/raid1/www/Hosts/bankrupt/TCR_Public/250223.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 23, 2025, Vol. 29, No. 53
Headlines
AB BSL CLO 3: S&P Assigns BB- (sf) Rating on Class E-R Notes
ABPCI DIRECT XX: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
ALESCO PREFERRED XII: Moody's Raises Rating on 2 Tranches to Caa2
AMMC CLO 27: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
AMMC CLO 31: S&P Assigns BB- (sf) Rating on Class E Notes
ANCHORAGE CAPITAL 16: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes
ARBOR REALTY 2021-FL1: DBRS Confirms B(low) Rating on G Notes
ATLAS SENIOR XVII: S&P Assigns BB- (sf) Rating on Class E-R Notes
BAIN CAPITAL 2021-7: Moody's Gives Ba3 Rating to $19.6MM E-R Notes
BALBOA BAY 2021-1: S&P Affirms 'BB- (sf)' Rating on Class E Notes
BB-UBS TRUST 2012-TFT: S&P Cuts Cl. TE Certs Rating to 'CCC-(sf)'
BBAM US CLO I: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
BENEFIT STREET XXV: Moody's Assigns Ba3 Rating to $22MM E-R Notes
BRAVO RESIDENTIAL 2025-NQM1: DBRS Finalizes BB Rating on B2 Notes
BREAN ASSET 2025-RM10: DBRS Finalizes B Rating on M5 Notes
BRYANT PARK 2023-19: S&P Assigns Prelim B-(sf) Rating on F-R Notes
BSPRT 2021-FL6: DBRS Confirms B(low) Rating on Class H Notes
BX COMMERCIAL 2022-CSMO: DBRS Confirms BB Rating on F Certs
BX COMMERCIAL 2024-MF: DBRS Confirms B Rating on HRR Certs
BX MORTGAGE 2025-BIO3: Moody's Assigns Ba2 Rating to Cl. HRR Certs
BXMT LTD 2020-FL2: DBRS Confirms B Rating on Class F Notes
CEDAR FUNDING VIII: S&P Assigns BB-(sf) Rating on Class E-RR Notes
CHASE HOME 2025-1: DBRS Finalizes B(low) Rating on B5 Certs
CHASE HOME 2025-2: Fitch Assigns B+(EXP) Rating on Cl. B-5 Certs
CIFC FUNDING 2022-II: Moody's Assigns Ba3 Rating to $20MM E-R Notes
CIM TRUST 2025-I1: DBRS Finalizes B(low) Rating on B2 Notes
CITIGROUP 2025-INV1: Moody's Assigns B3 Rating to Cl. B-5 Certs
COLT 2025-INV2: S&P Assigns B (sf) Rating on Class B-2 Certs
COMM 2012-CCRE4: Moody's Lowers Rating on Cl. A-M Certs to B3
COMM 2014-LC15: DBRS Confirms C Rating on Class F Certs
COMM 2014-UBS6: DBRS Confirms C Rating on Class G Certs
CORE 2019-CORE: DBRS Confirms B Rating on Class F Certs
CSAIL 2016-C5: DBRS Cuts Class E Certs Rating to CCC
DRYDEN 109: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
EFMT 2025-INV1: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs
ELEVATION CLO 2021-13: S&P Affirms BB-(sf) Rating on Class E Notes
ELMWOOD CLO XI: S&P Assigns BB-(sf) Rating on Class E-R Notes
ELMWOOD CLO XI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
FIGRE TRUST 2025-HE1: DBRS Gives Prov. B(low) Rating on Cl. F Notes
FORT GREENE CLO: Moody's Assigns Ba3 Rating to $21.75MM E-R Notes
FORTRESS CREDIT XXIV: S&P Assigns Prelim BB-(sf) Rating on E Notes
GALAXY CLO XXVI: Moody's Assigns B3 Rating to $7.45MM Cl. F Notes
GENERATE CLO 10: S&P Assigns BB- (sf) Rating on Class E-R Notes
GLS AUTO 2025-1: S&P Assigns BB (sf) Rating on Class E Notes
GOLDENTREE LOAN 16: Fitch Assigns 'B-sf' Rating on Class F-RR Notes
GUGGENHEIM MM 2018-1: S&P Raises Class F Notes Rating to 'B+ (sf)'
HUDSON YARDS 2025-SPRL: DBRS Finalizes BB(high) Rating on F Certs
INDEPENDENCE PLAZA 2018-INDP: DBRS Confirms B Rating on HRR Certs
ISLAND FINANCE 2025-1: DBRS Finalizes BB(high) Rating on C Notes
IVY HILL XII: S&P Assigns BB- (sf) Rating on Class D-RR Notes
JAMESTOWN CLO XIV: Moody's Assigns Ba3 Rating to $24.5MM D-RR Notes
JP MORGAN 2021-MHC: DBRS Confirms BB Rating on Class E Certs
JP MORGAN 2025-1: DBRS Finalizes B(low) Rating on B5 Certs
JP MORGAN 2025-1: DBRS Gives Prov. B(low) Rating on B-5 Certs
JP MORGAN 2025-CES1: DBRS Finalizes B(high) Rating on B-2 Certs
JP MORGAN 2025-CES1: DBRS Gives Prov. B(high) Rating on B2 Certs
JP MORGAN 2025-VIS1: S&P Assigns Prelim 'B-' Rating on B-2 Certs
JPMBB COMMERCIAL 2015-C27: DBRS Confirms C Rating on 3 Classes
JPMCC COMMERCIAL 2017-JP6: DBRS Confirms CCC Rating on G-RR Certs
KKR CLO 35: S&P Assigns BB- (sf) Rating on Class E-R Notes
LHOME MORTGAGE 2025-RTL1: DBRS Gives Prov. B Rating on M2 Notes
LOANCORE 2025-CRE8: Fitch Assigns B-sf Final Rating on Cl. G Notes
MAGNETITE LTD XXVI: Moody's Gives B3 Rating to $670,000 F-R2 Notes
MAGNETITE XXVI: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes
MASTR ADJUSTABLE 2007-R5: Moody's Ups Cl. A1 Certs Rating to Caa2
MORGAN STANLEY 2019-PLND: Moody's Cuts Ratings on 2 Tranches to C
NELNET STUDENT 2007-1: Fitch Lowers Rating on Two Tranches to 'Bsf'
NELNET STUDENT 2007-1: Moody's Cuts Rating on Cl. A-4 Certs to Ba1
NORTHWOODS CAPITAL XV: Moody's Assigns Ba3 Rating to Cl. ERR Notes
OAKTREE CLO 2020-1: S&P Assigns BB-(sf) Rating on Class E-RR Notes
OCP CLO 2015-9: S&P Assigns BB- (sf) Rating on Class E-R3 Notes
OHA CREDIT VII: S&P Assigns BB- (sf) Rating on Class E-R4 Notes
PRET 2025-RPL1: DBRS Finalizes B Rating on Class B-2 Notes
PROGRESS RESIDENTIAL 2025-SFR1: DBRS Gives B(low) Rating on G Certs
PRPM 2025-RCF1: DBRS Gives Prov. BB(low) Rating on M-3 Notes
RCKT MORTGAGE 2025-CES2: Fitch Gives B(EXP) Rating on 5 Tranches
REGATTA XX: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes
RFR TRUST 2025-SGRM: Fitch Assigns B+(EXP)sf Rating on Cl. F Certs
RR 38: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
SIGNAL PEAK 10: S&P Assigns BB- (sf) Rating on Class E-R Notes
SIXTH STREET XIV: S&P Assigns B- (sf) Rating on Class F-R2 Notes
SIXTH STREET XIV: S&P Assigns Prelim B- (sf) Rating on F-R2 Notes
SLM STUDENT 2007-6: Moody's Lowers Rating on Cl. A-5 Certs to Ba1
SOFI PERSONAL 2024-2: Fitch Lowers Rating on Cl. F Notes to 'B-sf'
SYMPHONY CLO XXIII: Fitch Assigns BB-sf Final Rating on E-R2 Notes
SYMPHONY CLO XXXI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
TCW CLO 2019-2: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
TOWD POINT 2025-CRM1: DBRS Gives Prov. B Rating on B2 Notes
TOWD POINT 2025-CRM1: Fitch Assigns 'B-sf' Rating on Class B2 Notes
TRINITAS CLO XX: S&P Assigns B- (sf) Rating on Class F-R Notes
UPSTART SECURITIZATION 2022-1: DBRS Confirms BB Rating on B Trust
VENTURE CLO 31: Moody's Cuts Rating on $32MM Class E Notes to Ba3
WELLS FARGO 2014-LC18: DBRS Cuts Class D Rating to BB
WIND RIVER 2018-1: S&P Affirms 'BB- (sf)' Rating on Class E Notes
WIND RIVER 2021-3: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
[] DBRS Reviews 726 Classes From 20 US RMBS Transactions
[] Fitch Lowers 3 & Affirms 35 Distressed Ratings on 5 CMBS Deals
[] Moody's Takes Action on 12 Bonds From 5 US RMBS Deals
[] Moody's Takes Action on 17 Bonds From 12 US RMBS Deals
[] Moody's Upgrades Ratings on 15 Bonds From 3 US RMBS Deals
[] Moody's Upgrades Ratings on 17 Bonds From 3 US RMBS Deals
[] Moody's Upgrades Ratings on 29 Bonds From 4 US RMBS Deal
[] Moody's Upgrades Ratings on 40 Bonds From 10 US RMBS Deals
[] Moody's Upgrades Ratings on 48 Bonds From Eight US RMBS Deals
[] Moody's Ups Ratings on 6 Bonds From 4 Scratch & Dent RMBS
*********
AB BSL CLO 3: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its 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
September 2021 that is managed by AB Broadly Syndicated Loan
Manager. 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.
18, 2025, refinancing date.
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 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
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
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)
Ratings Withdrawn
AB BSL CLO 3 Ltd./AB BSL CLO 3 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
Subordinated notes, $48.63 million: NR
NR--Not rated
ABPCI DIRECT XX: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to ABPCI Direct
Lending Fund CLO XX LLC's floating-rate debt.
The note issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by AB Private Credit Investors LLC.
The preliminary ratings are based on information as of Feb. 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
ABPCI Direct Lending Fund CLO XX LLC
Class A-1, $285.0 million: AAA (sf)
Class A-2, $25.0 million: AAA (sf)
Class B, $37.5 million: AA (sf)
Class C(deferrable), $35.0 million: A (sf)
Class D(deferrable), $27.5 million: BBB- (sf)
Class E(deferrable), $30.0 million: BB- (sf)
Subordinated notes, $60.5 million: Not rated
ALESCO PREFERRED XII: Moody's Raises Rating on 2 Tranches to Caa2
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by ALESCO Preferred Funding XII, Ltd.:
US$87,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2037, Upgraded to Aaa (sf); previously on June 13,
2022 Upgraded to Aa2 (sf)
US$70,000,000 Class B Deferrable Third Priority Secured Floating
Rate Notes Due 2037, Upgraded to A3 (sf); previously on June 13,
2022 Upgraded to Baa3 (sf)
US$60,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2037, Upgraded to Caa2 (sf);
previously on May 9, 2016 Upgraded to Caa3 (sf)
US$10,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2037, Upgraded to Caa2 (sf);
previously on May 9, 2016 Upgraded to Caa3 (sf)
ALESCO Preferred Funding XII, Ltd., issued in October 2006, is a
collateralized debt obligation (CDO) backed mainly by a portfolio
of bank and insurance trust preferred securities (TruPS).
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
RATINGS RATIONALE
These rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
over-collateralization (OC) ratios since a year ago.
The Class A-1 notes have paid down by approximately 30.7% or $23.3
million since a year ago, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on January 2025 trustee report[1], the OC
ratios for the Class A-1/A-2, Class B and Class C notes have
improved to 202.59%, 135.13% and 101.38%, respectively, from
January 2024 levels[2] of 185.70%, 130.26% and 100.32%,
respectively. The Class A-1 notes will continue to benefit from the
diversion of excess interest and the use of proceeds from
redemptions of any assets in the collateral pool.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, 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: $281.6 million
Defaulted/deferring par: $31.3 million
Weighted average default probability: 9.11% (implying a WARF of
1017)
Weighted average recovery rate upon default of 10%
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenarios includes, among others, deteriorating credit
quality of the portfolio.
No action was taken on the Class A-1 notes because its expected
loss remains commensurate with its current rating, after taking
into account the CDO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
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(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.
AMMC CLO 27: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-1-R, B-2-R, C-R, D-R, and E-R
debt and the proposed new class X-R debt from AMMC CLO 27 Ltd./AMMC
CLO 27 LLC, a CLO originally issued in December 2022 that is
managed by American Money Management Corp.
The preliminary ratings are based on information as of Feb. 14,
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 assign ratings to the replacement
debt and withdraw our ratings on the original class B-1, B-F, C, D,
and E debt. (We did not rate the original class A-1A, A-1F, and A-J
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 and proposed new debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to Jan. 20, 2026.
-- The reinvestment period will be extended to Jan. 20, 2028.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to Jan. 20,
2037.
-- No additional assets will be purchased on, Feb. 21, 2025,
refinancing date, and the target initial par amount will remain
$354.00 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 class X-R notes will be issued on the refinancing date and
are expected to be paid down using interest proceeds during 10
payment dates in equal installments of $200,000, beginning on the
second payment date in July 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow 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
AMMC CLO 27 Ltd./AMMC CLO 27 LLC
Class X-R, $2.000 million: AAA (sf)
Class A-1-R, $219.480 million: AAA (sf)
Class A-2-R, $10.620 million: AAA (sf)
Class B-1-R, $32.940 million: AA (sf)
Class B-2-R, $6.000 million: AA (sf)
Class C-R (deferrable), $21.240 million: A (sf)
Class D-R (deferrable), $21.240 million: BBB- (sf)
Class E-R (deferrable), $13.275 million: BB- (sf)
Other Debt
AMMC CLO 27 Ltd./AMMC CLO 27 LLC
Subordinated notes, $32.100 million: Not rated
AMMC CLO 31: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to AMMC CLO 31 Ltd./AMMC
CLO 31 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by American Money Management Corp., a
subsidiary of American Financial Group Inc.
The 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
AMMC CLO 31 Ltd./AMMC CLO 31 LLC
Class A-1, $248 million: AAA (sf)
Class A-2, $16 million: AAA (sf)
Class B, $40 million: AA (sf)
Class C (deferrable), $24 million: A (sf)
Class D (deferrable), $24 million: BBB- (sf)
Class E (deferrable), $14 million: BB- (sf)
Subordinated notes, $40 million: Not rated
ANCHORAGE CAPITAL 16: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Anchorage Capital CLO 16, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Anchorage Capital
CLO 16, Ltd
A-1R2 LT NRsf New Rating
A-2-R 03330WAL8 LT PIFsf Paid In Full AAAsf
A-2R2 LT AAAsf New Rating
B-1R2 LT AAsf New Rating
B-2R2 LT AAsf New Rating
B-R 03330WAN4 LT PIFsf Paid In Full AAsf
C-R 03330WAQ7 LT PIFsf Paid In Full A+sf
C-R2 LT Asf New Rating
D-1R2 LT BBB-sf New Rating
D-2R2 LT BBB-sf New Rating
D-R 03330WAS3 LT PIFsf Paid In Full BBB+sf
E-R2 LT BB-sf New Rating
Transaction Summary
Anchorage Capital CLO 16, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO)that initially closed in
October 2020 and was refinanced in November 2021. This will be the
second reset and the existing secured notes will be refinanced in
whole on Feb. 12, 2025 from proceeds of the new secured notes. The
transaction will be managed by Anchorage Collateral Management,
L.L.C. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $450 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B/B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 25.4, versus a maximum covenant, in
accordance with the initial matrix point of 29. 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
95.55% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 72.99% versus a
minimum covenant, in accordance with the initial matrix point of
72.3%.
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 7.5% of the portfolio balance
in aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a 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 between 'BBB-sf' and 'AA+sf' for class A-2R2, between
'BB+sf' and 'AAsf' for class B-R2, between 'B-sf' and 'A-sf' for
class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-1R2,
between less than 'B-sf' and 'BB+sf' for class D-2R2, and between
less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2,
'A+sf' for class D-1R2, 'Asf' for class D-2R2, and 'BBB+sf' for
class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Anchorage Capital
CLO 16, 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.
ARBOR REALTY 2021-FL1: DBRS Confirms B(low) Rating on G Notes
-------------------------------------------------------------
DBRS Limited confirmed the credit ratings on all classes of
commercial mortgage-backed notes issued by Arbor Realty Commercial
Real Estate Notes 2021-FL1, Ltd. 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 (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
increased credit enhancement to the notes as a result of continued
loan repayments. There has been a collateral reduction of 41.9%
since issuance, including an additional 15.4% since Morningstar
DBRS' prior credit rating action in May 2024. This collateral
reduction and the $60.8 million unrated first-loss piece serve as
mitigants to the specially serviced loan concentration, which
includes three loans, representing 13.2% of the current trust
balance. Additionally, Morningstar DBRS notes that a select number
of borrowers have been unable to meaningfully increase property
cash flow and asset values as their respective business plans have
stalled.
Throughout 2025, 18 loans, representing 79.8% of the current trust
balance, have scheduled maturity dates. Based on the Q3 2024
reporting provided by the collateral manager, these loans reported
debt yields ranging from 1.0% to 8.0%. While financing markets and
sales volumes have improved year over year, Morningstar DBRS
expects select borrowers will be unable to execute exit strategies
and will need maturity extension and/or other forms of relief,
potentially increasing the credit risk for those loans. Beyond the
unrated $60.8 million first loss piece noted above, there are two
non-investment grade rated bonds totaling an additional $68.7
million, that carry current ratings that are reflective of the
additional credit risk in the transaction. 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 and with 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@dbrsmorningstar.com.
The transaction closed in March 2021 with the initial collateral
pool consisting of 37 floating-rate mortgages and senior
participations secured by 64 mostly transitional properties,
totaling $635.2 million, which increased to $785.0 million
following the completion of the ramp-up acquisition period in
August 2021. The Reinvestment Period expired in September 2023 and,
as of the January 2025 remittance, the pool comprises 23 loans with
a cumulative loan balance of $455.8 million. Since Morningstar
DBRS' previous credit rating action, six loans with a former
cumulative trust loan balance of $120.8 million have repaid from
the trust.
The transaction is concentrated by property type as all loans are
secured by multifamily properties. The transaction is also
concentrated by loan size, as the largest 10 loans represent 62.5%
of the pool. The loans are primarily secured by properties in
suburban markets as 18 loans, representing 74.6% of the pool, are
secured by properties in suburban markets, as defined by
Morningstar DBRS, with a Morningstar DBRS Market Rank of 3, 4, or
5. An additional three loans, representing 9.6% of the pool, are
secured by properties with a Morningstar DBRS Market Rank of 1 and
2, denoting a rural or tertiary market, while two loans,
representing 15.8% of the pool, are secured by a property with a
DBRS Morningstar Market Rank of 7, denoting an urban market.
The largest loan in special servicing, Ridge at Crestwood
(Prospectus ID#69; 6.9% of the current pool balance), is secured by
344-unit garden-style property in Birmingham, Alabama. The loan
transferred to special servicing in September 2024 for payment
default. Shortly afterward, a loan modification was executed, the
terms of which included a maturity extension to March 2026, a $0.3
million deposited into the renovation reserve, and an additional
$1.4 million deposited into a general reserve. The loan remains
current as of the January 2025 remittance. The borrower originally
planned to renovate the property at a total budgeted cost of $4.0
million with $1.4 million allocated for interior renovations. As of
the Q3 2024 collateral manager's report, $4.1 million of the
renovation reserve had been funded; however, performance has not
improved to stabilized projections with the November 2024 occupancy
rate of 54.7% and average rental rate of $889 per unit. In
comparison, Morningstar DBRS projected stabilized figures of 94.0%
and $974 per unit, respectively, while the issuer projected
stabilized figures of 93.0% and $1,011 per unit, respectively.
Given the current status of the property, net cash flow (NCF) is
depressed, reported as a negative figure for the trailing 12-month
period ended November 30, 2024, significantly below the Morningstar
DBRS and issuer stabilized projections of $1.8 million and $2.1
million, respectively. With this review, Morningstar DBRS applied a
probability of default (POD) adjustment in its analysis, with a
resulting loan expected loss (EL) approximately 40.0% higher than
the EL for the pool.
The second-largest loan in special servicing, Tivoli at Vintage
Park (Prospectus ID#59; 4.0% of the current pool balance), is
secured by a 158-unit, garden-style property in Houston, built in
1999. The loan transferred to the special servicer in February 2024
for payment default. After an attempt to sell the property fell
through in July 2023, the borrower exercised a 12-month extension
option, extending the maturity date to November 2024 to aid in
efforts to sell the asset. According to the Q3 2024 collateral
manager's report, the loan was ultimately assumed by a new borrower
in March 2024 and a loan modification is in the process of being
finalized, which will extend the maturity to November 2025. The
business plan at origination included the renovation of 118 units
budgeted at $0.5 million; however, after renovating 58 units at a
cost of $0.3 million, the remaining funds were used to pay an
outstanding property tax bill. According to the collateral manager,
property occupancy, cash flow, and the debt service coverage ratio
(DSCR) remain below issuance levels and were short of projected
stabilized levels. According to the October 2024 rent roll, the
property was 88.6% occupied with an average rental rate of $1,242
per unit. The property is surpassing the Morningstar DBRS
stabilized rental rate projection of $1,186 per unit but trails the
issuer's stabilized projection of $1,331 per unit. For the seven
months ended October 31, 2024, the property reported net operating
income of $0.1 million. As the new borrower has taken control of
the property, performance is expected to improve; however, the
in-place NCF is below the Morningstar DBRS stabilized NCF of $1.0
million and the issuer's stabilized NCF of $1.3 million. Given the
inability of the previous borrower to complete the business plan,
Morningstar DBRS analyzed the loan with an increased POD adjustment
with this review, resulting in an EL approximately 10.0% above the
overall pool EL.
Notes: All figures are in U.S. dollars unless otherwise noted.
ATLAS SENIOR XVII: S&P Assigns BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, C-R, and
E-R replacement debt from Atlas Senior Loan Fund XVII Ltd./Atlas
Senior Loan Fund XVII LLC, a CLO originally issued in October 2021
that is managed by Crescent Capital Group LP. At the same time, S&P
withdrew its ratings on the original class A, C, and E debt
following payment in full on the Feb. 20, 2025, refinancing date.
S&P also affirmed its ratings on the class B-1, B-2, and D 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. 20, 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 E-R debt than the rating
action on the debt reflects. However, we affirmed our 'BB- (sf)'
rating on the class E-R 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 Original Debt Issuances
Replacement debt
-- Class A-R, $252.00 million: Three-month CME term SOFR + 1.06%
-- Class C-R (deferrable), $24.00 million: Three-month CME term
SOFR + 2.08%
-- Class E-R (deferrable), $16.00 million: Three-month CME term
SOFR + 7.00%
-- Subordinated notes, $36.90 million: NR
Original debt
-- Class A, $252.00 million: Three-month CME term SOFR + 1.46%(i)
-- Class B-1, $26.38 million: Three-month CME term SOFR +
2.01%(i)
-- Class B-2, $25.63 million: 2.93%
-- Class C (deferrable), $24.00 million: Three-month CME term SOFR
+ 2.61%(i)
-- Class D (deferrable), $24.00 million: Three-month CME term SOFR
+ 4.01%(i)
-- Class E (deferrable), $16.00 million: Three-month CME term SOFR
+ 7.84%(i)
-- Subordinated notes, $36.90 million: NR
(i)Includes a credit spread adjustment of 0.26%.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Atlas Senior Loan Fund XVII, Ltd./
Atlas Senior Loan Fund XVII, LLC
Class A-R, $252.00 million: AAA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class E-R (deferrable), $16.00 million: BB- (sf)
Ratings Withdrawn
Atlas Senior Loan Fund XVII, Ltd./
Atlas Senior Loan Fund XVII, LLC
Class A to NR from 'AAA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Ratings Affirmed
Atlas Senior Loan Fund XVII, Ltd./
Atlas Senior Loan Fund XVII, LLC
Class B-1, $26.38 million: 'AA (sf)'
Class B-2, $25.63 million: 'AA (sf)'
Class D (deferrable), $24.00 million: 'BBB- (sf)'
Other Debt
Atlas Senior Loan Fund XVII, Ltd./
Atlas Senior Loan Fund XVII, LLC
Subordinated notes, $36.90 million: NR
NR--Not rated.
BAIN CAPITAL 2021-7: Moody's Gives Ba3 Rating to $19.6MM E-R Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to six classes of refinancing
notes issued, and one class of refinancing loans incurred (together
the "Refinancing Debt") by Bain Capital Credit CLO 2021-7, Limited
(the "Issuer").
Moody's rating action is as follows:
US$176,400,000 Class A-1 Loans maturing 2035 (the "Class A-1
Loans"), Assigned Aaa (sf)
US$75,600,000 Class A-1-R Senior Secured Floating Rate Notes due
2035 (the "Class A-1-R Notes"), Assigned Aaa (sf)
US$6,500,000 Class A-2-R Senior Secured Floating Rate Notes due
2035 (the "Class A-2-R Notes"), Assigned Aaa (sf)
US$45,500,000 Class B-R Senior Secured Floating Rate Notes due 2035
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$20,000,000 Class C-R Secured Deferrable Floating Rate Notes due
2035 (the "Class C-R Notes"), Assigned A2 (sf)
US$24,400,000 Class D-R Secured Deferrable Floating Rate Notes due
2035 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$19,600,000 Class E-R Secured Deferrable Floating Rate Notes due
2035 (the "Class E-R 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.
Bain Capital Credit, LP (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, 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 including the 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: $390,268,476
Defaulted par: $135,598
Diversity Score: 88
Weighted Average Rating Factor (WARF): 2945
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 46.00%
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 note is subject to uncertainty. The
performance of the rated note 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 note.
BALBOA BAY 2021-1: S&P Affirms 'BB- (sf)' Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, and
C-R debt from Balboa Bay Loan Funding 2021-1 Ltd./Balboa Bay Loan
Funding 2021-1 LLC, a CLO originally issued in June 2021 that is
managed by Pacific Investment Management Company LLC (PIMCO). At
the same time, we withdrew our ratings on the original class A, B,
and C debt following payment in full on the Feb. 20, 2025,
refinancing date. S&P affirmed its ratings on the class D and E
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 20, 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 20, 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, $244.00 million: Three-month CME term SOFR + 0.99%
-- Class B-R, $60.00 million: Three-month CME term SOFR + 1.57%
-- Class C-R (deferrable), $24.00 million: Three-month CME term
SOFR + 1.95%
-- Subordinated notes, $39.70 million: Not applicable
Original debt
-- Class A, $244.00 million: Three-month CME term SOFR +
1.46161%(i)
-- Class B, $60.00 million: Three-month CME term SOFR +
1.91161%(i)
-- Class C (deferrable), $24.00 million: Three-month CME term SOFR
+ 2.31161%(i)
-- Class D (deferrable), $24.00 million: Three-month CME term SOFR
+ 3.31161%(i)
-- Class E (deferrable), $12.00 million: Three-month CME term SOFR
+ 6.42161%(i)
-- Subordinated notes, $39.70 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
Balboa Bay Loan Funding 2021-1 Ltd./
Balboa Bay Loan Funding 2021-1 LLC
Class A-R, $244.00 million: AAA (sf)
Class B-R, $60.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Ratings Withdrawn
Balboa Bay Loan Funding 2021-1 Ltd./
Balboa Bay Loan Funding 2021-1 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Ratings Affirmed
Balboa Bay Loan Funding 2021-1 Ltd./
Balboa Bay Loan Funding 2021-1 LLC
Class D: 'BBB- (sf)'
Class E: 'BB- (sf)'
Other Debt
Balboa Bay Loan Funding 2021-1 Ltd./
Balboa Bay Loan Funding 2021-1 LLC
Subordinated notes, $39.70 million: NR
NR--Not rated.
BB-UBS TRUST 2012-TFT: S&P Cuts Cl. TE Certs Rating to 'CCC-(sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from BB-UBS Trust
2012-TFT, a U.S. CMBS transaction.
