As of the November 2024 rent
roll, the property reported an occupancy of 38.0% for the retail
and office portion, compared with 47.1% in October 2023 and 90.1%
for the same portion at issuance. Each of the retail tenants
currently appears to be paying rent based on gross sales. Occupancy
and operating performance concerns have persisted since the loan's
transfer to special servicing, with no updated financials provided
as of this review. A June 2024 updated appraisal valued the
collateral at $18.4 million, representing an 80.1% decline in value
when compared with the $92.6 million valuation at issuance. With
this review, Morningstar DBRS applied a haircut to the updated June
2024 appraisal in its liquidation scenario, resulting in a 100%
loss severity.
Notes: All figures are in U.S. dollars unless otherwise noted.
KKR CLO 35: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class B-R, C-R, D-R, and E-R debt from KKR CLO 35
Ltd./KKR CLO 35 LLC, a CLO managed by KKR Financial Advisors II LLC
that was originally issued in September 2021.
The preliminary ratings are based on information as of Feb. 11,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 14, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-R B-R, C-R, D-R, and E-R debt is
expected to be issued at a lower spread over three-month term SOFR
than the original notes.
-- The replacement class A-R, B-R, C-R, D-R, and E-R debt is
expected to be issued at a floating spread, replacing the current
floating spread.
-- The stated maturity, reinvestment period, and non-call period
will each be extended 3.25 years.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
KKR CLO 35 Ltd./KKR CLO 35 LLC
Class B-R, $60.0 million: AA (sf)
Class C-R (deferrable), $30.0 million: A (sf)
Class D-R (deferrable), $30.0 million: BBB- (sf)
Class E-R (deferrable), $20.0 million: BB- (sf)
Other Debt
KKR CLO 35 Ltd./KKR CLO 35 LLC
Class A-R, $320.00 million: Not rated
Variable dividend notes, $49.4 million: Not rated
MF1 2024-FL14: DBRS Confirms B(low) Rating on 3 Classes
-------------------------------------------------------
DBRS, Inc. confirmed all credit ratings on the classes of notes
issued by MF1 2024-FL14 LLC as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (low) (sf)
-- Class H at B (low) (sf)
-- Class F-X at BB (high) (sf)
-- Class G-X at BB (low) (sf)
-- Class H-X at B (low) (sf)
-- Class F-E at BB (high) (sf)
-- Class G-E at BB (low) (sf)
-- Class H-E at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, which has remained in line with
Morningstar DBRS' expectations since issuance as evidenced by
stable performance and leverage metrics. Additionally, the trust
continues to be primarily secured by multifamily collateral, which
has historically exhibited lower default rates and retained values
in times of market downturns compared with other property types. In
conjunction with this press release, Morningstar DBRS has published
a Surveillance Performance Update report with in-depth analysis and
credit metrics for the transaction as well as business plan updates
on select loans. For access to this report, please click on the
link under Related Documents below or contact us at
info-DBRS@morningstar.com.
The initial collateral consisted of 22 floating-rate mortgages
secured by 26 mostly transitional properties with a cut-off date
balance totaling $966.9 million, excluding $98.2 million of future
funding commitments. Most loans were in a period of transition with
plans to stabilize performance and improve the underlying assets'
values. The managed transaction includes a 24-month reinvestment
period, expiring in February 2026.
As of the December 2024 remittance, the pool comprised 28 loans
secured by 37 properties with a cumulative trust balance of $1.1
billion. Since Morningstar DBRS' initial credit rating action in
February 2024, seven loans, representing 12.5% of the current pool
balance, have been added to the trust. Over the same period, one
loan with a former cumulative trust balance of $17.5 million was
paid in full. Beyond the multifamily concentration noted above, one
loan (representing 2.4% of the current trust balance) is secured by
a manufactured housing property.
Leverage across the pool has remained unchanged since issuance. The
current weighted-average (WA) as-is loan-to-value ratio (LTV) is
66.6% and the current WA stabilized LTV is 66.3%, based on the
as-is and stabilized appraised values for the collateral
properties. In the analysis for this review, Morningstar DBRS
applied LTV adjustments to 11 loans, representing 37.1% of the
current trust balance, generally reflective of higher
capitalization rate (cap rate) assumptions compared with the
implied cap rates based on the appraisals. This was merited either
based on an appraiser's cap rate that was low compared with
assumptions for similarly located and/or positioned assets placed
in recent vintage deals or low compared with market cap rates,
which have generally increased since 2022 when interest rate
increases began.
As of the December 2024 remittance, there were no loans in special
servicing; however, there were 16 loans, representing 57.6% of the
current trust balance, on the servicer's watchlist. The majority of
these loans have been flagged for occupancy and cash flow concerns;
however, Morningstar DBRS notes the majority of the underlying
properties are newly built and are in the early stages of the
respective business plans. In addition to the $66.1 million unrated
equity piece, there is also $81.6 million in classes with below
investment-grade credit ratings, with total credit enhancement of
13.3% for the BBB (low) (sf)-rated Class E Note.
Through December 2024, the lender had advanced cumulative loan
future funding of $117.3 million to 20 outstanding individual
borrowers to aid in property stabilization efforts. The largest
advance, $12.7 million, was to the borrower of the Easley & Rock
Hill - Powers Portfolio loan, which is secured by a portfolio five
multifamily properties totaling 712 units in Easley, South
Carolina, and Rock Hill, South Carolina. The advanced funds have
been used to fund unit renovations along with exterior upgrades.
According to the collateral manager, the sponsor has completed
renovations across 179 units with an additional 160 units under
way. As of July 2024, the portfolio was 53.5% occupied.
An additional $80.9 million of loan future funding is available,
allocated to 17 of the outstanding individual borrowers. The
largest portion of available funding ($18.0 million) is allocated
to the 1909 Rittenhouse loan, which is secured by a newly built,
216-unit, multifamily property in downtown Philadelphia. The
property, which consists of two separate building, also includes
40,884 square feet of retail space. The $22.2 million future
funding component was allocated as follows: $8.0 million into an
interest shortfall reserve, $10.2 million into a leasing reserve,
and $4.0 million into an earn-out reserve. As of August 2024, the
residential component was 93.5% occupied.
Notes: All figures are in U.S. dollars unless otherwise noted.
MF1 2025-FL17: Fitch Assigns 'B-sf' Final Rating on Three Tranches
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Ratings Outlooks to
MF1 2025-FL17 LLC, Notes as follows:
- $673,100,000c class A 'AAAsf'; Outlook Stable;
- $219,075,000c class A-S 'AAAsf'; Outlook Stable;
- $85,725,000c class B 'AA-sf'; Outlook Stable;
- $68,262,000c class C 'A-sf'; Outlook Stable;
- $41,275,000c class D 'BBBsf'; Outlook Stable;
- $20,638,000c class E 'BBB-sf'; Outlook Stable;
- $14,287,000a class F 'BB+sf'; Outlook Stable;
- $0ac class F-E 'BB+sf'; Outlook Stable;
- $0ab class F-X 'BB+sf'; Outlook Stable;
- $23,813,000ac class G 'BB-sf'; Outlook Stable;
- $0a class G-E 'BB-sf'; Outlook Stable;
- $0ab class G-X 'BB-sf'; Outlook Stable;
- $26,987,000c class H 'B-sf'; Outlook Stable;
- $0a class H-E 'B-sf'; Outlook Stable;
- $0ab class H-X 'B-sf'; Outlook Stable;
The following classes are not rated by Fitch:
- $96,838,000 Income Notes.
(a) Exchangeable Notes. Classes F, G and H notes are exchangeable
notes. Each class of exchangeable notes may be exchanged for the
corresponding classes of exchangeable notes, and vice versa. The
dollar denomination of each of the received classes of notes must
be equal to the dollar denomination of each of the surrendered
classes of notes.
(b) Notional amount and interest only (IO).
(c) Privately placed and pursuant to Rule 144A.
(d) Horizontal risk retention interest, estimated to be 11.625% of
the principal balance of the notes.
The approximate collateral interest balance as of the cutoff date
is $1,246,318,570 and does not include future funding.
Transaction Summary
The notes are collateralized by 25 loans secured by 86 commercial
properties having an aggregate principal balance of $1,246,318,570
as of the cut-off date, including seven delayed- close collateral
interests totaling $317.8 million, which are expected to close
within 60 days after the closing date. The pool also includes ramp
up collateral interest of $23,681,429.95.
The loans were contributed to the trust by MF1 REIT III LLC. The
servicer is CBRE Loan Services and the special servicer is MF1 Loan
Services LLC. The trustee is Wilmington Trust, National
Association, and the note administrator is Computershare Trust
Company, National Association. The notes follow a sequential
paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 25 loans
in the pool. Fitch's resulting aggregate net cash flow (NCF) of
$38.4 million represents a 7.7% decline from the issuer's aggregate
underwritten NCF of $41.6 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 143.1% is higher than the 2024 CRE-CLO averages of
140.7%, but below the 2023 CRE-CLO averages of 171.2%. The pool's
Fitch NCF debt yield (DY) of 5.8% is lower than the 2024 CRE-CLO
averages of 6.5%, but higher than the 2023 CRE-CLO averages of
5.6%.
Better Pool Diversity: The pool diversity is better than that of
recently rated Fitch CRE-CLO transactions. The top 10 loans make up
56.5% of the pool, which is lower than both the 2024 CRE-CLO
average of 70.5% and 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 34.5% comprised IO loans. This is
better 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 paydown by 1.2% by the maturity of
the loans. 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.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating: 'AAAsf'/ 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBBsf'/
'BBB-sf'/ 'BB+sf'/ 'BB-sf'/ 'B-sf';
- 10% NCF Decline: 'AAAsf'/ 'AAsf'/ 'Asf'/ 'BBBsf'/ 'BB+sf'/
'BB-sf'/ 'B+sf'/ 'B-sf'/ '
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating: 'AAAsf'/ 'AAAsf'/ 'AA-sf'/'A-sf'/ 'BBBsf'/
'BBB-sf'/ 'BB+sf'/ 'BB-sf'/ 'B-sf';
- 10% NCF Increase: 'AAAsf'/ 'AAAsf'/ 'AAsf'/ 'Asf'/ 'BBB+sf'/
'BBBsf'/ 'BBB-sf'/ 'BB+sf'/ 'B+sf'.
SUMMARY OF FINANCIAL ADJUSTMENTS
Cash Flow Modeling
This transaction utilizes note protection tests to provide
additional credit enhancement (CE) to the investment-grade
noteholders, if needed. The note protection tests comprise an
interest coverage test and a par value test at the 'BBB-' level
(class E) in the capital structure. Should either of these metrics
fall below a minimum requirement then interest payments to the
retained notes are diverted to pay down the senior most notes. This
diversion of interest payments continues until the note protection
tests are back above their minimums.
As a result of this structural feature, Fitch's analysis of the
transaction included an evaluation of the liabilities structure
under different stress scenarios. To undertake this evaluation,
Fitch used the cash flow modeling referenced in the Fitch criteria
"U.S. and Canadian Multiborrower CMBS Rating Criteria." Different
scenarios were run where asset default timing distributions and
recovery timing assumptions were stressed.
Key inputs, including Rating Default Rate (RDR) and Rating Recovery
Rate (RRR), were based on the CMBS multiborrower model output in
combination with CMBS analytical insight. The cash flow modeling
results showed that the default rates in the stressed scenarios did
not exceed the available CE in any stressed scenario.
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.
MP CLO VII: Fitch Lowers Rating on Class F-RR Notes to 'CCsf'
-------------------------------------------------------------
Fitch Ratings has downgraded the class F-RR notes in MP CLO VII,
Ltd. (MP CLO VII) to 'CCsf' from 'CCCsf'.
Entity/Debt Rating Prior
----------- ------ -----
MP CLO VII, Ltd.
(f/k/a ACAS CLO
2015-1, Ltd.)
F-RR 55320TAD5 LT CCsf Downgrade CCCsf
Transaction Summary
MP CLO VII is a broadly syndicated collateralized loan obligation
(CLO) managed by MP CLO Management LLC. The transaction originally
closed in May 2015 and was reset in September 2018. The transaction
exited its reinvestment period in October 2020 and refinanced its
senior-most tranche in June 2021. The notes are secured primarily
by first-lien, senior secured leveraged loans.
KEY RATING DRIVERS
Limited Credit Enhancement and Declining Credit Quality: Fitch
believes that a default appears probable for the class F-RR notes
due to insufficient credit enhancement. As of the latest January
trustee report, the total par balance of portfolio assets was
$162.4 million, against $161.4 million notional balance of secured
notes, including the class F-RR deferred interest amount. Deferred
interest on the class F notes has risen to $0.7 million
(approximately 6% of the original note balance) from $0.4 million
at last review in March 2024.
The portfolio weighted average spread level decreased slightly to
3.50% from 3.52%. Comparatively, the weighted average spread of
liabilities is 3.40%, and expected to rise as notes amortize.
The portfolio's weighted average rating factor deteriorated to 29.1
('B'/ 'B-') from 26.1 ('B'/'B-') at last review, and the
portfolio's weighted average recovery rating decreased to 72.6%
from 75.2%. Exposure to Fitch's Watchlist doubled to 22.6% from
11.5% of the portfolio, and approximately 19.8% of the portfolio
has a Negative Outlook.
The total obligors have decreased to 65 from 114, increasing the
concentration of the top 10 obligors to 28.9% from 17.5% of the
portfolio. Exposure to long-dated assets also rose to 7.1% from
3.3% of the portfolio and an additional 4.5% of assets will become
long-dated if not sold within the required timeframe. The current
OC tests do not incorporate a haircut for the long-dated assets
since total exposure is below 2.5% of original target par.
Fitch's cash flow analysis indicates no breakeven default rates for
the current portfolio, as available excess spread and principal
proceeds are not expected to be sufficient to redeem the class F-RR
notes by its maturity date, likely resulting in a payment default.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades may occur if portfolio losses continue, class F-RR
deferred interest continues to accrue or if the notes' credit
enhancement further deteriorates or becomes undercollateralized to
render default to be imminent.
- An increase by 25% of the mean default rate across all ratings,
along with a 25% decrease of the recovery rate at all rating levels
for the current portfolio, would lead to no change in the Model
Implied Rating.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades may occur in the event of better-than-expected portfolio
credit quality and transaction performance.
- A decrease by 25% of the mean default rate across all ratings,
along with a 25% increase of the recovery rate at all rating levels
for the current portfolio, would lead to no change in the Model
Implied Rating.
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
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.
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 or information on the risk-presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for MP CLO VII, 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.
MSC 2020-L4: Fitch Affirms 'B-sf' Rating on Class G-RR Certificates
-------------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of MSC 2020-L4 commercial
mortgage pass-through certificates, series 2020-L4. The Rating
Outlook on class D has been revised to Negative from Stable. The
Outlooks remain Negative on classes E, F, G-RR, X-D and X-F.
Entity/Debt Rating Prior
----------- ------ -----
MSC 2020-L4
A-1 61770KAU9 LT AAAsf Affirmed AAAsf
A-2 61770KAW5 LT AAAsf Affirmed AAAsf
A-3 61770KAX3 LT AAAsf Affirmed AAAsf
A-S 61770KBA2 LT AAAsf Affirmed AAAsf
A-SB 61770KAV7 LT AAAsf Affirmed AAAsf
B 61770KBB0 LT AA-sf Affirmed AA-sf
C 61770KBC8 LT A-sf Affirmed A-sf
D 61770KAE5 LT BBBsf Affirmed BBBsf
E 61770KAG0 LT BBB-sf Affirmed BBB-sf
F 61770KAJ4 LT BB-sf Affirmed BB-sf
G-RR 61770KAL9 LT B-sf Affirmed B-sf
X-A 61770KAY1 LT AAAsf Affirmed AAAsf
X-B 61770KAZ8 LT A-sf Affirmed A-sf
X-D 61770KAA3 LT BBB-sf Affirmed BBB-sf
X-F 61770KAC9 LT BB-sf Affirmed BB-sf
KEY RATING DRIVERS
Deal-level 'Bsf' rating case loss is 4.4%. Three loans are flagged
as Fitch Loans of Concern (FLOCs; 6.4% of the pool). No loans are
currently in special servicing.
The affirmations reflect the generally stable pool performance and
loss expectations since Fitch's prior rating action. The Negative
Outlooks reflect the potential for a future downgrade should
performance of the FLOCs continue to deteriorate, primarily
Haggerty Corridor Corporate Park, Four Research Drive and Commerce
Building - San Diego. The pool has a high concentration of office
properties at 28% of the pool balance. Fitch ran an additional
sensitivity that increased the probability of default on two
underperforming office portfolios, Haggerty Corridor Corporate Park
and Alrig Portfolio. This sensitivity contributed to the Negative
Outlook revision on class D.
Largest Contributor to Loss: The largest contributor to loss is
1412 Broadway (4.9%), which is secured by a 421,396sf office
property located in the Garment District in New York, NY. The loan
was previously flagged as a FLOC due to rollover concerns. However,
the loan is no longer a FLOC because occupancy has continued to
improve following recent lease extensions. Occupancy improved to
95% as of October 2024 from 85% at YE 2023. Upcoming rollover is as
follows: of 8.2% NRA (22% GPR) in 2025, 4.6% (4% GPR) in 2026 and
8.7% (9.1% GPR) in 2027.
The servicer reported YE 2023 NOI DSCR was 1.33x, which is a slight
improvement from 1.18x at YE 2022 but still below 1.65x at YE 2021.
Fitch's 'Bsf' rating case loss of 13% (prior to concentration
add-ons) reflects an 8.5% cap rate and a 10% stress to the YE 2023
NOI.
The second largest contributor to loss and largest increase in loss
expectations since Fitch's prior rating action is Haggerty Corridor
Corporate Park (3.9%), which is secured by a portfolio of four
suburban office properties located in Novi and Farmington Hills,
MI. The loan has been designated as a FLOC due to a low DSCR. The
servicer reported NOI DSCR was 1.05x at YE 2023 compared with 1.28x
at YE 2022 and 1.55x at YE 2021. The YE 2023 NOI decline was due to
a slight decline in base rent and an increase in expenses,
primarily repairs and maintenance.
As of June 2024, portfolio occupancy was 89%, which is a slight
improvement from 86% at YE 2023. The largest portfolio tenant is
NGK Automotive Ceramics (14% NRA; lease expires in August 2026).
Fitch's 'Bsf' rating case loss of 14.6% (prior to concentration
add-ons) reflects a 10.25% cap rate and a 10% stress to the YE 2023
NOI.
The next largest increase in loss expectations since Fitch's prior
rating action is the Commerce Building - San Diego (0.5%), which is
secured by a 22,610 Sf mixed use property located in San Diego, CA.
The loan has been designated as a FLOC due to performance declines.
Occupancy declined to 49% as of June 2024, down from 53% at the end
of 2023 and 79% at the end of 2022. Groove Labs Inc., which
occupied 22% of the Net Rentable Area (NRA), vacated the property
when their lease expired in January 2022. The servicer reported
that the Net Operating Income (NOI) Debt Service Coverage Ratio
(DSCR) was 0.83x at the end of 2023, a decline from 1.49x at the
end of 2022.
Fitch's 'Bsf' rating case loss of 36.2% (prior to concentration
add-ons) reflects an 9.5% cap rate and a 10% stress to the YE 2023
NOI.
Credit Enhancement: As of the December 2024 distribution date, the
transaction balance has been reduced by 1% to $822 million from
$830 million at issuance. 29 loans (82% of the pool balance) are
full-term Interest only, while two loans (2.4%) remain in their
partial IO period. Interest shortfalls of $5,154 are currently
affecting the non-rated class H-RR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the senior 'AAAsf' rated classes are not likely due
to their position in the capital structure, sufficient CE relative
to loss expectations and expected paydown from mainly non-FLOCs.
However, downgrades may occur if interest shortfalls affect these
classes.
Downgrades to the junior classes rated 'AAAsf', 'AAsf' and 'Asf'
may occur if performance of the FLOCs deteriorate further or if
more currently performing loans exhibit performance declines. These
FLOCs include Haggerty Corridor Corporate Park, Four Research Drive
and Commerce Building - San Diego.
Downgrades to classes rated 'BBBsf', 'BBsf', and 'Bsf' could occur
with higher than expected losses from continued underperformance of
the aforementioned FLOCs and with greater certainty of losses on
the FLOCs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to 'AAsf' and 'Asf' classes are possible with
significantly increased CE, a sustained improvement in pool-level
loss expectations and performance stabilization of FLOCs. Fitch
will also consider the concentration of defeased loans in the
transaction when evaluating these classes for upgrades.