This is a U.S. large loan CMBS transaction that is currently
secured by two fixed-rate, specially serviced Brookfield
mall-backed mortgage loans in Arizona and Texas.
Rating Actions
The downgrades on the class A, B, C, D, E, and TE certificates
(despite a higher model-indicated rating on class A) primarily
reflect:
-- S&P said, "Our assessment that the transaction faces liquidity
risk and adverse selection with the two remaining loans exhibiting
weak credit metrics. Since our last published review in April 2022,
both remaining loans transferred back to special servicing due to
imminent maturity default. The sponsor of both loans, Brookfield
Properties, again failed to repay either loan upon their modified
extended maturity dates in 2024. The special servicer, Wells Fargo
Bank N.A. (Wells Fargo), has stated that based on the transaction
documents, neither loan will be able to extend beyond June 2025,
which is no less than five years from the rated final distribution
date of June 2030 on the certificate classes, and each borrower is
required before that time to provide either an executed listing
agreement to sell its property or a refinancing commitment (see the
Loan Details And Property-Level Analysis section). We assessed that
both loans have weak credit metrics that make refinancing unlikely
in the current environment without significant equity contributions
from the sponsor. Hence, we considered the potential for reduced
liquidity support to the trust's certificates if the Tucson Mall
loan becomes and/or the Town East Mall loan remains delinquent on
their respective debt service payments and appraisal reduction
amounts are subsequently implemented, which could result in
appraisal subordinate entitlement reduction amounts or
non-recoverability determination on the specially serviced loans."
-- The reported operating performances of the collateral
properties securing the two remaining loans have not improved since
S&P's last review. The servicer-reported net cash flows (NCFs) for
the nine months ended Sept. 30, 2024, and year-end 2023 are on par
with the reported 2022 levels.
-- S&P's aggregated expected-case valuation for the two remaining
properties, which is now 31.5% lower than the values we derived in
our last review and 62.8% below our expected-case values at
issuance.
-- The downgrades on class C to 'CCC (sf)' and classes D, E, and
TE (class TE derives its cash flow from a subordinate component of
the Town East Mall whole loan) to 'CCC- (sf)' reflect its
qualitative consideration that the repayment of these classes are
dependent upon favorable business, financial, and economic
conditions and that classes C, D, E, and TE are vulnerable to
default.
-- S&P lowered the rating on the X-A interest-only (IO)
certificates based on its criteria for rating IO securities, in
which the rating on the IO securities would not be higher than that
of the lowest-rated reference class. The notional amount of class
X-A references the class A certificates.
S&P said, "We will continue to monitor the performance of the
properties and loans, as well as the borrowers' progress with
respect to either selling the properties or refinancing the loans
by June 2025. If we receive information that differs materially
from our expectations, we may revisit our analysis and take
additional rating actions as we determine appropriate."
Transaction Summary
As of the Feb. 7, 2025, trustee remittance report, the pooled trust
balance was $289.3 million, and the trust balance was $300.4
million (including the non-pooled loan component), down from $341.4
million and $355.9 million, respectively, at the time of our last
review in April 2022. The pool currently includes two retail
mall-backed loans, the same as in our last review and down from
three loans at issuance.
To date, the transaction has not experienced any principal losses
related to the prior loan paying off.
Loan Details And Property-Level Analysis
Tucson Mall ($181.1 million, 62.6% of pooled trust balance)
The larger of the two remaining loans, Tucson Mall, has a $181.1
million balance, down from $199.6 million as of our April 2022
review and $205.5 million at issuance. The loan, which was
previously IO, pays a 3.567% fixed interest rate per annum and
currently amortizes on a 30-year schedule as a condition of a July
2021 loan modification. The loan originally matured June 1, 2020,
and matured most recently on Jan. 1, 2025, after multiple
modifications.
The Tucson Mall loan initially transferred to special servicing on
May 6, 2020, due to imminent default because of the borrower's
inability to secure a refinancing commitment ahead of the loan's
June 1, 2020, maturity. The COVID-19 pandemic and its associated
restrictions had significantly impacted the property's cash flow,
and the borrower sought a loan modification. The loan was modified,
which included extending its maturity date to June 1, 2021, and
returned to the master servicer. The loan transferred back to
special servicing on May 23, 2021, due to imminent maturity
default, and the loan was again modified, which included an
extension of the loan's maturity to June 1, 2022, with two one-year
extension options subject to certain conditions, and conversion to
principal- and interest debt service payments via a 30-year
amortization schedule. Most recently, the loan re-transferred back
to special servicing on April 4, 2024, due to imminent maturity
default as the borrower once again failed to secure refinancing.
The borrower sought an extension until June 1, 2027, but Wells
Fargo granted only a short-term forbearance to Nov. 1, 2024, and
later, to Jan. 1, 2025. Wells Fargo expects the property to be
listed for sale by March 2025 and has stated it will not extend the
forbearance beyond March 3, 2025.
As of the February 2025 trustee remittance report, the loan had a
reported performing matured balloon payment status, and $2.9
million was held in various lender-controlled reserve accounts.
The loan is secured by the borrower's fee simple and leasehold
interests in a portion (667,561 sq. ft.) of Tucson Mall, a 1.3
million-sq.-ft. regional mall built in 1982 in Tucson, Az. about 13
miles north of Tucson International Airport. Non-collateral anchors
at the property include Dillard's (187,742 sq. ft.), Macy's
(139,078 sq. ft.), and JCPenney (131,616 sq. ft.). There is also a
vacant non-collateral anchor space that was formerly occupied by
Sears (183,022 sq. ft.).
The property's performance is flat-to-decreasing and remains well
below pre-COVID-19 levels. NCF was $12.6 million in both 2022 and
2023, down from $14.6 million in 2021, $13.9 million in 2020, and
$16.8 million in 2019. The NCF for the nine months ended Sept. 30,
2024, was $9.1 million.
According to the September 2024 rent roll, the collateral was 88.4%
leased after adjusting for known tenant movements. The five largest
collateral tenants comprise 30.6% of the collateral's NRA:
-- Curacao (12.3% of NRA; 0.0% of in place gross rent, as
calculated by S&P Global Ratings; July 2034 lease expiry).
-- Dick's Sporting Goods (7.7%; 4.4%; January 2029).
-- REI (4.2%; 3.6%; February 2026).
-- The Container Store (3.3%; 2.8%; February 2031).
-- H&M (3.1%; 3.5%; January 2032).
The mall faces elevated tenant rollover, with 9.8% of NRA (12.4% of
in-place gross rent, as calculated by S&P Global Ratings) expiring
in 2025, 14.3% (15.7%) in 2026, and 10.8% (18.9%) in 2027.
According to the December 2024 tenant sales report, the property's
in-line tenant sales and occupancy cost were about $475 per sq. ft.
and 12.8%, respectively, as calculated by S&P Global Ratings, down
slightly from the prior year in-line tenant sales of $477 per sq.
ft.
S&P said, "In our current analysis, using the in-place 88.4%
occupancy rate, a $34.81-per-sq.-ft. S&P Global Ratings' in-place
gross rent, and a 46.1% operating expense ratio, we derived an S&P
Global Ratings' NCF of $10.9 million, the same as in our last
review. Utilizing an S&P Global Ratings' capitalization rate of
13.00% (up 350 basis points from our last review because of the
property's inability to obtain refinancing after two prior loan
modifications and elevated upcoming lease rollover), we arrived at
an S&P Global Ratings' expected-case value of $83.9 million, 26.9%
below our last review value, and 30.6% lower than the June 2021
appraisal of $121.0 million. Our revised expected-case value
yielded an S&P Global Ratings' loan-to-value (LTV) ratio of 215.8%
on the whole loan balance."
Table 1
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 92.7 93.1 94.5
Net cash flow (mil. $) 9.1 12.6 12.6
Debt service coverage (x) 1.12 1.16 1.35
Appraisal value (mil. $)(ii) 121.0 121.0 121.0
(i)Reporting period.
(ii)Updated as of June 2021.
Table 2
S&P Global Ratings' key assumptions
Current review Last review At issuance
(Feb 2025)(i) (April 2022)(i) (Dec 2012)
Trust balance (mil. $) 181.1 199.6 205.5
Occupancy rate (%) 88.4 86.4 91.5
Net cash flow (mil. $) 10.9 10.9 23.0
Capitalization rate (%) 13.00 9.50 7.25
Value (mil. $) 83.9 114.9 317.4
Value per sq. ft. ($) 126 172 475
Loan-to-value ratio (%)(ii) 215.8 173.7 64.8
(i)Review period.
(ii)Based on the trust balance at the time of our review.
Town East Mall ($108.2 million, 37.4% of pooled trust balance)
The smaller of the two remaining loans, Town East Mall, has a
pooled trust balance of $108.2 million and a whole loan balance of
$119.2 million, down from $141.8 million and $156.3 million,
respectively, as of our April 2022 review and $145.4 million and
$160.3 million at issuance. The whole loan is divided into a $108.2
million senior pooled trust component and a $11.0 million
subordinate non-pooled trust component that supports the raked
class TE. The loan, which was previously IO, pays a 3.567% fixed
interest rate per annum and currently amortizes on a 25-year
schedule as a condition of a July 2021 loan modification. The loan
originally matured June 1, 2020, and currently matures June 1,
2025, after multiple modifications.
The Town East Mall loan initially transferred to special servicing
on May 6, 2020, due to imminent default. The borrower was not able
to secure a refinancing commitment ahead of the loan's June 1,
2020, maturity. The COVID-19 pandemic and its related restrictions
had significantly impacted the property's cash flow. The loan was
modified, extending the maturity date to June 1, 2021, and returned
to the master servicer. The loan transferred back to special
servicing on May 26, 2021, due to imminent maturity default, and
the loan was again modified, which included extending the loan's
maturity to June 1, 2022, with two one-year extension options
subject to certain conditions, and converting its debt service
payments to principal- and interest based on a 25-year amortization
schedule. Most recently, the loan re-transferred back to special
servicing on June 7, 2024, due to imminent maturity default as the
borrower once again failed to secure refinancing. The borrower
sought an extension until June 1, 2027, but Wells Fargo granted
only a short-term extension to Dec. 1, 2024, with an option to
extend until June 1, 2025. The extension was granted on Jan. 21,
2025, in exchange for a $5.0 million payment, which Wells Fargo
stated will be applied to pay down the loan balance. The borrower
is required to provide either a written refinance commitment or a
listing agreement with a lender-approved broker by April 1, 2025.
As of the February 2025 trustee remittance report, the loan had a
reported 60 days-delinquent payment status, $3.0 million in various
lender-controlled reserve accounts, and $1.1 million in servicer
advances outstanding.
The loan is secured by the borrower's fee simple interests in a
portion (466,536 sq. ft.) of Town East Mall, a 1.2 million-sq.-ft.
regional mall built in 1986 in Mesquite, Texas, about 20 miles from
central Dallas. The collateral square footage increased by 50,020
when the Dick's Sporting Goods space was constructed in 2018.
Non-collateral anchors at the property include Dillard's (207,000
sq. ft.), JCPenney (195,475 sq. ft.), and Macy's (193,866 sq. ft.).
There is also a vacant non-collateral anchor space that was
formerly occupied by Sears (213,045 sq. ft.).
The property's performance is relatively flat in recent years but
remains below pre-COVID-19 levels. NCF was $16.5 million in 2023,
which is up slightly from $15.7 million in 2022 and $15.9 million
in 2021, but down from $18.1 million in 2020, and $20.6 million in
2019. The NCF for the nine months ended Sept. 30, 2024, was $11.6
million.
According to the September 2024 rent roll, the collateral was 95.5%
leased after adjusting for known tenant movements. The five largest
collateral tenants comprise 26.0% of the collateral's NRA:
-- Dick's Sporting Goods (10.7% of NRA; 3.4% of in-place gross
rent, as calculated by S&P Global Ratings; January 2029 lease
expiry).
-- Foot Locker / Kids Foot Locker (5.7%; 8.8%; January 2030).
-- H&M (4.3%; 0.2%; January 2025).
-- Forever 21 (2.9%; 0.0%; January 2026).
-- Victoria's Secret (2.3%; 3.1%; January 2028).
The mall faces significant tenant rollover in the next three years,
with 17.3% of NRA (10.4% of in place gross rent, as calculated by
S&P Global Ratings) expiring in 2025, 15.4% (15.9%) in 2026, and
14.2% (17.8%) in 2027.
According to the December 2024 tenant sales report, the property's
in-line tenant sales and occupancy cost were about $453 per sq. ft.
and 15.5%, respectively, as calculated by S&P Global Ratings, down
from the prior year in-line tenant sales of $480 per sq. ft.
S&P said, "In our current analysis, using a 90.0% occupancy rate, a
$56.88-per-sq.-ft. S&P Global Ratings' gross rent, and a 40.4%
operating expense ratio, we derived an S&P Global Ratings' NCF of
$14.6 million, the same as in our last review. Utilizing an S&P
Global Ratings' capitalization rate of 13.00% (up 450 basis points
from our last review because of our perceived higher premium in the
current market due to declining in-line sales, significant upcoming
lease roll, and numerous competitors in the immediate trade area),
we arrived at an S&P Global Ratings' expected-case value of $112.6
million, 34.6% below our last review value, and 39.8% lower than
the June 2021 appraisal of $187.0 million. Our revised
expected-case value yielded an S&P Global Ratings' LTV ratio of
105.9% on the whole loan balance."
Table 3
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%)(ii) 80.9 79.6 80.5
Net cash flow (mil. $) 11.6 16.5 15.7
Debt service coverage (x) 1.73 1.83 2.07
Appraisal value (mil. $)(iii) 187.0 187.0 187.0
(i)Reporting period.
(ii)Includes non-collateral anchor space.
(iii)Updated as of June 2021.
Table 4
S&P Global Ratings' key assumptions
Current review Last review At issuance
(Feb 2025)(i) (April 2022)(i) (Dec 2012)
Trust balance (mil. $)(ii) 119.2 156.3 160.3
Occupancy rate (%) 90.0 80.5 87.9
Net cash flow (mil. $) 14.6 14.6 15.3
Capitalization rate (%) 13.00 8.50 7.25
Value (mil. $) 112.6 172.2 210.7
Value per sq. ft. ($)(iii) 270 413 506
Loan-to-value ratio (%)(iv) 105.9 90.8 76.1
(i)Review period.
(ii)Including the nonpooled component.
(iii)Based on the original 416,516 sq. ft.
(iv)On the whole loan balance at the time of S&P's review.
Ratings Lowered
BB-UBS Trust 2012-TFT
Class A to 'A (sf)' from 'AA (sf)'
Class B to 'BB- (sf)' from 'BBB- (sf)'
Class C to 'CCC (sf)' from 'B- (sf)'
Class D to 'CCC- (sf)' from 'CCC (sf)'
Class E to 'CCC- (sf)' from 'CCC (sf)'
Class TE to 'CCC- (sf)' from 'B (sf)'
Class X-A to 'A (sf)' from 'AA (sf)'
BBAM US CLO I: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt, and
proposed new class X-R debt from BBAM US CLO I Ltd./BBAM US CLO I
LLC., a CLO managed by RBC Global Asset Management (U.S.) Inc. that
was originally issued in March 2022.
The preliminary ratings are based on information as of Feb. 20,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 26, 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-1-R, and E-R notes are
expected to be issued at a lower spread over three-month term SOFR
than the original notes.
-- The stated maturity, reinvestment period, and non-call period
will be extended by three years.
-- The class X-R notes issued in connection with this refinancing
are expected to be paid down using interest proceeds over the
course of 12 payment dates beginning with the payment date in July
2025.
-- Of the identified underlying collateral obligations, 100.00%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
-- Of the identified underlying collateral obligations, 89.61%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.
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
BBAM US CLO I Ltd./BBAM US CLO I LLC
Class X-R(i), $5.75 million: AAA (sf)
Class A-R, $252.00 million: AAA (sf)
Class B-R, $52.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $24.00 million: BBB- (sf)
Class D-2-R (deferrable), $3.00 million: BBB- (sf)
Class E-R (deferrable), $13.00 million: BB- (sf)
Other Debt
BBAM US CLO I Ltd./BBAM US CLO I LLC
Subordinated notes, $34.00 million: Not rated
(i)The class X-R notes are expected to be paid down using interest
proceeds over the course of 12 payment dates beginning with the
payment date in July 2025.
BENEFIT STREET XXV: Moody's Assigns Ba3 Rating to $22MM E-R Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to six classes of CLO
refinancing notes (the "Refinancing Notes") issued by Benefit
Street Partners CLO XXV, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$305,000,000 Class A-1R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$20,000,000 Class A-2R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$55,000,000 Class B-R Senior Secured Floating Rate Notes due
2035, Assigned Aa2 (sf)
US$27,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned A2 (sf)
US$30,500,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2035, Assigned Baa3 (sf)
US$22,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2035, 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.
Benefit Street Partners L.L.C. (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, which
will remain outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the non-call period;
changes to the matrices; changes to certain collateral quality
tests and concentration limits; the updates to alternative
benchmark replacement provisions.
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: $497,304,008
Defaulted par: $6,317,381
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2854
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 5.50%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 5.44 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.
BRAVO RESIDENTIAL 2025-NQM1: DBRS Finalizes BB Rating on B2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Mortgage-Backed Notes, Series 2025-NQM1 (the Notes) issued by BRAVO
Residential Funding Trust 2025-NQM1 (the Trust) as follows:
-- $278.3 million Class A-1 at AAA (sf)
-- $241.4 million Class A-1A at AAA (sf)
-- $36.8 million Class A-1B at AAA (sf)
-- $13.4 million Class A-2 at AA (high) (sf)
-- $27.3 million Class A-3 at A (high) (sf)
-- $16.8 million Class M-1 at BBB (sf)
-- $8.5 million Class B-1 at BBB (low) (sf)
-- $7.4 million Class B-2 at 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 AAA (sf) credit rating on the Class A-1 Notes reflects 24.45%
of credit enhancement provided by subordinated Notes. The AA (high)
(sf), A (high) (sf), BBB (sf), BBB (low) (sf), and 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 Finalizes B Rating on M5 Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Mortgage-Backed Notes, Series 2025-RM10 (the Notes) issued by Brean
Asset-Backed Securities Trust 2025-RM10 as follows:
-- $155.0 million Class A1 at AAA (sf)
-- $27.6 million Class A2 at AAA (sf)
-- $182.6 million Class AM at AAA (sf)
-- $2.5 million Class M1 at AA (sf)
-- $2.6 million Class M2 at A (sf)
-- $1.8 million Class M3 at BBB (sf)
-- $1.8 million Class M4 at BB (sf)
-- $2.0 million Class M5 at 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 AAA (sf) credit rating reflects 112.5% of cumulative advance
rate. The AA (sf), A (sf), BBB (sf), BB (sf), and 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.
BRYANT PARK 2023-19: S&P Assigns Prelim B-(sf) Rating on F-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R
debt, and proposed new class X-R and F-R debt from Bryant Park
Funding 2023-19 Ltd./Bryant Park Funding 2023-19 LLC, a CLO managed
by Marathon Asset Management L.P. that was originally issued in
March 2023.
The preliminary ratings are based on information as of Feb. 20,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the March 3, 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 and proposed
new 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 and proposed new debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to March 2027.
-- The reinvestment period will be extended to April 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to April 2038.
-- The target initial par amount will remain at $400 million.
There will be no additional effective date or ramp-up period, and
the first payment date following the refinancing is July 2025.
-- The class X-R and F-R debt will be issued on the refinancing
date. The class X-R debt is expected to be paid down using interest
proceeds during 16 payment dates in equal installments of $250,000,
beginning on the Oct. 2025 payment date.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"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
Bryant Park Funding 2023-19 Ltd./
Bryant Park Funding 2023-19 LLC
Class X-R, $4.00 million: AAA (sf)
Class A-1-R, $252.00 million: AAA (sf)
Class A-2-R, $6.00 million: AAA (sf)
Class B-R, $46.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $24.00 million: BBB- (sf)
Class D-2-R (deferrable), $3.00 million: BBB- (sf)
Class E-R (deferrable), $13.00 million: BB- (sf)
Class F-R (deferrable), $3.00 million: B- (sf)
Other Debt
Bryant Park Funding 2023-19 Ltd./
Bryant Park Funding 2023-19 LLC
Subordinated notes, $36.00 million: Not rated
BSPRT 2021-FL6: DBRS Confirms B(low) Rating on Class H Notes
------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of notes
issued by BSPRT 2021-FL6 Issuer, Ltd. (the Issuer) as follows:
-- Class A Notes at AAA (sf)
-- Class A-S Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class C Notes at A (low) (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BBB (low) (sf)
-- Class F Notes at BB (high) (sf)
-- Class G Notes at BB (low) (sf)
-- Class H Notes at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the increased credit
support available to the bonds as a result of successful loan
repayments, with collateral reduction of 34.7% since issuance.
Additionally, there are 28 loans, representing 58.2% of the current
trust balance, secured by multifamily property types, which have
historically proven less volatile over time as compared with other
property types.
While the paydown and concentration of multifamily loans are
positive features of the subject transaction, Morningstar DBRS also
notes there is a relatively high concentration of loans where the
borrowers are facing increased execution risk with their respective
business plans because of a combination of factors, including
decreased property values, slower rent growth, and increases in
debt service costs stemming from the current elevated interest rate
environment. As a result of lagging business plans and a related
lack of available loan exit strategies at the respective maturity
dates, the borrowers of 30 loans, representing 75.6% of the current
trust balance, have received loan modifications. Terms for the
modifications vary; however, common terms include maturity
extensions and loan assumptions. While the majority of the
modifications required deleveraging and/or reserve deposits,
Morningstar DBRS notes there remain increased risks for those
loans. As such, the analysis for this review generally considered
stressed scenarios to increase the loan-level expected losses
(ELs), generally reflective of stressed values for the collateral
properties or upward probability of default (POD) adjustments based
on the level and source of the increased stress. While this
approach increased the pool EL by more than a full percentage point
from the prior credit rating action's analysis, there was no
downward pressure for the credit ratings as the transaction
benefits from an unrated first-loss bond of $54.3 million, as well
as three below-investment-grade bonds, Class F, Class G, and Class
H, totaling $61.3 million, which combine for significant cushion
against realized losses should the increased risks for those loans
ultimately result in dispositions.
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 21 floating-rate loans
secured by 25 properties with a cut-off pool balance of $446.7
million and a potential maximum pool balance of $700.0 million. The
trust featured a 30-month reinvestment period that expired with the
September 2023 payment date. As of the January 2025 remittance, the
pool comprised 37 loans secured by 65 properties with a cumulative
trust balance of $451.3 million. Since Morningstar DBRS' previous
credit rating action in March 2024, 14 loans with a prior
cumulative trust balance of $144.4 million have been repaid in
full.
Leverage across the pool was generally stable as of the January
2025 reporting when compared with issuance metrics. The current
weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is
67.4%, with a current WA stabilized LTV of 59.3%. In comparison,
these figures were 66.3% and 60.6%, respectively, at issuance.
Morningstar DBRS recognizes that select property values may be
inflated as the majority of the individual property appraisals were
completed in 2021 and 2022 and may not reflect the current rising
interest rate or widening capitalization rate (cap rate)
environment. In the analysis for this review, Morningstar DBRS
applied upward LTV adjustments across 15 loans, representing 77.7%
of the current trust balance.
As of the January 2025 reporting, four loans, representing 4.0% of
the current trust balance, are in special servicing. The largest
loan in special servicing, Parc 410, representing 1.8% of the
current trust balance, is secured by a 344-unit multifamily
property in San Antonio, Texas. The loan transferred to special
servicing in November 2024 for maturity default. According to the
collateral manager, the loan was modified, extending its maturity
to November 2025 with a 12-month extension option through November
2026. The modification also included a $1.0 million principal
payment. The loan is expected to return to the master servicer in
February 2025. As of the September 2024 rent roll, the property was
78.0% occupied, which reflects a sharp decrease compared with the
issuance occupancy of 92.7%. Additionally, the borrower appears to
be well behind in its business plan, having completed only 39% of
the unit renovations to date. While an updated appraisal has not
been received, Morningstar DBRS considered a stressed value of
$32.1 million in the analysis for this review, based on a 20%
haircut to the issuance appraisal of $40.1 million. The resulting
LTV of 103.7% was modeled, as was an increased POD factor to
reflect the increased risks associated from a lagging business
plan. The resulting EL was approximately 1.5 times (x) the overall
pool EL analyzed with this review.
As of the January 2025 remittance, there are 11 loans on the
servicer's watchlist, representing 25.7% of the current trust
balance. The loans have generally been flagged for upcoming
scheduled maturity dates, low occupancy rates, and/or debt service
coverage ratios (DSCRs). The largest loan on the servicer's
watchlist, Waterford Grove Apartments, is secured by 552-unit,
garden-style multifamily property in Houston. The loan matured in
May 2024 and was extended to November 2024, with one six-month
extension option through May 2025. Additionally, the mezzanine
lender foreclosed on the mezzanine loan, replacing the loan sponsor
on the trust loan. While occupancy remains stable at 92.1% as of
the October 2024 rent roll, the loan reported a DSCR of only 0.54x
as of the T-12 financials ending September 2024 as a result of
increases in operating expenses. Morningstar DBRS considered a
stressed value of $54.0 million in the analysis for this review,
based on a 25% haircut to the issuance appraisal of $72.0 million.
The implied LTV of 101.2% was modelled, resulting in an EL that was
in line with the overall pool EL analyzed with this review.
Notes: All figures are in U.S. dollars unless otherwise noted.
BX COMMERCIAL 2022-CSMO: DBRS Confirms BB Rating on F Certs
-----------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2022-CSMO
issued by BX Commercial Mortgage Trust 2022-CSMO:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
All trends are Stable.
The credit rating confirmations reflect the collateral's stable
performance since issuance, as occupancy, average daily rate (ADR),
and revenue per available room (RevPAR) continue to surpass
Morningstar DBRS' issuance expectations.
The transaction is collateralized by a mortgage loan secured by The
Cosmopolitan, a 3,032-key fully integrated luxury resort and casino
on the Las Vegas Strip. The two-year interest-only loan had an
initial maturity date of June 2024 followed by three one-year
extension options for a fully extended maturity date in June 2027.
Each of the extension options is subject to no events of default
and the purchase of a new interest rate cap agreement; however, no
performance tests are required. The borrower exercised its first
extension option extending loan maturity to June 2025. The loan is
currently on the servicer's watchlist for upcoming maturity in June
2025 and according to the servicer, the borrower intends to extend
the loan.
The property was constructed in 2010, making it one of the newest
resorts on the Strip, and has received over $655 million in capital
improvements since 2014. The sponsors, BREIT Operating Partnership
L.P. and Stonepeak Partners L.P., contributed $1.0 billion of
equity alongside the $3.0 billion loan in the acquisition of the
property. The sponsors entered a 30-year triple net master lease
with MGM Resorts International to operate the property. MGM has
guaranteed the payment and performance of all monetary obligations
structured in the master lease.
According to September 2024 trailing 12-month (T-12) financials the
property reported a net cash flow (NCF) of $359.9 million, compared
with $441.1 million at YE2023 and the Morningstar DBRS NCF of
$353.1 million derived at issuance. The year-over-year decrease in
NCF was largely attributed to decline in other departmental
revenue. Morningstar DBRS has requested additional clarity from the
servicer as to the reasons for the decline. An STR report was not
provided; however, according to the T-12 financials ending
September 2024, occupancy, ADR, and RevPAR were reported at 97.5%,
$437.21, and $426.47, respectively. Overall, these figures remain
relatively consistent with the YE2023 figures and above the
Morningstar DBRS figures derived at issuance.
Morningstar DBRS' credit ratings are based on a value analysis from
issuance, which considered an NCF of $353.1 million and a
capitalization rate of 8.8%, resulting in a Morningstar DBRS value
of $4.0 billion and a loan-to-value (LTV) ratio of 75.7% on the
mortgage loan. The Morningstar DBRS value represents a variance of
-28.7% from the issuance appraised value of $5.6 billion. In
addition, Morningstar DBRS maintained positive qualitative
adjustments to the LTV-sizing benchmarks totaling 7.75% to reflect
the high property quality, strong underlying market fundamentals,
and historically stable NCF.
Notes: All figures are in U.S. dollars unless otherwise noted.
BX COMMERCIAL 2024-MF: DBRS Confirms B Rating on HRR Certs
----------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2024-MF
issued by BX Commercial Mortgage Trust 2024-MF as follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class HRR at B (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction since issuance. While the loan
reported a debt service coverage ratio (DSCR) below breakeven for
the trailing six months ended June 30, 2024, net cash flow (NCF)
remains in line with Morningstar DBRS' expectations as the
transaction continues to boast high occupancy rates across the
portfolio. Since issuance, one property has been released,
resulting in a whole loan reduction of 11.5%.
The collateral consists of the borrower's fee-simple interest in
nine class A multifamily properties located throughout Texas, North
Carolina, South Carolina, and Florida. All nine properties are
highly amenitized and of recent vintage with no property in the
portfolio having been built before 2020. All nine properties are in
Issuer-described micro-markets that, within a one-mile radius, have
seen strong median household incomes and growth in population,
jobs, and wages. As of the Q2 2024 financial reporting, the
portfolio reported an occupancy rate of 94.5%, in line with
issuance levels.
Loan proceeds of $550.0 million along with the sponsor's cash
equity of $82.8 million were used to refinance $617.7 million of
debt across the portfolio and cover closing costs. The sponsor
acquired the portfolio from Davis Development in several
transactions between 2021 and 2022 for a total cost of $833.2
million. With an initial maturity date in February 2026, there are
three extension options available with a fully extended maturity
date in February 2029. The transaction features a minimum release
price provision of 105% of the allocated loan amount for the first
30% of principal paydown and 110% thereafter subject to minimum
debt yield requirements. One property, Cortland at Stonebriar, was
released in August 2024 at a release price of $63.0 million.
The loan was added to the servicer's watchlist in December 2024 for
low DSCR, which was reported at 0.80 times according to the
financials for the trailing six months ended June 30, 2024. The
DSCR fell below breakeven because of the floating-rate nature of
the loan, which is mitigated by the in-place interest rate cap
agreement. The portfolio's annualized NCF was reported at $33.2
million, which remains in line with Morningstar DBRS' expectations.
To aid in leasing up the portfolio, the sponsor had offered
concessions on newly signed leases. With the portfolio continuing
to report a stabilized occupancy rate, the sponsor will look to
grow cash flow by burning off concessions offered to
first-generation leases during lease-up while also driving rent
growth across the portfolio. Given the high occupancy rate and NCF
in line with issuance expectations, Morningstar DBRS' credit
opinion of the portfolio remains unchanged from issuance.
In the analysis for this review, Morningstar DBRS updated its NCF
to account for the property released in 2024, resulting in a
Morningstar DBRS NCF of $31.5 million. Morningstar DBRS maintained
its capitalization rate of 6.25%, resulting in a Morningstar DBRS
value of $503.5 million for the nine remaining properties in the
portfolio (loan-to-value ratio of 96.7%). Morningstar DBRS also
maintained positive qualitative adjustments totaling 7.0% to
reflect the low cash flow volatility, good property quality, and
strong market fundamentals.
Notes: All figures are in U.S. dollars unless otherwise noted.
BX MORTGAGE 2025-BIO3: Moody's Assigns Ba2 Rating to Cl. HRR Certs
------------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to seven classes of
CMBS securities, issued by BX 2025-BIO3 Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2025-BIO3.
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. X*, Definitive Rating Assigned Aa1 (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba1 (sf)
Cl. HRR, Definitive Rating Assigned Ba2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The certificates are collateralized by a single loan secured by a
first lien mortgage on a portfolio of eight life science lab/office
properties. Moody's ratings are based on the credit quality of the
loan and the strength of the securitization structure.
The mortgage loan is secured by the borrower's fee simple and
leasehold interest in a portfolio of eight life science lab/office
facilities totaling 1,280,399 SF. Construction and renovation dates
range from 1978 to 2020 and show a weighted average year
built/renovated of 2015. Property sizes range between 49,992 SF and
349,325 SF, and average 160,050 SF. The three largest properties in
the Portfolio account for approximately 72.3% of ALA and 67.2% of
the portfolio's total in-place net cash flow.
The Portfolio properties are located in three states and within the
top three core US life science real estate markets comprising of
Cambridge, MA (two properties, 47.5% of ALA, all in close proximity
to the MIT campus) San Diego (four properties, 31.0% of ALA) San
Francisco, CA (1 property, 14% of ALA) and Seattle, WA (1 property,
7.4% of ALA). As of February 7, 2025, the rentable area was
approximately 93.6% leased to 25 tenants. The portfolio has a
weighted average lease term of 6.1 years and 81.6% of UW base rent
is attributed to investment grade tenants. The top 10 tenants
account for approximately 92.8% of the UW base rent. 500 Kendall
Square is the largest asset in the portfolio with 43.3% of UW NOI.
It is 100% leased to subsidiary of Takeda Pharmaceutical Company
Limited (Baa1), which guarantees the lease.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-backed Securitizations methodology and Moody's
IO Rating methodology. The rating approach for securities backed by
a single loan compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also consider a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan- to-value ratio, referred to as the Moody's LTV or
MLTV. As described in the CMBS methodology used to rate this
transaction, Moody's make various adjustments to the MLTV. Moody's
adjust the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's sustainable cap
rates and market cap rates. Moody's also use an adjusted loan
balance that reflects each loan's amortization profile.
The Moody's first mortgage actual DSCR is 1.38x compared to 1.48x
at Moody's provisional ratings due to an interest rate increase and
Moody's first mortgage actual stressed DSCR is 1.04x. Moody's DSCR
is based on Moody's stabilized net cash flow.
The loan first mortgage balance of $765,000,000 represents a
Moody's LTV ratio of 97.8%. Moody's LTV ratio is based on Moody's
Value. Adjusted Moody's LTV ratio for the first mortgage balance is
90.9% compared with 90.5% at Moody's provisional ratings based on
Moody's Value using a cap rate adjusted for the current interest
rate environment.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The portfolio's
weighted average property quality grade is 0.43.
Notable strengths of the transaction include: (i) strategic
locations, (ii)investment grade tenancy, (iii) life science
fundamentals, (iv) multiple property pooling and (v) experienced
sponsorship.
Notable concerns of the transaction include: (i) dark tenants, (ii)
single-tenant properties, (iii) negative absorption due to new
supply, (iv) full-term IO, (v) property release provisions and (vi)
certain credit negative legal features.
Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross- collateralization is also reduced.
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
January 2025.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
BXMT LTD 2020-FL2: DBRS Confirms B Rating on Class F Notes
----------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on the following classes of
notes issued by BXMT 2020-FL2, Ltd.:
-- 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 (low) (sf)
-- Class E at BB (high) (sf)
-- Class F at B (sf)
-- Class G at CCC (sf)
Morningstar DBRS also changed the trends on Classes C, D, E, and F
to Stable from Negative, while the trends on Classes A, A-S, and B
remain Stable. Class G has a credit rating that does not typically
carry a trend in commercial mortgage-backed securities ratings.
The credit rating confirmations and trend changes reflect the
increased collateral reduction to the transaction, which as of
January 2025 reporting totaled 43.0% since closing with an
additional 18.4% in collateral reduction realized since the
previous Morningstar DBRS credit rating action in March 2024. In
its previous review, Morningstar DBRS noted its concern of
increased credit risk to the transaction related to the
concentration of loans secured by office and mixed-use properties
with a significant office component as most individual borrowers
had been unable to implement business plans to materially increase
occupancy rates and property cash flow. While the majority of these
borrowers remain behind in the respective business plans, the
credit ratings reflect the outstanding credit risks and the
increased subordination to the notes supports the trend changes.
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.
As of the January 2025 remittance, the trust reported an
outstanding balance of $855.7 million with 12 loans remaining in
the trust. Since the previous Morningstar DBRS credit rating
action, three loans were paid in full, totaling $232.0 million,
including the Park Central loan ($47.0 million), which was
purchased out of the trust by the issuer as a credit risk asset.
Morningstar DBRS previously analyzed the loan with a liquidated
loss severity of approximately 40.0%. An additional two loans,
which remain in the trust, Orange County Office Portfolio
(Prospectus ID#27, 5.8% of the current trust balance) and Douglas
Entrance (Prospectus ID#24, 3.3% of the current trust balance),
received principal trust loan curtailments of $22.4 million and
$19.9 million, respectively. The curtailment to the Orange County
Office Portfolio loan was the result of a property release, while
the curtailment to the Douglas Entrance loan was the result of a
loan assumption and paydown. In both instances, the reduction in
leverage is noted as credit positive, specifically in the case of
the Douglas Entrance loan as Morningstar DBRS liquidated the loan
its previous analysis with a loss severity of approximately 20.0%.
As noted above, the trust continues to be concentrated with loans
secured by office and mixed-use collateral, which total nine loans
and 86.8% of the current trust balance. The remaining three loans
are secured by hotel properties. One of the office loans, 444 North
Michigan (Prospectus ID#13, 5.3% of the current trust balance), is
delinquent and transferred to special servicing in November 2024
for imminent maturity default. The loan matured in December 2024
and has a current senior note balance of $95.4 million, with a
$45.2 million piece securitized in the trust. As of September 2024,
the property was 58.0% occupied with a trailing 12-months ended net
cash flow (NCF) of $4.0 million, significantly below the
Morningstar DBRS projected stabilized NCF of $8.4 million and the
issuer's stabilized NCF of $9.0 million. According to the
collateral manager's Q3 2024 update, the property was reappraised
in July 2024 at $53.7 million, a 63.0% decline from the original
appraised value at loan closing of $145.0 million. In its analysis
for this review, Morningstar DBRS applied a 10.0% haircut to the
appraised value based on observed comparable sales transactions in
the market within the past 18 months and assumed a resolution could
take up to one year, which would result in increased delinquent
payments. Morningstar DBRS liquidated the loan with a loss severity
approaching 60.0%.
All remaining borrowers have received loan modifications or
forbearance agreements, which have provided borrowers capital
relief, loan extensions, and/or additional loan funding to complete
business plans. As of January 2025 reporting, six loans,
representing 56.0% of the current trust balance, are on the
servicer's watchlist and have been flagged for low occupancy rates,
low property cash flow and/or upcoming loan maturity. The loan of
most immediate concern, Liberty View (Prospectus ID#12, 11.3% of
the current trust balance), is secured by a 1.3 million square foot
(sf) mixed-use property in Brooklyn, New York. The loan has a
current senior note balance of $156.5 million, with a $97.0 million
piece securitized in the trust. The final maturity date is
approaching in February 2025, and to date, the borrower has been
unable to execute its business plan. According to September 2024
reporting provided by the collateral manager, the property was only
49.5% occupied with a trailing 12-month NCF of $10.3 million and a
debt service coverage ratio of 0.78 times. The property was
reappraised in October 2022 at a value of $320.0 million, implying
a currently funded loan-to- value (LTV) of 48.9%; however,
Morningstar DBRS believes the market value is lower given the
current performance of the property. Morningstar DBRS believes the
lender and borrower will agree to a loan modification and maturity
extension with the lender requiring a principal curtailment and
potential additional loan structure to strengthen the borrower's
commitment to the asset. In its analysis for this review,
Morningstar DBRS applied increased LTV and probability of defaults
adjustments to reflect the current credit risk of the loan. The
adjusted Morningstar DBRS stabilized property value is $210.0
million as Morningstar DBRS applied a stressed 8.50% cap rate to
the issuer's stabilized NCF figure of $17.8 million. The resulting
loan expected loss is similar with the overall expected loss for
the pool.
In addition to the Liberty View loan, five loans, totaling 24.8% of
the current trust balance, have scheduled maturity dates through
July 2025. Based on individual property performance metrics and
updates from the collateral manager, Morningstar DBRS does not
expect any of these loans to pay in full at maturity; rather,
borrowers are expected to exercise existing extension options or
request a loan modification and maturity extension. All extension
requests are expected to be accompanied by additional sponsor
equity contributions in the form of loan curtailments or deposits
into reserve accounts as the lender has often required equity
contributions for loan modifications executed to date.
Notes: All figures are in U.S. dollars unless otherwise noted.
CEDAR FUNDING VIII: S&P Assigns BB-(sf) Rating on Class E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-RR loans and class A-RR, B-RR, C-RR, D-RR, and E-RR debt, and the
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 underwent a
refinancing in September 2021. At the same time, S&P withdrew its
ratings on the class A loans and class A-1-R, A-2-R, B-R, C-R, D-R,
and E-R debt following payment in full on the Feb. 20, 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 weighted average cost of the replacement debt is lower than
the 2021 debt.
-- The new class X-RR debt was issued in connection with this
refinancing. This debt will 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 were replaced
by two pari passu floating-rate classes: the class A-RR loans and
class A-RR debt.
-- The non-call period was extended by 3.40 years to January
2027.
-- The reinvestment period and stated maturity were extended by
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."
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)
Ratings Withdrawn
Cedar Funding VIII CLO Ltd./Cedar Funding VIII CLO LLC
Class A loans to NR from 'AAA (sf)'
Class A-1-R to NR from 'AAA (sf)'
Class A-2-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
Cedar Funding VIII CLO Ltd./Cedar Funding VIII CLO LLC
Subordinated notes, $66.85 million: NR
NR--Not rated.
CHASE HOME 2025-1: DBRS Finalizes B(low) Rating on B5 Certs
-----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on 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 AAA (sf)
-- $270.7 million Class A-3 at AAA (sf)
-- $270.7 million Class A-3-X at AAA (sf)
-- $203.0 million Class A-4 at AAA (sf)
-- $203.0 million Class A-4-A at AAA (sf)
-- $203.0 million Class A-4-X at AAA (sf)
-- $67.7 million Class A-5 at AAA (sf)
-- $67.7 million Class A-5-A at AAA (sf)
-- $67.7 million Class A-5-X at AAA (sf)
-- $162.4 million Class A-6 at AAA (sf)
-- $162.4 million Class A-6-A at AAA (sf)
-- $162.4 million Class A-6-X at AAA (sf)
-- $108.3 million Class A-7 at AAA (sf)
-- $108.3 million Class A-7-A at AAA (sf)
-- $108.3 million Class A-7-X at AAA (sf)
-- $40.6 million Class A-8 at AAA (sf)
-- $40.6 million Class A-8-A at AAA (sf)
-- $40.6 million Class A-8-X at AAA (sf)
-- $34.8 million Class A-9 at AAA (sf)
-- $34.8 million Class A-9-A at AAA (sf)
-- $34.8 million Class A-9-X at AAA (sf)
-- $54.1 million Class A-11 at AAA (sf)
-- $54.1 million Class A-11-X at AAA (sf)
-- $54.1 million Class A-12 at AAA (sf)
-- $54.1 million Class A-13 at AAA (sf)
-- $54.1 million Class A-13-X at AAA (sf)
-- $54.1 million Class A-14 at AAA (sf)
-- $54.1 million Class A-14-X at AAA (sf)
-- $54.1 million Class A-14-X2 at AAA (sf)
-- $54.1 million Class A-14-X3 at AAA (sf)
-- $54.1 million Class A-14-X4 at AAA (sf)
-- $359.6 million Class A-X-1 at AAA (sf)
-- $8.0 million Class B-1 at AA (low) (sf)
-- $8.0 million Class B-1-A at AA (low) (sf)
-- $8.0 million Class B-1-X at AA (low) (sf)
-- $5.9 million Class B-2 at A (low) (sf)
-- $5.9 million Class B-2-A at A (low) (sf)
-- $5.9 million Class B-2-X at A (low) (sf)
-- $4.2 million Class B-3 at BBB (low) (sf)
-- $2.1 million Class B-4 at BB (low) (sf)
-- $765.0 thousand Class B-5 at 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 AAA (sf) credit ratings on the Certificates reflect 5.90% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and 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.
CHASE HOME 2025-2: Fitch Assigns B+(EXP) Rating on Cl. B-5 Certs
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Chase Home Lending
Mortgage Trust 2025-2 (Chase 2025-2).
Entity/Debt Rating
----------- ------
Chase 2025-2
A-2 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-4-A LT AAA(EXP)sf Expected Rating
A-4-X LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-5-A LT AAA(EXP)sf Expected Rating
A-5-X LT AAA(EXP)sf Expected Rating
A-6 LT AAA(EXP)sf Expected Rating
A-6-A LT AAA(EXP)sf Expected Rating
A-6-X LT AAA(EXP)sf Expected Rating
A-7 LT AAA(EXP)sf Expected Rating
A-7-A LT AAA(EXP)sf Expected Rating
A-7-X LT AAA(EXP)sf Expected Rating
A-8 LT AAA(EXP)sf Expected Rating
A-8-A LT AAA(EXP)sf Expected Rating
A-8-X LT AAA(EXP)sf Expected Rating
A-9 LT AAA(EXP)sf Expected Rating
A-9-A LT AAA(EXP)sf Expected Rating
A-9-X 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-14-X LT AAA(EXP)sf Expected Rating
A-14-X2 LT AAA(EXP)sf Expected Rating
A-14-X3 LT AAA(EXP)sf Expected Rating
A-14-X4 LT AAA(EXP)sf Expected Rating
A-X-1 LT AAA(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-4 LT BB(EXP)sf Expected Rating
B-5 LT B+(EXP)sf Expected Rating
B-6 LT NR(EXP)sf Expected Rating
A-R LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Chase Home Lending Mortgage Trust 2025-2
(Chase 2025-2), as indicated above. The certificates are supported
by 410 loans with a total balance of approximately $449.79 million
as of the cutoff date. The scheduled balance as of the cutoff date
is $449.49 million.
The pool consists of prime-quality fixed-rate mortgages (FRMs)
solely originated by JPMorgan Chase Bank, National Association
(JPMCB). The loan-level representations (reps) and warranties
(R&Ws) are provided by the originator, JPMCB. All mortgage loans in
the pool will be serviced by JPMCB. The collateral quality of the
pool is extremely strong, with a large percentage of loans over
$1.0 million. Of the loans, 99.5% qualify as safe-harbor qualified
mortgage (SHQM) average prime offer rate (APOR) loans, and the
remaining 0.5% qualify as rebuttable presumption (APOR) qualified
mortgage loans.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.6% 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.
High Quality Prime Mortgage Pool (Positive): The pool consists of
410 high quality, fixed-rate, fully amortizing loans with
maturities of 15 to 30 years that total $449.49 million. In total,
99.5% of the loans qualify as SHQM. The loans were made to
borrowers with strong credit profiles, relatively low leverage and
large liquid reserves.
The loans are seasoned at an average of 5.8 months, according to
Fitch. The pool has a WA FICO score of 769, as determined by Fitch,
and is based on the original FICO for newly originated loans and
the updated FICO for loans seasoned at 12 months or more. Based on
the transaction documents, the updated FICO is 769 as well. These
high FICO scores are indicative of very high credit-quality
borrowers. A large percentage of the loans have a borrower with a
Fitch-derived FICO score equal to or above 750.
Fitch determined that 74.0% of the loans have a borrower with a
Fitch-determined FICO score equal to or above 750. Based on Fitch's
analysis of the pool, the original WA combined loan-to-value (CLTV)
ratio is 75.5%, which translates to a sustainable loan-to-value
(sLTV) ratio of 83.6%. This represents moderate borrower equity in
the property and reduced default risk compared with a borrower with
a CLTV over 80%.
Of the pool, 99.5% of the loans are designated as SHQM APOR loans,
and the remaining 0.5% are designated rebuttable presumption QM.
Of the pool, 100% comprises loans where the borrower maintains a
primary or secondary residence (87.3% primary and 12.7% secondary).
Single-family homes and planned unit developments (PUDs) constitute
91.9% of the pool, condominiums make up 6.7%, 1.0% are co-ops, and
the remaining 0.4% is multifamily. The pool consists of loans with
the following loan purposes, as determined by Fitch: purchases
(78.7%), cashout refinances (5.7%) and rate-term refinances
(15.5%). Fitch views favorably that no loans are for investment
properties and a majority of mortgages are purchases.
Of the pool loans, 22.6% are concentrated in California, followed
by Florida and Washington. The largest MSA concentration is in the
New York MSA (7.4%), followed by the San Francisco MSA (7.2%) and
the Seattle MSA (6.8%). The top three MSAs account for 21.4% of the
pool. As a result, no probability of default (PD) penalty was
applied for geographic concentration.
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.
The servicer, JPMCB, is obligated to advance delinquent principal
and interest (P&I) until deemed nonrecoverable. Although full P&I
advancing will provide liquidity to the certificates, it will also
increase the loan-level loss severity (LS) since the servicer looks
to recoup P&I advances from liquidation proceeds, which results in
fewer recoveries.
There is no master servicer for this transaction. U.S. Bank Trust
National Association is the trustee that will advance as needed
until a replacement servicer can be found. The trustee is the
ultimate advancing party.
Losses on the non-retained portion of the loans will be allocated
first to the subordinate bonds (starting with class B-6). Once
class B-1-A is written off, losses will be allocated to class A-9-A
first and then to the super senior classes pro rata once class
A-9-A is written off.
Net interest shortfalls on the non-retained portion will be
allocated first to class A-X-1 and the subordinated classes pro
rata based on the current interest accrued for each class until the
amount of current interest is reduced to zero and then to the
senior classes (excluding class A-X-1) pro rata based on the
current interest accrued for each class until the amount of current
interest is reduced to zero.
CE Floor (Positive): A CE or senior subordination floor of 1.55%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. In addition, a junior subordination
floor of 0.90% has been considered to mitigate potential tail-end
risk and loss exposure for subordinate tranches as the pool size
declines and performance volatility increases due to adverse loan
selection and small loan count concentration.
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 analyses 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
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 41.9% 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
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analyses 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 rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated class excluding those being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC. The third-party due diligence described in Form
15E focused on four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch decreased its
loss expectations by 0.16% at the 'AAAsf' stress due to 67.8% due
diligence with no material findings.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 67.8% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC
was engaged to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades and
assigned initial grades for each subcategory. Minimal exceptions
and waivers were noted in the due diligence reports. Please refer
to the "Third-Party Due Diligence" section for more detail.
Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
provided was considered comprehensive. The data contained in the
ResiPLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.
ESG Considerations
Chase 2025-2 has an ESG Relevance Score of '4+' for Transaction
Parties and Operational Risk. Operational risk is well controlled
in Chase 2025-2, including strong transaction due diligence. In
addition, the entire pool is originated by an 'Above Average'
originator, and all of the pool loans are serviced by a servicer
rated 'RPS1-'. All these attributes result in a reduction in
expected losses and are 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.
CIFC FUNDING 2022-II: Moody's Assigns Ba3 Rating to $20MM E-R Notes
-------------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of
refinancing notes issued and one class of loans incurred by CIFC
Funding 2022-II, Ltd. (the Issuer):
US$235,000,000 Class A-1R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$75,000,000 Class A-1LR Loans maturing 2035, Assigned Aaa (sf)
US$15,000,000 Class A-2R Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)
US$20,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2035, Assigned Ba3 (sf)
The notes and loans listed are referred to herein, collectively, as
the "Rated Debt".
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The Rated Debt is collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans.
CIFC 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.
In addition to the issuance of the Refinancing Debt, and the other
three classes of secured notes, other changes to transaction
features will occur in connection with the refinancing including
extension of the non-call period.
No action was taken on the Class F notes because their expected
loss remains commensurate with their current rating, after taking
into account the CLO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in 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:
Performing par and principal proceeds balance: $499,366,692
Defaulted par: $1,266,615
Diversity Score: 74
Weighted Average Rating Factor (WARF): 2926
Weighted Average Spread (WAS): 3.35%
Weighted Average Recovery Rate (WARR): 46.36%
Weighted Average Life (WAL): 5.88 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 Refinancing Debt is subject to uncertainty.
The performance of the Refinancing 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 Refinancing Debt.
CIM TRUST 2025-I1: DBRS Finalizes B(low) Rating on B2 Notes
-----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings and assigned
new ratings to two additional exchangeable classes (A-1A and A-1B)
on Mortgage-Backed Notes, Series 2025-I1 (the Notes) issued by CIM
Trust 2025-I1 (the Issuer) as follows:
-- $155.2 million Class A-1A at AAA (sf)
-- $28.8 million Class A-1B at AAA (sf)
-- $184.0 million Class A-1 at AAA (sf)
-- $20.6 million Class A-2 at AA (high) (sf)
-- $23.2 million Class A-3 at A (high) (sf)
-- $19.4 million Class M-1 at BBB (high) (sf)
-- $19.7 million Class B-1A at BBB (low) (sf)
-- $8.9 million Class B-1B at BB (low) (sf)
-- $28.6 million Class B-1 at BB (low) (sf)
-- $7.6 million Class B-2 at B (low) (sf)
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The AAA (sf) credit rating on the Class A-1 Notes reflects 36.05%
of credit enhancement provided by subordinate notes. The AA (high)
(sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), BB (low)
(sf), and 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.
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings and assigned new ratings to two additional classes of CIM
Trust 2025-I1 (CIM 2025-I1 or the Issuer), a securitization of a
portfolio of fixed- and adjustable-rate, investor debt service
coverage ratio (DSCR), first-lien residential mortgages funded by
the issuance of the Mortgage-Backed Notes, Series 2025-I1 (the
Notes). The Notes are backed by 1,429 mortgage loans with a total
principal balance of $287,673,972 as of the Cut-Off Date.
CIM 2025-I1 represents the fourth securitization issued from the
CIM-I shelf, which is backed by business purpose investment
property loans primarily underwritten using DSCR. Chimera
Investment Corporation serves as the Sponsor of this transaction.
United Wholesale Mortgage, LLC (61.3%) is the largest originator in
the mortgage pool. The remaining originators each comprise less
than 10.0% of the mortgage loans. NewRez LLC d/b/a Shellpoint
Mortgage Servicing will act as the Servicer for all the loans
within the pool. Computershare Trust Company, N.A. (Computershare;
rated BBB with a Stable trend by Morningstar DBRS) will act as the
Master Servicer, Paying Agent, Note Registrar, Certificate
Registrar, and Custodian.
The mortgage loans were underwritten to program guidelines for
business-purpose loans that are designed to rely on property value,
the mortgagor's credit profile, and the DSCR, where applicable.
Since the loans were made to investors for business purposes, they
are exempt from the Consumer Financial Protection Bureau's
Ability-to-Repay (ATR) rules and TILA/RESPA 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 (MBA) 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 (Class
A-1A, A-1B 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
Class A-1A, A-1B , 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 Class A-1A,
A-1B A-2, and A3 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-1A down to M-1 (and B-1A if issued on the Closing Date with
a fixed rate). In addition, the Class A-1A, A-1B, 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 US dollars unless otherwise noted.
CITIGROUP 2025-INV1: Moody's Assigns B3 Rating to Cl. B-5 Certs
---------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 62 classes of
residential mortgage-backed securities (RMBS) issued by Citigroup
Mortgage Loan Trust 2025-INV1, and sponsored by Citigroup Global
Markets Realty Corp.
The securities are backed by a pool of GSE-eligible (98.4% by
balance) and prime jumbo (1.6% by balance) residential mortgages
aggregated by Citigroup Global Markets Realty Corp., originated and
serviced by multiple entities.
The complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan 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-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-25, Definitive Rating Assigned Aaa (sf)
Cl. A-26, Definitive Rating Assigned Aaa (sf)
Cl. A-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-1*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-2*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-1*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-2*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-3*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-4*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-5*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-6*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-7*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-8*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-9*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-10*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-11*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-12*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-13*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-14*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-15*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-16*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-17*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-18*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-19*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-20*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-21*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-22*, Definitive Rating Assigned Aa1 (sf)
Cl. A-I-23*, Definitive Rating Assigned Aa1 (sf)
Cl. A-I-24*, Definitive Rating Assigned Aa1 (sf)
Cl. A-I-25*, Definitive Rating Assigned Aaa (sf)
Cl. A-I-26*, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Definitive Rating Assigned Aa3 (sf)
Cl. B-1-IO*, Definitive Rating Assigned Aa3 (sf)
Cl. B-1-2IO*, Definitive Rating Assigned A1 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-2-A, Definitive Rating Assigned A2 (sf)
Cl. B-2-IO*, Definitive Rating Assigned A2 (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
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.80%, in a baseline scenario-median is 0.48% and reaches 8.16% 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.