Upgrades to the 'BBBsf' category rated classes, would occur with
sustained improvement in pool performance coupled with
stabilization of the FLOCs. Upgrades would be limited based on
sensitivity to concentrations or the potential for future
concentration. Upgrades to 'BBsf' and 'Bsf' classes are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable and there is sufficient CE to the
classes.
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.
N-STAR REL VIII: Fitch Lowers Rating on Three Tranches to 'Dsf'
---------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 11 classes from two
commercial real estate loan (CREL) collateralized debt obligations
(CDOs).
Entity/Debt Rating Prior
----------- ------ -----
N-Star REL CDO VI,
Ltd./LLC
J LT Dsf Affirmed Dsf
K LT Csf Affirmed Csf
N-Star REL
CDO VIII, Ltd./LLC
B 62940FAD1 LT Dsf Downgrade CCCsf
C 62940FAE9 LT Dsf Downgrade Csf
D 62940FAF6 LT Dsf Downgrade Csf
E 62940FAG4 LT Csf Affirmed Csf
F 62940FAH2 LT Csf Affirmed Csf
G 62940FAJ8 LT Csf Affirmed Csf
H 62940FAK5 LT Csf Affirmed Csf
J 62940BAA6 LT Csf Affirmed Csf
K 62940BAB4 LT Csf Affirmed Csf
L 62940BAC2 LT Csf Affirmed Csf
M 62940BAE8 LT Csf Affirmed Csf
N 62940BAF5 LT Csf Affirmed Csf
KEY RATING DRIVERS
N-Star REL CDO VIII; Event of Default: The downgrade of classes B,
C and D in N-Star REL CDO VIII to 'Dsf' reflects the declaration of
an Event of Default (EOD) by the trustee as principal and interest
proceeds received were insufficient to pay timely interest to these
classes on the March 1, 2024 payment date.
N-Star REL CDO VI; Event of Default: The affirmation of class J in
N-Star REL CDO VI at 'Dsf' reflects an EOD that occurred in June
2023 due to missed timely interest to the class.
The affirmation of classes C through N in N-Star REL CDO VIII and
class K in N-Star REL CDO VI at 'Csf' indicates default is
considered inevitable.
Undercollateralization: The N-Star VIII and N-Star VI CDOs are
undercollateralized in excess of $293 million and $96 million,
respectively. Overall pool loss expectations for N-Star REL CDO
VIII of 71.7% significantly exceed the credit enhancement (CE) for
class E. Classes F through N in N-Star VIII and class K in N-Star
VI have negative CE.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Classes already rated 'Csf' have limited sensitivity to downgrade
given their highly distressed rating level. However, there is
potential for classes to be downgraded to 'Dsf' at or prior to
legal final maturity if they are non-deferrable classes that
experience any interest payment shortfalls or should an EOD (as set
forth in the transaction documents) occur.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to the 'Csf' rated classes are not expected as these
classes are either undercollateralized and/or rely on poorly
performing collateral, where minimal to no recoveries are expected,
for repayment. Upgrades to the classes rated 'Dsf' are not possible
as they are non-deferrable classes that have already experienced a
timely interest payment shortfall.
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.
NEUBERGER BERMAN 31: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R2, B-R2,
C-R2, D-1R2, D-2R2, and E-R2 replacement debt from Neuberger Berman
Loan Advisers CLO 31 Ltd./Neuberger Berman Loan Advisers CLO 31
LLC, a CLO managed by Neuberger Berman Loan Advisers LLC that was
originally issued in May 2019 and underwent a refinancing in April
2021. At the same time, S&P withdrew its ratings on the original
class A-R, B-R, C-R, D-R, and E-R debt following payment in full on
the Feb. 7, 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-R2 and D-2R2 debt was issued at a
higher spread over three-month term SOFR than the April 2021 debt's
spread over three-month LIBOR.
-- The replacement class B-R2, C-R2, D-1R2, and E-R2 debt was
issued at a lower spread over three-month term SOFR than the April
2021 debt's spread over three-month LIBOR.
-- The replacement class D-1R2 and D-2R2 debt replaced the April
2021 class D-R debt. The class D-2R1 debt has the same par
subordination as the April 2021 class D-R debt, while the class
D-2-R2 debt has 1% less.
-- The stated maturity was extended 7.75 years.
-- The reinvestment period was extended 5.75 years.
-- The non-call period was extended 4.75 years.
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
Neuberger Berman Loan Advisers CLO 31 Ltd./
Neuberger Berman Loan Advisers CLO 31 LLC
Class A-R2, $304.000 million: AAA (sf)
Class B-R2, $57.000 million: AA (sf)
Class C-R2 (deferrable), $28.500 million: A (sf)
Class D-1R2 (deferrable), $28.500 million: BBB- (sf)
Class D-2R2 (deferrable), $4.750 million: BBB- (sf)
Class E-R2 (deferrable), $14.250 million: BB- (sf)
Ratings Withdrawn
Neuberger Berman Loan Advisers CLO 31 Ltd./
Neuberger Berman Loan Advisers CLO 31 LLC
Class A-R to not rated from 'AAA (sf)'
Class B-R to not rated from 'AA (sf)'
Class C-R (deferrable) to not rated from 'A (sf)'
Class D-R (deferrable) to not rated from 'BBB- (sf)'
Class E-R (deferrable) to not rated from 'BB- (sf)'
Other Debt
Neuberger Berman Loan Advisers CLO 31 Ltd./
Neuberger Berman Loan Advisers CLO 31 LLC
Subordinated notes, $59.785 million: Not rated
NEW MOUNTAIN 1: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to New
Mountain CLO 1 Ltd reset transaction.
Entity/Debt Rating
----------- ------
New Mountain
CLO 1 Ltd
X LT AAAsf New Rating
A-1RR LT AAAsf New Rating
A-2RR LT AAAsf New Rating
B-RR LT AAsf New Rating
C-RR LT Asf New Rating
D-RR LT BBB-sf New Rating
E-RR LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
New Mountain CLO 1 Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by New
Mountain Credit CLO Advisers, L.L.C. This is the second refinancing
in which the existing secured notes will be refinanced in whole on
Feb. 7, 2025. Net proceeds from the issuance of the secured and the
existing 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/B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 25.18, versus a maximum covenant, in
accordance with the initial expected matrix point of 25.35. 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
99.32% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.67% versus a
minimum covenant, in accordance with the initial expected matrix
point of 74.2%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 46% 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
that of other recent CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-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 for 'AAAsf' for class X notes, between 'BBB+sf' and
'AA+sf' for class A-1RR notes, between 'BBB+sf' and 'AA+sf' for
class A-2RR notes, between 'BB+sf' and 'A+sf' for class B-RR notes,
between 'B+sf' and 'BBB+sf' for class C-RR notes, between less than
'B-sf' and 'BB+sf' for class D-RR notes, and between less than
'B-sf' and 'BB-sf' for class E-RR notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X, class A-1RR
and class A-2RR 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 notes, 'AAsf' for class C-RR
notes, 'A+sf' for class D-RR notes, and 'BBB+sf' for class E-RR
notes.
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 New Mountain CLO 1
Ltd reset transaction. 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.
NEW MOUNTAIN CLO 1: S&P Withdraws 'BB- (sf)' Rating on E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its rating to the class A-1RR
replacement debt from New Mountain CLO 1 Ltd./New Mountain CLO 1
LLC, a CLO managed by New Mountain Credit CLO Advisers LLC that was
originally issued in October 2020 and underwent a refinancing in
October 2021. At the same time, S&P withdrew its ratings on the
October 2021 class A-R, B-1R, B-2R, C-R, D-R, and E-R debt
following payment in full on the Feb. 7, 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-1RR, B-RR, C-RR, D-RR, and E-RR debt
was issued at a lower spread than the original debt.
-- The replacement class B-RR debt was issued at a floating
spread, replacing the current fixed- and floating-rate split.
-- The stated maturity and reinvestment period were extended 3.25
years.
-- New class X debt was issued in connection with this
refinancing. This debt will be paid down using interest proceeds
during the first 12 payment dates.
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."
Rating Assigned
New Mountain CLO 1 Ltd./New Mountain CLO 1 LLC
Class A-1RR, $300.00 million: AAA (sf)
Ratings Withdrawn
New Mountain CLO 1 Ltd./New Mountain CLO 1 LLC
Class A-R to NR from 'AAA (sf)'
Class B-1R to NR from 'AA (sf)'
Class B-2R to NR from 'AA (sf)'
Class C-R to NR from 'A (sf)'
Class D-R to NR from 'BBB- (sf)'
Class E-R to NR from 'BB- (sf)'
Other Debt
New Mountain CLO 1 Ltd./New Mountain CLO 1 LLC
Class X, $2.00 million: NR
Class A-2RR, $25.00 million: NR
Class B-RR, $55.00 million: NR
Class C-RR, $30.00 million: NR
Class D-RR, $30.00 million: NR
Class E-RR, $20.00 million: NR
Subordinated notes, $42.60 million: NR
NR--Not rated.
NEW RESIDENTIAL 2025-NQM1: Fitch Assigns B-sf Rating on B-2 Notes
-----------------------------------------------------------------
Fitch Ratings assigns final ratings to the residential
mortgage-backed notes issued by New Residential Mortgage Loan Trust
2025-NQM1 (NRMLT 2025-NQM1).
Entity/Debt Rating Prior
----------- ------ -----
NRMLT 2025-NQM1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-2 LT AA-sf New Rating AA-(EXP)sf
A-3 LT A-sf New Rating A-(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
B-1 LT BB-sf New Rating BB-(EXP)sf
B-2 LT B-sf New Rating B-(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
M-1 LT BBB-sf New Rating BBB-(EXP)sf
R LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
The NRMLT 2025-NQM1 notes are supported by 583 newly originated
loans with a balance of $308 million as of the Jan. 1, 2025 cutoff
date. The pool consists of loans originated by NewRez LLC as well
as third-party originator Champions Funding, LLC (Champions), among
others.
The notes are secured mainly by non-qualified mortgage (QM) loans
as defined by the ability-to-repay (ATR) Rule. Of the loans in the
pool, 52.3% are designated as non-QM, while the remainder are not
subject to the ATR Rule.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.2% above a long-term sustainable level (relative
to 11.6% on a national level as of 2Q24). Housing affordability is
the worst it has been in decades, driven by both high interest
rates and elevated home prices. Home prices had increased 4.3% yoy
nationally as of August 2024 despite modest regional declines, but
are still being supported by limited inventory.
Non-Prime Credit Quality (Negative): The collateral consists of 583
loans, totaling $308 million and seasoned approximately three
months in aggregate, according to Fitch, as calculated from the
origination date. The borrowers have a moderate credit profile when
compared with other non-QM transactions, with a 752 Fitch model
FICO score and 40% debt/income ratios (DTI), as determined by Fitch
after converting the debt service coverage ratio (DSCR) values.
However, leverage (81% sustainable loan/value [sLTV]) within this
pool is consistent compared to previous NRMLT transactions from
2024.
The pool consists of 58.8% of loans where the borrower maintains a
primary residence, while 36.1% are considered an investor property
or second home. In addition, only 17.0% of the loans were
originated through a retail channel. Moreover, 52.3% are considered
non-QM, and the remainder are not subject to QM.
Modified Sequential-Payment Structure (Mixed): The structure pays
principal pro rata among the senior notes while shutting out the
subordinate bonds from principal until all senior classes are
reduced to zero. If a cumulative loss trigger event or delinquency
trigger event occurs in a given period, principal will be paid
sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are
reduced to zero.
Starting on the payment date immediately following the first
payment date of which the principal balance of the mortgage loans
is less than or equal to 20% of the balance as of the cut-off date,
the class A-1A, A-1B, A-2 and A-3 notes feature a 100-bp coupon
step-up, subject to the net WAC. This increases the interest
allocation for the A-1 through A-3 and decreases the amount of
excess spread available in the transaction.
Loan Documentation (Negative): Approximately 74.2% of the pool was
underwritten to less than full documentation, according to Fitch.
Approximately 47.3% was underwritten to a 12-month or 24-month bank
statement program for verifying income, which is not consistent
with Fitch's view of a full documentation program.
A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protection Bureau's (CFPB)
ATR Rule. The standards are meant to reduce the risk of borrower
default arising from lack of affordability, misrepresentation or
other operational quality risks due to rigor of the ATR Rule's
mandates with respect to the underwriting and documentation of the
borrower's ATR. In addition, 19.7% are DSCR product, and 4.4% are
Asset Depletion product.
High Investor Property Concentrations (Negative): Approximately
36.1% of the pool comprises investment property loans, including
19.7% underwritten to a cash flow ratio rather than the borrower's
DTI ratio. Investor property loans exhibit higher probability of
defaults (PDs) and higher loss severities (LS) than owner-occupied
homes. Fitch increased the PD by approximately 2.0x for the cash
flow ratio loans relative to a traditional income documentation
investor loan in order to account for the increased risk.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 42.3% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Evolve, Infinity, and SitusAMC. The third-party due
diligence described in Form 15E focused on credit, compliance, and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments to
its analysis:
- Fitch applied a 5% PD credit at the loan level for all loans
graded either 'A' or 'B';
- Fitch lowered its loss expectations by approximately 52bps
because of the diligence review.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
OAKTREE CLO 2021-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
C-1-R, D-1-R, D-2-R, and E-R replacement debt from Oaktree CLO
2021-2 Ltd./Oaktree CLO 2021-2 LLC, a CLO originally issued in
December 2021 that is managed by Oaktree Capital Management L.P. At
the same time, S&P withdrew its ratings on the original class A,
B-1, C-1, D-1, D-2, and E debt following payment in full on the
Feb. 7, 2025, refinancing date. S&P affirmed its ratings on the
class B-2, C-2, and F debt, which were not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- No additional assets were purchased on the Feb 7, 2025,
refinancing date, and 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 15, 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, $254.00 million: Three-month CME term SOFR + 0.97%
-- Class B-1-R, $35.00 million: Three-month CME term SOFR + 1.40%
-- Class C-1-R (deferrable), $20.00 million: Three-month CME term
SOFR + 1.70%
-- Class D-1-R (deferrable), $17.00 million: Three-month CME term
SOFR + 2.40%
-- Class D-2-R (deferrable), $7.00 million: Three-month CME term
SOFR + 3.50%
-- Class E-R (deferrable), $15.00 million: Three-month CME term
SOFR + 4.50%
-- Subordinated notes, $32.40 million: Not applicable
Original debt
-- Class A, $254.00 million: Three-month CME term SOFR +
1.44161%(i)
-- Class B-1, $35.00 million: Three-month CME term SOFR +
2.01161%(i)
-- Class B-2, $15.00 million: 3.226%
-- Class C-1(deferrable), $20.00 million: Three-month CME term
SOFR + 2.51161%(i)
-- Class C-2 (deferrable), $4.00 million: 3.701%
-- Class D-1 (deferrable), $17.00 million: Three-month CME term
SOFR + 3.61161%(i)
-- Class D-2 (deferrable), $7.00 million: Three-month CME term
SOFR + 5.28161%(i)
-- Class E (deferrable), $15.00 million: Three-month CME term SOFR
+ 7.38161%(i)
-- Class F (deferrable), $7.00 million: Three-month CME term SOFR
+ 8.29161%(i)
-- Subordinated notes, $32.40 million: Not applicable
(i)Includes a credit spread adjustment of 0.26161%.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Oaktree CLO 2021-2 Ltd./Oaktree CLO 2021-2 LLC
Class A-R, $254.00 million: AAA (sf)
Class B-1-R, $35.00 million: AA (sf)
Class C-1-R (deferrable), $20.00 million: A (sf)
Class D-1-R (deferrable), $17.00 million: BBB+ (sf)
Class D-2-R (deferrable), $7.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Ratings Withdrawn
Oaktree CLO 2021-2 Ltd./Oaktree CLO 2021-2 LLC
Class A to NR from 'AAA (sf)'
Class B-1 to NR from 'AA (sf)'
Class C-1 (deferrable) to NR from 'A (sf)'
Class D-1 (deferrable) to NR from 'BBB+ (sf)'
Class D-2 (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Ratings Affirmed
Oaktree CLO 2021-2 Ltd./Oaktree CLO 2021-2 LLC
Class B-2: AA (sf)
Class C-2: A (sf)
Class F: B- (sf)
Other Debt
Oaktree CLO 2021-2 Ltd./Oaktree CLO 2021-2 LLC
Subordinated notes, $32.40 million: NR
NR--Not rated.
OCEANVIEW MORTGAGE 2025-INV1: Moody's Gives B3 Rating to B-5 Certs
------------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 71 classes of
residential mortgage-backed securities (RMBS) to be issued by
Oceanview Mortgage Trust 2025-INV1, and sponsored by Oceanview
Asset Selector, LLC.
The securities are backed by a pool of GSE-eligible (99.1% by
balance) and non-GSE-eligible (0.9% by balance) residential
mortgages aggregated by Oceanview Acquisitions I, LLC, originated
by multiple entities and serviced by Nationstar Mortgage LLC d/b/a
Rushmore Servicing.
The complete rating actions are as follows:
Issuer: Oceanview Mortgage Trust 2025-INV1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-F1, Definitive Rating Assigned Aaa (sf)
Cl. A-X1, Definitive Rating Assigned Aaa (sf)
Cl. A-F2, Definitive Rating Assigned Aaa (sf)
Cl. A-X2, Definitive Rating Assigned Aaa (sf)
Cl. A-F3, Definitive Rating Assigned Aa1 (sf)
Cl. A-X3, Definitive Rating Assigned Aa1 (sf)
Cl. A-F4, Definitive Rating Assigned Aaa (sf)
Cl. A-X4, Definitive Rating Assigned Aaa (sf)
Cl. A-F, Definitive Rating Assigned Aaa (sf)
Cl. A-X, Definitive Rating Assigned Aaa (sf)
Cl. A-WX1, Definitive Rating Assigned Aaa (sf)
Cl. A-WX2, Definitive Rating Assigned Aaa (sf)
Cl. A-WX3, Definitive Rating Assigned Aa1 (sf)
Cl. A-W1, Definitive Rating Assigned Aaa (sf)
Cl. A-W2, Definitive Rating Assigned Aaa (sf)
Cl. A-W3, Definitive Rating Assigned Aa1 (sf)
Cl. A-W4, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-IO1*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO2*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO3*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO4*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO5*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO6*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO7*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO8*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO9*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO10*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO11*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO12*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO13*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO14*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO15*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO16*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO17*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO18*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO19*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO20*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO21*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO22*, Definitive Rating Assigned Aaa (sf)
Cl. A-IO23*, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO24*, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO25*, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO26*, Definitive Rating Assigned Aa1 (sf)
Cl. A-IO27*, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
*Reflects Interest-Only Classes
Moody's are withdrawing the provisional ratings for the Class A-1A
loans, assigned on January 30, 2025, because the issuer will not be
issuing this class.
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
1.18%, in a baseline scenario-median is 0.78% and reaches 10.50% 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.
OCP CLO 2015-9: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 debt
from OCP CLO 2015-9 Ltd./OCP CLO 2015-9 Corp., a CLO managed by
Onex Credit Partners LLC, that was originally issued in 2015,
refinanced in 2017, and reset again in 2022. S&P Global Ratings did
not rate the transaction when it was reset in 2022.
The preliminary ratings are based on information as of Feb. 7,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:
-- The replacement debt is expected to be issued at a lower spread
over three-month CME term SOFR than the original debt.
-- The original class D-R debt is being replaced by two new
classes, D-1-R3 and D-2-R3, which are sequential in payment.
-- The reinvestment period will be extended to Jan. 15, 2028.
-- The non-call period will be extended to Jan. 15, 2026.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
OCP CLO 2015-9 Ltd./OCP CLO 2015-9 Corp.
Class A-R3, $256.00 million: AAA (sf)
Class B-R3, $48.00 million: AA (sf)
Class C-R3 (deferrable), $24.00 million: A (sf)
Class D-1-R3 (deferrable), $24.00 million: BBB- (sf)
Class D-2-R3 (deferrable), $4.00 million: BBB- (sf)
Class E-R3 (deferrable), $12.00 million: BB- (sf)
Other Debt
OCP CLO 2015-9 Ltd./OCP CLO 2015-9 Corp.
Subordinated notes, $72.85 million: Not rated
OCP CLO 2021-21: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from OCP CLO
2021-21 Ltd./OCP CLO 2021-21 LLC, a CLO originally issued in June
2021 that is managed by Onex Credit Partners LLC.
The preliminary ratings are based on information as of Feb. 7,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 21, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original class A-1, B, C, D, and E debt and assign ratings to the
class A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt. The
original class A-2 debt is not rated by S&P Global Ratings.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original debt and withdraw our preliminary ratings
on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement debt is expected to be issued at a lower spread
over three-month CME term SOFR than the original debt.
-- The original class D debt is being replaced by two new classes
of debt, D-1R and D-2R, which are sequential in payment.
-- The reinvestment period will be extended to Feb. 21, 2030.
-- The non-call period will be extended to Feb. 21, 2027.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to Jan. 20,
2038.
-- Additional assets will be purchased on the Feb. 21, 2025
refinancing date, and the target initial par amount will increase
to $600.00 million. There will be no additional effective date or
ramp-up period, and the first payment date following the
refinancing is April 20, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- Additional subordinated notes will be issued on the refinancing
date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
OCP CLO 2021-21 Ltd./OCP CLO 2021-21 LLC
Class A-R, $384.0 million: AAA (sf)
Class B-R, $72.0 million: AA (sf)
Class C-R (deferrable), $36.0 million: A+ (sf)
Class D-1R (deferrable), $36.0 million: BBB- (sf)
Class D-2R (deferrable), $6.0 million: BBB- (sf)
Class E-R (deferrable), $18.0 million: BB- (sf)
Other Debt
OCP CLO 2021-21 Ltd./OCP CLO 2021-21 LLC
Subordinated notes, $76.745 million(i): Not rated
(i)Balance includes additional subordinated notes that will be
issued on the refinancing date.
OHA CREDIT VII: S&P Assigns Prelim BB- (sf) Rating on E-R4 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-L, A-R4, B-L, B-1-R4, B-2R4, C-R4, D-1-R4, D-2-R4, and E-R4
replacement debt from OHA Credit Partners VII Ltd./OHA Credit
Partners VII Inc., a CLO managed by Generate Advisors LLC that was
originally issued in November 2012.
The preliminary ratings are based on information as of Feb. 12,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 20, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the May 2021 debt. S&P
said, "At that time, we expect to withdraw our ratings on the May
2021 debt and assign ratings to the replacement debt. However, if
the refinancing doesn't occur, we may affirm our ratings on the
March 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 replacement class A-L, A-R4, B-L, B-1-R4, C-R4, D-1-R4,
D-2-R4, and E-R4 debt is expected to be issued at a lower spread
over three-month SOFR than the original debt.
-- The stated maturity and reinvestment period be extended by four
years.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
OHA Credit Partners VII Ltd./OHA Credit Partners VII Inc.
Class A-R4, $284.0 million: AAA (sf)
Class A-L loans(i), $143.0 million: AAA (sf)
Class B-L loans(ii), $70.0 million: AA (sf)
Class B-1-R4, $18.0 million: AA (sf)
Class B-2-R4, $17.0 million: AA (sf)
Class C-R4 (deferrable), $42.0 million: A (sf)
Class D-1R4 (deferrable), $42.0 million: BBB- (sf)
Class D-2R4 (deferrable), $7.0 million: BBB- (sf)
Class E-R4 (deferrable), $21.0 million: BB- (sf)
(i)The class A-L loans may be converted to A-R4 notes, in which
case the A-L loans will be reduced by such amount
(ii)The class B-L loans may be converted to B-1-R4 notes, in which
case the B-L loans will be reduced by such amount.
Other Debt
OHA Credit Partners VII Ltd./OHA Credit Partners VII Inc.
Subordinated notes, $90.7 million: Not rated
PALMER SQUARE 2025-1: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Palmer
Square CLO 2025-1 Ltd./Palmer Square CLO 2025-1 LLC's floating-rate
debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior-secured term loans.
The transaction is managed by Palmer Square Capital Management.
The preliminary ratings are based on information as of Feb. 7,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's assessment of:
-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization.
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Palmer Square CLO 2025-1 Ltd./Palmer Square CLO 2025-1 LLC
Class A-1, $320.00 million: AAA (sf)
Class A-2, $7.50 million: AAA (sf)
Class B, $52.50 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1 (deferrable), $30.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $45.50 million: Not rated
PARALLEL 2021-1: 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-R, and E-R replacement debt from Parallel 2021-1 Ltd./Parallel
2021-1 LLC, a CLO originally issued in June 2021 that is managed by
DoubleLine Capital L.P. 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 Feb. 12, 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 Feb.
12, 2026, on the refinanced tranches.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R,$244.00 million: Three-month CME term SOFR + 1.11%
-- Class B-R,$60.00 million: Three-month CME term SOFR + 1.65%
-- Class C-R(deferrable),$23.20 million: Three-month CME term SOFR
+ 2.05%
-- Class D-R(deferrable),$24.40 million: Three-month CME term SOFR
+ 3.60%
-- Class E-R(deferrable),$13.00 million: Three-month CME term SOFR
+ 6.25%
Original debt
-- Class A,$244.00 million: Three-month CME term SOFR + 1.21% +
CSA(i)
-- Class B,$60.00 million: Three-month CME term SOFR + 1.85% +
CSA(i)
-- Class C(deferrable),$23.20 million: Three-month CME term SOFR +
2.30% + CSA(i)
-- Class D(deferrable),$24.40 million: Three-month CME term SOFR +
3.45%+ CSA(i)
-- Class E(deferrable),$13.00 million: Three-month CME term SOFR +
6.47%+ CSA(i)
-- Subordinated notes, $41.65 million: Not applicable
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Parallel 2021-1 Ltd./Parallel 2021-1 LLC
Class A-R, $244.00 million: AAA (sf)
Class B-R, $60.00 million: AA (sf)
Class C-R (deferrable), $23.20 million: A (sf)
Class D-R (deferrable), $24.40 million: BBB- (sf)
Class E-R (deferrable), $13.00 million: BB- (sf)
Ratings Withdrawn
Parallel 2021-1 Ltd./Parallel 2021-1 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
Parallel 2021-1 Ltd./Parallel 2021-1 LLC
Subordinated notes, $41.65 million: NR
NR--Not rated.
PFP 2021-8: DBRS Confirms B(low) Rating on Class G Notes
--------------------------------------------------------
DBRS, Inc. upgraded its credit ratings on the following classes of
notes issued by PFP 2021-8, Ltd.:
-- Class B Notes to AAA (sf) from AA (high) (sf)
-- Class D Notes to A (sf) from BBB (high) (sf)
-- Class E Notes to A (low) (sf) from BBB (sf)
Morningstar DBRS also confirmed its credit ratings on the remaining
classes of notes as follows:
-- Class C Notes at A (high) (sf)
-- Class F Notes at BB (low) (sf)
-- Class G Notes at B (low) (sf)
All trends are Stable. Morningstar DBRS notes interest can be
deferred to the Class C, Class D, Class E, Class F, and Class G
Notes. As such, Morningstar DBRS has capped the credit ratings of
the Class C, Class D and Class E Notes as shown above.
The credit rating upgrades reflect the increased credit support to
the bonds as there has been collateral reduction of 68.0% since
issuance as a result of successful loan repayment, an increase from
41.2% from the previous Morningstar DBRS credit rating action in
February 2024. The transaction continues to primarily consist of
office and multifamily collateral, representing 41.6% and 38.3% of
the current trust balance, respectively. The increased credit
support to the bonds also serves as a mitigant to the transaction
in the context of loans secured by office properties, as the
majority of these borrowers are behind in their respective business
plans to increase property cash flow and value. Furthermore, all
borrowers of these loans are likely to face difficulties in
securing refinance capital or selling the properties at respective
loan maturity. Seven of the eight outstanding loans secured by
office properties, representing 35.0% of the current trust balance,
mature throughout 2025. The transaction benefits from an unrated
$90.8 million first loss piece as well as below investment-grade
rated bonds totaling $96.4 million. In the event select office
loans become distressed, the current credit ratings to Classes F
and G reflect the potential credit risk, justifying the Stable
trends.
In conjunction with this press release, Morningstar DBRS has
published a Surveillance Performance Update report with in-depth
analysis and credit metrics for the transaction as well as business
plan updates on select loans. For access to this report, please
click on the link under Related Documents below or contact us at
info-DBRS@morningstar.com.
The pool's collateral initially consisted of 46 floating-rate loans
secured by 55 properties, many of which were in a period of
transition with plans to stabilize and improve asset values. As of
the January 2025 reporting, there were 17 loans in the transaction,
secured by 18 properties. Since the previous Morningstar DBRS
credit rating action, 10 loans with a cumulative former trust
balance of $299.8 million have been repaid in full. The transaction
was structured with a 36-month Permitted Funded Companion
Participation Acquisition Period, which ended with the September
2024 Payment Date. Beyond the multifamily and office concentrations
noted above, there are two hotel properties, representing 11.0% of
the current pool balance and two industrial properties,
representing 9.0% of the current pool balance.
The collateral pool exhibits similar leverage from issuance with a
current weighted-average (WA) appraised loan-to-value ratio (LTV)
of 66.8% and a WA stabilized LTV of 59.5%. In comparison, these
figures were 68.7% and 57.3%, respectively, at closing. Morningstar
DBRS recognizes these appraised values may be inflated as the
majority of the individual property appraisals were completed
between 2019 and 2021 and may not reflect the current higher
interest rate or widening capitalization-rate environments. In the
analysis for this review, Morningstar DBRS applied LTV adjustments
to 14 loans, representing 84.9% of the current pool balance,
generally reflective of higher cap rate assumptions compared with
the implied cap rates based on the appraisals.
Through December 2024, the lender had advanced $33.8 million in
loan future funding to 11 of the remaining individual borrowers to
aid in property stabilization efforts. There is no available loan
future funding remaining to any remaining borrowers as access to
any formerly remaining funds has expired. The largest cumulative
advance ($11.6 million) made to a single borrower is the Greenwood
Corporate Plaza loan (Prospectus ID#18, 10.0% of the current pool
balance), which is the largest loan in the pool. The loan is
secured by a four-building office property in Greenwood, Colorado,
totaling 412,869 square feet. The borrower's business plan at
closing was to complete a $3.8 million capital expenditure (capex)
program and spend up to an additional $9.2 million on leasing
costs. The borrower is behind in its business plan and the loan was
modified in July 2024 to allow the borrower to exercise the first
maturity date extension option. Additional terms included a
reduction in the pay rate to 6.50% with any overage accrued and due
at maturity, ongoing monthly rollover, and capex deposits were
waived, loan payments were converted to interest only, and the
second maturity extension option can be exercised in July 2025 if
the property has a minimum occupancy rate of 50.0%.
As of October 2024, the property was 65.8% occupied, a slight
improvement from the December 2023 occupancy rate of 62.9%. It
appears a portion of the advanced future funding dollars were
converted and deposited into existing reserve accounts, as
according to December 2024 reporting, $1.8 million held in reserve
are held in Advance Leasing and Renovation Reserve accounts. The
trailing 12-month period ended October 31, 2024, net operating
income of $2.2 million is indicative of a 5.7% cap rate based on
the original in place appraised property value of $38.6 million. As
such, Morningstar DBRS believes the current market value has
declined and in its current analysis, applied an upwards cap rate
adjustment, resulting in a stressed LTV and loan expected loss
approximately two times greater than the expected loss for the
pool.
As of the January 2025 remittance, there were no loans in special
servicing; however, there are 13 loans, representing 74.9% of the
current trust balance on the servicer's watchlist. The loans have
been flagged for low occupancy rates, low debt service coverage
ratios and upcoming maturity dates. In total, 16 loans,
representing 93.4% of the current trust balance, have scheduled
maturity date throughout 2025. While most loans have outstanding
extension options, not all borrowers are expected to qualify given
current property performance metrics. In these cases, Morningstar
DBRS expects lenders and borrowers to agree to mutually beneficial
loan modifications to allow borrower to extend loans with borrowers
likely required to contribute fresh equity to the transaction. To
date, borrowers across 11 loans, representing 63.9% of the current
trust balance, have received loan modifications or forbearances,
which have generally allowed borrowers to exercise extension
options, waive the purchase of new interest rate cap agreements or
to receive temporary payment relief. In exchange borrowers have
made principal curtailments, deposited funds into interest reserve
accounts and agreed to cash management.
Notes: All figures are in U.S. dollars unless otherwise noted.
POST ROAD 2025-1: Fitch Assigns 'BBsf' Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the notes
issued by Post Road Equipment Finance 2025-1, LLC.
Entity/Debt Rating Prior
----------- ------ -----
Post Road Equipment
Finance 2025-1
A1 ST F1+sf New Rating F1+(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D LT BBBsf New Rating BBB(EXP)sf
E LT BBsf New Rating BB(EXP)sf
KEY RATING DRIVERS
Collateral - Strong Historical Asset Performance: Post Road's
originations have had minimal defaults and losses since inception.
There have been 17 instances of default since 2017, with a recovery
rate of approximately 100% in 14 of the 16 resolved cases.
Bankruptcies appear to be the prevalent driver of defaults, with 13
instances where Post Road contracts were accepted and paid in all
cases. In three non-bankruptcy-related defaults, Post Road received
sufficient sales proceeds to satisfy outstanding contract terms.
Fitch did not consider 17 default observations, with an average
recovery of 98%, a sufficient dataset to derive recovery rate
assumptions. Consequently, Fitch relied on a range of appraisal
values provided by Post Road, including net orderly values (NOLVs),
orderly liquidation values (OLVs) and liquidation values in place
(LVIPs), to determine recovery rate assumptions for each equipment
type, as described below. These appraisals were conducted by
established third-party appraisers in the equipment space.
Lease-End Residual Value Risk: The residual value of the leased
equipment accounts for 6.55% of the pool on a discounted basis. Of
this, 5.42% presents exposure to residual risk, while the remaining
1.13% relates to residuals that are guaranteed by the obligors.
Concentration Risk, Portfolio Credit Model Approach to Derive Loss
Hurdle: The Post Road 2025-1 pool exhibits a high degree of
concentration, with the underlying collateral consisting of 170
contracts across 67 obligors. The top 10 obligors total 36.61%,
down from 41.20% in PREF 2024-1. Due to the limited loss history
and significant obligor concentration, Fitch will determine credit
loss hurdles using its Portfolio Credit Model (PCM), in accordance
with its "U.S. Equipment Lease and Loan ABS Rating Criteria."
Structural Analysis - Adequate Credit Enhancement: The Post Road
2025-1 notes benefit from credit enhancement (CE) in the form of
overcollaterization, initially sized at 8.90% of initial aggregate
securitization value, with a target of 13.05% of the current
aggregate securitization value and a 6.70% overcollaterization
floor of initial aggregate securitization value; a 1% non-declining
reserve account; excess spread; and subordination for the class A,
B, C and D notes.
Total initial hard CE for the class A, B, C, D, and E notes is
29.60%, 25.85%, 20.15%, 16.30%, and 9.90%, respectively. This is
sufficient to support Fitch's total stressed loss expectation of
31.91%, 27.77%, 22.21%, 16.99%, and 12.35% at the 'AAAsf', 'AAsf',
'Asf', 'BBBsf', and 'BBsf' rating categories, respectively.
Adequate Servicer: Post Road has demonstrated adequate capabilities
as originator, underwriter and servicer, as evidenced by its
managed portfolio and delinquency and loss performance.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
An unanticipated increase in the frequency of defaults or a decline
in recovery rates could produce loss levels higher than the rating
case and could result in potential rating actions on the notes.
Fitch evaluated the sensitivity to account for the potential
increase in default rates by assuming the ratings of each obligor
were downgraded by one-notch from the assumed ratings in Fitch's
rating case scenario. This stress would also have an impact of up
to one category on the ratings of the transaction.
Additionally, recoveries were stressed by applying haircuts of 25%
and 50% to AAAsf recovery rates on each contract. These stressed
recovery rate scenarios had an impact of up to three categories on
the ratings of the transaction.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Conversely, stable to improved asset performance, driven by stable
delinquencies and defaults would lead to rising CE levels and
consideration for potential upgrades. If total loss expectation is
20% less than projected, 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 RSM US LLP. The third-party due diligence described in
Form 15E focused on comparing or recalculating certain information
with respect to 50 contracts. 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.
PREFERRED TERM XVI: Moody's Hikes Rating on $77.65MM C Notes to B2
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Preferred Term Securities XVI, Ltd.:
US$69,900,000 Floating Rate Class A-2 Senior Notes due 2035
(current outstanding balance $60,130,855.40) (the "Class A-2
Notes"), Upgraded to Aaa (sf); previously on June 14, 2022 Upgraded
to Aa2 (sf)
US$12,000,000 Fixed/Floating Rate Class A-3 Senior Notes due 2035
(current outstanding balance $10,322,893.63) (the "Class A-3
Notes"), Upgraded to Aaa (sf); previously on June 14, 2022 Upgraded
to Aa2 (sf)
US$63,650,000 Floating Rate Class B Mezzanine Notes due 2035
(current outstanding balance $58,381,642.47) (the "Class B Notes"),
Upgraded to Aa2 (sf); previously on June 14, 2022 Upgraded to A3
(sf)
US$77,650,000 Floating Rate Class C Mezzanine Notes due 2035
(current outstanding balance $71,842,075.31) (the "Class C Notes"),
Upgraded to B2 (sf); previously on June 14, 2022 Upgraded to B3
(sf)
Preferred Term Securities XVI, Ltd., issued in December 2004, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1, A-2, A-3, B and C notes, and an increase in the
transaction's over-collateralization (OC) ratios since one year
ago.
The Class A-1 notes have paid down in full and Class A-2, A-3, B
and C notes have paid down by approximately 14.0%, 14.0%, 1.2% and
1.2%, respectively, or about $9.8 million, $1.7 million, $0.7
million, and $0.9 million, respectively, since a year ago using
principal proceeds from the redemption of the underlying assets and
the diversion of excess interest proceeds. Based on the trustee
report, the OC ratios for the Class A-2/A-3, Class B and Class C
notes have improved to 286.90%, 156.89% and 100.73%,
respectively[1], from December 2023 levels of 237.88%, 146.51% and
99.49%, respectively[2]. The Class A-2, A-3, B and C notes will
continue to benefit from the diversion of excess interest as long
as the Class C OC test continues to fail. Furthermore, Class A-2
and A-3 notes will continue to benefit from the pro rata use of
proceeds from redemptions of any assets in the collateral pool.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 758 from 830 in
February 2024.
Performing par: $202.1 million
Defaulted/deferring par: $104.8 million
Weighted average default probability: 6.12% (implying a WARF of
758)
Weighted average recovery rate upon default of 10.0%
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenarios include, among others, deteriorating credit
quality of the portfolio.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.
PRM5 TRUST 2025-PRM5: Fitch Gives 'B-(EXP)sf' Rating on Cl. F Certs
-------------------------------------------------------------------
Fitch Ratings has issued a presale report on PRM5 Trust 2025-PRM5,
Commercial Mortgage Pass-Through Certificates, Series 2025-PRM5.
Fitch expects to rate the following classes:
- $228,600,000 class A at 'AAAsf'; Outlook Stable;
- $38,500,000 class B at 'AA-sf'; Outlook Stable;
- $30,200,000 class C at 'A-sf'; Outlook Stable;
- $42,600,000 class D at 'BBB-sf'; Outlook Stable.
- $65,200,00 class E at 'BB-sf'; Outlook Stable.
- $49,900,000 class F at 'B-sf'; Outlook Stable.
Fitch does not expect to rate the following classes:
- $24,000,000 class HRR*;
- $0 class ELP;
- $0 class R.
*Horizontal risk retention interest representing approximately 5.0%
of the estimated fair value of all the classes of regular
certificates.
Transaction Summary
The certificates represent the beneficial ownership interest in a
trust that will hold a $479.0 million, three-year, fixed-rate,
interest-only (IO) commercial mortgage loan. The mortgage loan will
comprise two pari passu promissory notes including the $311.35
million Note A-1 being contributed by Goldman Sachs Mortgage
Company and the $167.65 million Note A-2 being contributed by Citi
Real Estate Funding, Inc. The mortgage will be secured by the fee
simple interests in a portfolio of 40 self-storage properties,
containing 3.3 million sf and located across 13 states.
Loan proceeds will be used to refinance approximately $222.8
million of existing debt, fund upfront environmental, immediate
repair and insurance deductible reserves of $1.8 million, pay
estimated closing-related costs of $14.0 million and return $240.5
million in equity to the sponsor.
The loan is expected to be co-originated by Goldman Sachs Bank USA
and Citi Real Estate Funding Inc. KeyBank National Association will
serve as the master servicer and Torchlight Loan Services, LLC as
the special servicer. Computershare Trust Company, National
Association will serve as trustee and certificate administrator.
Pentalpha Surveillance LLC will act as operating advisor. The
certificates will follow a sequential-pay structure. The
transaction is scheduled to close on Feb. 20, 2025.
KEY RATING DRIVERS
Net Cash Flow: Fitch's net cash flow (NCF) for the portfolio is
estimated at $31.9 million; this is 8.3% lower than the issuer's
NCF. Fitch applied a 7.75% cap rate to derive a Fitch value of
$411.9 million for the portfolio.