COLT 2025-INV2: S&P Assigns B (sf) Rating on Class B-2 Certs
------------------------------------------------------------
S&P Global Ratings assigned its ratings to COLT 2025-INV2 Mortgage
Loan Trust's mortgage-backed 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.
S&P said, "After we assigned preliminary ratings on Feb. 7, 2025,
the bond sizes for classes B-1 and B-2 were updated. The resized
bonds reflect a higher or unchanged credit enhancement for all
rated classes. After analyzing the updated bond structure, we
assigned final ratings that are unchanged from the preliminary
ratings we assigned for all classes."
The 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 S&P expects 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 has not 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(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, $9,612,000: BB (sf)
Class B-2, $7,689,000: B (sf)
Class B-3, $5,767,492: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, not applicable: NR
(i)The ratings are based on information in the Feb. 11, 2025,
private placement memorandum. The 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.
COMM 2012-CCRE4: Moody's Lowers Rating on Cl. A-M Certs to B3
-------------------------------------------------------------
Moody's Ratings has affirmed the ratings on four classes and
downgraded the ratings on three classes in COMM 2012-CCRE4 Mortgage
Trust, Commercial Pass-Through Certificates, Series 2012-CCRE4 as
follows:
Cl. A-3, Downgraded to Aa2 (sf); previously on Sep 10, 2024
Affirmed Aaa (sf)
Cl. A-M, Downgraded to B3 (sf); previously on Sep 10, 2024
Downgraded to B1 (sf)
Cl. B, Affirmed C (sf); previously on Sep 10, 2024 Downgraded to C
(sf)
Cl. C, Affirmed C (sf); previously on Sep 10, 2024 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Sep 10, 2024 Affirmed C (sf)
Cl. X-A*, Downgraded to B2 (sf); previously on Sep 10, 2024
Downgraded to Ba3 (sf)
Cl. X-B*, Affirmed C (sf); previously on Sep 10, 2024 Downgraded to
C (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating on Cl. A-3 was downgraded to Aa2 (sf) to reflect the
existing interest shortfalls, due to continued expenses associated
with the Fashion Outlets of Las Vegas loan, which was liquidated in
April 2021. In the December 2024 and January 2025 remittance
statements, no interest or principal was distributed to Cl. A-3 as
all available funds from the outstanding loans have been used to
pay these outstanding expenses. Cl. A-3 has already paid down 93%
from its original balance and based on Moody's analysis of expected
collateral performance and the classes' significant credit support,
Moody's believe the interest shortfalls will be ultimately
recouped, however, the timing of such recoupment remains uncertain.
If non-payment of interest on a security persists for more than 18
months, the rating will be capped at Baa1 (sf). Therefore, given
the uncertainty of the timing of recoupment, Moody's have lowered
Moody's rating on Cl. A-3 to Aa2 (sf) to reflect the risk of
prolonged interest shortfalls for an uncertain period of time.
The rating on Cl. A-M was also downgraded due to the increase in
interest shortfalls and higher expected losses from the remaining
two loans as well as the continued expenses associated with the
previously liquidated Fashion Outlets of Las Vegas loan. The two
remaining loans (100% of the remaining pool balance) have had
significant declines in cash flow and value since securitization
and are both in special servicing after failing to pay off at their
already extended maturity dates. The largest specially serviced
loan is the Prince Building Loan (51% of the pool), secured by a
mixed use (office & retail) building that is only 57% leased after
the departure of a major tenant in September 2023. The other
specially serviced loan, Eastview Mall and Commons (49% of the
pool), recently received another loan extension, however, the cash
flow remains below levels at securitization and the most recent
appraisal value from October 2024 was well below the outstanding
loan balance. Furthermore, ongoing interest shortfalls have
accumulated on Cl. A-M as well and due to ongoing litigation
associated with the Fashion Outlets of Las Vegas loan, there is
uncertainty regarding the duration and magnitude of future expenses
that the special servicer may pass to the trust and which may
result in additional interest shortfalls.
The ratings on the remaining three P&I classes, Cl. B, Cl. C, and
Cl. D, were affirmed at C (sf) as a result of Moody's expected loss
plus realized losses. Cl. D has already experienced a 71% loss from
previously liquidated loans.
The rating on one IO class, Cl. X-A, was downgraded based on a
decline in the credit quality of its referenced classes.
The rating on one IO class, Cl. X-B, was affirmed based on the
credit quality of its referenced classes.
Social risk for this transaction is higher (IPS S-4) and Moody's
revised the transaction's Credit Impact Score to CIS-4 from CIS-2.
Moody's regard e-commerce competition as a social risk under
Moody's ESG framework. The rise in e-commerce and changing consumer
behavior presents challenges to brick-and-mortar discretionary
retailers.
Moody's rating action reflects a base expected loss of 48.5% of the
current pooled balance, compared to 43.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 20.1% of the
original pooled balance, compared to 19.0% at the last review.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
January 2025.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determine a
probability of default for each specially serviced and troubled
loan that it expects will generate a loss and estimates a loss
given default based on a review of broker's opinions of value (if
available), other information from the special servicer, available
market data and Moody's internal data. The loss given default for
each loan also takes into consideration repayment of servicer
advances to date, estimated future advances and closing costs.
Translating the probability of default and loss given default into
an expected loss estimate, Moody's then apply the aggregate loss
from specially serviced loans to the most junior classes and the
recovery as a pay down of principal to the most senior classes.
DEAL PERFORMANCE
As of the January 17, 2025 distribution date, the transaction's
aggregate certificate balance has decreased by 78% to $245 million
from $1.1 billion at securitization. The certificates are
collateralized by two mortgage loans, both of which have now passed
both their original maturity dates and previously extended maturity
dates.
Six loans have been liquidated from the pool, contributing to an
aggregate realized loss of $104.8 million (for an average loss
severity of 80%). Both remaining loans, constituting 100% of the
pool, are currently in special servicing.
As of the January 2025 remittance statement cumulative interest
shortfalls were $15.8 million and impact up to class A-3. Moody's
anticipate interest shortfalls will continue because of the
exposure to specially serviced loans and/or modified loans.
Interest shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal entitlement reductions
(ASERs), loan modifications and extraordinary trust expenses. In
this case, the interest shortfalls are primarily being caused by
expenses related to the previously liquidated Fashion Outlets of
Las Vegas loan, which was liquidated with a greater than 100% loss
in April 2021 but continues to incur additional expenses. In both
the December 2024 and January 2025 remittance statements, no
principal or interest proceeds were distributed to the outstanding
certificates which caused interest shortfalls to impact Cl. A-3 in
both months. Moody's expect these expenses and shortfalls to
continue in the near term due to servicer recoveries of expenses
related to this loan.
The largest specially serviced loan is the Prince Building loan
($125 million -- 51% of the pool), which represents a pari passu
portion of a $200 million whole loan. The loan is secured by a
379,000 square foot (SF) mixed-use office and retail property
located in the SoHo neighborhood of New York City. The property was
originally built in 1897 and renovated in 2009. The office portion
makes up 78% of the net rentable area (NRA) and the largest tenant
is ZocDoc (13% of NRA) with a lease expiration in 2035. The retail
component makes up the remaining 22% of NRA, and the largest retail
tenant is Equinox sports club (10% of NRA). The prior largest
office tenant, Group Nine Media (95,000 SF – 26.5% of NRA),
vacated after their September 2023 lease expiration and the second
largest retail tenant, Forever 21 (20,841 SF – 5.5% of NRA),
vacated as well. The borrower indicated the vacated office space is
currently being marketed for a replacement tenant, however, the
departure has caused the property's cash flow to significantly
decline. The year-end 2023 NOI was already 23% lower than at
securitization and the further cash flow decline caused the June
2024 annualized NOI to be 51% lower than securitization levels. The
loan is in cash management with all excess cash being trapped to
the reserve. As of September 2024, the property was 57% leased with
reported NOI DSCR at 1.13X based on interest only payments at a
4.3% interest rate. After failing to pay off at its initial October
2022 maturity date, the loan was extended through October 2023 with
an additional one year extension through October 2024. The loan
transferred back to special servicing in July 2024 and servicer
commentary indicated the borrower recently requested a new maturity
extension. The loan has generally remained current on its interest
only debt service payment due to positive cash flow and its low
in-place interest rate, however, in January 2025 it was last paid
through the December 2024 payment date. The most recently reported
appraisal value in November 2024 remained above the outstanding
mortgage loan balance, however, due to the recent occupancy and
cash flow declines Moody's anticipate a moderate loss on this
loan.
The other specially serviced loan is the Eastview Mall and Commons
Loan ($120 million -- 49% of the pool) which represents a pari
passu portion of a $210 million whole loan. The loan is secured by
a 725,300 SF portion of a 1.4 million SF regional mall (Eastview
Mall) and an 86,370 SF portion of a 341,000 SF power center
(Eastview Commons) located adjacent to the mall, which is located
in Victor, NY, 15 miles southeast of Rochester. The mall portion is
anchored by non-collateral Macy's, JC Penny, Von Maur and Dicks
Sports. The Dicks Sports backfilled a previous Sears store. The
non-collateral portion also includes a former Lord & Taylor space
that closed in 2021. The mall collateral is anchored by a 13 screen
Regal Cinemas, Raymour & Flanagan and LL Bean. It also includes an
Apple store, the only one within a 60 mile radius. The Eastview
Commons portion includes non-collateral Home Depot and Target
stores, and collateral tenants Best Buy, Staples and Old Navy. As
of September 2024, the collateral was 86% leased, compared to 90%
as of December 2022 and 94% at securitization. The loan has been in
special servicing multiple times and after it failed to pay off at
its original September 2022 maturity, the loan was extended through
September 2024, with an additional one year extension option to
September 2025 pursuant to terms and conditions in the modification
agreement. The borrower failed to pay off at its extended maturity
date and servicer commentary indicated another maturity extension
was executed. The loan is in cash management for the remainder of
the term with all excess cash being trapped. The reported September
2024 NOI DSCR was 1.58X based on interest only payments and a
4.625% interest rate, and NOI has been relatively stable since
2020. However, the property's NOI has remained significantly below
levels at securitization since 2019 and year-end 2023 NOI was 23%
below the NOI in 2012. The property's most recent appraisal from
October 2024 valued the property 52% lower than the outstanding
loan balance and the servicer has recognized a 54% appraisal
reduction, however, the loan remains current on debt service
payments at this point. Given the property's performance and market
conditions, the loan will likely continue to face refinance risk at
its extended maturity date, and Moody's anticipate a significant
loss on this loan.
Moody's estimate an aggregate $118.9 million loss for the specially
serviced loans (48.5% expected loss).
COMM 2014-LC15: DBRS Confirms C Rating on Class F Certs
-------------------------------------------------------
DBRS Limited downgraded its credit rating on one class of
Commercial Mortgage Pass-Through Certificates, Series 2014-LC15
issued by COMM 2014-LC15 Mortgage Trust as follows:
-- Class E to C (sf) from CCC (sf)
In addition, Morningstar DBRS confirmed its credit ratings on the
following classes:
-- Class X-B at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class F at C (sf)
j
Morningstar DBRS maintained Negative trends on Class D and Class
X-B. The remaining classes have credit ratings that do not
typically carry a trend in commercial mortgage-backed securities
(CMBS) credit ratings.
The credit rating downgrade and Negative trends reflect Morningstar
DBRS' loss projections for the remaining loans in the pool, as well
as the adverse selection risk for this transaction that has wound
down to just four remaining non-defeased loans, all of which are in
default and with the special servicer. Based on the liquidation
scenarios considered for each of the remaining loans with this
review, Morningstar DBRS' liquidated losses for the pool have
increased by approximately $3.0 million compared with the amount
considered with the prior credit rating action. In addition,
cumulative interest shortfalls totaling $3.8 million as of the
December 2024 reporting have also affected Classes E, F, and the
nonrated Class G. Morningstar DBRS does not anticipate those
shortfalls will be recovered.
The largest contributor to Morningstar DBRS' cumulative projected
liquidated loss amount of $12.1 million is the largest remaining
loan in the pool, 100 Westminster (Prospectus ID#7, 61.6% of the
current pool balance), backed by a 361,462-square foot office
property located in Providence, Rhode Island, as further described
below. The liquidated losses are expected to erode the remainder of
Class G, which has already been reduced by a little over $31.0
million because of realized losses to date, and almost all the
Class F balance of $11.6 million. Morningstar DBRS expects the
Class D certificate will ultimately be repaid in full, supporting
the credit rating confirmation. However, the concentration of
defaulted loans is a significant risk for the transaction. This
factor, combined with the possibility of further volatility in the
collateral values and related liquidation scenarios, means the CCC
(sf) credit rating for the Class E certificate and the Negative
trend for Class D are supported.
Since the previous credit rating action in February 2024, 14 loans
have successfully repaid in full. The trust balance of $62.0
million as of the December 2024 remittance reflects a collateral
reduction of 93.3% since issuance. There are two small loans,
collectively representing 5.8% of the pool balance, that are fully
defeased.
The 100 Westminster loan was transferred to special servicing in
August 2023 and a maturity extension to February 2025 with a
one-year extension option was ultimately granted. The servicer has
confirmed the loan has met the terms for the one-year extension
option which has been approved. The property's performance declined
following the loss of the former largest tenant, Bank of America
(20.1% of net rentable area), at lease expiry in April 2023. Two
tenants have since taken some of that space and the servicer most
recently reported an occupancy rate of 76.8% as of June 2024, down
from 91.8% at issuance. An updated appraisal dated October 2024
estimated an as-is value for the property of $39.6 million, a 39.4%
decline from the issuance appraised value of $65.3 million.
Morningstar DBRS analyzed the loan with a liquidation scenario
based on a 15% haircut to that value, resulting in an implied loss
severity of 21.0%.
The second-largest loan in the pool is the Moss-Bauer Apartments
loan (Prospectus ID#24, 13.0% of the pool), which is secured by a
28-unit multifamily building in the central business district of
New Orleans. The loan transferred to the special servicer in March
2018 as the borrower was not compliant with cash management
provisions. A modification agreement temporarily brought the loan
current, but it has been in default since October 2023. A receiver
has been appointed and is currently evaluating the property's needs
while the special servicer is working with borrower to negotiate
the payment of the limited guaranty that was granted as part of the
prior loan modification. An updated appraisal was provided in
November 2024, valuing the property at $7.8 million, below the July
2023 appraised value of $8.3 million and the issuance appraisal of
$11.6 million. With this review, Morningstar DBRS analyzed the loan
with a liquidation scenario based on a 10% haircut to the November
2024 value, resulting in a loss severity in excess of 35.0%.
Notes: All figures are in U.S. dollars unless otherwise noted.
COMM 2014-UBS6: DBRS Confirms C Rating on Class G Certs
-------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS6
issued by COMM 2014-UBS6 Mortgage Trust as follows:
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class PEZ at A (low) (sf)
-- Class X-C at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at B (high) (sf)
-- Class F at CCC (sf)
-- Class G at C (sf)
Morningstar DBRS maintained Negative trends on Classes C, D, E,
X-B, X-C, and PEZ. There are no trends on Classes F and G, which
have credit ratings that do not typically carry trends in
commercial mortgage-backed securities (CMBS) credit ratings.
The credit ratings reflect Morningstar DBRS' outlook for the
remaining loans in the pool based on a recovery analysis as the
transaction is now in wind-down. Since the last credit rating
action, 60 loans have repaid from the trust including 28 loans that
were previously defeased. Interest shortfalls increased to $5.5
million as of January 2025, compared with the $4.3 million reported
at the last review in February 2024. To date, there have been
realized losses of approximately $28.8 million, contained in the
nonrated Class H certificate.
As of the January 2025 remittance, 10 loans remain in the pool,
representing a collateral reduction of 87.0% since issuance. The
remaining loans in the pool represent adverse selection with nine
of the 10 loans specially serviced because they did not repay at
their respective maturity dates. The only loan that is not in
special servicing, representing 11.4% of the pool, is secured by a
portfolio of 18 self-storage properties across nine states.
Morningstar DBRS expects the fully amortizing, fixed-rate loan to
continue to perform through its maturity date in 2034; however, the
extended maturity profile poses some concern relative to the
disposition timing of the specially serviced loans. A recovery of
the Class C certificate is reliant on the full repayment of the
performing loan as well as the proceeds from the liquidations from
the specially serviced loans, the majority of which are recent
transfers with an uncertain resolution timeframe. The Negative
trends have been maintained and are warranted given the pool
concentration, adverse selection, increasing interest shortfalls,
and potential for cash flow volatility and further value declines
for the remaining loans in the pool.
Morningstar DBRS' loss expectations are primarily driven by the
three largest loans in the pool, representing more than half of the
outstanding trust balance. These loans, 811 Wilshire (Prospectus
ID#6, 21.3% of the pool), Highland Oaks Portfolio (Prospectus ID#8;
19.1% of the pool), and 8000 Maryland Avenue (Prospectus ID#9;
16.5% of the pool), are secured by office properties that have
demonstrated cash flow and property declines since issuance.
The largest loan, 811 Wilshire, which is backed by a 20-story,
336,190-square-foot (sf) office property in the Los Angeles central
business district, transferred to special servicing in November
2024 soon after the loan did not repay at its maturity date earlier
in the month. Occupancy at the property declined to 47% as of June
2024 and has exposure to tenant rollover risk in its three largest
tenants, representing 21.3% of net rentable area (NRA), with leases
expiring in 2025, 2026, and 2027. Despite the low occupancy rate,
which has hovered around 50% for the last few reporting periods,
Morningstar DBRS notes the relatively healthy debt service coverage
ratio (DSCR) of 1.32 times (x) as of June 2024 and 1.62x as of
YE2023; however, given the soft submarket vacancy of about 20%
according to Q4 2024 data published by CBRE and the upcoming tenant
rollover, this figure is likely to decline. Morningstar DBRS
analyzed the loan with a liquidation scenario based on a 50%
haircut to the issuance appraisal value, which implied a loss
severity in excess of 15.0%.
The Highland Oaks Portfolio loan is secured by 319,491 sf across
two Class B office properties in Downers Grove, Illinois, a suburb
of Chicago. The loan transferred to special servicing in February
2023 because of imminent monetary default. Morningstar DBRS has not
received a full year's financials since 2016; however, the servicer
commentary suggests the portfolio occupancy is about 31%. Given the
property quality and suburban location in a soft submarket with
excess supply, Morningstar DBRS expects the property will face
significant challenges back-filling the vacant space and a high
likelihood for further deterioration in value. An April 2024
appraisal valued the properties at $7.8 million, a substantial
decline from the issuance appraised value of $48.1 million.
Morningstar DBRS analyzed this loan with a 15% haircut to the April
2024 appraised value resulting in a loss severity of more than
85.0%.
The 8000 Maryland Avenue loan, which is secured by a 16-story,
196,921-sf office building in Clayton, Missouri, transferred to
special servicing in February 2024 because of imminent monetary
default, shortly after becoming delinquent, and did not repay at
its maturity date in November 2024. The most recent servicer
reported financials are as of September 30, 2023; those figures
indicate the occupancy rate and DSCR were 92.5% and 1.45x,
respectively, with four major tenants, representing 26.8% of NRA,
having lease expirations between 2024 and 2026. Morningstar DBRS
notes the increased credit risk associated with the concentrated
tenant rollover, which could potentially result in an adverse
effect for the historically healthy DSCR. A July 2024 appraisal
valued the property at $22.2 million, a sharp decline from the
issuance appraised value of $42.0 million. Morningstar DBRS
analyzed this loan with a 10% haircut to the July 2024 appraised
value resulting in a loss severity of more than 40.0%.
Notes: All figures are in U.S. dollars unless otherwise noted.
CORE 2019-CORE: DBRS Confirms B Rating on Class F Certs
-------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of the
Commercial Mortgage Pass-Through Certificates, Series 2019-CORE
issued by CORE 2019-CORE Mortgage Trust as follows:
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at AA (sf)
-- Class X-NCP at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at B (sf)
With this credit rating action, Morningstar DBRS changed the trends
on Classes E, F, and X-NCP to Stable from Negative, reflecting an
increased certainty of recovery following receipt of updated
appraisals for the two remaining properties. Morningstar DBRS
previously changed the trends on those classes to Negative from
Stable following the loan's transfer to special servicing in
January 2024 and reflective of Morningstar DBRS' concerns regarding
property value decline. Since the prior credit rating action,
Morningstar DBRS has received updated appraised values on the
underlying assets, demonstrating that these classes are well
insulated from loss in the event of a future liquidation. The
trends on Classes B, C, and D remain Stable.
The underlying loan is composed of four pari passu notes that
totaled $402.8 million at issuance, consisting of the borrower's
fee-simple and leasehold interests in six office properties and one
mixed-use property, totaling 2.6 million square feet (sf), across
New York, Pennsylvania, Maryland, and Virginia. As of the January
2025 remittance, the trust balance has paid down to $148.1 million,
representing a collateral reduction of 63.2% since issuance. Two
properties remain in the portfolio: One Pierrepont Plaza (71.6% of
the allocated loan amount (ALA)) and Station Square (28.4% of the
ALA). The whole loan amount also included a $92.2 million senior
mezzanine loan and a $55.0 million junior mezzanine loan, both held
outside the trust. The properties are cross defaulted.
The loan sponsor is Brookfield Strategic Real Estate Partners III
GP L.P. The sponsor's parent, Brookfield Property Partners L.P.
(rated BBB (low) with a Stable trend by Morningstar DBRS) is an
owner, operator, and investor in commercial real estate with a
diversified portfolio of office and retail assets as well as
interests in multifamily, triple net lease, industrial,
hospitality, self-storage, student housing, and manufactured
housing assets.
One Pierrepont Plaza is a high-rise office tower in downtown
Brooklyn, New York, and is part of a 5.5 million-sf corporate
campus known as MetroTech Center. According to the servicer, the
sponsor had previously attempted to sell the property but is now
focused on securing refinancing to pay off the existing debt. As of
the September 2024 rent roll, the subject was 81.3% occupied, a
decline from 88.8% as of YE2023. The largest tenants at the subject
include the New York City Transit Authority (25.2% of net rentable
area (NRA), lease expiry in September 2039), NYS Workers'
Compensation Board (7.3% of NRA, lease expiry in March 2030), and
Fire Department of the City of New York (5.5% of NRA, lease expiry
in December 2038). Near-term rollover is minimal, with leases
representing only 2.0% of NRA scheduled to expire by YE2025.
According to the YE2023 financials, the property reported a net
cash flow (NCF) of $10.1 million, a decline from the YE2021 figure
of $13.5 million. Based on a Q3 2024 Reis report, office properties
in the central business district submarket reported an average
vacancy rate of 15.9%, which has stayed relatively stagnant from
the Q3 2023 figure of 15.7%.
Station Square is composed of four mixed-use commercial buildings
and one parking garage in downtown Pittsburgh, along the
Monongahela River. As of the September 2024 rent roll, the
collateral was 73.7% occupied, with leases representing
approximately 14% of NRA scheduled to expire by YE2025. The largest
tenants include Wesco Distribution (18.8% of NRA, lease expiry in
March 2029), US Bank (7.6% of NRA, lease expiry in April 2025), and
CardWorks Servicing (7.0% of NRA, lease expiry in September 2030).
Occupancy has declined from the YE2023 high of 89.4% following the
departure of several office and retail tenants at lease expiration.
Morningstar DBRS has requested an update on any ongoing leasing
efforts at the subject. According to the YE2023 financials, the
property reported a NCF figure of $9.3 million, which is a
noticeable increase from the $5.6 million as of YE2021. Morningstar
DBRS expects cash flow to decline given the recent loss of
occupancy, which may complicate any potential sale or refinancing
efforts for the borrower.
A 2019 appraisal valued One Pierrepont Plaza and Station Square on
a combined basis at $303.3 million. Updated appraisals, dated
January 2024, indicate a combined as-is value of $292.3 million and
a combined stabilized value of $371.6 million. Based on the January
2024 appraisal, the loan-to-value (LTV) ratio on the trust debt
equates to a very moderate 50.7% on an as-is basis.
Morningstar DBRS' previous credit rating action in April 2024
included an update to the assets' valuation. For more information
regarding the approach and analysis conducted, please refer to the
press release titled "Morningstar DBRS Takes Rating Actions on
North American Single-Asset/Single-Borrower Transactions Backed by
Office Properties," published on April 15, 2024. For purposes of
this credit rating action, Morningstar DBRS maintained the blended
capitalization rate of 8.2% but updated the Morningstar DBRS NCF to
$15.5 million from $12.8 million. This update to the NCF was based
on a stressed haircut to the YE2023 servicer-reported NCF of $19.4
million. Morningstar DBRS maintained positive qualitative
adjustments to the LTV sizing benchmarks totaling 2.5% to reflect
the subject portfolio's generally long-term in-place leases and
favorable locations in proximity to city centers and university
campuses. The Morningstar DBRS concluded value of $188.7 million
represents a variance of -35.4% from the January 2024 appraised
value of $292.3 million and implies an all-in LTV of 78.5%
exclusive of mezzanine debt.
The credit ratings assigned to Classes E and F are higher than the
results implied by the LTV sizing benchmarks by three or more
notches. The variance is warranted given the updated January 2024
appraisal and continued cash flow growth for the two remaining
properties when compared with the Morningstar DBRS NCF when credit
ratings were assigned in 2020. Although the updated valuation and
generally stable NCF performance indicate sufficient credit support
for the rated classes, the loan previously defaulted at maturity
and remains in special servicing. Should the underlying properties'
ongoing performance exhibit volatility beyond Morningstar DBRS'
expectations, property values significantly decline, or workout
proceedings deteriorate, Morningstar DBRS may take additional
credit rating actions.
Notes: All figures are in U.S. dollars unless otherwise noted.
CSAIL 2016-C5: DBRS Cuts Class E Certs Rating to CCC
----------------------------------------------------
DBRS, Inc. downgraded the credit ratings on six classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-C5
issued by CSAIL 2016-C5 Commercial Mortgage Trust as follows:
-- Class D to BB (high) (sf) from BBB (low) (sf)
-- Class E to CCC (sf) from BB (low) (sf)
-- Class F to C (sf) from B (low) (sf)
-- Class X-D to BBB (low) (sf) from BBB (sf)
-- Class X-E to CCC (sf) from BB (sf)
-- Class X-F to C (sf) from B (sf)
In addition, Morningstar DBRS confirmed the credit ratings on the
following classes:
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at AA (low) (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (high) (sf)
Morningstar DBRS maintained the Negative trends on Classes X-D and
D. Classes X-E, E, X-F, and F have credit ratings that do not
typically carry a trend in commercial mortgage-backed securities
(CMBS) credit ratings. All other trends remain Stable. The credit
rating downgrades to Classes E and F and the Negative trends on
Classes D and X-D reflect Morningstar DBRS' liquidated loss
expectations for the two specially serviced loans in the pool.
Based on haircuts to the most recent appraised values for the
collateral properties, a total of $38.4 million in loss expected to
be realized, fully eroding the remaining Class NR balance of $31.9
million and most of the Class F certificate balance.
The credit rating confirmations and Stable trends reflect the
otherwise overall stable performance of the transaction, which
remains in line with Morningstar DBRS' expectations since the last
credit rating action. While the transaction benefits from a
relatively moderate concentration of loans backed by office
property types (17.2% of the pool), Morningstar DBRS notes that
several of those loans have exposure to locations within challenged
markets and near-term rollover risk. Mitigating factors include the
eight years of amortization since issuance as well as significant
defeasance and loan repayments as further described below.
As of the December 2024 reporting, 46 of the original 59 loans
remain in the pool with an aggregate principal balance of $585.8
million, reflecting a collateral reduction of 37.4% since issuance.
Since the last credit rating action in February 2024, one
additional loan has fully defeased, bringing the total defeased
collateral to 21 loans, representing 27.9% of the pool. The pool is
most concentrated by office properties, representing 17.2% of the
pool, followed by multifamily and industrial, representing 14.8%
and 16.4% of the pool, respectively. Four loans (5.0% of the pool)
are on the servicer's watchlist, being monitored predominantly for
significant near-term tenant rollover or low debt service coverage
ratios (DSCRs), and two loans (12.3% of the pool) are in special
servicing. For this review, Morningstar DBRS analyzed both loans in
special servicing, 401 Market (Prospectus ID #5; 8.9% of the pool)
and Sheraton Lincoln Harbor Hotel (Prospectus ID#12; 3.4% of the
pool), with liquidation scenarios as further described below.