High Fitch Leverage: The $479.0 million mortgage loan equates to
debt of approximately $146 psf with a Fitch stressed loan-to-value
ratio (LTV) and debt yield of 116.3% and 6.7%, respectively. The
lowest Fitch-rated tranche, class F, has a Fitch LTV and debt yield
of 115.8% and 6.7%, respectively. Fitch decreased its LTV hurdles
by 2.5% to reflect the higher in-place leverage.
Geographic Diversity: The portfolio exhibits geographic diversity,
with 40 self-storage properties located across 13 states and 23
MSAs. The largest three state concentrations account for 64.8% of
the portfolio by allocated loan amount (ALA). This includes
California (10 properties; 37.4% of ALA), Utah (eight; 15.2%) and
Florida (six; 12.2%). No other state accounts for more than 8.0% of
ALA. No single property represents more than 7.7% of ALA. Based on
ALA, the portfolio has an effective property count of 31.4 and an
effective MSA count of 9.2.
Institutional Sponsorship and Management: The borrower sponsor and
recourse carveout guarantor for the loan is Prime Storage Fund III,
LP, an affiliate of Prime Group Holdings who manages all the
properties in this portfolio. Prime Group Holdings is a
full-service, vertically integrated real estate owner-operator. The
company is focused on acquiring and adding value to self-storage
facilities located throughout North America. Prime Group's
cumulative self-storage acquisitions have totaled over 28 million
sf across 400 self-storage facilities. Prime Group owns and
operates self-storage facilities across 28 states, two Canadian
provinces and one U.S. territory.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the model
implied rating sensitivity to changes in one variable, Fitch NCF:
Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' /
'B-sf'
10% NCF Decline: 'AAsf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' /
'CCCsf'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model implied rating sensitivity to changes to the same one
variable, Fitch NCF:
Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' /
'B-sf'
10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / 'BBsf' /
'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 PricewaterhouseCoopers 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.
DATA ADEQUACY
Fitch received information in accordance with its published
criteria, available at www.fitchratings.com. Sufficient data,
including asset summaries, three years of property financials and
third-party reports on the portfolio, were received from the
issuer. Ongoing performance monitoring, including data provided, is
described in the Performance Analytics section of the presale
report.
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.
RADIAN MORTGAGE 2025-J1: Fitch Gives 'B(EXP)sf' Rating on B-5 Certs
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by Radian Mortgage Capital Trust 2025-J1
(RMCT 2025-J1).
Entity/Debt Rating
----------- ------
Radian Mortgage
Capital Trust
2025-J1
A-1 LT AAA(EXP)sf Expected Rating
A-1-X LT AAA(EXP)sf Expected Rating
A-10 LT AAA(EXP)sf Expected Rating
A-11 LT AAA(EXP)sf Expected Rating
A-11-X LT AAA(EXP)sf Expected Rating
A-12 LT AAA(EXP)sf Expected Rating
A-13 LT AAA(EXP)sf Expected Rating
A-13-X LT AAA(EXP)sf Expected Rating
A-14 LT AAA(EXP)sf Expected Rating
A-15 LT AAA(EXP)sf Expected Rating
A-15-X LT AAA(EXP)sf Expected Rating
A-16 LT AAA(EXP)sf Expected Rating
A-17 LT AAA(EXP)sf Expected Rating
A-17-X LT AAA(EXP)sf Expected Rating
A-18 LT AAA(EXP)sf Expected Rating
A-19 LT AAA(EXP)sf Expected Rating
A-19-X LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-20 LT AAA(EXP)sf Expected Rating
A-21 LT AAA(EXP)sf Expected Rating
A-21-X LT AAA(EXP)sf Expected Rating
A-22 LT AAA(EXP)sf Expected Rating
A-23 LT AAA(EXP)sf Expected Rating
A-23-X LT AAA(EXP)sf Expected Rating
A-24 LT AAA(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
A-3-X LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-5-X LT AAA(EXP)sf Expected Rating
A-6 LT AAA(EXP)sf Expected Rating
A-7 LT AAA(EXP)sf Expected Rating
A-7-X LT AAA(EXP)sf Expected Rating
A-8 LT AAA(EXP)sf Expected Rating
A-9 LT AAA(EXP)sf Expected Rating
A-9-X LT AAA(EXP)sf Expected Rating
A-X LT AAA(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
B LT BBB(EXP)sf Expected Rating
B-1 LT AA(EXP)sf Expected Rating
B-1-A LT AA(EXP)sf Expected Rating
B-1-X LT AA(EXP)sf Expected Rating
B-2 LT A(EXP)sf Expected Rating
B-2-A LT A(EXP)sf Expected Rating
B-2-X LT A(EXP)sf Expected Rating
B-3 LT BBB(EXP)sf Expected Rating
B-3-A LT BBB(EXP)sf Expected Rating
B-3-X LT BBB(EXP)sf Expected Rating
B-4 LT BB(EXP)sf Expected Rating
B-5 LT B(EXP)sf Expected Rating
B-6 LT NR(EXP)sf Expected Rating
B-X LT BBB(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch Ratings expects to rate the residential mortgage-backed notes
issued by Radian Mortgage Capital Trust 2025-J1, as indicated
above. The transaction is expected to close on Feb. 20, 2025. The
notes are supported by 474 prime loans with a total balance of
approximately $372.9 million as of the cutoff date.
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 11.1% on a national level as of 3Q24, down 0.5% since
last quarter, based on Fitch's updated view on sustainable home
prices). Housing affordability is currently at its worst levels in
decades, driven by both high interest rates and elevated home
prices. Home prices have increased 3.8% yoy nationally as of
November 2024, notwithstanding modest regional declines, but are
still being supported by limited inventory.
High Quality Mortgage Pool (Positive): The collateral consists of
15-, 20-, 29- and 30-year, fixed-rate mortgage (FRM) fully
amortizing loans seasoned at approximately six months in aggregate,
calculated by Fitch as the difference between the cutoff date and
the origination date. The average loan balance is $786,756. The
collateral primarily comprises 60.5% prime-jumbo loans, followed by
282 agency-conforming loans accounting for 39.5% of the unpaid
principal balance (UPB).
Borrowers in this pool have strong credit profiles (a 774 average
model FICO as calculated by Fitch), in line with comparable
prime-jumbo securitizations. The sustainable loan-to-value ratio
(sLTV) is 81.5%, and the mark-to-market (MTM) combined
loan-to-value ratio (CLTV) is 71.6%. Fitch treated approximately
100% of the loans as full documentation collateral, and 100% of the
loans are qualified mortgages (QMs).
Of the pool, 87.2% are loans for which the borrower maintains a
primary residence, while 12.8% are for second homes. In addition,
52.9% of the loans were originated through a retail channel.
Expected losses in the 'AAAsf' stress amount to 6.75%, similar to
those of other comparable prime-jumbo shelves.
Shifting-Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the transaction.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained. Due to the
leakage to the subordinate bonds, the shifting-interest structure
requires more CE. While there is only minimal leakage to the
subordinate bonds early in the life of the transaction, the
structure is more vulnerable to defaults at a later stage compared
with a sequential or modified-sequential structure.
To help mitigate tail risk, which arises as the pool seasons and
fewer loans are outstanding, a senior subordination floor of 1.35%
of the original balance will be maintained for the senior notes and
a junior subordination floor of 1.10% of the original balance will
be maintained for the subordinate notes.
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 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. A 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. A 10% gain in
home prices would result in a full category upgrade for the rated
class excluding those assigned 'AAAsf' ratings.
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, Canopy, Opus and Phoenix. The third-party due
diligence described in Form 15E focused on credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, made the following adjustment to its
analysis: a 5% credit was given at the loan level for each loan
where satisfactory due diligence was completed. This adjustment
resulted in a 31-bps reduction to the 'AAA' expected loss.
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.
RATE MORTGAGE 2025-J1: Fitch Gives B(EXP)sf Rating on Cl. B-5 Certs
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by RATE Mortgage Trust 2025-J1 (RATE 2025-J1).
Entity/Debt Rating
----------- ------
RATE 2025-J1
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-6 LT AAA(EXP)sf Expected Rating
A-7 LT AAA(EXP)sf Expected Rating
A-8 LT AAA(EXP)sf Expected Rating
A-9 LT AAA(EXP)sf Expected Rating
A-10 LT AAA(EXP)sf Expected Rating
A-11 LT AAA(EXP)sf Expected Rating
A-12 LT AAA(EXP)sf Expected Rating
A-13 LT AAA(EXP)sf Expected Rating
A-14 LT AAA(EXP)sf Expected Rating
A-15 LT AAA(EXP)sf Expected Rating
A-16 LT AAA(EXP)sf Expected Rating
A-17 LT AAA(EXP)sf Expected Rating
A-18 LT AAA(EXP)sf Expected Rating
A-19 LT AAA(EXP)sf Expected Rating
A-20 LT AAA(EXP)sf Expected Rating
A-21 LT AAA(EXP)sf Expected Rating
A-22 LT AAA(EXP)sf Expected Rating
A-23 LT AAA(EXP)sf Expected Rating
A-24 LT AAA(EXP)sf Expected Rating
A-25 LT AAA(EXP)sf Expected Rating
A-X-1 LT AAA(EXP)sf Expected Rating
A-X-2 LT AAA(EXP)sf Expected Rating
A-X-3 LT AAA(EXP)sf Expected Rating
A-X-4 LT AAA(EXP)sf Expected Rating
A-X-5 LT AAA(EXP)sf Expected Rating
A-X-6 LT AAA(EXP)sf Expected Rating
A-X-7 LT AAA(EXP)sf Expected Rating
A-X-8 LT AAA(EXP)sf Expected Rating
A-X-9 LT AAA(EXP)sf Expected Rating
A-X-10 LT AAA(EXP)sf Expected Rating
A-X-11 LT AAA(EXP)sf Expected Rating
A-X-12 LT AAA(EXP)sf Expected Rating
A-X-13 LT AAA(EXP)sf Expected Rating
A-X-14 LT AAA(EXP)sf Expected Rating
A-X-15 LT AAA(EXP)sf Expected Rating
A-X-16 LT AAA(EXP)sf Expected Rating
A-X-17 LT AAA(EXP)sf Expected Rating
A-X-18 LT AAA(EXP)sf Expected Rating
A-X-19 LT AAA(EXP)sf Expected Rating
A-X-20 LT AAA(EXP)sf Expected Rating
A-X-21 LT AAA(EXP)sf Expected Rating
A-X-22 LT AAA(EXP)sf Expected Rating
A-X-23 LT AAA(EXP)sf Expected Rating
A-X-24 LT AAA(EXP)sf Expected Rating
A-X-25 LT AAA(EXP)sf Expected Rating
A-X-26 LT AAA(EXP)sf Expected Rating
B-1 LT AA(EXP)sf Expected Rating
B-1A LT AA(EXP)sf Expected Rating
B-X-1 LT AA(EXP)sf Expected Rating
B-2 LT A(EXP)sf Expected Rating
B-2A LT A(EXP)sf Expected Rating
B-X-2 LT A(EXP)sf Expected Rating
B-3 LT BBB(EXP)sf Expected Rating
B-4 LT BB(EXP)sf Expected Rating
B-5 LT B(EXP)sf Expected Rating
B-6 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
COLLAT LT NR(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
A-2L LT AAA(EXP)sf Expected Rating
A-3L LT AAA(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed certificates
issued by RATE Mortgage Trust 2025-J1 (RATE 2025-J1) as indicated
above. The certificates are supported by 324 loans with a total
balance of approximately $365.9 million as of the cutoff date. The
pool consists of prime fixed-rate mortgages originated by
Guaranteed Rate, Inc. Distributions of principal and interest (P&I)
and loss allocations are based on a senior-subordinate,
shifting-interest structure.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.2% above a long-term sustainable
level (vs. 11.1% on a national level as of 3Q24, down 0.5% from the
prior 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 had increased 3.8% yoy nationally as of November 2024
despite modest regional declines but are still being supported by
limited inventory.
High-Quality Mortgage Pool (Positive): The collateral consists of
324 loans, totaling $365.9 million and seasoned approximately four
months in the aggregate (calculated as the difference between
origination date and first pay date). The borrowers have a strong
credit profile (781 FICO and 34.2% debt-to-income [DTI] ratio) and
moderate leverage (72.8% current mark-to-market loan-to-value ratio
[cLTV] and 81.3% sustainable loan-to-value [sLTV] ratio). Of the
pool, 92.4% consists of loans to borrowers for their primary
residence, while 7.6% consist of loans to borrowers for their
second home. Additionally, 100.0% of the loans were originated
through a retail channel and 100.0% are designated as safe-harbor
qualified mortgage (QM).
Shifting-Interest Structure (Mixed): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. While there is
only minimal leakage to the subordinate bonds early in the life of
the transaction, the structure is more vulnerable to defaults
occurring at a later stage compared to a sequential or
modified-sequential structure.
Interest Reduction Risk (Negative): The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest that is contractually due to bondholders in
reverse-sequential order. This feature can result in interest
reductions to rated bonds in high-stress delinquency scenarios. A
key difference with this transaction, compared to other
transactions with stop-advance loans, is that liquidation proceeds
are allocated to interest before principal. As a result, Fitch
included the full interest carry in its loss projections and views
the risk of permanent interest reductions as lower than for other
programs with a similar feature.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction.
Three sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.
This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 10.2%. As shown in the table below, the analysis
indicates that there is some potential rating migration with higher
MVDs compared to the model projection.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics. The third-party due diligence
described in Form 15E focused on credit, compliance and property
valuation review. Fitch applied a credit for the high percentage of
loan-level due diligence, which reduced the 'AAAsf' loss
expectation by 24bps.
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.
REALT 2014-1: Fitch Affirms 'Bsf' Rating on Class G Certs
---------------------------------------------------------
Fitch Ratings has affirmed two classes of the Real Estate Asset
Liquidity Trust Commercial Mortgage Pass-Through Certificates
2014-1 transaction (REAL-T 2014-1).
Fitch has affirmed six classes of the CMLS Issuer Corporation
Commercial Mortgage Pass Through Certificates 2014-1 (CMLSI
2014-1). The Rating Outlooks for classes F and G remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
Real Estate Asset
Liquidity Trust
2014-1
F 75585RLQ6 LT BBB-sf Affirmed BBB-sf
G 75585RLR4 LT Bsf Affirmed Bsf
CMLS Issuer
Corporation 2014-1
B 125824AC6 LT AAsf Affirmed AAsf
C 125824AD4 LT Asf Affirmed Asf
D 125824AE2 LT BBBsf Affirmed BBBsf
E 125824AF9 LT BBB-sf Affirmed BBB-sf
F 125824AG7 LT BBsf Affirmed BBsf
G 125824AH5 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Highly Concentrated Pools: The REAL-T 2014 and CMLSI 2014-1
transactions are highly concentrated, with one loan remaining in
the REAL-T 2014 transaction and three loans remaining in CMLSI
2014-1. The remaining loan in REAL-T 2014-1, Coventry Road Self
Storage, is performing in-line with expectations. Two loans in the
CMLSI 2014-1 transaction, Burlington Office Portfolio (40.6% of the
pool) and the Nautilus Place Quebec City (9.4%), have been
identified as Fitch Loans of Concern (FLOCs). Deal-level 'Bsf'
rating case loss expectations for the REAL-T 2014 and CMLSI 2014-1
transactions are 2.8% and 4.3%, respectively.
Due to the concentrated nature of the transactions and upcoming
maturities of the remaining loans, Fitch's analysis utilized a
sensitivity and liquidation analysis that grouped the remaining
loans based on their refinance expectations, including collateral
quality, performance, and delinquent status attributes, and then
ranked them by their perceived likelihood of repayment and/or loss
expectations.
Affirmations and Stable Outlooks for classes F and G in REAL-T
2014-1 reflect stable performance of the remaining loan, Coventry
Road Self Storage, which is secured by a 997-unit self-storage
property located in Ottawa, ON. The servicer reported occupancy and
NOI DSCR of 97.4% and 2.07x, respectively, as of YE 2023, compared
with 100% and 1.94x at YE 2022. At YE 2023, NOI improved 44% from
the originator's underwritten NOI from issuance.
The loan is 50% recourse to the sponsor Dymon Storage Corporation.
The loan was originally scheduled to mature in September 2024.
However, the borrower was granted a short-term forbearance through
March 2025.
Fitch's 'Bsf' ratings case loss expectations of 0.1% (prior to
concentration adjustments) reflects a 9.50% cap rate and a 7.5%
stress to the YE 2023 NOI.
Affirmations in the CMLSI 2014-1 transaction reflect stable loan
performance since the prior rating action. The Negative Outlooks on
classes F and G reflect exposure to the FLOCs, including the
Burlington Office Portfolio and Nautilus Place Quebec City, which
have experienced performance declines since issuance.
The Burlington Office Portfolio (40.6% of the pool) is secured by
three office buildings totaling 194,809-sf located in Burlington,
ON. The loan was identified as a FLOC due to lower occupancy and
upcoming rollover concerns. According to updates from the servicer,
occupancy declined to approximately 86% from 95% at May 2022 after
major tenant, Adlib Software (8.9% of the NRA) vacated at their
June 2024 lease expiration. The largest remaining tenants include
MTE Consultants (13.5%) and Ausenco Sandwell (10.0%), with lease
expirations in September 2026 and October 2025, respectively.
The loan is full recourse to the sponsor, Ivan Bradaric. The
sponsor was granted a short-term forbearance through March 2025
from its original November 2024 maturity date in order to secure
take-out financing.
Fitch's 'Bsf' rating case loss of 0.7% (prior to concentration
adjustments) reflects a 10% cap rate and a 20% stress to the TTM
May 2022 NOI.
The Nautilus Place Quebec City loan (9.4%) is secured by a
42,506-sf retail center located in Quebec City, QC. The loan was
identified as a FLOC due to a deterioration in occupancy and cash
flow from issuance. Overall occupancy at the subject has fallen to
82.8% as of YE 2023, which is lower than the pre-pandemic levels of
89% at YE 2020 and below occupancy of 100% at issuance. Due to the
lower occupancy, NOI DSCR has fallen to 1.21x as of YE 2023 from
1.36x at YE 2020.
According to updates from the servicer, the subject remains
tenanted by a gym-tenant, Nautilus (45.1% of the NRA), with lease
expiration in September 2029, and Deco Luminaire (29.4%), which
recently extended its lease through December 2034.
The sponsor was granted a short-term forbearance through February
2025 from its original December 2024 maturity date to secure
take-out refinancing. The loan remains 50% recourse to the sponsor,
Vincent Chiara.
Fitch's 'Bsf' rating case loss of 16.9% (prior to concentration
adjustments) represents a 9.50% cap rate and no stress to the YE
2023 NOI, and factors an increased probability of default to
account for the loan's heightened maturity default concerns.
Changes to Credit Enhancement: As of the January 2025 distribution
date, the REAL-T 2014-1 and CMLSI 2014-1 balances have been reduced
by 96.2% and 88.5%, respectively. All loan maturities were extended
into Q1 2025 from their original Q4 2024 maturity dates. There are
no realized losses or interest shortfalls impacting either
transaction.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades of classes E and F in REAL-T 2014-1 are possible with
performance declines and/or the transfer of the sole remaining
loan, Coventry Road Self Storage, to special servicing.
Downgrades of classes B and C in CMLSI 2014-1 are unlikely given
their position in the capital structure and reliance on expected
repayment from the Royal Henley Retirement Residence, which has
exhibited stable performance, but could occur with outsized
declines in value and deterioration in performance.
Downgrades of classes D, E, F and G in CMLSI 2014-1 could occur
should the FLOCs, Burlington Office Portfolio and Nautilus Place
Quebec City, experience further performance declines and/or fail to
secure refinancing and transfer to special servicing.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes in either transaction are unlikely given the
concentrated nature of the pool and reliance on loans that are past
their scheduled maturity dates to repay the classes.
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.
SCULPTOR CLO XXVIII: S&P Assigns BB-(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-1-R,
C-R, D-1-R, D-2-R, and E-R replacement debt from Sculptor CLO
XXVIII Ltd./Sculptor CLO XXVIII LLC, a CLO originally issued in
December 2021 that is managed by Sculptor Loan Management L.P. At
the same time, S&P withdrew its ratings on the original class A,
B-1, C, D-1, D-2 and E debt following payment in full on the Feb.
6, 2025, refinancing date. S&P also affirmed its rating on the
class B-2 debt, which were not refinanced.
The replacement debt was issued via a conformed indenture, which
outlines the terms of the replacement debt. According to the
conformed indenture, the non-call period for the replacement debt
was set to Jan. 20, 2026.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $248.00 million: Three-month CME term SOFR + 1.06%
-- Class B-1-R, $36.00 million: Three-month CME term SOFR + 1.60%
-- Class C-R, $24.00 million: Three-month CME term SOFR + 1.95%
-- Class D-1-R, $16.00 million: Three-month CME term SOFR + 2.85%
-- Class D-2-R, $8.00 million: Three-month CME term SOFR + 4.00%
-- Class E-R, $16.00 million: Three-month CME term SOFR + 6.30%
Original debt
-- Class A, $248.00 million: Three-month CME term SOFR + 1.46%
-- Class B-1, $36.00 million: Three-month CME term SOFR + 2.06%
-- Class C, $24.00 million: Three-month CME term SOFR + 2.66%
-- Class D-1, $16.00 million: Three-month CME term SOFR + 3.51%
-- Class D-2, $8.00 million: Three-month CME term SOFR + 5.01%
-- Class E, $16.00 million: Three-month CME term SOFR + 7.31%
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
Sculptor CLO XXVIII Ltd./Sculptor CLO XXVIII LLC
Class A-R, $248.00 million: AAA (sf)
Class B-1-R, $36.00 million: AA (sf)
Class C-R, $24.00 million: A (sf)
Class D-1-R, $16.00 million: BBB (sf)
Class D-2-R, $8.00 million: BBB- (sf)
Class E-R, $16.00 million: BB- (sf)
Ratings Withdrawn
Sculptor CLO XXVIII Ltd./Sculptor CLO XXVIII LLC
Class A to NR from 'AAA (sf)'
Class B-1 to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D-1 to NR from 'BBB (sf)'
Class D-2 to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Rating Affirmed
Sculptor CLO XXVIII Ltd./Sculptor CLO XXVIII LLC
Class B-2: AA (sf)
Other Debt
Sculptor CLO XXVIII Ltd./Sculptor CLO XXVIII LLC
Subordinated A note: NR
Subordinated B note: NR
NR--Not rated.
SEQUOIA MORTGAGE 2025-2: Fitch Gives 'B(EXP)sf' Rating on B5 Certs
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed certificates to be issued by Sequoia Mortgage Trust
2025-2 (SEMT 2025-2).
Entity/Debt Rating
----------- ------
SEMT 2025-2
A1 LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A4 LT AAA(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A9 LT AAA(EXP)sf Expected Rating
A10 LT AAA(EXP)sf Expected Rating
A11 LT AAA(EXP)sf Expected Rating
A12 LT AAA(EXP)sf Expected Rating
A13 LT AAA(EXP)sf Expected Rating
A14 LT AAA(EXP)sf Expected Rating
A15 LT AAA(EXP)sf Expected Rating
A16 LT AAA(EXP)sf Expected Rating
A17 LT AAA(EXP)sf Expected Rating
A18 LT AAA(EXP)sf Expected Rating
A19 LT AAA(EXP)sf Expected Rating
A20 LT AAA(EXP)sf Expected Rating
A21 LT AAA(EXP)sf Expected Rating
A22 LT AAA(EXP)sf Expected Rating
A23 LT AAA(EXP)sf Expected Rating
A24 LT AAA(EXP)sf Expected Rating
A25 LT AAA(EXP)sf Expected Rating
AIO1 LT AAA(EXP)sf Expected Rating
AIO2 LT AAA(EXP)sf Expected Rating
AIO3 LT AAA(EXP)sf Expected Rating
AIO4 LT AAA(EXP)sf Expected Rating
AIO5 LT AAA(EXP)sf Expected Rating
AIO6 LT AAA(EXP)sf Expected Rating
AIO7 LT AAA(EXP)sf Expected Rating
AIO8 LT AAA(EXP)sf Expected Rating
AIO9 LT AAA(EXP)sf Expected Rating
AIO10 LT AAA(EXP)sf Expected Rating
AIO11 LT AAA(EXP)sf Expected Rating
AIO12 LT AAA(EXP)sf Expected Rating
AIO13 LT AAA(EXP)sf Expected Rating
AIO14 LT AAA(EXP)sf Expected Rating
AIO15 LT AAA(EXP)sf Expected Rating
AIO16 LT AAA(EXP)sf Expected Rating
AIO17 LT AAA(EXP)sf Expected Rating
AIO18 LT AAA(EXP)sf Expected Rating
AIO19 LT AAA(EXP)sf Expected Rating
AIO20 LT AAA(EXP)sf Expected Rating
AIO21 LT AAA(EXP)sf Expected Rating
AIO22 LT AAA(EXP)sf Expected Rating
AIO23 LT AAA(EXP)sf Expected Rating
AIO24 LT AAA(EXP)sf Expected Rating
AIO25 LT AAA(EXP)sf Expected Rating
AIO26 LT AAA(EXP)sf Expected Rating
B1 LT AA-(EXP)sf Expected Rating
B1A LT AA-(EXP)sf Expected Rating
B1X LT AA-(EXP)sf Expected Rating
B2 LT A-(EXP)sf Expected Rating
B2A LT A-(EXP)sf Expected Rating
B2X LT A-(EXP)sf Expected Rating
B3 LT BBB(EXP)sf Expected Rating
B4 LT BB(EXP)sf Expected Rating
B5 LT B(EXP)sf Expected Rating
B6 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 466 loans with a total balance of
approximately $548.4 million as of the cutoff date. The pool
consists of prime jumbo fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. from various mortgage originators.
Distributions of principal and interest (P&I) and loss allocations
are based on a senior-subordinate, shifting-interest structure.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral consists of
466 loans totaling approximately $548.4 million and seasoned at
about five months in aggregate, as determined by Fitch. The
borrowers have a strong credit profile, with a weighted average
(WA) Fitch model FICO score of 783 and a 36.6% debt-to-income (DTI)
ratio. The borrowers also have moderate leverage, with an 81.8%
sustainable loan-to-value (sLTV) ratio and a 72.7% mark-to-market
combined loan-to-value (cLTV) ratio.
Overall, 91.6% of the pool loans are for a primary residence, while
8.4% are loans for second homes; 75.8% of the loans were originated
through a retail channel. In addition, 100.0% of the loans are
designated as safe harbor qualified mortgage (QM) loans.
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.8% above a long-term sustainable
level (versus 11.1% on a national level as of 3Q24, down 0.5% since
the prior quarter). Housing affordability is the worst it has been
in decades, driven by both high interest rates and elevated home
prices. Home prices increased 3.8% yoy nationally as of November
2024, despite modest regional declines, but are still being
supported by limited inventory.
Shifting-Interest Structure with Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure, whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps maintain subordination for a
longer period should losses occur later in the life of the
transaction. The applicable credit support percentage feature
redirects subordinate principal to classes of higher seniority if
specified credit enhancement (CE) levels are not maintained.
After the credit support depletion date, principal will be
distributed sequentially, first to the super-senior classes (A-9,
A-12 and A-18) concurrently on a pro rata basis and then to the
senior-support A-21 certificate.
SEMT 2025-2 will feature the servicing administrator (RRAC),
following initial reductions in the class A-IO-S strip and
servicing administrator fees, obligated to advance delinquent P&I
to the trust until deemed nonrecoverable. Full advancing of P&I is
a common structural feature across prime transactions in providing
liquidity to the certificates, and absent the full advancing, bonds
can be vulnerable to missed payments during periods of adverse
performance.
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 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%, 20% and 30%, in addition to the
model-projected 42.0% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs compared to 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 level
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 assigned
ratings of 'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton, SitusAMC, and Consolidated Analytics. The
third-party due diligence described in Form 15E focused on credit,
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% reduction in its loss
analysis. This adjustment resulted in a 24 bp reduction to the
'AAAsf' expected loss.
ESG Considerations
SEMT 2025-2 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in SEMT 2025-2 and includes strong R&W and transaction due
diligence as well as a strong aggregator, which resulted in a
reduction in the expected losses. This has a positive impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
SIGNAL PEAK 10: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1R, A-2R, B-R, C-R, C-FR, D-1R, D-2R, and E-R
debt from Signal Peak CLO 10 Ltd./Signal Peak CLO 10 LLC, a CLO
managed by ORIX Advisers LLC, a wholly owned subsidiary of ORIX
Corp. USA that was originally issued in December 2021 and was not
rated by S&P Global Ratings.
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 preliminary ratings are based on information as of Feb. 13,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 20, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. At that
time, S&P expects to assign ratings to the replacement debt.
However, if the refinancing doesn't occur, it may withdraw its
preliminary ratings on the replacement debt.
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.
S&P said, "Our review of this transaction included a cash flow and
portfolio analysis, 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.
"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
Signal Peak CLO 10 Ltd./Signal Peak CLO 10 LLC
Class A-1R, $246.00 million: AAA (sf)
Class A-2R, $10.00 million: AAA (sf)
Class B-R, $48.00 million: AA (sf)
Class C-R (deferrable), $18.75 million: A (sf)
Class C-FR (deferrable), $5.25 million: A (sf)
Class D-1R (deferrable), $24.00 million: BBB (sf)
Class D-2R (deferrable), $4.00 million: BBB- (sf)
Class E-R (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $49.03 million: Not rated
SIXTH STREET XIII: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R2,
A-2-R2, B-R2, C-1-R2, C-2-R2, D-1-R2, D-2-R2, and E-R2 replacement
debt and the new class X debt from Sixth Street CLO XIII Ltd./Sixth
Street CLO XIII LLC, a CLO managed by Sixth Street CLO XIII
Management LLC that was originally issued in June 2019 under the
name TICP CLO XIII Ltd. and was previously refinanced in May 2021.
At the same time, we withdrew our ratings on the class A-R, B-R,
C-R, D-R, and E-R debt following payment in full on the Feb. 11,
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. 21, 2027.
-- The reinvestment period was extended to Jan. 21, 2030.
-- The legal final maturity date for the replacement debt was
extended by approximately 3.8 years to Jan. 21, 2038, while the
legal final maturity date for the existing subordinated notes was
extended to April 21, 2125.
-- No additional assets were purchased on the Feb. 11, 2025,
refinancing date, and the target initial par amount remains at $450
million. There was no additional effective date or ramp-up period,
and the first payment date following the refinancing is April 21,
2025.
-- The class A-R, C-R, and D-R debt are each being replaced by two
new classes of debt, class A-1-R2 and A-2-R2, class C-1-R2 and
C-2-R2, and class D-1-R2 and D-2-R2, respectively.
-- The class X debt was issued on the refinancing date and is
expected to be paid down using interest proceeds during the first
12 payment dates, in equal installments of $166,666.67, beginning
on the April 2025 payment date and ending January 2028.
-- The required minimum overcollateralization and interest
coverage 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
Sixth Street CLO XIII Ltd./Sixth Street CLO XIII LLC
Class X, $2.00 million: AAA (sf)
Class A-1-R2, $281.25 million: AAA (sf)
Class B-R2, $42.75 million: AA (sf)
Class C-1-R2 (deferrable), $26.50 million: A (sf)
Class C-2-R2 (deferrable), $5.00 million: A (sf)
Class D-1-R2 (deferrable), $27.00 million: BBB- (sf)
Class D-2-R2 (deferrable), $2.70 million: BBB- (sf)
Class E-R2 (deferrable), $15.30 million: BB- (sf)
Ratings Withdrawn
Sixth Street CLO XIII Ltd./Sixth Street CLO XIII LLC
Class A-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-R to NR from 'A (sf)'
Class D-R to NR from 'BBB- (sf)'
Class E-R to NR from 'BB- (sf)'
Other Debt
Sixth Street CLO XIII Ltd./Sixth Street CLO XIII LLC
Class A-2-R2, $13.50 million: NR
Subordinated notes, $45.35 million: NR
NR--Not rated.
SOUND POINT 2025R-1: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Sound
Point CLO 2025R-1, Ltd.
Entity/Debt Rating
----------- ------
Sound Point CLO
2025R-1, Ltd.
X LT AAAsf New Rating
A-1 LT AAAsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BB-sf New Rating
S-1 LT NRsf New Rating
S-2 LT NRsf New Rating
Transaction Summary
Sound Point CLO 2025R-1, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
Sound Point CLO C-MOA, 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', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.85 versus a maximum covenant, in accordance with
the initial expected matrix point of 25.85. 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
96.8% 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 74.2%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 44.5% of the portfolio balance in aggregate while
the top five obligors can represent up to 9% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 5.1-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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for
class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X, 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, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Sound Point CLO
2025R-1, Ltd. In cases where Fitch does not provide ESG relevance
scores in connection with the credit rating of a transaction,
programme, instrument or issuer, Fitch will disclose in the key
rating drivers any ESG factor which has a significant impact on the
rating on an individual basis. For more information on Fitch's ESG
Relevance Scores, visit the Fitch Ratings ESG Relevance Scores
page.
TOWD POINT 2025-R1: Fitch Gives 'B-(EXP)sf' Rating on Cl. M2 Bonds
------------------------------------------------------------------
Fitch Ratings expects to rate Towd Point Mortgage Trust 2025-R1
(TPMT 2025-R1).
Entity/Debt Rating
----------- ------
Towd Point Mortgage
Trust 2025-R1
A1 LT A-(EXP)sf Expected Rating
A2 LT BBB-(EXP)sf Expected Rating
A12 LT BBB-(EXP)sf Expected Rating
M1 LT BB-(EXP)sf Expected Rating
M2 LT B-(EXP)sf Expected Rating
B1 LT NR(EXP)sf Expected Rating
B2 LT NR(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
Transaction Summary
The transaction is a re-securitization collateralized by 36 bonds
from 18 distinct underlying transactions. (seven underlying Freddie
Mac Seasoned Credit Risk Transfer [SCRT] transactions and 11
underlying Towd Point Mortgage Trust [TPMT] transactions) The
underlying bonds are made up of 17 interest-only (IO) bonds, and 19
Non-IO bonds.
KEY RATING DRIVERS
Re-REMIC Structure (Positive)
TPMT 2025-R1 is a re-securitization of 36 subordinate RPL REMIC
tranches with a contributing balance totaling approximately $815.17
million (excluding the contribution from notional IO or excess
servicing fee classes). The notes benefit from credit enhancement
at the re-securitization level, excess cashflow at the
re-securitization level in the form of the 15% class B3 issued as a
Principal Only (PO) bond, minimal credit enhancement (CE) at the
underlying bond level for a portion of the collateral and the
potential for excess interest at the underlying level.
The transaction utilizes a fully sequential structure whereby
interest collections are paid sequentially and principal
collections can be used to pay interest shortfalls on the most
senior bond then outstanding prior to paying down the principal
balance sequentially. To the extent there is excess interest
remaining after all distributions are made, it can be used to turbo
down the bonds sequentially resulting in the creation of over
collateralization.
Strong Performance to Date (Positive)
All of the underlying transactions and associated underlying bonds
were issued more than six years ago and comprise loans with average
seasoning in excess of 17 years. Since the underlying deals were
issued they have paid down by more than 50% on average and have
typically experienced losses less than 1% of the issuance balance.
Prepayment rates have consistently run around 5% over the past few
years and were closer to 10% during the pre-COVID, low interest
rate environment.
Current delinquencies have run at mid-single digits almost
exclusively since issuance with the exception being the COVID
period. The percent of the collateral that has been performing on
time for at least two years is close to 90% for both the SCRT and
TPMT underlying transactions. All underlying transactions have
benefited from substantial home price gains with average mark to
market loan-to-values running at sub 50%.
At the bond level, write-downs have been very modest with average
writedowns less than 10% of the original balance (while the deals
have paid down ~50%) and a number of bonds have built up
over-collateralization to protect against future losses.
No Advancing on Underlying Transactions (Mixed):
None of the underlying transactions, are structured with any amount
of servicer advancing for delinquent P&I. For deals structured to
not include servicer advances, servicers will not be advancing on
delinquent monthly payments of principal and interest. 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 those transactions
than those where the servicer is obligated to advance on P&I.
However, given the subordinate nature of the underlying bonds
collateralizing the securitization, the lack of advancing can
introduce heightened cashflow volatility as there is minimal if any
credit support on the underlying to protect against delinquencies.
Interest Rate Reduction Stress (Negative)
The analysis incorporates an interest rate reduction assumption on
the underlying mortgage loans due to the sensitivity of certain of
the underlying structures to interest rate reductions. The SCRT
bonds are highly sensitive to interest rate reductions as the
underlying senior bonds are guaranteed a fixed coupon. Running a
rate reduction on this collateral resulted in a material amount of
cashflow being removed at the Re-REMIC level resulting in a much
higher credit enhancement needed to pass the target rating
stresses. As this stress is highly unlikely given the coupons on
the underlying loans and the current interest rate environment,
given the sensitivity to its occurrence, Fitch's analysis
incorporated it into its rating assessment.
Adjusted Net WAC Stress (Negative)
The stated coupon on the P&I bonds at the ReREMIC level is set to
the lower of the Fixed rate (4.0%) or the Adjusted Underlying Net
Weighted Average Coupon (WAC) Rate. It is highly likely that in
most periods the bonds will be limited by the Adjusted Net WAC and
accrue coupon cap shortfalls. The deal prioritizes repayment of
coupon cap shortfalls to the most senior bond then outstanding from
interest collections.
This results in a larger amount of principal being required to
repay outstanding interest shortfalls to the A2 bond and below
resulting in a higher amount of credit enhancement to ensure full
payment of principal and repayment of all interest shortfalls.
Fitch's rating analysis only assumes payment of interest at the
Adjusted Underlying Net WAC rate and not at the stated 4%.
Updated Sustainable Home Prices (Negative)
Fitch views the home price values of this pool as 11.1% above a
long-term sustainable level (vs. 11.1% on a national level as of
3Q24, down 0.5% 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 3.8% YoY nationally as of
November 2024 despite modest regional declines, but are still being
supported by limited inventory.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model-projected declines. The analysis
indicates that there is some potential rating migration with higher
MVDs for all rated classes, compared with the model projection. At
the 'A-sf' rating, a 10% MVD could result in a downgrade to
'BB+sf', while a 20% or 30% MVD could result in a downgrade to a
distressed rating.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. The analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices could result in an upgrade
from 'A-sf' to 'A+sf'.
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 PwC. The third-party due diligence described in Form
15E focused on a confirmation of underlying bond characteristics.
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.
TRINITAS CLO XXI: 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-1-R, C-2-R, D-1-R, D-2-R, and E-R replacement debt from Trinitas
CLO XXI Ltd./Trinitas CLO XXI LLC, a CLO originally issued in
December 2022 that is managed by Trinitas Capital Management LLC.
At the same time, S&P withdrew its ratings on the original class
B-1, B-2, C, D, and E debt following payment in full on the Feb.
13, 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 and E-R debt was issued at a lower
spread over three-month SOFR than the original debt.
-- The original class B-1 and B-2 debt was replaced by the class
B-R debt.
-- The original class C debt was replaced by two new classes:
C-1-R and C-2-R.
-- The original class D debt was replaced by two new classes:
D-1-R and D-2-R.
-- The non-call period was extended to April 20, 2027.
-- The reinvestment period was extended to April 20, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to April 20, 2038.
-- No additional subordinated notes were issued on the refinancing
date.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
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
Trinitas CLO XXI Ltd./Trinitas CLO XXI LLC
Class A-R, $310.00 million: AAA (sf)
Class B-R, $70.00 million: AA (sf)
Class C-1-R (deferrable), $20.00 million: A (sf)
Class C-2-R (deferrable), $10.00 million: A (sf)
Class D-1-R (deferrable), $30.00 million: BBB- (sf)
Class D-2-R (deferrable), $5.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Ratings Withdrawn
Trinitas CLO XXI Ltd./Trinitas CLO XXI LLC
Class B-1 to NR from 'AA (sf)'
Class B-2 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
Trinitas CLO XXI Ltd./Trinitas CLO XXI LLC
Subordinated notes, $52.00 million: NR
NR--Not rated.
UBS COMMERCIAL 2017-C4: S&P Cuts Cl. X-F Notes Rating to 'CCC(sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on six classes of commercial
mortgage pass-through certificates from UBS Commercial Mortgage
Trust 2017-C4, a U.S. CMBS conduit transaction. At the same time,
S&P affirmed its ratings on six other classes from the transaction.
Rating Actions
The downgrades on classes C, E, and F, along with the affirmations
on classes A-3, A-4, A-SB, A-S, and B reflect:
-- S&P lowers revised net cash flows (NCFs) and values for three
performing loans (totaling 9.8% of the pooled trust balance) that
have exhibited deteriorating performance: 237 Park Avenue (7.2%),
DoubleTree Berkeley Marina (1.8%), and Holiday Inn Express & Suites
Duncan (0.7%).
-- S&P's higher loss assumptions on four (6.7%) of the six
specially serviced assets (10.3%) that S&P believes are unlikely to
be modified and returned to the master servicer as corrected
mortgage loans; instead, it believes they will eventually be
liquidated through the special servicer. These assets are: 1600
Corporate Center (2.9%), JW Marriott Chicago (1.6%), 221-223 W.