The 401 Market loan is collateralized by a 484,643 square foot
(sf), Class A office building in the Center City submarket of
Philadelphia. Since issuance, the property had been fully leased to
two tenants, Wells Fargo (66.8% of the net rentable area (NRA)) and
American Bible Society (28.1% of the NRA). The loan transferred to
special servicing in October 2024 when Wells Fargo vacated the
property at lease expiration in September 2024. Wells Fargo (34.7%
of the gross rent) last paid a rental rate of only $6.22 per square
foot (psf), well below the submarket's effective rental rate of
$25.20 psf and asking rental rate of $33.90 psf in Q3 2024
according to Reis, indicating that future leasing could lead to
potential upside. The vacancy rate in the subject's Center City
submarket has nearly doubled, rising to 13.9% as of Q3 2024 from
7.3% as of Q1 2020, with significant negative absorption during
that period. Given the soft market conditions and the low in-place
occupancy rate, Morningstar DBRS expects the as-is value is likely
sharply below the issuance figure. Given that, and the proximity of
the October 2025 maturity date, Morningstar DBRS liquidated the
loan from the trust based on a 65.0% haircut to the appraised value
at issuance in July 2015, resulting in a value of $27.3 million and
an implied loss approaching $30.8 million, or a loss severity of
approximately 60%. While Morningstar DBRS acknowledges the as-is
value could ultimately be even lower, the liquidation scenario does
not give credit to the existing reserves of $7.4 million, as of the
January 2025 reporting, which are allocated to re-leasing costs.
The Sheraton Lincoln Harbor Hotel loan is secured by a 343-room
full-service hotel in Weehawken, New Jersey. The loan transferred
to special servicing in January 2021 and, after an unsuccessful
attempt by the receiver to sell the property in late 2022 and early
2023, the special servicer has since initiated foreclosure
proceedings. Property operations have declined since the YE2023
DSCR of 1.22 times (x) with a below breakeven DSCR of 0.93x for the
trailing 12 months (T-12) ended September 30, 2024. As of the
September 2024 STR report, the property reported an occupancy rate
of 89.4%, with average daily revenue of $198.30 and revenue per
available room (RevPAR) of $177.10, with demand segmentation led by
corporate travel and the airline business. Despite the improvement
in performance, with RevPAR approaching pre-pandemic and issuance
levels, an appraisal dated June 2024 valued the property at $82.6
million, a marginal improvement over the July 2023 value of $80.5
million, but still a 35.5% decline from the issuance value of
$128.0 million. Morningstar DBRS liquidated the loan from the trust
based on a 20% haircut to the most recent appraised value,
resulting in an implied loss approaching $8.0 million, or a loss
severity of approximately 40%.
Notes: All figures are in U.S. dollars unless otherwise noted.
DRYDEN 109: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Dryden
109 CLO, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Dryden 109 CLO, Ltd.
A-1-R Loan LT AAAsf New Rating
A-1-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Dryden 109 CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by PGIM, Inc. that
originally closed in April 2022. This is the first reset where the
existing secured notes will be refinanced in whole on Feb. 11,
2025. 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+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 21.84 versus a maximum covenant, in
accordance with the initial expected matrix point of 23. 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
93.04% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.01% versus a
minimum covenant, in accordance with the initial expected matrix
point of 69.9%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 48.5% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.50% 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 5.2-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.
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 and A-1-R
Loan notes, between 'BB+sf' and 'A+sf' for class B-R notes, between
'B+sf' and 'BBB+sf' for class C-R notes, between less than 'B-sf'
and 'BB+sf' for class D-R notes, and between less than 'B-sf' and
'B+sf' for class E-R notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R and A-1-R
Loan 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 notes, 'AAsf' for class C-R
notes, 'Asf' for class D-R notes, and 'BBBsf' for class E-R 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 Dryden 109 CLO,
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.
EFMT 2025-INV1: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to EFMT
2025-INV1's mortgage 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 an interest-only period), secured
primarily by single-family residential properties, including
townhomes, planned-unit developments, condominiums, two- to
four-family units, condotels, and five- to 10-unit multifamily
residential properties to prime and nonprime borrowers. The pool
consists of 1,099 ATR-exempt residential mortgage loans backed by
1,118 properties, including five cross-collateralized loans backed
by 24 properties.
The preliminary ratings are based on information as of Feb. 20,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The mortgage aggregator, Ellington Financial Inc., and the
originators;
-- S&P said, "One key change in our baseline forecast since
September, wherein we expect the Federal Reserve to reduce the
federal funds rate more gradually and reach an assumed neutral rate
of 3.1% by fourth-quarter 2026 (was fourth-quarter 2025
previously). We continue to expect real GDP growth to slow from
above-trend growth this year to below-trend growth in 2025. Heading
into 2025, the U.S. economy is expanding at a solid pace and while
President-elect Donald Trump outlined numerous policy proposals
during his campaign, S&P Global Ratings' economic outlook for 2025
hasn't changed appreciably partly because we have taken a
probabilistic approach and are assuming partial implementation of
campaign promises. It will take time for changes in fiscal, trade,
and immigration 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)
EFMT 2025-INV1
Class A-1, $153,227,000: AAA (sf)
Class A-2, $22,984,000: AA- (sf)
Class A-3, $33,632,000: A- (sf)
Class M-1, $18,569,000: BBB- (sf)
Class B-1, $14,024,000: BB- (sf)
Class B-2, $9,739,000: B- (sf)
Class B-3, $7,532,363: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, N/A: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal.
(ii)Notional amount equals the loans' aggregate stated principal
balance as of the cutoff date.
NR--Not rated.
N/A--Not applicable.
ELEVATION CLO 2021-13: S&P Affirms BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, and C-1-R replacement debt from Elevation CLO 2021-13
Ltd./Elevation CLO 2021-13 LLC, a CLO originally issued in June
2021 that is managed by Arrowmark Colorado Holdings LLC. At the
same time, S&P withdrew its ratings on the original class A-1, A-2,
B, and C-1 debt following payment in full on the Feb. 18, 2025,
refinancing date. S&P's also affirmed its ratings on the class X,
C-2, D-1, D-2, and E 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 for the replacement
debt was set to Jan. 15, 2026.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1-R, $250.10 million: Three-month CME term SOFR +
1.06%
-- Class A-2-R, $12.30 million: Three-month CME term SOFR + 1.35%
-- Class B-R, $49.20 million: Three-month CME term SOFR + 1.60%
-- Class C-1-R, $19.60 million: Three-month CME term SOFR + 2.00%
Original debt
-- Class A-1, $250.10 million: Three-month CME term SOFR + 1.45%
-- Class A-2, $12.30 million: Three-month CME term SOFR + 1.69%
-- Class B, $49.20 million: Three-month CME term SOFR + 2.06%
-- Class C-1 (deferrable), $19.60 million: Three-month CME term
SOFR + 2.61%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class E debt. Given the overall
credit quality of the portfolio and the passing coverage tests, we
affirmed our rating on the class E debt.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Elevation CLO 2021-13 Ltd./Elevation CLO 2021-13 LLC
Class A-1-R, $250.10 million: AAA (sf)
Class A-2-R, $12.30 million: AAA (sf)
Class B-R, $49.20 million: AA (sf)
Class C-1-R, $19.60 million: A (sf)
Ratings Withdrawn
Elevation CLO 2021-13 Ltd./Elevation CLO 2021-13 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C-1 to NR from 'A (sf)'
Ratings Affirmed
Elevation CLO 2021-13 Ltd./Elevation CLO 2021-13 LLC
Class X: AAA (sf)
Class C-2: A (sf)
Class D-1: BBB+ (sf)
Class D-2: BBB- (sf)
Class E: BB- (sf)
Other Debt
Elevation CLO 2021-13 Ltd./Elevation CLO 2021-13 LLC
Subordinated notes, $41.50 million: NR
NR--Not rated.
ELMWOOD CLO XI: S&P Assigns BB-(sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1R, D-2R, and E-R replacement debt from Elmwood CLO XI
Ltd./Elmwood CLO XI LLC, a CLO originally issued in September 2021
that is managed by Elmwood Asset Management LLC. At the same time,
S&P withdrew its ratings on the original class A, B, C, D, and E
debt following payment in full on the Feb. 19, 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 reinvestment period was extended to Jan. 20, 2030.
-- The non-call period was extended to Jan. 20, 2027.
-- The replacement class A-R, B-R, C-R, and E-R debt was issued at
a lower spread over three-month CME term SOFR than the original
notes.
-- The original class D debt was replaced by the class D-1R and
D-2R debt.
Additional subordinated notes totaling $2.86 million were issued,
and the stated maturity of the original subordinated notes was
extended to Jan. 20, 2038.
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
Elmwood CLO XI Ltd./Elmwood CLO XI LLC
Class A-R,$320.00 million: AAA(sf)
Class B-R,$60.00 million: AA(sf)
Class C-R (deferrable),$30.00 million: A(sf)
Class D-1R (deferrable),$30.00 million: BBB-(sf)
Class D-2R (deferrable),$2.50 million: BBB-(sf)
Class E-R (deferrable),$17.50 million: BB-(sf)
Ratings Withdrawn
Elmwood CLO XI Ltd./Elmwood CLO XI LLC
Class A to NR from 'AAA(sf)'
Class B to NR from 'AA(sf)'
Class C (deferrable) to NR from 'A(sf)'
Class D (deferrable) to NR from 'BBB-(sf)'
Class E (deferrable) to NR from 'BB-(sf)'
Other Debt
Elmwood CLO XI Ltd./Elmwood CLO XI LLC
Subordinated notes, $45.86 million: NR
NR--Not rated.
ELMWOOD CLO XI: 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 Elmwood
CLO XI Ltd./Elmwood CLO XI LLC, a CLO managed by Elmwood Asset
Management LLC that was originally issued in September 2021.
The preliminary ratings are based on information as of Feb. 14,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Feb. 19, 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 supplemental indenture,
which outlines the terms of the replacement debt. According to the
proposed supplemental indenture:
-- The reinvestment period will be extended to Jan. 20, 2030.
-- The non-call period will be extended to Jan. 20, 2027.
-- The replacement class A-R, B-R, C-R, and E-R debt is expected
to be issued at a lower spread over three-month CME term SOFR than
the original notes.
-- The original class D debt will be replaced by class D-1R and
D-2R notes.
Additional subordinated notes will be issued in the amount of $2.86
million, and the stated maturity of the original subordinated notes
will be extended to Jan. 20, 2038.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Elmwood CLO XI Ltd./Elmwood CLO XI LLC
Class A-R, $320.00 million: AAA (sf)
Class B-R, $60.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1R (deferrable), $30.00 million: BBB- (sf)
Class D-2R (deferrable), $2.50 million: BBB- (sf)
Class E-R (deferrable), $17.50 million: BB- (sf)
Other Debt
Elmwood CLO XI Ltd./Elmwood CLO XI LLC
Subordinated notes, $45.86 million: Not rated
FIGRE TRUST 2025-HE1: DBRS Gives Prov. B(low) Rating on Cl. F Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Mortgage-Backed Notes, Series 2025-HE1 (the Notes) to be issued by
FIGRE Trust 2025-HE1 (FIGRE 2025-HE1 or the Trust):
-- $225.6 million Class A at (P) AAA (sf)
-- $19.8 million Class B at (P) AA (low) (sf)
-- $18.9 million Class C at (P) A (low) (sf)
-- $10.6 million Class D at (P) BBB (low) (sf)
-- $11.3 million Class E at (P) BB (low) (sf)
-- $12.4 million Class F at (P) B (low) (sf)
The (P) AAA (sf) credit rating on the Class A Notes reflects 26.45%
of credit enhancement provided by subordinate notes. 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 20.00%, 13.85%,
10.40%, 6.70%, and 2.65% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
Morningstar DBRS assigned provisional credit ratings to the Trust,
a securitization of recently originated first- and junior-lien
revolving home equity lines of credit (HELOCs) funded by the
issuance of mortgage-backed notes (the Notes). The Notes are backed
by 4,301 loans (individual HELOC draws) which correspond to 3,952
HELOC families (each consisting of an initial HELOC draw and
subsequent draws by the same borrower) with a total unpaid
principal balance (UPB) of $306,711,004 and a total current credit
limit of $330,157,634 as of the Cut-Off Date (December 31, 2024).
The portfolio, on average, is three months seasoned, though
seasoning ranges from one to 17 months. All of the HELOCs are
current and have been performing since origination. All of the
loans in the pool are exempt from the Consumer Financial Protection
Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules
because HELOCs are not subject to the ATR/QM rules.
Figure is a wholly owned, indirect subsidiary of Figure
Technologies, Inc. (Figure Technologies) that was formed in 2018.
Figure Technologies is a financial services and technology company
that leverages blockchain technology for the origination and
servicing of loans, loan payments, and loan sales. In addition to
the home equity line of credit (HELOC) product, Figure has offered
several different lending products within the consumer lending
space including student loan refinance, unsecured consumer loans,
and conforming first lien mortgage. In June 2023, the company
launched a wholesale channel for its HELOC product. Figure
originates and services loans in 48 states and the District of
Columbia. As of October 2024, Figure originated, funded, and
serviced more than 159,000 HELOCs totaling approximately $11.9
billion.
Figure is the Originator of most and the Servicer of all HELOCs in
the pool. Other originators in the pool are Figure Wholesale and
certain other lenders (together, the White Label Partner
Originators). The White Label Partner Originators originated HELOCs
using Figure's online origination applications under Figure's
underwriting guidelines. Also, Figure is the Seller of all the
HELOCs. Morningstar DBRS performed a telephone operational risk
review of Figure's origination and servicing platform and believes
the Company is an acceptable HELOC originator and servicer with a
backup servicer that is acceptable to Morningstar DBRS.
Figure is the transaction's Sponsor. FIGRE 2025-HE1 is the 12th
rated securitization of HELOCs by the Sponsor. Also,
Figure-originated HELOCs are included in five securitizations
sponsored by Saluda Grade. These transactions' performances to date
are satisfactory.
The transaction includes mostly junior liens (primarily second
liens) and some first-lien HELOCs.
Natural Disasters
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.
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).
Maryland Consumer Purpose Loans
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 1.9% of the pool (77 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.
HELOC Features
In this transaction, all HELOCs except two are open-HELOCs that
have a draw period of two, three, four, or five years during which
borrowers may make draws up to a credit limit, though such right to
make draws may be temporarily frozen, suspended, or terminated
under certain circumstances. At the end of the draw term, the HELOC
mortgagors have a repayment period ranging from three to 25 years.
During the repayment period, borrowers are no longer allowed to
draw, and their monthly principal payments will equal an amount
that allows the outstanding loan balance to evenly amortize down.
All HELOCs in this transaction are fixed-rate loans. The HELOCs
have no interest-only payment period, so borrowers are required to
make both interest and principal payments during the draw and
repayment periods. No loans require a balloon payment.
The loans are made mainly to borrowers with prime and near-prime
credit quality who seek to take equity cash out for various
purposes. These HELOCs are fully drawn at origination, as evidenced
by the weighted-average (WA) utilization rate by current line
amount of approximately 92.9% after three months of seasoning on
average. For each borrower, the HELOC, including the initial and
any subsequent draws, is defined as a loan family within which
every new credit line draw becomes a de facto new loan with a new
fixed interest rate determined at the time of the draw by adding
the margin determined at origination to the then current prime
rate.
Relative to other HELOCs in Morningstar DBRS-rated deals, the loans
in the pool are all fixed rate, fully amortizing with a shorter
draw period and may have terms significantly shorter than 30 years,
including five- to 10-year maturities.
Certain Unique Factors in HELOC Origination Process
Figure seeks to originate HELOCs for borrowers of prime and
near-prime credit quality with ample home equity. It leverages
technology in underwriting, title searching, regulatory compliance,
and other lending processes to shorten the approval and funding
process and improve the borrower experience. Below are certain
aspects in the lending process that are unique to Figure's
origination platform:
-- To qualify a borrower for income, Figure seeks to confirm the
borrower's stated income using proprietary technology algorithms.
-- The lender uses the FICO 9 credit score model instead of the
classic FICO credit score model used by most mortgage originators.
-- Instead of title insurance, Figure uses an electronic lien
search algorithm to identify existing property liens.
-- Instead of a full property appraisal Figure uses a property
valuation provided by an automatic valuation model (AVM), or in
some cases where an AVM is not available or is ineligible, a broker
price opinion (BPO) or a residential evaluation.
The credit impact of these factors is generally loan specific.
Although technologically advanced, the income, employment, and
asset verification methods used by Figure were treated as less than
full documentation in the RMBS Insight model. In addition,
Morningstar DBRS applied haircuts to the provided AVM and BPO
valuations, reduced the projected recoveries on junior-lien HELOCs,
and generally stepped-up expected losses from the model to account
for a combined effect of these and other factors. Please see the
Documentation Type and Underwriting Guidelines sections of the
related report for details.
Transaction Counterparties
Figure will service all loans within the pool for a servicing fee
of 0.25% per year. Also, Newrez LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint) will act as a Subservicer for loans that
default or become 60 or more days delinquent under the Mortgage
Bankers Association (MBA) method. In addition, Northpointe Bank
(Northpointe) will act as a Backup Servicer for all mortgage loans
in this transaction for a fee of 0.01% per year. If Figure fails to
remit the required payments, fails to observe or perform the
Servicer's duties, or experiences other unremedied events of
default described in detail in the transaction documents, servicing
will be transferred to Northpointe from Figure, under a successor
servicing agreement. Such servicing transfer will occur within 45
days of the termination of Figure. In the event of a servicing
transfer, Shellpoint will retain servicing responsibilities on all
loans that were being special serviced by Shellpoint at the time of
the servicing transfer. Morningstar DBRS performed an operational
risk review of Northpointe's servicing platform and believes the
company is an acceptable loan servicer for Morningstar DBRS-rated
transactions.
The Bank of New York Mellon will serve as Indenture Trustee, Paying
Agent, Note Registrar, Certificate Registrar, and REMIC
Administrator. Wilmington Savings Fund Society, FSB will serve as
the Custodian and the Owner Trustee. DV01, Inc. will act as the
loan data agent.
The Sponsor or a majority-owned affiliate of the Sponsor will
acquire and intends to retain an eligible vertical interest
consisting of the required percentage of the Class A, B, C, D, E,
F, and G Note amounts and Class FR Certificate to satisfy the
credit risk-retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder. The Sponsor or a majority-owned affiliate of the
Sponsor will be required to hold the required credit risk until the
later of (1) the fifth anniversary of the Closing Date and (2) the
date on which the aggregate loan balance has been reduced to 25% of
the loan balance as of the Cut-Off Date, but in any event no longer
than the seventh anniversary of the Closing Date.
Additionally, pursuant to the EU and UK Risk Retention Agreement,
the Sponsor will agree that on an ongoing basis for so long as the
Notes are outstanding:
-- it will retain exposure to a material net economic interest in
this transaction of not less than 5% of the nominal value of each
class of Notes, in the form specified in related transaction
documents;
-- neither it nor any affiliate will sell, hedge or mitigate its
credit risk under or associated with the EU and UK Retained
Interest, except to the extent permitted in accordance with the EU
Securitization Rules and the UK Securitization Rules respectively;
-- it will not change the retention option or method of
calculation of its EU and UK Retained Interest, except to the
extent permitted under the EU Securitization Rules or the UK
Securitization Rules;
-- it will confirm its EU and UK Retained Interest in the SR
Investor Report; and
-- it will promptly notify the Issuer and a responsible officer of
the Paying Agent in writing if for any reason: (a) it ceases to
retain exposure the EU and UK Retained Interest in accordance with
the above, or (b) it or any of its affiliates fails to comply with
the covenants set out above.
Similar to other transactions backed by junior lien mortgage loans
or HELOCs, but different from certain Morningstar DBRS-rated FIGRE
transactions, the HELOCs that are 180 days delinquent under the MBA
delinquency method may not be charged off by the Servicer in its
discretion. In its analysis, Morningstar DBRS assumes all junior
lien HELOCs that are 180 days delinquent under the MBA delinquency
method will be charged-off.
Draw Funding Mechanism
This transaction uses a structural mechanism similar to other HELOC
transactions to fund future draw requests. The Servicer will be
required to fund draws and will be entitled to reimburse itself for
such draws from the principal collections prior to any payments on
the Notes and the Class FR Certificates.
If the aggregate draws exceed the principal collections (Net Draw),
the Servicer is entitled to reimburse itself for draws funded from
amounts on deposit in the Reserve Account (including amounts
deposited into the Reserve Account on behalf of the Class FR
Certificate holder after the Closing Date).
The Reserve Account is funded at closing initially with a rounded
balance of $1,073,489 (0.35% of the aggregate UPB as of the Cut-Off
Date). Prior to the payment date in February 2030, the Reserve
Account Required Amount will be 0.35% of the aggregate UPB as of
the Cut-Off Date. On and after the payment date in February 2030
(after the draw period ends for all HELOCs), the Reserve Account
Required Amount will become $0. If the Reserve Account is not at
target, the Paying Agent will use the available funds remaining
after paying transaction parties' fees and expenses, reimbursing
the Servicer for any unpaid fees or Net Draws, and paying the
accrued and unpaid interest on the bonds to build it to the target.
The top-up of the account occurs before making any principal
payments to the Class FR Certificateholder or the Notes. To the
extent the Reserve Account is not funded up to its required amount
from the principal and interest (P&I) collections, the Class FR
Certificateholder will be required to use its own funds to
reimburse the Servicer for any Net Draws.
Nevertheless, the servicer is still obligated to fund draws even if
the principal collections and the Reserve Account are insufficient
in a given month for full reimbursement. In such cases, the
Servicer will be reimbursed on subsequent payment dates first, from
amounts on deposit in the Reserve Account (subject to the deposited
funds), and second, from the principal collections in subsequent
collection periods. Figure, as a holder of the Trust
Certificate/Class FR Certificates, will have an ultimate
responsibility to ensure draws are funded by remitting funds to the
Reserve Account to reimburse the Servicer for the draws made on the
loans, as long as all borrower conditions are met to warrant draw
funding. The Class FR Certificates' balance will be increased by
the amount of any Net Draws funded by the Class FR
Certificateholder. The Reserve Account's required amount will
become $0 on the payment date in February 2030 (after the draw
period ends for all HELOCs), at which point the funds will be
released through the transaction waterfall.
In its analysis of the proposed transaction structure, Morningstar
DBRS does not rely on the creditworthiness of either the Servicer
or Figure. Rather, the analysis relies on the assets' ability to
generate sufficient cash flows, as well as the Reserve Account, to
fund draws and make interest and principal payments.
Additional Cash Flow Analytics for HELOCs
Morningstar DBRS performs a traditional cash flow analysis to
stress prepayments, loss timing, and interest rates. Generally, in
HELOC transactions, because prepayments (and scheduled principal
payments, if applicable) are primary sources from which to fund
draws, Morningstar DBRS also tests a combination of high draw and
low prepayment scenarios to stress the transaction.
Transaction Structure
The transaction employs a pro rata cash flow structure subject to a
Credit Event, which is based on certain performance triggers
related to cumulative losses and delinquencies. This transaction
differs from certain previous Morningstar DBRS-rated FIGRE
transactions where there is no performance trigger related to Net
WA Coupon (WAC) Rate.
Relative to a sequential pay structure, a pro rata structure
subject to sequential trigger (Credit Event) is more sensitive to
the timing of the projected defaults and losses as the losses may
be applied at a time when the amount of credit support is reduced
as the bonds' principal balances amortize over the life of the
transaction.
Excess cash flows can be used to cover any realized losses. Please
see the Cash Flow Structure and Features section of the related
report for more details.
Notable Structural Features
Similar to previous Morningstar DBRS-rated FIGRE transactions, this
deal employs a Delinquency Trigger and a Cumulative Loss Trigger.
The effective dates for the triggers may differ from prior rated
transactions. The Delinquency Trigger is applicable on or after the
12th payment date (January 2026) rather than being applicable
immediately after the Closing Date.
Unlike some of the prior FIGRE securitizations that employed a
pro-rata pay structure amongst all rated notes, this transaction
includes rated classes - Class D, Class E, and Class F, that
receive their principal payments after the pro-rata classes (Class
A, Class B, and Class C) are paid in full. The inclusion of
sequential pay classes retains credit support that would otherwise
be reduced in the absence of a credit event.
Unlike some of the prior FIGRE securitizations, this transaction
includes a principal-only class, Class G, that provides credit
support to the rated notes instead of overcollateralization (OC).
Since there is no longer any OC, there is no longer any need for
the OC Target or OC Floor present in other transactions.
The Reserve Account Required Amount will be 0.35% of the aggregate
UPB as of the Cut-Off Date, lower than the prior FIGRE
securitizations.
Other Transaction Features
For this transaction, other than the Servicer's obligation to fund
any monthly Net Draws, described above, neither the Servicer nor
any other transaction party will fund any monthly advances of P&I
on any HELOC. However, the Servicer is required to make advances in
respect of taxes, insurance premiums, and reasonable costs incurred
in the course of servicing and disposing of properties (servicing
advances) to the extent such advances are deemed recoverable or as
directed by the Controlling Holder (the holder of more than a 50%
interest of the Class XS Notes). For the junior-lien HELOCs, the
Servicer will make servicing advances only if such advances are
deemed recoverable or if the associate first-lien mortgage has been
paid off and such HELOC has become a senior-lien mortgage loan.
The Depositor may, at its option, on or after the earlier of (1)
the payment date on which the balance of the Class A Notes is
reduced to zero or (2) the date on which the total loans' and real
estate owned (REO) properties' balance falls to or below 25% of the
loan balance as of the Cut-Off Date (Optional Termination Date),
purchase all of the loans and REO properties 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 Servicer, at a direction of the Controlling Holder, may direct
the Issuer to sell (and direct the Indenture Trustee to release its
lien on and relinquish its security interest in) eligible
nonperforming loans (those 120 days or more delinquent under the
MBA method) or REO properties (both, Eligible Nonperforming Loans
(NPLs)) to third parties individually or in bulk sales. The
Controlling Holder will have a sole authority over the decision to
sell the Eligible NPLs, as described in the transaction documents.
Notes: All figures are in U.S. dollars unless otherwise noted.
FORT GREENE CLO: Moody's Assigns Ba3 Rating to $21.75MM E-R Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to five classes of CLO
refinancing notes (the "Refinancing Notes") issued by Fort Greene
Park CLO, LLC (the "Issuer").
Moody's rating action is as follows:
US$320,000,000 Class A-R Senior Secured Floating Rate Notes due
2034 (the "Class A-R Notes"), Assigned Aaa (sf)
US$53,000,000 Class B-R Senior Secured Floating Rate Notes due 2034
(the "Class B-R Notes"), Assigned Aa2 (sf)
US$29,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034 (the "Class C-R Notes"), Assigned A2 (sf)
US$35,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2034 (the "Class D-R Notes"), Assigned Baa3 (sf)
US$21,750,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2034 (the "Class E-R Notes"), Assigned Ba3 (sf)
Additionally, Moody's have taken rating action on the following
outstanding notes originally issued by the Issuer on April 22, 2021
(the "Original Closing Date"):
US$5,640,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2034 (the "Class F Notes"), Upgraded to B2 (sf); previously on
April 22, 2021 Assigned B3 (sf)
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Clover Credit 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 two classes of subordinated notes,
which will remain outstanding.
In addition to the issuance of the Refinancing Notes, a variety of
other changes to transaction features will occur in connection with
the refinancing. These include: extension of the non-call period
and changes to the base matrix and modifiers.
Moody's rating action on the Class F Notes is 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: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2890
Weighted Average Spread (WAS): 3.30%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 5.5 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.
FORTRESS CREDIT XXIV: S&P Assigns Prelim BB-(sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Fortress
Credit BSL XXIV Ltd./Fortress Credit BSL XXIV LLC's floating-rate
debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by FC BSL CLO Manager V LLC.