Ohio & 215 W. Ohio (1.3%), and 401 West Ontario (0.9%).
-- S&P's higher revised capitalization rate assumptions for four
additional loans (7.5%) because of its perceived higher market risk
premium for class B office properties.
-- Specifically for the affirmations, S&P's removal of certain
negative qualitative insurance-related adjustments for three loans
(8.8%) and the reduced trust balance (by 15.2% of original trust
balance) from loan amortizations and payoffs, to date, that
predominantly benefitted the senior certificate classes by partly
offsetting the effect of its negative credit views on the
aforementioned assets and yielding a greater increase in their
credit enhancement levels.
-- The downgrade on class F further reflects our qualitative
consideration that its repayment is dependent upon favorable
business, financial, and economic conditions, and that class F is
vulnerable to default. Should any of the specially serviced asset
experiences increase in appraisal reduction amount that will result
in appraisal subordination entitlement reduction, S&P's believe
class F is highly susceptible to interest shortfall.
-- The affirmation on the class X-A and the downgrades on the
class X-B, X-E, and X-F interest-only (IO) certificates are based
on S&P's criteria for rating IO securities, which states that the
ratings on the IO securities would not be higher than that of the
lowest-rated reference class. The notional amount on class X-A
references class A-1, A-2, A-SB, A-3, and A-4; class X-B references
class A-S, B, and C; class X-E references class E; and class X-F
references class F.
-- S&P said, "At issuance, we applied loan-level loan-to-value
(LTV) threshold adjustments on three loans (8.8% of pooled trust
balance) that we identified with criteria-related
property-insurance concerns. In our current review, we removed the
negative LTV threshold adjustments related to the permissibility of
property insurance coverage from insurers who are not rated by S&P
Global Ratings. Our recently released criteria for determining
ratings-based inputs deem these as secondary rating drivers and
allow us to consider public ratings assigned by other credit rating
agencies."
S&P said, "We will continue to monitor the performance of the
transaction and the collateral loans, including any developments
around the three loans with reported declines in performance and
the resolution of the six specially serviced assets as well as the
reported 30-days delinquent payment status of the seventh-largest
loan in the pool, Fairmount at Brewerytown ($28.0 million, 4.1% of
pooled trust balance) that has a paid thru date of November 2024.
We did not revise our credit view on the multifamily property
securing this loan currently, since the available servicer-reported
financials appear to still be in line with our initial assumptions.
Further, the servicer has confirmed that the borrower for this loan
has made it's December 2024 and January 2025 debt service payments,
although the February 2025 payment is not yet remitted. To the
extent future developments differ meaningfully from our underlying
assumptions, we may update our analysis for this, and other loans,
and take further rating actions as we determine necessary."
Loan Details And Property-Level Analysis
S&P said, "We revised our NCFs and expected-case values on three
performing loans (9.8%), two of which are on the servicer's
watchlist. We also reviewed and revised our loss assumptions on
four of the six specially serviced assets, which we discussed
below. We maintained our underlying NCF, capitalization rate, and
expected case value assumptions that we derived at issuance for the
two remaining specially serviced loans."
237 Park Avenue ($50.0 million; 7.2% of the pooled trust balance)
The IO loan, which is the largest in the pool, is secured by the
borrower's fee simple interest in a 1.25 million-sq.-ft. class A
office building in midtown Manhattan's Grand Central submarket.
The trust loan represents a pari passu portion within a larger
senior A note component totaling $348.0 million. There is also a
$345.2 million subordinate B-note component, and together with the
A notes, a total of $693.0 million in whole loan balance. Further,
the borrower's equity interest secured an $87.8 million mezzanine
loan.
DoubleTree Berkeley Marina ($12.7 million; 1.8% of the pooled trust
balance)
The trust loan, which matures in September 2027, represents a pari
passu portion within a larger $48.5 million partial IO mortgage
whole loan. It is secured by the borrower's leasehold interest in a
1972-built, 378-room, full-service lodging property in Berkeley,
Calif.
The property is subject to a 50-year ground lease with the City of
Berkeley that commenced January 2008 and expires December 2058. The
ground rent was about $734,000 at issuance, and, reportedly,
increased to approximately $1.2 million in 2023.
Due to a combination of lower occupancy (from 88% in 2019, to 75%
as of September 2024) and higher operating expenses, the servicer
reported net cash flow (NCF) at the property has declined from
pre-COVID-19 levels, which was $5.4 million in 2019 to $2.1 million
in 2022, $1.3 million in 2023, and $1.4 million as of the nine
months ending Sept. 30, 2024. The reported NCF was negative in 2020
and 2021. The loan has a reported current payment status and is on
the servicer's watchlist due to a low reported debt service
coverage (DSC), which was 0.55x as of the nine months ending Sept.
30, 2024. According to the January 2025 CREFC IRP loan level
reserves report, there is $4.2 million held in reserves.
S&P said, "Due to declining performance, in our current analysis,
we lowered our NCF assumption to $3.3 million on the property,
reflecting the mid-point between the servicer reported NCF for 2023
and the S&P Global Ratings NCF of $5.2 million that we derived at
issuance. We increased our capitalization rate to 9.25% from 9.00%,
arriving at an S&P Global Ratings' expected-case value of $35.3
million ($93,273 per guestroom), which is 38.7% lower than our
$57.5 million issuance value and 64.9% below the $100.3 million
appraisal value at issuance."
Holiday Inn Express & Suites Duncan ($4.8 million; 0.7% of the
pooled trust balance)
The loan, which matures in May 2027, is secured by the borrower's
fee simple interest in a 75-room, limited-service hotel built in
2002 and renovated in 2010 in Duncan, S.C.
While the servicer reported occupancy in the last three years is on
par with pre-COVID-19 levels, at the mid-60% range, the reported
NCFs have fluctuated and is currently below pre-COVID-19 levels.
The servicer reported NCF was around $460,400 as of the
trailing-12-months (TTM) ending June 30, 2024, down from about
$655,600 in 2019. The loan has a current payment status and is on
the servicer's watchlist due to a low reported DSC, which was
1.11x, as of the TTM ending June 30, 2024. As of the January 2025
CREFC IRP loan level reserves report, there is about $346,000 held
in reserves.
S&P said, "Similar to the DoubleTree Berkeley Marina loan discussed
above, to account for the reported decline in performance, we
lowered our NCF assumption to about $621,800 on the property in our
current analysis, reflecting the mid-point between the servicer
reported NCF for 2023 and the S&P Global Ratings NCF of $745,850
derived at issuance. Using an S&P Global Ratings' capitalization
rate of 10.00%, unchanged from issuance, we arrived at an S&P
Global Ratings' expected-case value of $6.2 million ($82,906 per
guestroom), 16.6% lower than our $7.5 million issuance value and
32.4% below the $9.2 million appraised value at issuance."
1600 Corporate Center ($19.8 million; 2.9% of the pooled trust
balance)
This is the largest asset with the special servicer. The loan was
foreclosed on in January 2024, and the property became real
estate-owned (REO) in February 2024. The asset consists of a
256,238-sq.-ft. suburban office building that was built in 1986 in
Rolling Meadows, Ill. It has a total exposure of $21.0 million,
including servicer principal- and interest-advances of $343,366,
cumulative appraisal subordinate entitlement reduction (ASER)
amount of $803,259, and cumulative accrued unpaid advance interest
of $83,155.
The loan transferred to special servicing in December 2022 due to
imminent monetary default. The borrower indicated that it was no
longer willing to contribute additional capital to the property. A
receiver was appointed in July 2023. The special servicer is
currently exploring sales strategies for the property and is in the
process of selecting a broker. The special servicer anticipates
resolving the asset in first quarter 2025. Several updated
appraised values were obtained by the special servicer, with the
most recent reported appraised value of $7.2 million as of May
2024, down 78.2% from the $33.0 million appraised value at
issuance. An appraisal reduction amount (ARA) of $14.4 million is
currently, in effect, against the asset.
In S&P's current analysis, using the most-recent reported appraised
value of $7.2 million, it expects a significant loss (greater than
60.0%) upon the eventual resolution of the asset.
JW Marriott Chicago ($10.8 million; 1.6% of the pooled trust
balance)
This is the fourth-largest asset with the special servicer. The
loan was foreclosed on in July 2022, and the property became REO in
October 2022. The asset is a 610-room JW Marriott-branded luxury
hotel in Chicago, Ill. The property was originally built in 1914 as
an office building and was partially converted to lodging in 2005.
The trust loan represents a pari passu portion within a larger
senior A-note component totaling $68.5 million. There is also a
$124.2 million subordinate B-note component, that, together with
the A notes, total $135.0 million in whole loan balance. In
addition, there was $66.5 million of mezzanine debt secured by the
original borrower's equity interest, which, S&P believes, has been
extinguished following the mortgage loan foreclosure.
The loan transferred to special servicing in June 2020, due to
imminent monetary default resulting from the underlying collateral
property's declining performance. Subsequent revised appraised
values are at least 36.7% below the $370.4 million appraised value
at issuance, with the most recent reported appraised value at
$218.5 million as of August 2024.
In S&P's current analysis, utilizing the August 2024 appraised
value, it projects a minimal loss (less than 25.0%) upon the
eventual resolution of the asset.
221-223 W. Ohio & 215 W. Ohio ($8.7 million; 1.3% of the pooled
trust balance)
This is the fifth-largest asset with the special servicer. The loan
is secured by the borrower's fee simple interest in three
continuous mixed-use (office and retail) buildings totaling about
60,345 sq. ft. in Chicago. The three buildings were built between
1880 and 1909 and renovated between 2012 and 2017. The specially
serviced loan has a reported 60-plus days delinquent payment status
(paid through October 2024) and a reported total exposure of $8.8
million, which includes servicer debt service advances of
$140,390.
The loan transferred to special servicing in November 2024 due to
payment default, after the borrower failed to remit the September
2024 debt service payment. The special servicer is currently
evaluating its resolution options, including potentially appointing
a receiver at the property and initiating foreclosure proceeding.
An updated appraisal value has not been reported yet. The property
was appraised for $14.7 million at issuance.
S&P said, "In our current analysis, we revised and lowered our NCF
to about $521,600 from approximately $897,100 at issuance, by
utilizing an occupancy of about 60.0%, which is lower than the
reported 84.0% occupancy as of March 2024, because we accounted for
the vacancies of the third- and fourth-largest tenants at the
property, JMW Technologies LLC and EY Admin., respectively, upon
their lease expiration in 2024, a $27.22-per-sq.-ft. S&P Global
Ratings' gross rent, and a 47.0% operating expense ratio. Using an
S&P Global Ratings' capitalization rate of 10.00%, up from 7.50% at
issuance, which reflects our perceived higher-market risk premium
for class B and class C office properties, we arrived at an S&P
Global Ratings' expected case value of $5.2 million, 56.4% lower
than our $12.0 million value at issuance, and 64.5% below the $14.7
million appraisal value at issuance. Based on our revised
expected-case value, we expect a moderate loss (between 25.0% and
60.0%) upon the eventual resolution of the loan."
401 West Ontario ($5.9 million; 0.9% of the pooled trust balance)
This is the smallest asset with the special servicer. The loan is
secured by the borrower's fee simple interest in a 40,790-sq.-ft.
office building in Chicago that was built in 1950 and renovated in
2016. The loan has a reported 90-plus days' delinquent payment
status (paid through August 2024) and a total reported loan
exposure of $6.7 million, which includes servicer debt service
advances of $165,804, servicer taxes and insurance advances of
$497,359, servicer other advances of $75,404, cumulative ASER
amount of $6,328, and cumulative accrued unpaid advance interest of
$46,255. An ARA of $1.5 million is currently in effect against the
loan.
The loan transferred to special servicing in May 2023 due to
imminent monetary default. The borrower was not cooperative with
the implementation of cash management, which was triggered. A
receiver has been placed at the property in October 2024. The
special servicer is currently evaluating its resolution strategies.
An updated appraised value has not been reported yet. The property
was appraised at $9.2 million at issuance.
S&P said, "In our current analysis, we revised and lowered our NCF
to $327,150 from about $538,500 at issuance by assuming an in-place
occupancy of about 67.4%, as of the July 2024 rent roll, a
$20.25-per-sq.-ft. S&P Global Ratings' gross rent, and a 43.4%
operating expense ratio. Using an S&P Global Ratings'
capitalization rate of 10.00%, up from 7.50% at issuance, which
reflects our perceived higher-market risk premium for class B and C
office properties, we arrived at an S&P Global Ratings' expected
case value of $3.3 million, 54.4% lower than our $7.2 million value
at issuance and 64.4% below the $9.2 million appraisal value at
issuance. Based on our revised expected-case value, we expect a
significant loss (greater than 60.0%) upon the eventual resolution
of the loan."
Transaction Summary
As of the Jan. 17, 2025, trustee remittance report, the collateral
pool balance was $691.5 million, which is 84.5% of the pool balance
at issuance. The pool currently includes 43 fixed-rate loans and
two REO assets, down from 50 loans at issuance. Six assets ($71.1
million; 10.3% of the pooled trust balance) are with the special
servicer, five loans are defeased ($62.6 million, 9.1%) and nine
loans ($119.7 million; 17.3%) are on the master servicer's
watchlist.
S&P said, "Excluding the four specially serviced assets where we
have estimated near-term losses and the defeased loans, and
adjusting the servicer-reported numbers, we calculated an S&P
Global Ratings weighted average DSC of 1.70x and an S&P Global
Ratings weighted average LTV ratio of 85.8% using a 7.81% S&P
Global Ratings weighted average capitalization rate."
According to the January 2025 trustee remittance report, the trust
incurred monthly interest shortfalls totaling $92,554--primarily
from ASER amounts of $61,421, special servicing fees of $27,325,
and workout fees of $3,698. The current shortfalls affect class G
and NR, both of which are not rated by S&P Global Ratings. To date,
the transaction has experienced minimal principal losses totaling
$11,288. S&P expects losses to reach approximately 2.9% of the
original pool trust balance upon the eventual resolution of four of
the six specially serviced assets that it believes is unlikely to
be modified.
Ratings Lowered
UBS Commercial Mortgage Trust 2017-C4
Class C to 'BBB+ (sf)' from 'A- (sf)'
Class E to 'B- (sf)' from 'B+ (sf)'
Class F to 'CCC (sf)' from 'B (sf)'
Class X-B to 'BBB+ (sf)' from 'A- (sf)'
Class X-E to 'B- (sf)' from 'B+ (sf)'
Class X-F to 'CCC (sf)' from 'B (sf)'
Ratings Affirmed
UBS Commercial Mortgage Trust 2017-C4
Class A-3: AAA (sf)
Class A-4: AAA (sf)
Class A-SB: AAA (sf)
Class A-S: AA+ (sf)
Class B: AA- (sf)
Class X-A: AAA (sf)
VERUS SECURITIZATION 2025-INV1: S&P Assigns B-(sf) on B-2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2025-INV1's mortgage-backed notes.
The note issuance is a residential mortgage-backed securities
(RMBS) transaction backed by first-lien, fixed- and adjustable-rate
(some with interest-only periods) residential mortgage loans
secured by single-family residences, townhouses, planned-unit
developments, two- to four-family residential properties,
condominiums, five– to 10-unit multifamily properties, mixed-use
properties, and condotels to both prime and nonprime borrowers. The
pool has 1,322 residential mortgage loans; five loans are
cross-collateralized loans backed by 32 properties for a total
property count of 1,349.
S&P said, "Since we assigned preliminary ratings on Feb. 5, 2025,
current loan balances were rolled to Feb. 1, 2025, and 15 loans
were dropped from the pool. This resulted in an increase to our
loss coverage estimates by 5 basis points (bps) across eight rating
levels. In addition, class balances were updated, which resulted in
an increase in credit enhancement on the class A-3, M-1, B-1, and
B-2 notes by 15 bps, 10 bps, 5 bps, and 5 bps, respectively.
Further, the issuer added initial exchangeable class A-1A and A-1B
notes, which together can be exchanged for exchangeable class A-1
notes. After assessing the final pool and the updated capital
structure, our current ratings on the notes are unchanged from the
preliminary ratings."
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, and geographic
concentration;
-- The mortgage aggregator, Invictus Capital Partners, and any S&P
Global Ratings reviewed originator; and
S&P said, "One key change in our baseline forecast since September
2024, 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. The U.S. economy is
expanding at a solid pace, and while President 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."
Ratings Assigned
Verus Securitization Trust 2025-INV1
Class A-1A, $253,718,000: AAA (sf)
Class A-1B, $50,744,000: AAA (sf)
Class A-1, $304,462,000: AAA (sf)
Class A-2, $35,520,000: AA (sf)
Class A-3, $61,146,000: A (sf)
Class M-1, $44,909,000: BBB- (sf)
Class B-1, $27,401,000: BB- (sf)
Class B-2, $19,790,000: B- (sf)
Class B-3, $14,208,908: NR
Class A-IO-S, notional(i): NR
Class XS, notional(i): NR
Class R, not applicable: NR
(i)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 $507,436,908.
NR--Not rated.
VITALITY RE XVI 2025: Fitch Assigns 'BB-sf' Rating on Class C Notes
-------------------------------------------------------------------
Fitch Ratings assigns ratings to Series 2025 Principal-At-Risk
Variable Rate Notes issued by Vitality Re XVI Limited (Vitality Re
XVI, the Issuer), a Cayman Islands exempted company licensed as a
Class C insurer.
All classes of Notes have a scheduled termination date of Jan. 8,
2029 and a Final Extended Redemption Date of Jan. 8, 2030. The
principal amount for the Class A Notes is $160,000,000, $60,000,000
for the Class B Notes and $30,000,000 for the Class C Notes with no
amortization.
The Interest Spread for the Class A Notes is 1.75%, Class B Notes
is 2.25% and Class C Notes is 3.75%.
This rating is based on the 'weakest-link' of the following key
rating drivers: i) medical benefit ratio excess-of-loss (XoL) risk
assessment; ii) the Issuer Default Rating (IDR) of ceding insurer;
and iii) the credit quality of the permitted investments. Fitch
believes the risk assessment of the medical benefit ratio XoL
presents the greatest risk.
Entity/Debt Rating Prior
----------- ------ -----
Vitality Re XVI Limited
Series 2025, Class A
Notes Principal-at-Risk
Variable Rate Notes
due January 8, 2029 LT BBB+sf New Rating BBB+(EXP)sf
Series 2025, Class B
Principal-at-Risk
Variable Rate Notes due
January 8, 2029 LT BB+sf New Rating BB+(EXP)sf
Series 2025, Class C
Principal-at-Risk
Variable Rate Notes due
January 8, 2029 LT BB-sf New Rating BB-(EXP)sf
This is the sixteenth medical benefit ratio "ILS bond" for covered
business underwritten by Aetna Life Insurance Company (ALIC, the
Covered Business Company). To date, noteholders have not
experienced any principal loss on any prior transactions -- of
which, Vitality Re XIII Limited (matures 2026), Vitality Re XIV
Limited (matures 2027) and Vitality Re XV Limited (matures 2028)
are outstanding following the issuance of Vitality Re XVI Limited.
Capitalized but undefined terms have the meaning provided in the
Offering Circular Supplement and the Offering Circular for the
Notes.
Transaction Summary
The Series 2025 Notes (Class A, B, C) provide collateralized,
multi-year, indemnity-based annual aggregate XoL reinsurance
protection to Health Re, Inc., a Vermont domiciled special purpose
financial insurance company that is wholly-owned by Aetna Inc.
(Aetna), that assumes a quota share of certain commercial group
health insurance policies (the Covered Business) underwritten by
Aetna Life Insurance Company (ALIC).
The Covered Business ceded to Health Re (and for which Vitality Re
XVI will provide XoL coverage) primarily consists of commercial
insured accident and health business, namely Preferred Provider
Organization (PPO), Point of Service (POS) and Indemnity products,
directly written by ALIC. These are reportable in ALIC's statutory
annual statements as Accident and Health Group except for the
Excluded Risks.
For the nine months ended Sept. 30, 2024, ALIC earned $10.3 billion
of premiums on approximately 1.9 million members for the Covered
Business. Full-year premiums for the Covered Business for 2023 and
2022 were $12.9 billion and $11.9 billion, respectively.
Each Class of Notes is "principal-at-risk," meaning a principal
loss will occur if the Covered Business's medical benefit ratio
(MBR) exceeds a predetermined attachment (MBR Attachment), set at
inception and reset annually during the second, third and fourth
Annual Risk Periods. The initial MBR Attachment level is 97% for
Class C, 100% for the Class B and 106% for Class A. A total
principal loss (MBR Exhaustion) occurs if the MBR reaches 100% for
Class C, 106% for Class B and 122% for Class A.