The preliminary ratings are based on information as of Feb. 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The collateral pool's diversification;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Fortress Credit BSL XXIV Ltd./Fortress Credit BSL XXIV LLC
Class A, $166.00 million: AAA (sf)
Class A-L loans, $84.00 million: AAA (sf)
Class B, $44.00 million: AA (sf)
Class C (deferrable), $28.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB (sf)
Class D-2 (deferrable), $6.00 million: BBB- (sf)
Class E (deferrable), Class $14.00 million: BB- (sf)
Subordinated notes, $41.70 million: NR
NR--Not rated
GALAXY CLO XXVI: Moody's Assigns B3 Rating to $7.45MM Cl. F Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Galaxy XXVI CLO, Ltd:
US$21.6M Class C-R Deferrable Mezzanine Floating Rate Notes,
Upgraded to Aaa (sf); previously on May 22, 2024 Assigned Aa1 (sf)
US$27.7M Class D-R Deferrable Mezzanine Floating Rate Notes,
Upgraded to A3 (sf); previously on May 22, 2024 Assigned Baa1 (sf)
Moody's have also affirmed the ratings on the following notes:
US$227.4486M (Current outstanding amount US$146,140,139) Class A-R
Senior Floating Rate Notes, Affirmed Aaa (sf); previously on May
22, 2024 Assigned Aaa (sf)
US$52M Class B-R Senior Floating Rate Notes, Affirmed Aaa (sf);
previously on May 22, 2024 Assigned Aaa (sf)
US$24.75M Class E Deferrable Junior Floating Rate Notes, Affirmed
Ba3 (sf); previously on Dec 6, 2018 Assigned Ba3 (sf)
US$7.45M Class F Deferrable Junior Floating Rate Notes, Affirmed
B3 (sf); previously on Dec 6, 2018 Assigned B3 (sf)
Galaxy XXVI CLO, Ltd, issued in December 2018 and refinanced in May
2024, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by PineBridge Galaxy LLC. The transaction's
reinvestment period ended in November 2023.
RATINGS RATIONALE
The rating upgrades on the Class C-R and D-R notes are primarily a
result of the deleveraging of the senior notes following
amortisation of the underlying portfolio since the last rating
action in May 2024.
The affirmations on the ratings on the Class A-R, B-R, 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.
The Class A-R notes have paid down by approximately USD81.3 million
(35.7%) since the last rating action in May 2024. As a result of
the deleveraging, over-collateralisation (OC) has increased across
the capital structure. According to the trustee report dated
January 2025 [1] the Class A/B, Class C, Class D and Class E OC
ratios are reported at 150.58%, 135.77%, 120.58% and 109.61%
compared to April 2024 [2] levels of 131.46%, 123.28%, 114.18% and
107.11%, respectively.
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: USD296.6m
Defaulted Securities: USD1.7m
Diversity Score: 64
Weighted Average Rating Factor (WARF): 2838
Weighted Average Life (WAL): 3.63 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.12%
Weighted Average Recovery Rate (WARR): 47.46%
Par haircut in OC tests and interest diversion test: none
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 Moody's 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
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
GENERATE CLO 10: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, B-R, C-R, D-1R, D-2R, and E-R debt and new class X-R 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 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."
Ratings Assigned
Generate CLO 10 Ltd./Generate CLO 10 LLC
Class X-R, $2.5 million: AAA (sf)
Class A-R, $256.0 million: AAA (sf)
Class B-R, $48.0 million: AA (sf)
Class C-R (deferrable), $24.0 million: A (sf)
Class D-1R (deferrable), $24.0 million: BBB- (sf)
Class D-2R (deferrable), $4.0 million: BBB- (sf)
Class E-R (deferrable), $12.0 million: BB- (sf)
Subordinated notes, $34.0 million: Not rated
GLS AUTO 2025-1: S&P Assigns BB (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to GLS Auto Receivables
Issuer Trust 2025-1's automobile receivables-backed notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 56.51%, 48.05%, 37.98%,
29.00%, and 24.36% of credit support (hard credit enhancement and
haircut to excess spread) for the class A (A-1, A-2, and A-3,
collectively), B, C, D, and E notes, respectively, based on final
post-pricing stressed cash flow scenarios. These credit support
levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of
our 17.50% expected cumulative net loss (ECNL) for the class A, B,
C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are within its
credit stability limit.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the series' subprime
automobile loans, including the representation in the transaction
documents that all contracts in the pool have made at least one
payment, S&P's view of the collateral's credit risk, and its
updated macroeconomic forecast and forward-looking view of the auto
finance sector.
-- The series' bank accounts at UMB Bank N.A., which do not
constrain the ratings.
-- S&P's operational risk assessment of Global Lending Services
LLC, as servicer, and its view of the company's underwriting and
backup servicing arrangement with UMB Bank N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors that are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
GLS Auto Receivables Issuer Trust 2025-1
Class A-1, $85.00 million: A-1+ (sf)
Class A-2, $160.71 million: AAA (sf)
Class A-3, $83.67 million: AAA (sf)
Class B, $101.33 million: AA (sf)
Class C, $94.96 million: A (sf)
Class D, $93.91 million: BBB (sf)
Class E, $46.96 million: BB (sf)
GOLDENTREE LOAN 16: Fitch Assigns 'B-sf' Rating on Class F-RR Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
GoldenTree Loan Management US CLO 16, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
GoldenTree Loan
Management US
CLO 16, Ltd.
X-RR LT NRsf New Rating
A-RR LT NRsf New Rating
A-J-R 38090AAE8 LT PIFsf Paid In Full AAAsf
A-J-RR LT AAAsf New Rating
B-R 38090AAG3 LT PIFsf Paid In Full AAsf
B-RR LT AAsf New Rating
C-R 38090AAJ7 LT PIFsf Paid In Full Asf
C-RR LT Asf New Rating
D-J-R LT BBB-sf New Rating
D-R 38090AAL2 LT PIFsf Paid In Full BBB-sf
D-RR LT BBB-sf New Rating
E-R 38138GAG4 LT PIFsf Paid In Full BB-sf
E-RR LT BB-sf New Rating
F-R 38138GAJ8 LT PIFsf Paid In Full B+sf
F-RR LT B-sf New Rating
Transaction Summary
GoldenTree Loan Management US CLO 16, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that
initially closed in December 2022 and refinanced in December 2023.
This will be the second reset, and the existing secured notes will
be refinanced in whole on Feb. 13, 2025 from proceeds of the new
secured notes. The transaction will be managed by GLM II, LP. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $550 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 24.05, 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
99.62% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.15% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.3%.
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 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 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 between 'BBB+sf' and 'AA+sf' for class A-J-RR, between
'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for
class C-RR, between less than 'B-sf' and 'BB+sf' for class D-RR,
between less than 'B-sf' and 'BB+sf' for class D-J-R, between less
than 'B-sf' and 'BBsf' for class E-RR, and between less than 'B-sf'
and less than 'B+sf' for class F-RR.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-J-RR notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'A+sf'
for class D-RR, 'Asf' for class D-J-R, 'BBB+sf' class E-RR, and
'BB+sf' for class F-RR.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, 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 GoldenTree Loan
Management US CLO 16, 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.
GUGGENHEIM MM 2018-1: S&P Raises Class F Notes Rating to 'B+ (sf)'
------------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C, D, E, and
F debt from Guggenheim MM CLO 2018-1 Ltd. At the same time, S&P
affirmed its ratings on the class A1 and A2 debt from the same
transaction.
The rating actions follow its review of the transaction's
performance using data from the December 2024 trustee report.
The transaction has paid down approximately $160.85 million,
collectively to the class A1 and A2 debt since S&P's review at the
transaction's effective date in January 2019. These paydowns
resulted in improved reported overcollateralization (O/C) ratios
since the January 2019 effective date trustee report, which S&P
used for its previous review:
-- The class A/B(i) O/C ratio improved to 229.30% from 152.67%.
-- The class C O/C ratio improved to 167.67% from 133.64%.
-- The class D O/C ratio improved to 145.50% from 124.82%.
-- The class E O/C ratio improved to 129.23% from 117.44%.
-- The class F O/C ratio improved to 123.68% from 114.71%.
(i)Class A--Class A1 and A2, collectively.
All O/C ratios experienced a positive movement due to the lower
balances of the senior notes; consequently, the credit support
increased.
S&P said, "While the O/C ratios improved, the collateral
portfolio's credit quality has slightly deteriorated since our last
rating actions. Collateral obligations with ratings in the 'CCC'
category have increased, with $72.1 million (29.4% of the
portfolio) reported as of the December 2024 trustee report,
compared with $60.1 million (14.99% of the portfolio) reported as
of the January 2019 effective date trustee report. Over the same
period, the par amount of defaulted collateral has increased to
$15.39 million from $0.0. However, despite the slightly larger
concentrations in 'CCC' category and defaulted collateral, the
transaction has benefited from a drop in the weighted average life
due to the underlying collateral's seasoning."
The upgraded ratings reflect the improved credit support available
to the notes at the prior rating levels.
The affirmed ratings reflect adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the notes could results in further ratings
changes.
On a standalone basis, the results of the cash flow analysis
indicated a higher rating on the class C, D, E, and F notes. S&P
said, "However, because the transaction currently has some exposure
to 'CCC'-rated collateral obligations and some defaulted assets, we
limited the upgrade of the ratings on some classes to offset future
potential credit migration in the underlying collateral. Our rating
actions also reflect additional sensitivity runs that considered
the exposure to lower-quality assets that we noticed in the
portfolio."
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
Ratings Raised
Guggenheim MM CLO 2018-1 Ltd.
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'AA+ (sf)' from 'A (sf)'
Class D to 'A+ (sf)' from 'BBB (sf)'
Class E to 'BB+ (sf)' from 'BB (sf)'
Class F to 'B+ (sf)' from 'B (sf)'
Ratings Affirmed
Guggenheim MM CLO 2018-1 Ltd.
Class A1: AAA (sf)
Class A2: AAA (sf)
HUDSON YARDS 2025-SPRL: DBRS Finalizes BB(high) Rating on F Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following classes of Commercial Mortgage Pass-Through Certificates,
Series 2025-SPRL (the Certificates) issued by Hudson Yards
2025-SPRL Mortgage Trust (the trust):
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
All trends are Stable.
The Hudson Yards 2025-SPRL Mortgage Trust
single-asset/single-borrower transaction is collateralized by the
borrower's fee-simple interest and the leasehold interest of a
direct wholly-owned subsidiary of the borrower in The Spiral, a 2.8
million-square-foot (sf) trophy office building in Hudson Yards.
Hudson Yards is New York's newest neighborhood, between Chelsea and
Hell's Kitchen, and is the largest private development in U.S.
history. Prior to the larger Hudson Yards development, the 28-acre
site over an existing Long Island Railroad rail yard and train
tunnels was viewed as one of the largest areas for potential
development in Manhattan. The property was delivered in 2022, and
the collateral is directly across the street from the eastern
portion of the development. The Spiral is situated between West
35th Street, 10th Avenue, West 34th Street, and Hudson Boulevard
East and is surrounded by a mix of newer vintage commercial and
residential developments, including popular neighborhood
attractions like the Vessel, Edge Observation Deck, the High Line,
The Shops & Restaurants at Hudson Yards, and Jacob K. Javits
Convention Center. The property is included within the Hudson Yards
Class A, a trophy micro-market, which is made up of 17.4 million sf
of inventory according to a third-party data provider. This
micro-market exhibited a vacancy rate of 4.0%, and average asking
rent of $137 per sf (psf) as of November 2024. This micro-market's
performance compares favorably with that of the general Manhattan
submarket, which exhibited a vacancy rate of 17.2% and an asking
rental rate of around $73 psf for the same month. The performance
of this micro-market relative to the rest of the office sector in
Manhattan exemplifies the flight to the quality office sector
trend.
The Spiral is a 66-story, 1,031-foot Class A office tower with LEED
Gold and Fitwel 2-star certifications. The property features large
column-free floorplates, floor-to-ceiling windows, high ceilings
ranging from 14 feet to 18 feet, and outdoor terraces on every
floor, which cascade around the entire tower. The property has
strong set of amenities, including on-site parking, a bike room
with showers, and a penthouse amenity space featuring a tenant
lounge, cafe, and rentable meeting spaces. The amenities will be
further enhanced once the three on-site dining options open, the
first of which, Papa San, is currently under construction and set
to open in early 2025. Papa San will serve Peruvian cuisine and
will later be joined by two restaurants by chef Gabriel Kreuther:
an Alsatian brasserie and a European-inspired grab-and-go cafe.
The Spiral is currently 93.8% leased with a WA (weighted average)
remaining lease term of 16.7 years. There are over 20 tenants at
the property, the majority of which are financial services,
healthcare, and law firms. Six tenants are headquartered at the
property and another five tenants have their U.S. headquarters at
the property. The five largest tenants at the property are Pfizer
Inc. (Pfizer), Debevoise & Plimpton LLP (Debevoise), TPG Global,
L.L.C (TPG), HSBC Bank USA National Association (HSBC), and
AllianceBernstein L.P. (AllianceBernstein). These tenants represent
72.7% of net rentable area (NRA) and 79.7% of Morningstar DBRS
gross rent. The majority of leases at the property are deemed
long-term credit tenants by Morningstar DBRS, which are
investment-grade tenants with leases expiring three years beyond
the loan maturity date. Tenants representing 58.5% of NRA and 63.5%
of Morningstar DBRS gross rent, respectively, are long-term credit
tenants. Additionally, the second-largest tenant, Debevoise, is
ranked 37 on the AM Law Top 50 law firms. Debevoise occupies 18.7%
of NRA and makes up 21.0% of Morningstar DBRS gross rent. Four
leases, totaling 40,603 sf, expire during the five-year loan term.
This is a very small portion of the collateral, representing 1.4%
of total square footage and 1.9% of Morningstar DBRS gross rent.
The sponsor of the transaction is Tishman Speyer Crown Equities
2007 LLC. The Borrower is owned by the sponsor and other investment
vehicles managed and controlled by one or more affiliates of
Tishman Speyer Properties, L.P. (Tishman Speyer).
Tishman Speyer is a leading owner, developer, operator, and fund
manager of first; class real estate across the globe and currently
owns a portfolio of over 83 million sf with a value of close to $63
billion. Tishman Speyer is headquartered in New York and has a
strong presence in the area, with 20 assets totaling 24.7 million
sf. The sponsor will cash out approximately $967.3 million, equal
to approximately 33.9% of the total loan amount, as a result of
this transaction. However, based on the sponsor's total cost basis
of $3.59 billion, they still have approximately $740 million of
remaining cash equity.
Overall, Morningstar DBRS has a favorable view of the credit
characteristics of the collateral given its new vintage, tenant
amenities, large amount of credit tenancy, and desirable location
in an area of Manhattan with great transportation access and a lot
of investment. The Spiral is poised to withstand the issues facing
office properties as a result of the rise of remote and hybrid
work, as premier companies look to lease space at the highest
quality office properties on the market.
Notes: All figures are in U.S. dollars unless otherwise noted.
INDEPENDENCE PLAZA 2018-INDP: DBRS Confirms B Rating on HRR Certs
-----------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-INDP
issued by Independence Plaza Trust 2018-INDP as follows:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-NCP at BBB (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class X-ENP at B (high) (sf)
-- Class HRR at B (sf)
All trends are Stable.
The credit rating confirmations reflect the transaction's overall
stable performance, evidenced by the underlying collateral
property's strong residential occupancy rate of 92.5% as of the
March 2024 rent roll and healthy debt service coverage ratio (DSCR)
of 1.43 times (x) as of the trailing 12 months (T-12) ended March
31, 2024.
The loan is secured by the borrower's fee and leasehold interest in
a 1.5 million-square-foot mixed-use, retail, and multifamily
property in Manhattan's Tribeca neighborhood known as Independence
Plaza. The property consists of three 39-story apartment towers,
connecting townhomes, and commercial space. The three towers are at
310 Greenwich Street, 40 Harrison Street, and 80 North Moore Street
and provide views of the city and the Hudson River. The $675
million trust loan proceeds repaid existing debt of $551.6 million,
returned $112.8 million of equity to the sponsor, and covered
closing costs. The fixed-rate loan is interest only (IO) throughout
its seven-year loan term and matures in July 2025 with no extension
options.
The property was originally built in 1975 under an affordable
housing initiative for lower- and middle-income families offered
through tax breaks and subsidized mortgages. Since the property
exited the program in June 2004, the borrower has been working to
renovate the rent-regulated apartments as they become available and
re-leasing them at market rates.
According to the rent roll from March 2024, there were 690 units
listed as fair market, 265 units under Section 8, and 274 units
within the Landlord Rental Assistance Program (LRAP). The average
rental rate for these units was $5,758 per unit, $5,550 per unit,
and $1,887 per unit, respectively. This compares with a unit mix of
671 fair market units, 346 Section 8 units, and 307 LRAP units with
average monthly market rental rates of $5,103, $4,552, and $1,724,
respectively, when the transaction was securitized in June 2018.
According to Q3 2024 Reis market data for the West Village/Downtown
New York area, the effective rent per unit is $5,432 per unit with
a 3.4% vacancy rate.
The residential portion of the property was 92.2% occupied as of
the March 2024 rent roll, which is up from 90.9% as of September
2022 and 84.1% as of September 2021. The multifamily component
represents approximately 80% of the net rentable area (NRA) while
the commercial space represents the remaining 20% of NRA and
accounts for approximately 10% of base rental revenue. The largest
commercial tenant, Patriot Parking, LLC (representing 14.2% of
total NRA), leases the entire 550-space parking garage and recently
renewed its lease through 2034.
The loan reported a net cash flow (NCF) of $41.4 million for the
T-12 ended March 31, 2024, an increase over the last several
reporting periods, but still below the Morningstar DBRS NCF of
$43.5 million derived when credit ratings were assigned in 2018.
The differential is primarily a result of increased operating
expenses. However, revenues have grown since the onset of the
coronavirus pandemic when concessions were provided and are
currently outpacing pre-pandemic revenues and Morningstar DBRS'
expectations. The DSCR has increased slightly to 1.43x as of March
2024.
For this analysis, Morningstar DBRS derived a value of $676.3
million based on a haircut to the NCF for the T-12 ended March 31,
2024, and maintained a capitalization rate of 6.0%. The resulting
Morningstar DBRS loan-to-value ratio (LTV) is 99.8% on the mortgage
loan. Positive qualitative adjustments totaling 5.0% were applied
to the LTV sizing benchmarks to account for the excellent Tribeca
location, good property quality, strong market fundamentals, and
upside potential for below-market units.
The credit ratings assigned to Classes D and E are higher than the
result implied by the LTV sizing benchmarks by three or more
notches. This variance is warranted given Morningstar DBRS'
expectation that the loan will continue to exhibit stable to
improved performance in the near term as units are renovated, the
property's desirable location, strong submarket fundamentals, and
upside potential for below-market units.
Notes: All figures are in U.S. dollars unless otherwise noted.
ISLAND FINANCE 2025-1: DBRS Finalizes BB(high) Rating on C Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following classes of notes (collectively, the Notes) to be issued
by Island Finance Trust 2025-1 (ISLN 2025-1):
-- $227,500,000 Class A Notes at A (sf)
-- $34,930,000 Class B Notes at BBB (sf)
-- $30,070,000 Class C Notes at BB (high) (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The credit ratings are based on Morningstar DBRS' review of the
following analytical considerations:
(1) Transaction capital structure and form and sufficiency of
available credit enhancement.
(A) Credit enhancement is in the form of overcollateralization,
subordination, amounts held in the reserve fund, and excess spread.
Credit enhancement levels are sufficient to support Morningstar
DBRS' stressed projected finance yield, principal payment rate, and
charge-off assumptions under various stress scenarios.
(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 credit ratings
address the timely payment of interest on a monthly basis and
principal by the legal final maturity date.
(3) Island Finance, LLC (Island Finance) is a private company
founded in 1959. The Company's primary business is providing
unsecured loans to near-prime and subprime consumers (average FICO
score of 668) through direct mail, its branch network, and company
website.
(4) Island Finance is regulated by the Office of the Commissioner
of Financial Institutions of the Commonwealth of Puerto Rico (OCFI)
and the Consumer Financial Protection Bureau (CFPB). To date, the
CFPB has deferred to OCFI as local regulator, effectively reducing
the bureau's focus on Puerto Rico. OCFI has regulated that "no
maximum interest rate should be set" for any of the three financial
products Island Finance is licensed to offer. In addition, OCFI
states that "interest rates should be determined by competition in
the marketplace."
(A) As a result of the obligor base being subprime, the average
interest rate of 34.65% charged to such obligors is generally
higher than the average charged to prime obligors.
(B) About 47.7% of the principal balance has interest rates greater
than 36.00%. The weighted-average (WA) annual percentage rate for
the pool is currently 34.65%. These rates, on average, have existed
in this relative range for a number of years.
(C) Island Finance uses a risk-based framework when it determines
interest rates for loans.
(D) Per the regulatory framework in Puerto Rico, entities operating
under Act No. 106 are required to publish the minimum interest
rates, the WA interest rates, and the maximum interest rates for
small personal loans charged at their organizations every Wednesday
in two newspapers.
(5) Island Finance is in Puerto Rico. This presents a unique
geographic risk because, as an island, Puerto Rico is subject to
systemic barriers. In addition, Puerto Rico's location in the
Caribbean Sea makes it especially susceptible to extreme weather
events like hurricanes. The warm ocean waters provide optimum
conditions for developing tropical storms and hurricanes. Although
the season is longer, the peak of the tropical storms and hurricane
season in Puerto Rico generally occurs in the months of August and
September.
(A) The impact of tropical storms and hurricanes has led to a more
resilient company. Since Hurricanes Irma and Maria in 2017, Island
Finance transitioned to cloud-based technology and established
redundancies that enable this resiliency.
(B) Historically, charge-offs dropped after Hurricane Maria
although the main drivers of the dip in charge-offs were the
deferment programs and government aid provided by the Federal
Emergency Management Administration and other governmental
efforts.
(6) Receivables are generated through 48 Island Finance branches.
Cash and check payments are received at these branches. They
currently represent approximately 17.4% of collections on an
11-month basis ended November 2024. In a decentralized operation,
this can introduce risks that are hard to quantify.
(7) Island Finance's relationship-driven business model includes
late-stage collections and servicing that are handled at the
branches, while early-stage collections are performed at the
centralized servicing center. This is opposite from other
branch-based consumer loan lenders that manage early-stage
collections at the branches and more specialized and late-stage
collections are performed at centralized servicing centers.
(A) Field collectors are a common technique in Puerto Rico. Door
knockers are used to remind obligors of their past due balances and
are common to the way competitors pursue delinquencies too. The
Island Finance field collectors conduct collection efforts on
approximately 10% of accounts by offering borrowers the ability to
make payments through digital or centralized channels or in the
branches. Ultimately, the cash or checks collected by field
collectors amounted to diminimus levels. Starting on October 1,
2024, field collectors are no longer collecting cash or checks and
are now counseling or assisting customers to process their payments
through the web, phone, the collection center, or the branch.
(8) Many of Island Finance's personal loan borrowers make payments
in cash and in-person at Island Finance branches. Branch
collections have been steadily decreasing because of electronic
payment options. This trend could reverse itself during the
two-year revolving period. As of November 2024, on average,
approximately 33.3% (by dollar amount and excluding payoff) of
Island Finance's loan payments were received in branches and made
by cash (16%), check (1%), or debit card (16%).
(A) On a related basis, the servicer is obligated to deposit
collections received into the Collection Account no later than the
second business day after processing. Once deposited they are part
of the trust estate. The trust may not have a perfected interest in
collections commingled by the servicer or with funds such as cash
and checks received at branches that are not yet deposited in the
Collection Account. The exposure to branch payments effectively
means these funds may be subject to automatic stay risk in an
unlikely scenario where the sponsor files bankruptcy.
(9) Charge-off rates on the portfolio have generally ranged between
8.00% and 10.00% over the past several years.
(A) The Morningstar DBRS base-case assumption for the charge-off
rate is 12.29%, based on the ISLN 2025-1 reinvestment criteria and
recent credit performance.
(B) For the ISLN 2025-1 transaction, recovery rates of 5.00% and
4.00% were assumed for the consumer small loans and consumer
intermediate loans products, respectively, based on recovery data
provided by the company.
(10) 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.
(11) The legal structure and presence of legal opinions that
address the true sale of the assets from the Seller to the
Depositor, the nonconsolidation of the special-purpose vehicle with
the Seller, that the Indenture Trustee 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 Class A, Class B, and Class
C Notes address the credit risk associated with the identified
financial obligations in accordance with the relevant transaction
documents. The associated financial obligations are for each of the
rated Notes are the related Monthly Interest Amount and the related
Note Balance.
Notes: All figures are in US dollars unless otherwise noted.
IVY HILL XII: S&P Assigns BB- (sf) Rating on Class D-RR Notes
-------------------------------------------------------------
S&P Global Ratings assigned its 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. At the same time, S&P withdrew its
ratings on the class A-1R-R, A-1T-R, A-2A-R, A-2B-R, B-R, C-R, and
D-R debt following payment in full on the Feb. 20, 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-1-RR, A-LRR, A-2-RR, B-RR, C-RR, and
D-RR notes were issued at a lower spread over three-month SOFR than
the original notes.
-- The stated maturity was extended by 3.75 years to April 20,
2037.
-- The reinvestment period was extended by 4.50 years, ending
April 20, 2030.
-- A two-year non-call period was implemented, ending Feb. 20,
2027.
-- No additional assets were purchased on the Feb. 20, 2025,
refinancing date, and the target initial par amount remains at $600
million. There was 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 were not 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
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)
Ratings Withdrawn
Ivy Hill Middle Market Credit Fund XII Ltd./
Ivy Hill Middle Market Credit Fund XII LLC
Class A-1R-R to NR from 'AAA sf)'
Class A-1T-R to NR from 'AAA (sf)'
Class A-2A-R to NR from 'AA (sf)'
Class A-2B-R to NR from 'AA (sf)'
Class B-R (deferrable) to NR from 'A- (sf)'
Class C-R (deferrable) to NR from 'BBB- (sf)'
Class D-R (deferrable) to NR from '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: NR
NR--Not rated.
JAMESTOWN CLO XIV: Moody's Assigns Ba3 Rating to $24.5MM D-RR Notes
-------------------------------------------------------------------
Moody's Ratings has assigned ratings to six classes of CLO
refinancing notes (the "Refinancing Notes") issued by Jamestown CLO
XIV Ltd. (the "Issuer").
Moody's rating action is as follows:
US$291,000,000 Class A-1a-RR Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)
US$19,000,000 Class A-1b-1-RR Senior Secured Floating Rate Notes
due 2034, Assigned Aaa (sf)
US$53,350,000 Class A-2-RR Senior Secured Floating Rate Notes due
2034, Assigned Aa1 (sf)
US$23,770,000 Class B-RR Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)
US$28,130,000 Class C-RR Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)
US$24,500,000 Class D-RR Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba3 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The rationale for the 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.
Investcorp Credit Management US 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 other class of secured notes and
one class of subordinated notes, which will remain outstanding.
In addition to the issuance of the Refinancing Notes, the
Refinancing Notes non-call period will be extended.
No action was taken on the Class A-1b-2 notes because its expected
loss remains commensurate with its current rating, after taking
into account the CLO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in 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: $482,927,771
Defaulted par: $1,964,647
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2876
Weighted Average Spread (WAS): 3.30%
Weighted Average Recovery Rate (WARR): 46.22%
Weighted Average Life (WAL): 5.29 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.
JP MORGAN 2021-MHC: DBRS Confirms BB Rating on Class E Certs
------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of JPMCC
2021-MHC Mortgage Trust Commercial Mortgage Pass-Through
Certificates issued by J.P. Morgan Chase Commercial Mortgage
Securities Trust 2021-MHC as follows:
-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class X-EXT at A (high) (sf)
-- Class D at A (sf)
-- Class E at BB (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
stable performance of the transaction, which remains in line with
Morningstar DBRS' expectations at issuance. At issuance, the
underlying floating-rate interest-only (IO) loan was secured by the
fee-simple interest in a portfolio of 93 manufactured housing
communities containing 11,129 pads and one self-storage property
across 13 states, with the largest concentrations in the Midwest
and Texas. Of the 11,129 total pads, 10,897 are manufactured
housing pads, 194 are recreational vehicle pads, and 38 are
site-built homes.