There are four Annual Risk Periods, each running from Jan. 1 to
Dec. 31. Milliman, Inc. (Milliman) acting as Modeling Agent, will
deliver the MBR Risk Analysis Report which informs the
probabilities of attachment and expected loss. Milliman will also
act as the Reset Agent, delivering a Reset Report for the second,
third and fourth Annual Risk Periods using Updated Health Industry
Exposure Data and the Updated Aetna Exposure Data.
The updated MBR Attachment and updated MBR Exhaustion will be
established to maintain the same modeled probability of attachment
and expected loss as the initial modeled probabilities (used in the
MBR Risk Analysis Report) and will be effective January 1 of each
Annual Risk Period. The interest spread will not change.
The Notes may be redeemed due to specified Early Redemption Events,
including: i) clean-up events; ii) Health Re's failure to meet
Vermont capital requirements; iii) regulatory or legislative
changes affecting ALIC (or Health Re) leading ALIC to terminate
coverage; iv) Health Re defaulting on an Installment Premium
payment; v) failure to replace the Reset Agent, Claims Reviewer, or
Loss Reserve Specialist if they cannot perform their duties, or vi)
Health Re's election to terminate the XoL Agreement under certain
conditions. An Early Termination Event Premium will be paid to
noteholders for events (ii) and (iv).
Health Re may, at its option, elect to require Vitality Re XVI to
extend the term of each XoL agreement (thereby extending the
maturity date of the related Class of Notes) past the Scheduled
Termination Date. This extension may be four additional quarters
with the Final Extended Redemption Date being Jan. 8, 2030 and is
not considered an additional risk period. Generally, claims
incurred in a given calendar year are 99% completely paid within 12
months after the end of that year.
KEY RATING DRIVERS
Medical Benefit Ratio XoL Risk Assessment
Third-Party Model is Complex (Neutral): The rating analysis in
support of the risk assessment of the MBR XoL is highly
model-driven and actual losses may differ from the results of
simulation analyses. This model (and previous iterations) has been
used on all prior Vitality transactions. Fitch reviewed this model
according to its "Insurance Linked Securities Criteria".
The model produces a MBR probability distribution as a combination
of two separate component models: i) a Claims Trend Module
comprising of nine sub-modules with corresponding data and
assumptions; and ii) a Premium Trend Module consisting of nine
sub-modules (including output from the Claims Trend Module). A
total of two million simulations are run to generate a volume of
modeling points in the tail of the distribution.
Initial Modeled MBR Attachment Probability (Neutral Trait): The
modeled one-year attachment probability based on the best estimate
(base case) assumptions was 5 bp, 51 bp and 164 bp for the Class A,
B and C Notes, respectively. These probabilities of first dollar
loss correspond to 'bbb+' for Class A, 'bb+' for Class B and 'bb-'
for Class C according to Fitch's ILS Calibration Matrix. Fitch
qualitatively reviewed sensitivity analysis (see below) that
generally showed a one to two rating downgrade possibility under
adverse conditions. This review along with baseline modeled results
determined Fitch's medical benefit ratio XoL risk assessment.
Sensitivity Analysis Illustrated Downside but Limited Risks
(Negative): Nine claim trend sensitivities were provided with the
attachment probability for Class A ranging from
VOYA CLO 2021-1: Moody's Assigns Ba3 Rating to $17MM Cl. E-R Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to five classes of CLO
refinancing notes issued by, and one class of loans (together the
"Refinancing Debt") incurred by Voya CLO 2021-1, Ltd. (the
"Issuer").
Moody's rating action is as follows:
US$160,000,000 Class A-R Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)
US$100,000,000 Class A-R Loans maturing 2034, Assigned Aaa (sf)
US$44,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Assigned Aa2 (sf)
US$24,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)
US$23,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)
US$17,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2034, 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 and incurred loans are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans.
Voya 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 remaining
reinvestment period.
The Issuer previously issued one class of subordinated notes and
one class of income notes, which will remain outstanding.
In addition to the issuance or incurrence of the Refinancing Debt,
a variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
non-call period.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, 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:
Performing par and principal proceeds balance: $394,877,313
Diversity Score: 90
Weighted Average Rating Factor (WARF): 2755
Weighted Average Spread (WAS)): 3.12%
Weighted Average Coupon (WAC): 5.13%
Weighted Average Recovery Rate (WARR): 46.50%
Weighted Average Life (WAL): 5.6 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology 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.
WELLFLEET CLO 2024-2: S&P Assigns BB- (sf) Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Wellfleet CLO 2024-2
Ltd./Wellfleet CLO 2024-2 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 Blue Owl Liquid Credit Advisors, a
subsidiary of Blue Owl Capital Inc.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Wellfleet CLO 2024-2 Ltd./Wellfleet CLO 2024-2 LLC
Class A, $68.00 million: AAA (sf)
Class A-L1 loans, $90.00 million: AAA (sf)
Class A-L2 loans, $90.00 million: AAA (sf)
Class B-1, $49.00 million: AA (sf)
Class B-2, $5.00 million: AA (sf)
Class C (deferrable), $26.00 million: A (sf)
Class D-1 (deferrable), $20.00 million: BBB (sf)
Class D-2 (deferrable), $7.00 million: BBB- (sf)
Class E (deferrable). $13.00 million: BB- (sf)
Subordinated notes, $42.00 million: Not rated
WELLS FARGO 2021-FCMT: Fitch Affirms B-sf Rating to Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of Wells Fargo Commercial
Mortgage Trust 2021-FCMT (WFCM 2021-FCMT), commercial mortgage
pass-through certificates, series 2021-FCMT. The Rating Outlooks
for classes E and F have been revised to Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
WFCM 2021-FCMT
A 95003EAA4 LT AAAsf Affirmed AAAsf
B 95003EAC0 LT AA-sf Affirmed AA-sf
C 95003EAE6 LT A-sf Affirmed A-sf
D 95003EAG1 LT BBB-sf Affirmed BBB-sf
E 95003EAJ5 LT BB-sf Affirmed BB-sf
F 95003EAL0 LT B-sf Affirmed B-sf
Transaction Summary
The certificates represent the beneficial interests in the mortgage
loan securing the borrower's fee simple interests in a 648,340-sf
portion of Fashion Centre at Pentagon City, a super-regional mall,
and Metro Tower at Pentagon City, a 169,551-sf office property, as
well as the leased fee interest in the connected Ritz Carlton at
Pentagon City hotel in Arlington, VA. The retail and office portion
represent 91% and 9% of the allocated loan balance, respectively.
The five-year fully extended, floating-rate, interest-only loan
matures in May 2026.
KEY RATING DRIVERS
Near Term Maturity; Office Concern: The affirmations reflect
improved performance from issuance of the retail portion of the
collateral. The Negative Outlooks on classes E and F reflect
exposure to the office portion of the collateral. The sole office
tenant, RAND Corporation (approximately 15.7% NRA; $6.9 million in
base rent), has a lease expiration in December 2025. The servicer
had no available updates on the tenant's plans. The loan's
refinanceability at final maturity in May 2026 remains a rating
concern should the sole office tenant vacate.
As of September 2024, the collateral was 82.3% occupied, compared
to 84.8% at issuance. As of September 2024, the servicer-reported
NCF debt service coverage ratio (DSCR) was 1.08x, compared with
1.16x at YE 2023, 2.02x at YE 2022 and 2.74x at YE 2021. This was
primarily due to increasing debt service. Fitch relied on September
2024 reporting for its analysis.
The updated Fitch NCF of $35.4 million exceeds the $32.2 million
Fitch NCF at issuance, primarily due to increases in rent, expense
reimbursements and other income. Fitch incorporated an additional
vacancy adjustment to account for upcoming rollover risk and
inflated operating expenses, which are generally 3% over the
annualized September 2024 figures. Fitch noted at issuance that the
largest rollover will occur in 2025. Per the September 2024 rent
roll, approximately 20.5% NRA ($12.3 million in base rent) expires
in 2025, including the RAND corporation lease.
Fitch's analysis also considered a sensitivity scenario that
applied a higher vacancy adjustment and downward rental rate
adjustment. This accounted for the possibility of RAND Corporation
vacating and assumed that the space is re-leased at lower current
market rents. This scenario also considers a slightly higher
vacancy rate on the retail portion of the collateral to account for
upcoming rollover from retail tenants.
The sensitivity scenario and the loan's upcoming May 2026 final
maturity contributed to the Negative Rating Outlooks. Fitch asked
for a status update on the approaching May 2025 maturity date, and
believes the borrower will likely exercise the remaining one-year
extension option.
Competitive Retail Position and Property Quality: Fitch assigned
Fashion Centre and Metro Tower property quality grades of 'A-' and
'B+', respectively, at issuance. Fashion Centre currently has an A+
designation in GreenStreet's mall database, which tracks malls
across the U.S.
High Fitch Leverage: The $455.0 million mortgage loan has high
leverage metrics, with a Fitch stressed loan-to- value (LTV), debt
service coverage ratio (DSCR) and debt yield of 102.9%, 0.86x and
7.8%, respectively, and debt of $556 psf. Fitch's analysis
increased the stressed cap rate to 8% from 7.75% at the prior
rating action to reflect increasing performance concerns regarding
the office component.
Location: The property is located in the Pentagon City neighborhood
of Arlington, VA and approximately four miles southwest of
Washington, D.C. The Fashion Centre at Pentagon City is connected
to an office (169,551-sf Metro Tower - collateral), a 366-key Ritz
Carlton (ground is collateral; hotel improvements are not), and the
Yellow and Blue Metro lines. Given the property's accessible urban
location, it draws from a dense local trade area within five miles
and has a diverse customer base that includes local shoppers,
office workers, and domestic and international tourists.
Strong Pre-Pandemic Sales Performance: Fitch considered Fashion
Centre's reported 2019 in-line sales (over 10,000 sf) of $993 psf.
The mall's reported in-line sales excluding Apple are $786 psf.
While updated sales were requested, the servicer indicated they are
not required under loan documentation.
Institutional Sponsorship: The borrowers are each indirect
subsidiaries of joint ventures between affiliates of Simon Property
Group, L.P. (SPG) and Institutional Mall Investors (IMI), a
co-investment venture owned by an affiliate of Miller Capital
Advisory, Inc. (MCA) and California Public Employees' Retirement
System (CalPERS).
SPG is a real estate investment trust with an interest in 231
properties comprising 184 million sf, in North America, Asia and
Europe as of September 2024. The sponsor's U.S. portfolio includes
93 malls, 70 outlet properties (including 14 properties within the
company's Mills portfolio), six lifestyle centers and 13 other
retail properties in 37 states and Puerto Rico.
As of YE 2023, SPG's total U.S. portfolio was over 95.8% leased (up
from 94.9% at YE 2022). SPG's U.S. mall and outlet portfolio
generated sales psf of $743 in 2023. MCA is the investment manager
for IMI. CalPERS is the largest public pension fund in the U.S.
with $503 billion in assets under management as of June 2024. IMI's
portfolio consists of 20.6 million sf of retail space and over 1.2
million sf of office space as of September 2024.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades are possible if tenants with leases expiring in 2025 do
not renew or renew at significantly lower rates or the loan
defaults at maturity. Fitch will continue to monitor for leasing
updates, particularly with the RAND Corporation.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Future upgrades are unlikely given the loan's upcoming loan
maturity but could be possible with a significant and sustained
increase in cash flow.
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.
WELLS FARGO 2025-C64: Fitch Assigns B-(EXP)sf Rating on J-RR Certs
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Wells Fargo Commercial Mortgage Trust 2025-C64 commercial mortgage
pass-through certificates series 2025-C64 as follows:
- $11,231,000 class A-1 'AAAsf'; Outlook Stable;
- $21,000,000 class A-2 'AAAsf'; Outlook Stable;
- $16,454,000 class A-SB 'AAAsf'; Outlook Stable;
- $125,000,000d class A-4 'AAAsf'; Outlook Stable;
- $401,833,000d class A-5 'AAAsf'; Outlook Stable;
- $575,518,000a class X-A 'AAAsf'; Outlook Stable;
- $143,879,000a class X-B 'A-sf'; Outlook Stable;
- $68,856,000 class A-S 'AAAsf'; Outlook Stable;
- $43,164,000 class B 'AA-sf'; Outlook Stable;
- $31,859,000 class C 'A-sf'; Outlook Stable;
- $21,818,000abd class X-D 'BBB-sf'; Outlook Stable;
- $13,596,000b class D 'BBBsf'; Outlook Stable;
- $8,222,000bd class E 'BBB-sf'; Outlook Stable;
- $15,180,000bcd class F-RR 'BB+sf'; Outlook Stable;
- $11,305,000bc class G-RR 'BB-sf'; Outlook Stable;
- $13,360,000bc class J-RR 'B-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $41,108,756bc class K-RR.
(a) Notional amount and interest-only.
(b) Privately placed pursuant to Rule 144A.
(c) Classes F-RR, G-RR, J-RR and K-RR certificates comprise the
transaction's horizontal risk retention interest.
(d) The expected class A-4 balance range is $0-$250,000,000, and
the expected class A-5 balance range is $276,833,000-$526,833,000,
both net of their proportionate share of the combined VRR interest.
The balances for classes A-4 and A-5 reflect the midpoints of each
respective range, net of their proportionate share of the combined
VRR interest. In the event the class A-5 certificates are issued at
$526,833,000, the class A-4 certificates will not be issued. The
expected class X-D balance range is $20,143,000-$21,818,000. The
class X-D certificates will not be entitled to distributions of
principal.
The initial certificate balance of each of the class E and F-RR
certificates is based on the estimated ranges of certificate
balances and estimated fair values described in "Credit Risk
Retention" in the preliminary prospectus. The initial certificate
balance of the class E certificates is expected to fall within a
range of $6,547,000-$8,222,000, and the initial certificate balance
of the class F-RR certificates is expected to fall within a range
of $15,180,000-$16,855,000, with the ultimate initial certificate
balance of each determined such that the aggregate fair value of
the class F-RR, G-RR, J-RR and K-RR certificates will equal at
least 5% of the estimated fair value as of the closing date of all
of the classes of certificates (other than the class R
certificates) issued by the issuing entity.
Any variation in the initial certificate balance of class E
certificates would affect the initial notional amount of class X-D
certificates. In addition, the initial credit support percentage
for the class E certificates will range between approximately
between 9.846% and 10.050%.
The expected ratings are based on information provided by the
issuer as of Jan. 31, 2025.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, the primary assets of which are 32 loans secured by 62
commercial properties with an aggregate principal balance of
$822,168,756 as of the cutoff date. The loans were contributed to
the trust by Wells Fargo Bank, National Association, Goldman Sachs
Mortgage Company, Citi Real Estate Finding, Inc., UBS AG, Societe
Generale Financial Corporation, JPMorgan Chase Bank, National
Association, Bank of Montreal, LMF Commercial LLC and Natixis Real
Estate Capital LLC.
The master servicer is expected to be Wells Fargo Bank, National
Association and the special servicer is expected to be Rialto
Capital Advisors, LLC. The trustee and certificate administrator is
expected to be Computershare Trust Company, National Association.
The certificates are expected to follow a sequential paydown
structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analysis on 24 loans
totaling 91.0% of the pool by balance. Fitch's resulting aggregate
net cash flow (NCF) of $88.1 million represents a 13.0% decline
from the issuer's aggregate underwritten NCF of $101.2 million.
Higher Fitch Leverage: The pool has higher leverage than recent
multiborrower transactions rated by Fitch. The pool's Fitch
loan-to-value ratio (LTV) of 95.3% is higher than the 2024 and 2023
averages of 84.5% and 87.2%, respectively. The pool's Fitch NCF
debt yield (DY) of 10.7% is lower than the 2024 and 2023 averages
of 12.3% and 11.1%, respectively. Excluding credit opinion loans,
the pool's Fitch LTV and DY are 99.1% and 10.1%, respectively,
compared to the equivalent 2024 LTV and DY averages of 91.5% and
10.9%, respectively.
Investment Grade Credit Opinion Loans: Two loans representing 11.9%
of the pool by balance received an investment grade credit opinion.
Soho Grand & The Roxy Hotel (8.5%) received an investment grade
credit opinion of 'A-sf*' on a standalone basis. Newport Centre
(3.4%) received an investment grade credit opinion of 'BBBsf*' on a
standalone basis. The pool's total credit opinion percentage is
lower than the 2024 and 2023 averages of 21.4% and 20.1%,
respectively.
Lower Pool Concentration: The pool is less concentrated than recent
Fitch-rated transactions. The top 10 loans in the pool make up
58.8% of the pool, lower than the 2024 and 2023 averages of 63.0%
and 62.5%, respectively. 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
20.6. Fitch views diversity as a key mitigant to idiosyncratic
risk. Fitch raises the overall loss for pools with effective loan
counts below 40.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB+sf' / 'BB-sf' / 'B-sf'.
- 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf'
'B+sf' / 'B-sf' / 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB+sf' / 'BB-sf' / 'B-sf'.
- 10% NCF Increase: 'AAAsf' / 'AAsf' / 'Asf' / 'A-sf' / 'BBB+sf' /
'BBB-sf' / '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 Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each mortgage loan. 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.
WESTLAKE AUTOMOBILE 2025-1: DBRS Finalizes BB Rating on E Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the classes
of notes issued by Westlake Automobile Receivables Trust 2025-1
(Westlake 2025-1 or the Issuer) as follows:
-- $348,300,000 Class A-1 Notes at R-1 (high) (sf)
-- $373,000,000 Class A-2-A Notes at AAA (sf)
-- $90,000,000 Class A-2-B Notes at AAA (sf)
-- $167,700,000 Class A-3 Notes at AAA (sf)
-- $110,210,000 Class B Notes at AA (sf)
-- $176,980,000 Class C Notes at A (sf)
-- $141,590,000 Class D Notes at BBB (sf)
-- $77,220,000 Class E Notes at BB (sf)
CREDIT RATING RATIONALE
The 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%.
-- 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.
Notes: All figures are in US dollars unless otherwise noted.
WFRBS COMMERCIAL 2014-C21: DBRS Confirms B Rating on Class D Certs
------------------------------------------------------------------
DBRS Limited downgraded the credit rating on one class of
Commercial Mortgage Pass-Through Certificates, Series 2014-C21
issued by WFRBS Commercial Mortgage Trust 2014-C21 as follows:
-- Class F to C (sf) from CCC (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-S at AAA (sf)
-- Class B at A (sf)
-- Class C at BBB (sf)
-- Class D at B (sf)
-- Class E at CCC (sf)
-- Class X-A at AAA (sf)
-- Class X-B at B (high) (sf)
-- Class X-C at CCC (sf)
-- Class PEX at BBB (sf)
Morningstar DBRS changed the trends on Classes B, C, D, X-B, and
PEX to Stable from Negative; the trends on Classes A-S and X-A
remain Stable. There are no trends on Classes E, F, and X-C, which
have credit ratings that do not typically carry trends in
commercial mortgage-backed securities (CMBS) credit ratings.
Since the last credit rating action, 80 loans have repaid from the
trust, resulting in a pool that is now extremely concentrated. To
date, the trust has realized $36.6 million in losses, which have
been contained to the nonrated Class G. As of the January 2025
remittance, only eight loans are remaining, all of which are in
special servicing. Given the concentration of defaulted and
under-performing assets, Morningstar DBRS' analysis considered
liquidation scenarios for all nine remaining loans to determine the
recoverability of the outstanding bonds. Morningstar DBRS'
liquidated losses indicate increased likelihood of loss to Class F,
prompting the downgrade of that class with today's credit rating
action. In addition, Morningstar DBRS determined that even in a
stressed scenario, Classes A-S, B, C, and D are well-insulated from
loss and likely to be recovered, a key driver in changing the trend
of those classes to Stable.
At the time of the last credit rating action, Morningstar DBRS had
identified eight loans that demonstrated increased risk of maturity
default, two of which successfully repaid. Furthermore, the two
largest specially serviced loans in the pool, Fairview Park Drive
(Prospectus ID#1, 32.5% of the pool) and Queens Atrium (Prospectus
ID#2, 29.4% of the pool), have recently executed loan modifications
to include maturity extensions. Morningstar DBRS notes the
borrowers' commitment to the collateral properties is evidenced by
the recent equity capital infusion and continued efforts towards
stabilization of the assets that are expected to perform in line
with expectations in the near to medium term.
Morningstar DBRS' loss expectations are primarily driven by the
largest loan in the pool, Fairview Park Drive, which is secured by
a 360,864-square-foot office building in Falls Church, Virginia.
The loan transferred to the special servicer in May 2024 because of
imminent monetary default and subsequently failed to repay at
maturity in July 2024. According to the December 2024 remittance, a
loan modification was executed in November 2024 and the loan is
pending return to the master servicer. As per the terms of the loan
modification agreement, the borrower is required to deposit $8.5
million into a general cash reserve account in exchange for a
two-year maturity extension followed by a 12-month extension
option, with a fully extended maturity date in July 2027. As per
the December 2023 rent roll, the largest tenants include BAE
Systems Inc. (47.0% of the NRA, lease expiry in June 2031), and
Deloitte & Touche USA LLP (10.0% of the NRA, lease expiry in
October 2025). Leases totaling 22.3% of the net rentable area (NRA)
are scheduled to expire by the fully extended maturity date,
including the second largest tenant. The servicer noted that the
property was 86% occupied in September 2024, which remains in line
with issuance expectations. An August 2024 appraisal valued the
property at $91.1 million, 32.5% below the issuance appraised value
of $135.0 million. While the execution of the modification
agreement is a positive development, Morningstar DBRS remains
concerned with the recent maturity default and moderate rollover
risk prior to the extended maturity date. As such, the loan was
analyzed with a liquidation scenario based on a haircut to the
latest appraised value, resulting in an implied loss severity
approaching 20%.
Notes: All figures are in U.S. dollars unless otherwise noted.
ZAIS CLO 16: S&P Assigns BB- (sf) Rating on E-R2 Replacement Debts
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R2,
A-2-R2, B-R2, C-R2, D-1A-R2, D-2-R2, and E-R2 replacement debt and
the new class D-1B-R2 debt from ZAIS CLO 16 Ltd./ZAIS CLO 16 LLC, a
CLO managed by ZAIS Leveraged Loan Master Manager LLC that was
originally issued in September 2020 and underwent a refinancing in
October 2021. At the same time, S&P withdrew its ratings on the
class A-1-R, A-J-R, B-R, C-R, D-1-R, D-J-R, and E-R debt following
payment in full on the Feb. 12, 2025, refinancing date. S&P also
affirmed its ratings on the class A-F-R and D-F-R 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 October 2025.
-- No additional assets were purchased on the Feb. 12, 2025,
refinancing date, and the target initial par amount remains at
$300,000,000. There was no additional effective date or ramp-up
period, and the first payment date following the refinancing is
April 20, 2025.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And October 2021 Debt Issuances
Replacement debt
-- Class A-1-R2, $145.000 million: Three-month CME term SOFR +
1.13%
-- Class A-2-R2, $12.000 million: Three-month CME term SOFR +
1.40%
-- Class B-R2, $36.000 million: Three-month CME term SOFR + 1.60%
-- Class C-R2, $15.000 million: Three-month CME term SOFR + 1.90%
-- Class D-1A-R2, $6.000 million: Three-month CME term SOFR +
3.35%
-- Class D-1B-R2, $7.000 million: 7.327%
-- Class D-2-R2, $5.000 million: Three-month CME term SOFR +
4.50%
-- Class E-R2, $7.000 million: Three-month CME term SOFR + 7.75%
October 2021 debt
-- Class A-1-R, $145.000 million: Three-month CME term SOFR +
1.42% + CSA(i)
-- Class A-F-R, $35.000 million: 2.499%
-- Class A-J-R, $12.000 million: Three-month CME term SOFR + 1.69%
+ CSA(i)
-- Class B-R, $36.000 million: Three-month CME term SOFR + 2.00% +
CSA(i)
-- Class C-R, $15.000 million: Three-month CME term SOFR + 2.69% +
CSA(i)
-- Class D-1-R, $13.000 million: Three-month CME term SOFR + 4.45%
+ CSA(i)
-- Class D-F-R, $5.000 million: 5.750%
-- Class D-J-R, $5.000 million: Three-month CME term SOFR + 5.58%
+ CSA(i)
-- Class E-R (deferrable), $7.000 million: Three-month CME term
SOFR + 8.14% + CSA(i)
-- Subordinated notes, $25.739 million: Not applicable
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
ZAIS CLO 16 Ltd./ZAIS CLO 16 LLC
Class A-1-R2, $145.000 million: AAA (sf)
Class A-2-R2, $12.000 million: AAA (sf)
Class B-R2, $36.000 million: AA (sf)
Class C-R2 (deferrable), $15.000 million: A (sf)
Class D-1A-R2 (deferrable), $6.000 million: BBB (sf)
Class D-1B-R2 (deferrable), $7.000 million: BBB (sf)
Class D-2-R2 (deferrable), $5.000 million: BBB- (sf)
Class E-R2 (deferrable), $7.000 million: BB- (sf)
Ratings Withdrawn
ZAIS CLO 16 Ltd./ZAIS CLO 16 LLC
Class A-1-R to NR from 'AAA (sf)'
Class A-J-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-R to NR from 'A (sf)'
Class D-1-R to NR from 'BBB (sf)'
Class D-J-R to NR from 'BBB- (sf)'
Class E-R to NR from 'BB- (sf)'
Ratings Affirmed
ZAIS CLO 16 Ltd./ZAIS CLO 16 LLC
Class A-F-R: 'AAA (sf)'
Class D-F-R: 'BBB (sf)'
Other Debt
ZAIS CLO 16 Ltd./ZAIS CLO 16 LLC
Subordinated notes, $25.739 million: NR
NR--Not rated.
[] DBRS Confirms Ratings on 59 Classes From 11 U.S. RMBS Deals
--------------------------------------------------------------
DBRS, Inc. reviewed 84 classes from 11 U.S. single-family rental
transactions. Of the 84 classes reviewed, Morningstar DBRS
confirmed 59 credit ratings and upgraded 25 credit ratings as
follows:
American Homes 4 Rent 2015-SFR1 Trust
-- AH4R 2015-SFR1, Class A confirmed at AAA (sf)
-- AH4R 2015-SFR1, Class B confirmed at AAA (sf)
-- AH4R 2015-SFR1, Class C confirmed at AAA (sf)
-- AH4R 2015-SFR1, Class D confirmed at AAA (sf)
-- AH4R 2015-SFR1, Class E upgraded to AA (high) (sf) from AA
(low) (sf)
-- AH4R 2015-SFR1, Class F upgraded to AA (low) (sf) from A (sf)
American Homes 4 Rent 2015-SFR2 Trust
-- AH4R 2015-SFR2, Class A confirmed at AAA (sf)
-- AH4R 2015-SFR2, Class B confirmed at AAA (sf)
-- AH4R 2015-SFR2, Class C confirmed at AAA (sf)
-- AH4R 2015-SFR2, Class D confirmed at AAA (sf)
-- AH4R 2015-SFR2, Class E upgraded to AA (sf) from AA (low) (sf)
AMSR 2020-SFR2 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 upgraded
to AAA (sf) from AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D upgraded
to AAA (sf) from AA (sf)
-- Single-Family Rental Pass-Through Certificate, Class E1
upgraded to AA (high) (sf) from A (sf)
-- Single-Family Rental Pass-Through Certificate, Class E2
upgraded to A (high) (sf) from BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F upgraded
to BBB (high) (sf) from BB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G upgraded
to BBB (low) (sf) from BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class H upgraded
to BB (low) (sf) from B (low) (sf)
AMSR 2020-SFR3 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 upgraded
to AAA (sf) from AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D upgraded
to AA (sf) from AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1
upgraded to A (low) (sf) from 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 2020-SFR4 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 (high) (sf) from A (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D upgraded
to A (high) (sf) from A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1
upgraded to A (low) (sf) from 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 (sf)
-- Single-Family Rental Pass-Through Certificate, Class G-1
confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class G-2
confirmed at B (sf)
AMSR 2020-SFR5 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 upgraded
to AAA (sf) from AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D upgraded
to AA (high) (sf) from A (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1
upgraded to A (high) (sf) from BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-2
upgraded to A (low) (sf) from BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F upgraded
to BBB (low) (sf) from BB (sf)
-- Single-Family Rental Pass-Through Certificate, Class G upgraded
to BB (low) (sf) from B (sf)
AMSR 2021-SFR2 Trust
-- Single Family Rental Pass Through Certificates, Class A
confirmed at AAA (sf)
-- Single Family Rental Pass Through Certificates, Class B
confirmed at AA (low) (sf)
-- Single Family Rental Pass Through Certificates, Class C
confirmed at A (low) (sf)
-- Single Family Rental Pass Through Certificates, Class D
confirmed at BBB (high) (sf)
-- Single Family Rental Pass Through Certificates, Class E-1
confirmed at BBB (sf)
-- Single Family Rental Pass Through Certificates, Class E-2
confirmed at BBB (low) (sf)
-- Single Family Rental Pass Through Certificates, Class F-1
confirmed at BB (high) (sf)
-- Single Family Rental Pass Through Certificates, Class F-2
confirmed at BB (low) (sf)
AMSR 2021-SFR3 Trust
-- Single-Family Rental Pass-Through Certificate A confirmed at
AAA (sf)
-- Single-Family Rental Pass-Through Certificate B confirmed at
AAA (sf)
-- Single-Family Rental Pass-Through Certificate C confirmed at
AAA (sf)
-- Single-Family Rental Pass-Through Certificate D confirmed at AA
(high) (sf)
-- Single-Family Rental Pass-Through Certificate E-1 confirmed at
A (low) (sf)
-- Single-Family Rental Pass-Through Certificate E-2 confirmed at
BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate F confirmed at BB
(low) (sf)
-- Single-Family Rental Pass-Through Certificate G confirmed at B
(low) (sf)
AMSR 2021-SFR4 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-1
confirmed at BBB (sf)
-- Single Family Rental Pass Through Certificate, Class E-2
confirmed at BBB (low) (sf)
-- Single Family Rental Pass Through Certificate, Class F-1
confirmed at BB (high) (sf)
-- Single Family Rental Pass Through Certificate, Class F-2
confirmed at BB (low) (sf)
New Residential Mortgage Loan Trust 2022-SFR1
-- Single-Family Rental Pass-Through Certificates, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificates, Class B
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificates, Class C
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificates, Class D
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificates, Class E-1
confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificates, Class E-2
confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificates, Class F
confirmed at BB (low) (sf)
-- Single-Family Rental Pass-Through Certificates, Class G
confirmed at B (low) (sf)
STAR 2021-SFR1 Trust
-- Class A confirmed at AAA (sf)
-- Class B confirmed at AAA (sf)
-- Class C upgraded to AA (high) (sf) from AA (sf)
-- Class D upgraded to A (sf) from A (low) (sf)
-- Class E confirmed at BBB (low) (sf)
-- Class F confirmed at BB (low) (sf)
-- Class G confirmed at B (low) (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.
Notes: All figures are in U.S. dollars unless otherwise noted.
[] DBRS Reviews 151 Classes From 29 US RMBS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 151 classes from 29 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 29
transactions reviewed, 28 are classified as reverse mortgage, and
one is classified as home equity investment. Of the 151 classes
reviewed, Morningstar DBRS upgraded its credit ratings on 59
classes, confirmed its credit ratings on 72 classes, and
discontinued 20 classes due to being paid-in-full.
The Affected Ratings are available at https://bit.ly/4gFkecy
The Issuers are:
EFMT 2024-RM1
CFMT 2021-HB6, LLC
CFMT 2020-AB1, LLC
CFMT 2022-HB9, LLC
CFMT 2023-HB11, LLC
CFMT 2023-HB12, LLC
Boston Lending Trust 2022-1
Boston Lending Trust 2022-3
RMF Proprietary Issuance Trust 2021-2
Unlock HEA Trust 2024-1
Cascade Funding Mortgage Trust 2022-AB2
Cascade Funding Mortgage Trust 2018-RM2
Cascade Funding Mortgage Trust 2022-RM4
Boston Lending Trust 2021-1
RMF Proprietary Issuance Trust 2022-1
RMF Proprietary Issuance Trust 2022-3
RMF Proprietary Issuance Trust 2021-1
RMF Proprietary Issuance Trust 2022-2
RMF Buyout Issuance Trust 2021-HB1
RMF Buyout Issuance Trust 2022-HB1
RMF Buyout Issuance Trust 2020-HB1
Ocwen Loan Investment Trust 2024-HB1
Cascade Funding Mortgage Trust 2019-RM3
CFMT 2022-HB8, LLC
Brean Asset-Backed Securities Trust 2023-RM6
Boston Lending Trust 2022-2
Finance of America Structured Securities Trust 2024-S1
RMF Proprietary Issuance Trust 2019-1
RMF Proprietary Issuance Trust 2020-1
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 credit rating
discontinuations reflect full repayment of outstanding
obligations.
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.
The credit rating actions are the result of Morningstar DBRS'
application of its "Rating and Monitoring U.S. Reverse Mortgage
Securitizations," methodology published on September 30, 2024.
Notes: All figures are in US dollars unless otherwise noted.
[] Moody's Takes Action on 21 Bonds From 3 US RMBS Deals
--------------------------------------------------------
Moody's Ratings has upgraded the ratings of 21 bonds from three US
residential mortgage-backed transactions (RMBS), backed by 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: Bear Stearns ALT-A Trust 2005-9
Cl. I-1A-1, Upgraded to Caa1 (sf); previously on Dec 17, 2010
Downgraded to Caa3 (sf)
Cl. II-1A-1, Upgraded to Caa1 (sf); previously on Dec 17, 2010
Downgraded to Caa3 (sf)
Cl. II-2A-1, Upgraded to Caa2 (sf); previously on Dec 17, 2010
Downgraded to Ca (sf)
Cl. II-3A-1, Upgraded to Caa1 (sf); previously on Dec 17, 2010
Downgraded to Ca (sf)
Cl. II-4A-1, Upgraded to Caa1 (sf); previously on Dec 17, 2010
Downgraded to Ca (sf)
Cl. II-5A-1, Upgraded to Caa1 (sf); previously on Dec 17, 2010
Downgraded to Caa3 (sf)
Cl. II-6A-1, Upgraded to Caa2 (sf); previously on Dec 17, 2010
Downgraded to Caa3 (sf)
Issuer: Bear Stearns Alt-A Trust 2005-10
Cl. I-1A-1, Upgraded to Caa1 (sf); previously on Jul 2, 2010
Downgraded to Caa3 (sf)
Cl. II-1A-1, Upgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Ca (sf)
Cl. II-2A-1, Upgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Ca (sf)
Cl. II-3A-1, Upgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Ca (sf)
Cl. II-4A-1, Upgraded to Caa1 (sf); previously on Jul 2, 2010
Downgraded to Ca (sf)
Cl. II-5A-1, Upgraded to Caa2 (sf); previously on Jul 2, 2010
Downgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-13CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
Cl. A-2*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. A-5, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. A-7*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. A-8, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
*Reflects Interest-Only Classes
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 expectation
for each bond.
Each of the bonds experiencing a rating change has 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 expectation of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No action was taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
No action was taken on the remaining rated classes in these deals
as those classes are already at the highest achievable levels
within Moody's rating scale.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes 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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 13 Bonds From 7 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 13 bonds from seven US
residential mortgage-backed transactions (RMBS), backed by subprime
mortgages issued by Residential Asset Securities Corporation.
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: RASC Series 2005-EMX3 Trust
Cl. M-5, Upgraded to Aaa (sf); previously on Apr 12, 2024 Upgraded
to A1 (sf)
Cl. M-6, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: RASC Series 2005-KS4 Trust
Cl. M-4, Upgraded to Aaa (sf); previously on Apr 12, 2024 Upgraded
to Aa1 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed
C (sf)
Issuer: RASC Series 2005-KS9 Trust
Cl. M-6, Upgraded to Aaa (sf); previously on Apr 12, 2024 Upgraded
to A1 (sf)
Cl. M-7, Upgraded to Ba1 (sf); previously on Mar 28, 2017 Upgraded
to Caa3 (sf)
Issuer: RASC Series 2006-EMX3 Trust
Cl. M-1, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: RASC Series 2006-KS1 Trust
Cl. M-3, Upgraded to A1 (sf); previously on Apr 12, 2024 Upgraded
to Baa1 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Downgraded to C (sf)
Issuer: RASC Series 2006-KS2 Trust
Cl. M-3, Upgraded to A1 (sf); previously on Apr 12, 2024 Upgraded
to Baa1 (sf)
Cl. M-4, Upgraded to Ca (sf); previously on Apr 6, 2010 Downgraded
to C (sf)
Issuer: RASC Series 2006-KS4 Trust
Cl. M-2, Upgraded to Aa1 (sf); previously on Apr 12, 2024 Upgraded
to A1 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 20, 2009
Downgraded to C (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 expectation
on the bonds.
Some 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 expectation of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
The rating actions also reflect the further seasoning of the
collateral and increased clarity regarding the impact of borrower
relief programs on collateral performance. Information obtained
from loan servicers in recent years has shed light on their current
strategies regarding borrower relief programs and the impact those
programs may have on collateral performance and transaction
liquidity, through servicer advancing. Moody's recent analysis has
found that in addition to robust home price appreciation, many of
these borrower relief programs have contributed to stronger
collateral performance than Moody's had previously expected, thus
supporting the upgrades.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
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.
[] Moody's Upgrades Ratings on 17 Bonds From 6 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of seventeen bonds from
six US residential mortgage-backed transactions (RMBS), backed by
prime jumbo and agency eligible mortgage loans.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Chase Home Lending Mortgage Trust 2019-ATR1
Cl. B-5, Upgraded to A3 (sf); previously on May 23, 2024 Upgraded
to Ba1 (sf)
Issuer: Chase Mortgage Trust 2016-1
Cl. M-3, Upgraded to Aaa (sf); previously on Apr 30, 2024 Upgraded
to Aa1 (sf)
Cl. M-4, Upgraded to Aaa (sf); previously on Apr 30, 2024 Upgraded
to Aa2 (sf)
Issuer: Chase Mortgage Trust 2016-2
Cl. M-2, Upgraded to Aaa (sf); previously on Jun 29, 2023 Upgraded
to Aa1 (sf)
Cl. M-3, Upgraded to Aaa (sf); previously on Apr 30, 2024 Upgraded
to Aa2 (sf)
Cl. M-4, Upgraded to Aaa (sf); previously on Apr 30, 2024 Upgraded
to A1 (sf)
Issuer: Chase Mortgage Reference Notes, Series 2021-CL1
Cl. M-4, Upgraded to Baa3 (sf); previously on May 31, 2024 Upgraded
to Ba1 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on May 31, 2024 Upgraded
to Ba2 (sf)
Issuer: J.P. Morgan Wealth Management Reference Notes, Series
2021-CL1
Cl. M-2, Upgraded to A1 (sf); previously on Feb 26, 2021 Definitive
Rating Assigned A2 (sf)
Cl. M-3, Upgraded to A3 (sf); previously on May 6, 2024 Upgraded to
Baa1 (sf)
Cl. M-5, Upgraded to Ba1 (sf); previously on May 6, 2024 Upgraded
to Ba2 (sf)
Issuer: J.P. Morgan Mortgage Trust 2024-4
Cl. B-2, Upgraded to A2 (sf); previously on Apr 30, 2024 Definitive
Rating Assigned A3 (sf)
Cl. B-2-A, Upgraded to A2 (sf); previously on Apr 30, 2024
Definitive Rating Assigned A3 (sf)
Cl. B-2-X*, Upgraded to A2 (sf); previously on Apr 30, 2024
Definitive Rating Assigned A3 (sf)
Cl. B-3, Upgraded to Baa2 (sf); previously on Apr 30, 2024
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 30, 2024
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Apr 30, 2024 Definitive
Rating Assigned B3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool. Each of
the transactions Moody's reviewed continue to display strong
collateral performance, with cumulative losses for each transaction
under 0.14% and a small number of loans in delinquency. In
addition, enhancement levels for most tranches have grown
significantly, as the pools amortize relatively quickly. The credit
enhancement has grown on average 10.6% since 12 month ago for the
non-exchangeable tranches upgraded. In addition, while Moody's
analysis applied a greater probability of default stress on loans
that have experienced modifications, Moody's decreased that stress
to the extent the modifications were in the form of temporary
payment relief.
Moody's analysis on certain bonds included an assessment of the
existing credit enhancement floor, in place to mitigate the
potential default of a small number of loans at the tail end of a
transaction. Also, Moody's analysis considered the relationship of
exchangeable bonds to the bond(s) they could be exchanged for.
No actions were taken on the other rated classes in this deal
because the expected losses on these bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, and credit
enhancement.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in 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 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.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA.
Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon,
Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.
Copyright 2025. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The single-user TCR subscription rate is $1,400 for six months
or $2,350 for twelve months, delivered via e-mail. Additional
e-mail subscriptions for members of the same firm for the term
of the initial subscription or balance thereof are $25 each per
half-year or $50 annually. For subscription information, contact
Peter A. Chapman at 215-945-7000.
*** End of Transmission ***