Initial loan proceeds of $488.6 million along with a $40.0 million
mezzanine loan and $258.8 million in sponsor equity were used to
acquire the portfolio for $743.3 million, fund an earn-out reserve
of $11.0 million, finance an immediate repair upfront reserve of
$1.0 million, and cover closing costs of $32.2 million. The loan is
structured with an initial two-year term with three one-year
extension options bringing the fully extended maturity to April
2026. The loan is currently scheduled to mature in April 2025 and
the borrower may exercise the third extension option, subject to
the purchase of a replacement interest rate cap agreement, a
minimum loan-level debt yield of 6.22%, and an extension of the
mezzanine loan.
According to the January 2025 remittance, the loan balance was
$478.5 million, unchanged from the previous credit rating action
and reflecting a 2.1% collateral reduction from the issuance figure
of $488.6 million following the release of the River View property
in 2021. The transaction documents allow for property releases at a
release price of 105.0% of the allocated loan amount (ALA) for all
but the five largest properties by ALA, which have a release price
of 110.0%.
Based on the trailing 12-month period ended March 31, 2024, the
portfolio reported a net cash flow (NCF) of $38.8 million, which is
equivalent to a debt yield of 8.2%. The NCF is comfortably above
the Morningstar DBRS NCF of $29.1 million for the portfolio less
the one released property. It is worth noting that the most recent
financials reported an A-note debt service coverage ratio (DSCR) of
0.99 times (x) as a result of increases to the debt service given
the floating-rate structure of the loan; however, the interest rate
cap agreement is structured with a DSCR floor of 1.10x. The
servicer most recently reported a portfolio occupancy rate of 88.7%
as September 2024, generally in line with historical trends but
slightly above the issuance occupancy rate of 87.4%.
During the prior credit rating action, Morningstar DBRS derived a
value of $400.8 million based on the Morningstar DBRS NCF of $29.1
million (adjusted for the released property), and a capitalization
rate of 7.25%, resulting in a Morningstar DBRS loan-to-value ratio
of 119.4% based on the trust loan balance of $478.5 million. The
Morningstar DBRS value represents a -40.5% variance from the
cumulative issuance appraised value of $673.1 million for the
remaining properties in the portfolio. In addition, Morningstar
DBRS maintained the positive qualitative adjustment totaling 3.25%
to reflect the low cash flow volatility of the subject portfolio.
Morningstar DBRS did not receive either an updated rent roll or
financial report, and although the incremental cash flow growth
from issuance speaks to the overall strength of the collateral
portfolio, it is noteworthy that the Morningstar DBRS NCF derived
at issuance represented a -12.7% haircut to the issuer's
assumption, driven primarily by a lower income figure as
Morningstar DBRS did not accept the revenue for the community-owned
homes across the portfolio.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-1: DBRS Finalizes B(low) Rating on B5 Certs
----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the Mortgage
Pass-Through Certificates, Series 2025-1 (the Certificates) issued
by the J.P. Morgan Mortgage Trust 2025-1 (JPMMT 2025-1):
-- $458.5 million Class A-1 at AAA (sf)
-- $372.1 million Class A-2 at AAA (sf)
-- $372.1 million Class A-3 at AAA (sf)
-- $372.1 million Class A-3-X at AAA (sf)
-- $279.1 million Class A-4 at AAA (sf)
-- $279.1 million Class A-4-A at AAA (sf)
-- $279.1 million Class A-4-X at AAA (sf)
-- $93.0 million Class A-5 at AAA (sf)
-- $93.0 million Class A-5-A at AAA (sf)
-- $93.0 million Class A-5-X at AAA (sf)
-- $223.3 million Class A-6 at AAA (sf)
-- $223.3 million Class A-6-A at AAA (sf)
-- $223.3 million Class A-6-X at AAA (sf)
-- $148.8 million Class A-7 at AAA (sf)
-- $148.8 million Class A-7-A at AAA (sf)
-- $148.8 million Class A-7-X at AAA (sf)
-- $55.8 million Class A-8 at AAA (sf)
-- $55.8 million Class A-8-A at AAA (sf)
-- $55.8 million Class A-8-X at AAA (sf)
-- $45.0 million Class A-9 at AAA (sf)
-- $45.0 million Class A-9-A at AAA (sf)
-- $45.0 million Class A-9-X at AAA (sf)
-- $41.3 million Class A-11 at AAA (sf)
-- $41.3 million Class A-11-X at AAA (sf)
-- $41.3 million Class A-12 at AAA (sf)
-- $41.3 million Class A-13 at AAA (sf)
-- $41.3 million Class A-13-X at AAA (sf)
-- $41.3 million Class A-14 at AAA (sf)
-- $41.3 million Class A-14-X at AAA (sf)
-- $41.3 million Class A-14-X2 at AAA (sf)
-- $41.3 million Class A-14-X3 at AAA (sf)
-- $41.3 million Class A-14-X4 at AAA (sf)
-- $458.5 million Class A-X-1 at AAA (sf)
-- $9.2 million Class B-1 at AA (low) (sf)
-- $9.2 million Class B-1-A at AA (low) (sf)
-- $9.2 million Class B-1-X at AA (low) (sf)
-- $8.5 million Class B-2 at A (low) (sf)
-- $8.5 million Class B-2-A at A (low) (sf)
-- $8.5 million Class B-2-X at A (low) (sf)
-- $4.9 million Class B-3 at BBB (low) (sf)
-- $2.4 million Class B-4 at BB (low) (sf)
-- $972.8 thousand Class B-5 at 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-1. 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 (Class A-9-A) with respect to loss
allocation.
The AAA (sf) credit ratings on the Certificates reflect 5.75% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 3.85%, 2.10%, 1.10%, 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 373 loans with a
total principal balance of $486,422,052 as of the Cut-Off Date
(January 1, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average (WA)
loan age of three months. Approximately 94.5% of the loans are
traditional, nonagency, prime jumbo mortgage loans. The remaining
5.5% of the loans are conforming mortgage loans that were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section. In addition, all of the loans in the pool were
originated in accordance with the new general Qualified Mortgage
(QM) rule.
United Wholesale Mortgage, LLC (UWM) originated 37.0% of the pool.
Various other originators, each comprising less than 10%,
originated the remainder of the loans. The mortgage loans will be
serviced by Shellpoint (59.9%), UWM (37.0%) and Fay Servicing
(3.1%). For the UWM serviced loans, Cenlar will act as the
subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced
loans, Shellpoint will act as interim servicer until the loans
transfer to JPMCB on the servicing transfer date (March 1, 2025).
For certain Servicers in this transaction, the servicing fee
payable for mortgage loans is composed of three separate
components: the base servicing fee, the delinquent servicing fee,
and the additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.
Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable
trend by Morningstar DBRS) will act as Securities Administrator and
Delaware Trustee. Computershare Trust Company, N.A. (Computershare)
will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will
serve as the Representations and Warranties (R&W) Reviewer.
As of the Closing Date, C.U.P Holdings LLC, or one of its
affiliates, will retain an eligible vertical interest in the
transaction consisting of an uncertificated interest (the EU/UK
Retained Interest) in the Trust representing the right to receive
at least 5.0% of the amounts collected on the mortgage loans, net
of the Trust's fees, expenses, and reimbursements and paid on the
Certificates (other than the Class X and Class A-R Certificates)
and the Retained Interest to satisfy the credit risk retention
requirements in Articles 6(3) of the EU Securitization Regulation
and 6(3) of the UK Securitization Regulation.
Notes: All figures are in US dollars unless otherwise noted.
JP MORGAN 2025-1: DBRS Gives Prov. B(low) Rating on B-5 Certs
-------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage Pass-Through Certificates, Series 2025-1 (the
Certificates) to be issued by the J.P. Morgan Mortgage Trust 2025-1
(JPMMT 2025-1):
-- $458.5 million Class A-1 at (P) AAA (sf)
-- $372.1 million Class A-2 at (P) AAA (sf)
-- $372.1 million Class A-3 at (P) AAA (sf)
-- $372.1 million Class A-3-X at (P) AAA (sf)
-- $279.1 million Class A-4 at (P) AAA (sf)
-- $279.1 million Class A-4-A at (P) AAA (sf)
-- $279.1 million Class A-4-X at (P) AAA (sf)
-- $93.0 million Class A-5 at (P) AAA (sf)
-- $93.0 million Class A-5-A at (P) AAA (sf)
-- $93.0 million Class A-5-X at (P) AAA (sf)
-- $223.3 million Class A-6 at (P) AAA (sf)
-- $223.3 million Class A-6-A at (P) AAA (sf)
-- $223.3 million Class A-6-X at (P) AAA (sf)
-- $148.8 million Class A-7 at (P) AAA (sf)
-- $148.8 million Class A-7-A at (P) AAA (sf)
-- $148.8 million Class A-7-X at (P) AAA (sf)
-- $55.8 million Class A-8 at (P) AAA (sf)
-- $55.8 million Class A-8-A at (P) AAA (sf)
-- $55.8 million Class A-8-X at (P) AAA (sf)
-- $45.0 million Class A-9 at (P) AAA (sf)
-- $45.0 million Class A-9-A at (P) AAA (sf)
-- $45.0 million Class A-9-X at (P) AAA (sf)
-- $41.3 million Class A-11 at (P) AAA (sf)
-- $41.3 million Class A-11-X at (P) AAA (sf)
-- $41.3 million Class A-12 at (P) AAA (sf)
-- $41.3 million Class A-13 at (P) AAA (sf)
-- $41.3 million Class A-13-X at (P) AAA (sf)
-- $41.3 million Class A-14 at (P) AAA (sf)
-- $41.3 million Class A-14-X at (P) AAA (sf)
-- $41.3 million Class A-14-X2 at (P) AAA (sf)
-- $41.3 million Class A-14-X3 at (P) AAA (sf)
-- $41.3 million Class A-14-X4 at (P) AAA (sf)
-- $458.5 million Class A-X-1 at (P) AAA (sf)
-- $9.2 million Class B-1 at (P) AA (low) (sf)
-- $9.2 million Class B-1-A at (P) AA (low) (sf)
-- $9.2 million Class B-1-X at (P) AA (low) (sf)
-- $8.5 million Class B-2 at (P) A (low) (sf)
-- $8.5 million Class B-2-A at (P) A (low) (sf)
-- $8.5 million Class B-2-X at (P) A (low) (sf)
-- $4.9 million Class B-3 at (P) BBB (low) (sf)
-- $2.4 million Class B-4 at (P) BB (low) (sf)
-- $972,800 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-1. 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 (Class A-9-A) with respect to loss
allocation.
The (P) AAA (sf) credit ratings on the Certificates reflect 5.75%
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 3.85%,
2.10%, 1.10%, 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 to be funded by the issuance
of the Certificates. The Certificates are backed by 373 loans with
a total principal balance of $486,422,052 as of the Cut-Off Date
(January 1, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average (WA)
loan age of three months. Approximately 94.5% of the loans are
traditional, nonagency, and prime jumbo mortgage loans. The
remaining 5.5% of the loans are conforming mortgage loans that were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section. In addition, all of the loans in the pool were
originated in accordance with the new general Qualified Mortgage
rule.
United Wholesale Mortgage, LLC (UWM) originated 37.0% of the pool.
Various other originators, each comprising less than 10%,
originated the remainder of the loans. The mortgage loans will be
serviced by Shellpoint (59.9%), UWM (37.0%), and Fay Servicing
(3.1%). For the UWM serviced loans, Cenlar will act as the
subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced
loans, Shellpoint will act as interim servicer until the loans
transfer to JPMCB on the servicing transfer date (March 1, 2025).
For certain Servicers in this transaction, the servicing fee
payable for mortgage loans is composed of three separate
components: the base servicing fee, the delinquent servicing fee,
and the additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.
Nationstar Mortgage LLC will act as the Master Servicer. Citibank,
N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will
act as Securities Administrator and Delaware Trustee. Computershare
Trust Company, N.A. will act as Custodian. Pentalpha Surveillance
LLC will serve as the Representations and Warranties Reviewer.
As of the Closing Date, C.U.P Holdings LLC, or one of its
affiliates, will retain an eligible vertical interest in the
transaction consisting of an uncertificated interest (the EU/UK
Retained Interest) in the Trust representing the right to receive
at least 5.0% of the amounts collected on the mortgage loans, net
of the Trust's fees, expenses, and reimbursements and paid on the
Notes Certificates (other than the Class X and Class A-R
Certificates) and the Retained Interest to satisfy the credit risk
retention requirements in Articles 6(3) of the EU Securitization
Regulation and 6(3) of the UK Securitization Regulation.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-CES1: DBRS Finalizes B(high) Rating on B-2 Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the Mortgage
Pass-Through Certificates, Series 2025-CES1 (the Certificates)
issued by J.P. Morgan Mortgage Trust 2025-CES1 (JPMMT 2025-CES1 or
the Issuer) as follows:
-- $226.7 million Class A-1A at AAA (sf)
-- $20.7 million Class A-1B at AAA (sf)
-- $247.4 million Class A-1 at AAA (sf)
-- $26.2 million Class A-2 at AA (high) (sf)
-- $17.3 million Class A-3 at A (high) (sf)
-- $15.5 million Class M-1 at BBB (high) (sf)
-- $10.8 million Class B-1 at BB (high) (sf)
-- $5.8 million Class B-2 at B (high) (sf)
Class A-1 is an exchangeable certificate. This class can be
exchanged for proportionate shares of the depositable certificates
(Classes A-1A and A-1B) as specified in the offering documents.
The AAA (sf) credit rating reflects 25.80% of credit enhancement
provided by the subordinated notes. The AA (high) (sf), A (high)
(sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit
ratings reflect 17.95%, 12.75%, 8.10%, 4.85%, and 3.10% 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, prime
and near-prime, closed-end second-lien (CES) residential mortgages
funded by the issuance of the Certificates. The Certificates are
backed by 3,417 mortgage loans with a total principal balance of
$333,442,357 as of the Cut-Off Date (December 31, 2024).
The portfolio, on average, is six-months seasoned, though seasoning
ranges from two to 18 months. Borrowers in the pool represent prime
and near-prime credit quality -- with a weighted-average (WA)
Morningstar DBRS-calculated FICO score of 740, Issuer-provided
original combined loan-to-value ratio (CLTV) of 66.3%, and the vast
majority of the loans originated with full documentation standards.
All loans are current and vast majority of the loans (approximately
99.6% of the pool) have never been 30+ days delinquent since
origination.
JPMMT 2025-CES1 represents the third CES securitization under the
JPM shelf. loanDepot.com, LLC (loanDepot; 25.6%), Guild Mortgage
Company LLC (18.5%), Deephaven Mortgage LLC (17.6%), and AmeriSave
Mortgage Corporation (15.3%) are the top originators for the
mortgage pool. The remaining originators each comprise less than
10.0% of the mortgage loans.
NewRez LLC doing business as Shellpoint Mortgage Servicing (68.9%),
loanDepot.com, LLC (25.6%), and PennyMac Loan Services (5.5%) are
the Servicers of the loans in this transaction.
Wilmington Savings Fund Society, FSB will act as the Securities
Administrator and Owner Trustee. Computershare Trust Company, N.A.
(rated BBB (high) with a Stable trend by Morningstar DBRS) will act
as the Custodian.
On or after the earlier of (1) January 2028 or (2) the date when
the unpaid principal balance of the mortgage loans is reduced to
30% of the Cut-Off Date balance, PMIT I LLC (Optional Redemption
Holder), or an entity majority owned by the Optional Redemption
Holder, may redeem all of the outstanding Certificates at a price
equal to (1) the class balances of the related Certificates; (2)
accrued and unpaid interest (including any cap carryover amounts);
and (3) unpaid expenses. The proceeds will be distributed to the
certificateholders in accordance with the priority of
distributions.
Although all the mortgage loans were originated to satisfy the
Consumer Financial Protection Bureau's Ability-to-Repay (ATR)
rules, they were made to borrowers who generally do not qualify for
agency, government, or private-label nonagency prime jumbo products
for various reasons. In accordance with the Qualified Mortgage
(QM)/ATR rules, 22.6% of the loans are designated as non-QM, 19.5%
are designated as QM Rebuttable Presumption, and 53.6% are
designated as QM Safe Harbor. Approximately 4.4% of the mortgages
are loans made to investors for business purposes or were
originated by a CDFI designated originator and were not subject to
the QM/ATR rules.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicers or any other party to the
transaction. In addition, the related servicer is not obligated to
make advances in respect of homeowner association fees, taxes, and
insurance, installment payments on energy improvement liens, and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties unless a determination is made that
there will be material recoveries.
For this transaction, any loan that is 180 days delinquent under
the Mortgage Bankers Association delinquency method, upon review by
the related Servicer, may be considered a Charged-Off Loan. With
respect to a Charged-Off Loan, the total unpaid principal balance
will be considered a realized loss and will be allocated reverse
sequentially to the Noteholders. If there are any subsequent
recoveries for such Charged-Off Loans, the recoveries will be
included in the interest remittance amount and principal remittance
amount and applied in accordance with the respective distribution
waterfall. In addition, any class principal balances of
Certificates that have been previously reduced by allocation of
such realized losses may be increased by such recoveries
sequentially in order of seniority. Morningstar DBRS' analysis
assumes reduced recoveries upon default on loans in this pool.
This transaction incorporates a sequential-pay cash flow structure
with a pro rata principal distribution among the senior Class A-1A
and A-1B tranches. Principal proceeds and excess interest can be
used to cover interest carryforwards on the Certificates, but such
interest carryforwards on Class M-1 and more subordinate bonds will
not be paid from principal proceeds until the Class A-1A, A-1B,
A-2, and A-3 Certificates are retired. For this transaction, the
Class A-1A, A-1B, A-2, A-3, and M-1 fixed rates step up by 100
basis points on and after the distribution date in February 2029.
On any Distribution Date, interest and principal otherwise payable
to the Class B-3 may also be used to pay any Cap Carryover
Amounts.
Approximately 16.1% of 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) where
FEMA has designated for federal assistance. The Mortgage Loan
Seller has ordered post-disaster inspections (PDI) for any property
located in a known FEMA designated disaster zone. 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. 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).
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 pandemic scenarios, which were
first published in April 2020.
Notes: All figures are in US dollars unless otherwise noted.
JP MORGAN 2025-CES1: DBRS Gives Prov. B(high) Rating on B2 Certs
----------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the Mortgage
Pass-Through Certificates, Series 2025-CES1 (the Certificates) to
be issued by J.P. Morgan Mortgage Trust 2025-CES1 (JPMMT 2025-CES1
or the Issuer) as follows:
-- $226.7 million Class A-1A at (P) AAA (sf)
-- $20.7 million Class A-1B at (P) AAA (sf)
-- $247.4 million Class A-1 at (P) AAA (sf)
-- $26.2 million Class A-2 at (P) AA (high) (sf)
-- $17.3 million Class A-3 at (P) A (high) (sf)
-- $15.5 million Class M-1 at (P) BBB (high) (sf)
-- $10.8 million Class B-1 at (P) BB (high) (sf)
-- $5.8 million Class B-2 at (P) B (high) (sf)
Class A-1 is an exchangeable certificate. This class can be
exchanged for proportionate shares of the depositable certificates
(Classes A-1A and A-1B) as specified in the offering documents.
The (P) AAA (sf) credit rating reflects 25.80% of credit
enhancement provided by the subordinated notes. The (P) AA (high)
(sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (high) (sf),
and (P) B (high) (sf) credit ratings reflect 17.95%, 12.75%, 8.10%,
4.85%, and 3.10% 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, prime
and near-prime, closed-end second-lien (CES) residential mortgages
funded by the issuance of the Certificates. The Certificates are
backed by 3,417 mortgage loans with a total principal balance of
$333,442,357 as of the Cut-Off Date (December 31, 2024).
The portfolio, on average, is six-months seasoned, though seasoning
ranges from two to 18 months. Borrowers in the pool represent prime
and near-prime credit quality -- with a weighted-average (WA)
Morningstar DBRS-calculated FICO score of 740, Issuer-provided
original combined loan-to-value ratio (CLTV) of 66.3%, and the vast
majority of the loans originated with full documentation standards.
All loans are current and vast majority of the loans (approximately
99.6% of the pool) have never been 30+ days delinquent since
origination.
JPMMT 2025-CES1 represents the third CES securitization under the
JPM shelf. loanDepot.com, LLC (loanDepot; 25.6%), Guild Mortgage
Company LLC (18.5%), Deephaven Mortgage LLC (17.6%), and AmeriSave
Mortgage Corporation (15.3%) are the top originators for the
mortgage pool. The remaining originators each comprise less than
10.0% of the mortgage loans.
NewRez LLC doing business as Shellpoint Mortgage Servicing (68.9%),
loanDepot.com, LLC (25.6%), and PennyMac Loan Services (5.5%) are
the Servicers of the loans in this transaction.
Wilmington Savings Fund Society, FSB will act as the Securities
Administrator and Owner Trustee. Computershare Trust Company, N.A.
(rated BBB (high) with a Stable trend by Morningstar DBRS) will act
as the Custodian.
On or after the earlier of (1) January 2028 or (2) the date when
the unpaid principal balance of the mortgage loans is reduced to
30% of the Cut-Off Date balance, PMIT I LLC (Optional Redemption
Holder), or an entity majority owned by the Optional Redemption
Holder, may redeem all of the outstanding Certificates at a price
equal to (1) the class balances of the related Certificates; (2)
accrued and unpaid interest (including any cap carryover amounts);
and (3) unpaid expenses. The proceeds will be distributed to the
certificateholders in accordance with the priority of
distributions.
Although all the mortgage loans were originated to satisfy the
Consumer Financial Protection Bureau's Ability-to-Repay (ATR)
rules, they were made to borrowers who generally do not qualify for
agency, government, or private-label nonagency prime jumbo products
for various reasons. In accordance with the Qualified Mortgage
(QM)/ATR rules, 22.6% of the loans are designated as non-QM, 19.5%
are designated as QM Rebuttable Presumption, and 53.6% are
designated as QM Safe Harbor. Approximately 4.4% of the mortgages
are loans made to investors for business purposes or were
originated by a CDFI designated originator and were not subject to
the QM/ATR rules.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicers or any other party to the
transaction. In addition, the related servicer is not obligated to
make advances in respect of homeowner association fees, taxes, and
insurance, installment payments on energy improvement liens, and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties unless a determination is made that
there will be material recoveries.
For this transaction, any loan that is 180 days delinquent under
the Mortgage Bankers Association delinquency method, upon review by
the related Servicer, may be considered a Charged-Off Loan. With
respect to a Charged-Off Loan, the total unpaid principal balance
will be considered a realized loss and will be allocated reverse
sequentially to the Noteholders. If there are any subsequent
recoveries for such Charged-Off Loans, the recoveries will be
included in the interest remittance amount and principal remittance
amount and applied in accordance with the respective distribution
waterfall. In addition, any class principal balances of
Certificates that have been previously reduced by allocation of
such realized losses may be increased by such recoveries
sequentially in order of seniority. Morningstar DBRS' analysis
assumes reduced recoveries upon default on loans in this pool.
This transaction incorporates a sequential-pay cash flow structure
with a pro rata principal distribution among the senior Class A-1A
and A-1B tranches. Principal proceeds and excess interest can be
used to cover interest carryforwards on the Certificates, but such
interest carryforwards on Class M-1 and more subordinate bonds will
not be paid from principal proceeds until the Class A-1A, A-1B,
A-2, and A-3 Certificates are retired. For this transaction, the
Class A-1A, A-1B, A-2, A-3, and M-1 fixed rates step up by 100
basis points on and after the distribution date in February 2029.
On any Distribution Date, interest and principal otherwise payable
to the Class B-3 may also be used to pay any Cap Carryover
Amounts.
Approximately 16.1% of 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) where
FEMA has designated for federal assistance. The Mortgage Loan
Seller has ordered post-disaster inspections (PDI) for any property
located in a known FEMA designated disaster zone. 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. 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).
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 pandemic scenarios, which were
first published in April 2020.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-VIS1: S&P Assigns Prelim 'B-' Rating on B-2 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2025-VIS1's mortgage pass-through certificates
series 2025-VIS1.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing, and
interest-only residential mortgage loans. The loans are secured by
single-family residences, townhouses, planned-unit developments,
two- to four-unit multifamily homes, and condominiums to both prime
and nonprime borrowers. The mortgage pool consists of 1,339
business-purpose investment-property loans with a principal balance
of approximately $372.62 million as of the cutoff date.
The preliminary ratings are based on information as of Feb. 20,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, mortgage aggregator and
mortgage originators, and the representation and warranty
framework; and
-- S&P said, "One key change in our baseline forecast since
September is that 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 (previously fourth-quarter 2025). We
continue to expect real GDP growth to slow from above-trend growth
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' U.S.
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 U.S. economy. Therefore, our current market outlook as
it relates to the 'B' projected archetypal foreclosure frequency is
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)
J.P. Morgan Mortgage Trust 2025-VIS1
Class A-1A, $199,725,000: AAA (sf)
Class A-1B, $37,263,000: AAA (sf)
Class A-1, $236,988,000: AAA (sf)
Class A-2, $36,703,000: AA- (sf)
Class A-3, $44,342,000: A- (sf)
Class M-1, $20,867,000: BBB- (sf)
Class B-1, $15,650,000: BB- (sf)
Class B-2, $10,992,000: B- (sf)
Class B-3, $7,080,730 NR
Class A-IO-S, $155,806,425(ii): NR
Class XS, $372,622,730(iii): NR
Class A-R, N/A: NR
(i)The collateral and structural information in this report reflect
the preliminary private placement memorandum dated Feb. 20, 2025.
The preliminary ratings address the ultimate payment of interest
and principal and do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the aggregate unpaid principal
balance of the mortgage loans serviced by Shellpoint Mortgage
Servicing and Selene Finance as of the cutoff date.
(iii)This class will receive certain excess amounts, including
prepayment premiums and default interest.
NR--Not rated.
N/A--Not applicable.
JPMBB COMMERCIAL 2015-C27: DBRS Confirms C Rating on 3 Classes
--------------------------------------------------------------
DBRS Limited downgraded the credit ratings on seven classes of
Commercial Mortgage Pass-Through Certificates, Series 2015-C27
issued by JPMBB Commercial Mortgage Securities Trust 2015-C27 as
follows:
-- Class X-A to BBB (high) (sf) from AAA (sf)
-- Class A-S to BBB (sf) from AAA (sf)
-- Class X-B to CCC (sf) from A (low) (sf)
-- Class B to CCC (sf) from BBB (high) (sf)
-- Class X-C to C (sf) from BBB (low) (sf)
-- Class C to C (sf) from BB (high) (sf)
-- Class EC to C (sf) from BB (high) (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-4 at AAA (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
The trends on Classes A-4, A-S, and X-A are Negative, while the
remaining classes have credit ratings that do not typically carry
trends in commercial mortgage-backed securities (CMBS) credit
ratings.
The credit rating downgrades reflect Morningstar DBRS'
recoverability expectations for the remaining loans in the pool.
Since the last credit rating action in March 2024, 25 loans have
repaid from the pool, leaving 10 loans of which five, representing
84.0% of the pool, are in special servicing as of the January 2025
remittance. As the pool continues to wind down, Morningstar DBRS
looked to a recoverability analysis, the results of which suggest
that losses could erode into the Class C certificate.
In addition, the credit rating downgrades reflect ongoing interest
shortfalls that have exceeded Morningstar DBRS' tolerance for
timely interest to rated bonds. As of the January 2025 remittance,
cumulative unpaid interest totaled approximately $10.4 million, up
from $6.7 million at the last credit rating action in March 2024.
Unpaid interest continues to accrue month over month, primarily
driven by special servicing fees and appraisal subordinate
entitlement reduction from the second-largest loan in special
servicing, The Branson at Fifth (Prospectus ID#3; 24.6% of the
pool). Morningstar DBRS' tolerance for unpaid interest is limited
to three to four remittance periods at the BBB (sf) credit rating
category and six remittance periods at the BB (sf) and B (sf)
credit rating categories.
The Negative trends reflect the increased propensity for interest
shortfalls that, as of the January 2025 remittance, are now
affecting Class B. While the results of the recoverability analysis
suggest that the senior classes will ultimately be repaid, because
of the pool's increased level of adverse selection, a portion of
the principal proceeds from the pool's distressed loans will be
required in order to repay the remaining $96.1 million of
investment grade-rated debt. In the event that workout strategies
are prolonged, interest shortfalls may affect the transaction's
senior certificates, further supporting the Negative trends with
this review.
Morningstar DBRS remains concerned about the largest loan in the
pool, The Club Row Building (Prospectus ID#1; 37.1% of the pool),
which is secured by a Class B office building in Midtown Manhattan
that transferred to special servicing in January 2025 for maturity
default. The loan has been monitored on the servicer's watchlist
since November 2023 for low debt service coverage ratio, which was
most recently reported at 1.02 times as of the financials for the
trailing nine months ended September 30, 2024. The occupancy rate
has continued to decline year over year, most recently being
reported at 63.3% as of October 2024 following the departure of the
second- and third-largest tenants in 2024. According to a November
2024 news article, the sponsor signed Noor Staffing to a lease that
is expected to increase the occupancy rate to approximately 71.0%.
Despite the recent signing, Morningstar DBRS believes re-leasing
the property will likely be challenging given the subject's Class B
construction and the declining demand for office space. Morningstar
DBRS estimates the as-is value has fallen significantly from
issuance, with a balloon loan-to-value ratio well over 100.0%. In
its analysis for this review, Morningstar DBRS liquidated the loan
with a haircut to its issuance value, resulting in a loss severity
in excess of 30.0%.
The second-largest specially serviced loan in the pool, The Branson
at Fifth, is secured by a mixed-use (multifamily and retail)
property in Midtown Manhattan, New York. The property's retail
space has remained vacant since 2019, resulting in depressed cash
flows and extended loan delinquency. According to the servicer's
commentary, the borrower is proposing a loan modification to extend
the loan as its February 2025 maturity date approaches. A new
equity component as well as a structure to collect previous payment
guarantees is reported to be part of the proposal. An updated
appraisal as of September 2024 valued the property at $37.5
million, in line with the September 2023 appraised value of $38.9
million and a -68.5% variance from the issuance value of $119.0
million. Given the depressed value and lack of leasing activity,
Morningstar DBRS analyzed this loan with a liquidation scenario,
resulting in a loss severity in excess of 75.0%.
The 717 14th Street loan (Prospectus ID#4; 12.5% of the pool) is
secured by a 114,204-square-foot office property in Washington,
D.C. The loan transferred to special servicing in February 2023 for
monetary default following the departure of several large tenants,
resulting in the occupancy rate falling to 54.0% as of June 2024.
The property's largest tenant, U.S. Department of the Treasury
(47.9% of net rentable area), extended its lease to 2032, however,
the tenant may terminate its lease at any time during the lease
term, provided that 150 days' notice is given. Although the
property is close to the White House, the lack of demand for Class
B office space and high submarket vacancy rate exceeding 20.0% have
contributed to the absence of leasing activity in the last few
years. As a result, the property was re-appraised in February 2024
at a value of $10.5 million, representing an -81.3% variance from
the issuance value of $56.0 million. In the analysis for this
review, Morningstar DBRS liquidated the loan, resulting in a loss
severity in excess of 90.0%.
Notes: All figures are in U.S. dollars unless otherwise noted.
JPMCC COMMERCIAL 2017-JP6: DBRS Confirms CCC Rating on G-RR Certs
-----------------------------------------------------------------
DBRS Limited downgraded its credit ratings on five classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-JP6
issued by JPMCC Commercial Mortgage Securities Trust 2017-JP6 as
follows:
-- Class B to AA (low) (sf) from AA (high) (sf)
-- Class X-B to A (sf) from AA (low) (sf)
-- Class C to A (low) (sf) from A (high) (sf)
-- Class D to BBB (high) (sf) from A (sf)
-- Class E-RR to BB (high) (sf) from BBB (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 A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class F-RR at B (low) (sf)
-- Class G-RR at CCC (sf)
Morningstar DBRS also changed the trends on Classes B, C, D, E-RR,
F-RR, X-A and X-B to Stable from Negative. Class G-RR is assigned a
credit rating that does not typically carry a trend in commercial
mortgage-backed securities (CMBS) credit ratings. The trends on all
remaining classes are Stable.
At the prior credit rating action in March 2024, Morningstar DBRS
downgraded its credit ratings on Classes F-RR and G-RR, primarily
driven by the increased loss expectations associated with the 211
Main Street loan (Prospectus ID#2, 11.2% of the pool). Morningstar
DBRS also changed the trends on Class B through Class F-RR along
with the associated interest-only (IO) certificates to Negative
from Stable because of concerns related to the high concentration
of loans secured by office properties, which currently represent
55.6% of the pool balance as of the January 2025 reporting. While
there have been notable updates for the two largest loans in the
pool, 245 Park Avenue (Prospectus ID#1, 17.1% of the current pool)
and 211 Main Street (211 Main) (Prospectus ID#2, 11.2% of the
current pool), the performance of the underlying collateral
securing several other loans secured by office properties, most of
which are located in non-core suburban markets, has remained
stagnant or further deteriorated.
In its analysis for this review, Morningstar DBRS liquidated one of
the two specially serviced loans from the trust, resulting in a
projected loss of approximately $2.5 million; however, additional
loans exhibiting increased credit risks were analyzed with elevated
probability of default (POD) penalties and/or stressed
loan-to-value ratios (LTVs). As a result, the pool's overall
adjusted expected loss (EL) has increased since the previous credit
rating action. While the credit support toward the bottom of the
capital stack has moderately improved given the updated analysis of
the 211 Main loan, which was not liquidated in the current review,
the credit rating downgrades reflect the increased risk to the
transaction as noted above. Morningstar DBRS changed the trends on
the downgraded classes to Stable as the updated credit ratings
accurately reflect the current credit risk.
The credit rating confirmations reflect the increased credit
support to the classes as there has been collateral reduction of
27.0% since issuance, with two loans, representing 2.4% of the
pool, fully defeased. As of the January 2025 reporting, 34 of the
original 42 loans remain in the pool. There are 11 loans,
representing 35.3% of the pool, being monitored on the servicer's
watchlist, with two loans, representing 5.0% of the pool, in
special servicing.
The concentration of loans secured by office properties in noncore
suburban markets totals 31.7% of the current pool balance. While a
select number of those loans continues to perform as expected,
several others exhibit increased credit risk. These loans include
Bingham Office Center (Prospectus ID#6, 4.7% of the pool), Apex
Fort Washington (Prospectus ID#14, 3.3% of the pool), Island View
Crossing (Prospectus ID#18, 2.3% of the pool), Monroe Park Tower
(Prospectus ID#24, 1.7% of the pool), and Atrium Office (Prospectus
ID#26, 1.7% of the pool). Based on the most recent reporting, these
five loans had a weighted-average (WA) occupancy rate and debt
service coverage ratio (DSCR) of 79.0% and 1.06 times (x),
respectively, compared with issuance figures of 88.0% and 1.72x,
respectively. In addition to the general declines in performance,
most of these properties are exposed to a heightened concentration
of tenant rollover risk prior to respective loan maturity and
softening market conditions, which will likely challenge borrowers'
ability to secure take-out financing or sell properties.
The 211 Main loan transferred to the special servicer in April 2024
for maturity default; however, it later returned to the master
servicer in November 2024 following a loan modification, which
included a four-year maturity extension through April 2028 and a
conversion to amortized payments The loan is secured by a
417,266-square-foot (sf) office building in downtown San Francisco,
solely occupied by Charles Schwab (Schwab), on a lease through
April 2028. In 2021, Schwab moved its headquarters to the
Dallas-Fort Worth area and has since reduced its footprint at the
subject to six floors from 17 floors. Schwab has no termination
options in its lease and Morningstar DBRS expects all excess cash
is being trapped by the servicer, according to the loan agreement.
The tenant continues to honor its lease obligations, as evidenced
by the stable reported cash flow and DSCR, which were $16.8 million
and 2.34x, respectively, for the trailing 12-month period ended
June 30, 2024. The submarket remains weak, as according to Q3 2024
Reis, Inc. reporting, the South Financial District office submarket
reported a vacancy rate of 23.6% with net absorption of -1.84
million sf in YE2023. The loan extension provides the borrower
additional time to identify potential replacement tenants; however,
it also exposes the loan to increased maturity default risk as
Schwab's lease is co-terminous with the extended maturity. An
updated appraisal dated October 2024 valued the property at $152.0
million, below the issuance value of $294.0 million. Morningstar
DBRS conducted a dark value analysis assuming that Schwab does not
renew its lease, resulting in a stressed value of $115.0 million,
or a LTV of 148.0% based on the senior debt. Morningstar DBRS also
applied an elevated POD assumption, which resulted in an EL in line
with the pool average.
The largest loan in the pool, 245 Park Avenue, is secured by a 1.7
million-sf, Class A office tower in Midtown Manhattan. The $1.2
billion whole loan has a pari passu structure with pieces
securitized across five Morningstar DBRS-rated deals: JPMDB
2017-C7, CGCMT 2017-P8, JPMCC 2017-JP7, CSAIL 2017-C8, and DBJPM
2017-C6. The loan was previously transferred to special servicing
in November 2021 after the original sponsor, PWM Property
Management LLC, an affiliate of HNA Group Co., filed for Chapter 11
bankruptcy. According to servicer documents, SL Green Realty Corp.
(SL Green) purchased the property and assumed the debt in late
2022; however, SL Green later sold its 50% stake to Mori Trust Co
Ltd. for $1 billion, implying a collateral value of $2.0 billion at
the time. While the servicer reporting indicates property cash flow
and the occupancy rate have declined since issuance, there was
positive leasing momentum during the second half of 2024, as the
occupancy rate improved to 79.0% as of September 2024, from 71.2%
in March 2024. Upcoming tenant rollover risk is minimal as leases
representing only 4.5% of the net rentable area (NRA) are scheduled
to expire prior to loan maturity in June 2027. A lease extension
was negotiated with the second-largest tenant, Ares Management LLC
(12.3% of NRA, through June 2043), and two new leases were executed
with EQT Partners Inc (4.3% of NRA) and Stonepeak Infrastructure
Partners (4.3% of NRA), which signed agreements through November
2040. The Q3 2024 annualized financials indicate net cash flow has
fallen to $64.2 million from $70.4 million at YE2023; however, it
appears the three recently executed leases included rental
abatements, and, as such, performance is expected to rebound above
YE2023 levels as the abatements burn off. Despite the projected
improvement during 2025, the loan is still underperforming issuance
expectations, and, as such, Morningstar DBRS analyzed the loan with
elevated LTV and POD adjustments in its current review; however,
the adjustments were favorable when compared with the adjustments
from Morningstar DBRS' previous analysis of the loan. The resulting
loan EL is below the EL for the overall pool.
Notes: All figures are in U.S. dollars unless otherwise noted.
KKR CLO 35: S&P Assigns BB- (sf) Rating on Class E-R Notes
----------------------------------------------------------
S&P Global Ratings assigned its 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. At the same time, we withdrew our ratings
on the original class B, C, and D debt following payment in full on
the Feb. 14, 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 (not rated), B-R, C-R, D-R, and E-R
debt was issued at a lower spread over three-month term SOFR than
the original debt.
-- The stated maturity, reinvestment period, and non-call period
were extended by 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."
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)
Ratings Withdrawn
KKR CLO 35 Ltd./KKR CLO 35 LLC
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Other Debt
KKR CLO 35 Ltd./KKR CLO 35 LLC
Class A-R, $320.00 million: NR
Variable dividend notes, $40.35 million: NR
NR--Not rated.
LHOME MORTGAGE 2025-RTL1: DBRS Gives Prov. B Rating on M2 Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the
Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) to be issued by
LHOME Mortgage Trust 2025-RTL1 (LHOME 2025-RTL1 or the Issuer) as
follows:
-- $246.9 million Class A1 at (P) A (low) (sf)
-- $17.7 million Class A2 at (P) BBB (low) (sf)
-- $20.4 million Class M1 at (P) BB (low) (sf)
-- $15.0 million Class M2 at (P) B (sf)
The (P) A (low) (sf) credit rating reflects 21.80% of credit
enhancement (CE) provided by the subordinated notes and
overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf),
and (P) B (sf) credit ratings reflect 16.20%, 9.75%, and 5.00% of
CE, 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 two-year revolving
portfolio of residential transition loans (RTLs) funded by the
issuance of the Mortgage-Backed Notes, Series 2025-RTL1 (the
Notes). As of the Initial Cut-Off Date, the Notes are backed by:
-- 552 mortgage loans with a total unpaid principal balance of
approximately $141,159,421
-- Approximately $139,630,053 in the Accumulation Account
-- Approximately $35,000,000 in the RP Accumulation Account
-- Approximately $3,000,000 in the Prefunding Interest Account.
Additional RTLs may be added to the revolving portfolio on future
additional transfer dates, subject to the transaction's eligibility
criteria.
LHOME 2025-RTL1 represents the 21st RTL securitization issued by
the Sponsor, Kiavi Funding, Inc. (Kiavi). Founded in 2013 as
LendingHome Funding Corporation and rebranded as Kiavi in November
2021, Kiavi is a privately held, technology-enabled lender that
provides business-purpose loans for real estate investors engaged
in acquiring, renovating, and either reselling or holding for
investment purposes single-family residential properties.
The revolving portfolio generally consists of first-lien,
fixed-rate, interest-only (IO) balloon RTL with original terms to
maturity of 12 to 24 months. The loans may include extension
options, which can lengthen maturities beyond the original terms.
The characteristics of the revolving pool will be subject to
eligibility criteria specified in the transaction documents and
include:
-- A minimum non-zero weighted-average (NZ WA) FICO score of 735.
-- A maximum NZ WA loan-to-cost ratio of 91.5%.
-- A maximum NZ WA as-repaired loan-to-value (ARV LTV) ratio of
73.0%.
RTL FEATURES
RTLs, also known as fix-and-flip mortgage loans, are short-term
bridge, construction, or renovation loans designed to help real
estate investors purchase and renovate residential or multifamily
5+ properties (the latter is limited to 5.0% of the revolving
portfolio), generally within 12 to 36 months. RTLs are similar to
traditional mortgages in many aspects but may differ significantly
in terms of initial property condition, construction draws, and the
timing and incentives by which borrowers repay principal. For
traditional residential mortgages, borrowers are generally
incentivized to pay principal monthly, so they can occupy the
properties while building equity in their homes. In the RTL space,
borrowers repay their entire loan amount when they (1) sell the
property with the goal to generate a profit or (2) refinance to a
term loan and rent out the property to earn income.
In general, RTLs are short-term IO balloon loans with the full
amount of the principal (balloon payment) due at maturity. The
repayment of an RTL is mainly based on the ability to sell the
related mortgaged property or to convert it into a rental property.
In addition, many RTL lenders offer extension options, which
provide additional time for borrowers to repay their mortgage
beyond the original maturity date. For the loans in this
transaction, such extensions may be granted, subject to certain
conditions, at the direction of the Asset Manager.
In the LHOME 2025-RTL1 revolving portfolio, RTLs may be:
(1) Fully funded:
-- With no obligation of further advances to the borrower, or
-- With a portion of the loan proceeds allocated to a
rehabilitation (rehab) escrow account for future disbursement to
fund construction draw requests upon the satisfaction of certain
conditions, or
-- With a portion of the loan proceeds held back by the Servicer
(Interest Reserve Holdback Amounts) for future disbursement to fund
interest draw requests upon the satisfaction of certain conditions
(2) Partially funded:
-- With a commitment to fund borrower-requested draws for approved
rehab, construction, or repairs of the property (Rehabilitation
Disbursement Requests) upon the satisfaction of certain
conditions.
After completing certain construction/repairs using their own
funds, the borrower usually seeks reimbursement by making draw
requests. Generally, construction draws are disbursed only upon the
completion of approved construction/repairs and after a
satisfactory construction progress inspection. Based on the LHOME
2025-RTL1 eligibility criteria, unfunded commitments are limited to
40.0% of the portfolio by aggregate principal limit.
CASH FLOW STRUCTURE AND DRAW FUNDING
The transaction employs a sequential-pay cash flow structure.
During the reinvestment period, the Notes will generally be IO.
After the reinvestment period, principal will be applied to pay
down the Notes sequentially. If the Issuer does not redeem the
Notes by the payment date in July 2027, the fixed rates on the
Class A1 and Class A2 Notes will step up by 1.000% the following
month.
There will be no advancing of delinquent (DQ) interest on any
mortgage by the Servicer or any other party to the transaction.
However, the Servicer is obligated to fund Servicing Advances,
which include taxes, insurance premiums, and reasonable costs
incurred in the course of servicing and disposing properties. The
Servicer will be entitled to reimburse itself for Servicing
Advances from available funds prior to any payments on the Notes.
The Servicer will satisfy Rehabilitation Disbursement Requests by
(1) for loans with funded commitments, directing the release of
funds from the Rehab Escrow Account to the applicable borrower; or
(2) for loans with unfunded commitments, (A) advancing funds on
behalf of the Issuer (Rehabilitation Advances) or (B) directing the
release of funds from the Accumulation Account. The Servicer will
be entitled to reimburse itself for Rehabilitation Disbursement
Requests from time to time from the Accumulation Account. The Asset
Manager may direct the Paying Agent to remit funds from the RP
Accumulation to the Accumulation Account in accordance with the
Indenture and the REMIC provisions.
The Accumulation Account is replenished from the transaction cash
flow waterfall, after payment of interest to the Notes, to maintain
a minimum required funding balance. During the reinvestment period,
amounts held in the Accumulation Account, along with the mortgage
collateral, must be sufficient to maintain a minimum CE of
approximately 5.00% to the most subordinate rated class. The
transaction incorporates a Minimum Credit Enhancement Test during
the reinvestment period, which if breached, redirects available
funds to pay down the Notes sequentially prior to replenishing the
Accumulation Account to maintain the minimum CE for the rated
Notes.
The transaction also employs the Expense Reserve Account, which
will be available to cover fees and expenses. The Expense Reserve
Account is replenished from the transaction cash flow waterfall
before payment of interest to the Notes, to maintain a minimum
reserve balance.
A Prefunding Interest Account is in place to help cover three
months of interest payments to the Notes. Such account is funded
upfront in an amount equal to $3,000,000. On the payment dates
occurring in February, March, and April 2025, the Paying Agent will
withdraw a specified amount to be included in the available funds.
Historically, Kiavi RTL originations have generated robust mortgage
repayments that have been able to cover unfunded commitments in
securitizations. In the RTL space, because of the lack of
amortization and the short-term nature of the loans, mortgage
repayments (paydowns and payoffs) tend to occur closer to or at the
related maturity dates when compared with traditional residential
mortgages. Morningstar DBRS considers paydowns to be unscheduled
voluntary balance reductions (generally repayments in full) that
occur prior to the maturity date of the loans, while payoffs are
scheduled balance reductions that occur on the maturity or extended
maturity date of the loans. In its cash flow analysis, Morningstar
DBRS evaluated Kiavi's historical mortgage repayments relative to
draw commitments and incorporated several stress scenarios where
paydowns may or may not sufficiently cover draw commitments. Please
see the Cash Flow Analysis section of the related presale report
for more details.
OTHER TRANSACTION FEATURES
Optional Redemption
On any date on or after the earlier of (1) the Payment Date
following the termination of the Reinvestment Period or (2) the
date on which the aggregate Note Amount falls to less than 25% of
the initial Closing Date Note Amount, the Issuer, at its option,
may purchase all of the outstanding Notes at the par plus interest
and fees.
Repurchase Option
The Depositor will have the option to repurchase any DQ or
defaulted mortgage loan at the Repurchase Price, which is equal to
par plus interest and fees. However, such voluntary repurchases may
not exceed 10.0% of the cumulative UPB of the mortgage loans.
During the reinvestment period, if the Depositor repurchases DQ or
defaulted loans, this could potentially delay the natural
occurrence of an early amortization event based on the DQ or
default trigger. Morningstar DBRS' revolving structure analysis
assumes the repayment of Notes is reliant on the amortization of an
adverse pool regardless of whether it occurs early or not.
Loan Sales
The Issuer may sell a mortgage loan under the following
circumstances:
-- The Seller is required to repurchase a loan because of a
material breach, a material document defect, or the loan is a
non-REMIC qualified mortgage;
-- The Depositor elects to exercise its Repurchase Option;
-- An automatic repurchase is triggered in connection with the
third-party due diligence review; or
-- An optional redemption occurs.
U.S. Credit Risk Retention
As the Sponsor, Kiavi, through a majority-owned affiliate, will
initially retain an eligible horizontal residual interest
comprising at least 5% of the aggregate fair value of the
securities (the Class XS Notes) to satisfy the credit risk
retention requirements.
Natural Disasters/Wildfires
The pool contains loans secured by mortgage properties that are
located within certain disaster areas (such as those impacted by
the Greater Los Angeles wildfires). Although many RTL have a rehab
component, the original scope of rehab may be affected by such
disasters. After a disaster, the Servicer follows a standard
protocol, which includes a review of the impacted area, borrower
outreach if necessary, and filing insurance claims as applicable.
Moreover, additional loans added to the trust must comply with R&W
specified in the transaction documents, including the damage R&W,
as well as the transaction eligibility criteria.
NOTES: All figures are in U.S. dollars unless otherwise noted.
LOANCORE 2025-CRE8: Fitch Assigns B-sf Final Rating on Cl. G Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
LoanCore 2025-CRE8 Issuer LLC as follows:
- $649,750,000a class A 'AAAsf'; Outlook Stable;
- $162,437,000a class A-S 'AAAsf;' Outlook Stable;
- $77,625,000a class B 'AA-sf'; Outlook Stable;
- $61,813,000a class C 'A-sf'; Outlook Stable;
- $37,375,000a class D 'BBBsf'; Outlook Stable;
- $17,250,000a class E 'BBB-sf'; Outlook Stable;
- $37,375,000b class F 'BB-sf'; Outlook Stable;
- $24,437,000b class G 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
- $81,938,000b Income Notes.
(a) Privately placed and pursuant to Rule 144A.
(b) Horizontal risk retention interest, which represents 12.500% of
the notional amount of the notes.
The approximate collateral interest balance as of the cutoff date
is $1,043,000,000 and does not include future funding.
The ratings are based on information provided by the issuer as of
Feb. 13, 2025.
Transaction Summary
The notes are collateralized by 24 loans secured by 35 commercial
properties with an aggregate principal balance of $1,043,000,000 as
of the cut-off date. The pool also includes ramp-up collateral
interest of $107.0 million.
The loans were contributed to the trust by LoanCore CRE Seller LLC.
The servicer is Situs Asset Management LLC, and the special
servicer is Situs Holdings, 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.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 57.6% of the loans by
balance, and cash flow analysis and asset summary reviews on 100%
of the pool.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on all
loans in the pool. Fitch's resulting aggregate net cash flow (NCF)
of $59.0 million represents an 8.35% decline from the issuer's
aggregate underwritten NCF of $64.4 million, excluding loans for
which Fitch utilized an alternate value analysis.
Lower Leverage: The pool has lower leverage compared to recent CRE
CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value
(LTV) ratio of 131.4% is in better than both the 2024 and 2023 CRE
CLO averages of 140.7% and 171.2%, respectively. The pool's Fitch
NCF debt yield (DY) of 6.8% is better than both the 2024 and 2023
CRE CLO averages of 6.5% and 5.6%, respectively.
Lower Pool Concentration: The pool concentration is better than
recently rated Fitch CRE CLO transactions. The top 10 loans make up
59.2% 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 20.2. Fitch views diversity as a key mitigant to
idiosyncratic risk. Fitch raises the overall loss for pools with
effective loan counts below 40.
No Amortization: The pool 100% comprises IO loans. This is worse
than both the 2024 and 2023 CRE CLO averages of 56.8% and 35.3%,
respectively, based on fully extended loan terms. As a result, the
pool is expected to have zero principal paydown by maturity of the
loans. By comparison, the average scheduled paydowns for
Fitch‐rated U.S. CRE CLO transactions during 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' /
'BBsf' / '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' / 'AAsf' / 'Asf' / 'BBB+sf' /
'BBBsf' / 'BBsf' / '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.
MAGNETITE LTD XXVI: Moody's Gives B3 Rating to $670,000 F-R2 Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by Magnetite XXVI,
Limited (the Issuer):
US$428,800,000 Class A-R2 Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$670,000 Class F-R2 Deferrable Mezzanine 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
90.0% of the portfolio must consist of first lien senior secured
loans and up to 10.0% of the portfolio may consist of second lien
loans, unsecured loans and bonds.
BlackRock Financial Management, Inc. (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: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests and concentration limits; 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: $670,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2960
Weighted Average Spread (WAS): 3.00%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
MAGNETITE XXVI: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite
XXVI, Limited refinancing transaction.
Entity/Debt Rating
----------- ------
Magnetite XXVI,
Limited
X-R2 LT AAAsf New Rating
A-R2 LT NRsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-R2 LT BBsf New Rating
F-R2 LT NRsf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Magnetite XXVI, Limited (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by BlackRock Financial
Management, Inc. It originally closed in June 2020 and underwent
its first refinancing in Sept. 2021. The second refinancing is
scheduled for Feb. 11, 2025. The net proceeds from the issuance of
the new secured notes will finance a portfolio of approximately
$670 million, primarily consisting of first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
97.6% first lien senior secured loans and has a weighted average
recovery assumption of 75.23%. 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 that of other
recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X-R2, between 'BB+sf' and 'A+sf' for
class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less
than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf'
and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and
'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf'
for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class
E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assesses the asset portfolio
information.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the rating
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 Magnetite XXVI,
Limited.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
MASTR ADJUSTABLE 2007-R5: Moody's Ups Cl. A1 Certs Rating to Caa2
-----------------------------------------------------------------
Moody's Ratings has upgraded the rating of Class A1 issued by MASTR
Adjustable Rate Mortgages Trust 2007-R5. The collateral backing
this deal consists of repackaged mortgages.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: MASTR Adjustable Rate Mortgages Trust 2007-R5
Cl. A1, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed
Ca (sf)
RATINGS RATIONALE
The rating action on the Class A1 from the repackaged transaction,
MASTR Adjustable Rate Mortgages Trust 2007-R5, reflects the rating
action on the underlying bond from Bear Stearns ALT-A Trust
2005-9.
Principal Methodology
The principal methodology used in this rating was "Repackaged
Securities" published in June 2024.
Factors that would lead to an upgrade or downgrade of the rating:
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.
MORGAN STANLEY 2019-PLND: Moody's Cuts Ratings on 2 Tranches to C
-----------------------------------------------------------------
Moody's Ratings has downgraded the ratings on four classes of
Morgan Stanley Capital I Trust 2019-PLND, Commercial Mortgage
Pass-Through Certificates, Series 2019-PLND as follows:
Cl. A, Downgraded to Caa2 (sf); previously on Jul 18, 2024
Downgraded to B1 (sf)
Cl. B, Downgraded to Ca (sf); previously on Jul 18, 2024 Downgraded
to B3 (sf)
Cl. C, Downgraded to C (sf); previously on Jul 18, 2024 Downgraded
to Caa1 (sf)
Cl. D, Downgraded to C (sf); previously on Jul 18, 2024 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The ratings on the principal and interest (P&I) classes were
downgraded primarily due an increase in Moody's loan-to-value (LTV)
as a result of the recent declines in the properties' cash flow and
the continued lagging recovery in the broader Downtown Portland
hotel market. The downgrades also reflect the accumulated and
further expected interest shortfalls due to the non-recoverability
determination in May 2024 as well as the uncertainty around the
timing and proceeds from the ultimate resolution. Furthermore, the
loan has previously accumulated significant advances which have
increased the loan's total exposure and contributed to higher
expected loss on the loan.
The loan is secured by two properties and the combined trailing 12
months (TTM) net cash flow (NCF) as of March 2024 dropped to $4.8
million due to combination of lower revenues and increased
operating expenses as compared to 2023. Prior to 2024, the
properties' NCF slowly rebounded from the COVID-related lows to
$6.8 million and $7.1 million in 2022 and 2023, respectively. The
master servicer made a non-recoverability determination in May 2024
on the loan in relation to P&I advances and therefore no interest
has been distributed to any of the outstanding classes. As of the
January 2025 remittance date the outstanding interest shortfalls
totaled $16.7 million and there is also a cumulative advance amount
(P&I, T&I, other expenses and unaccrued unpaid advance interest) of
$49.7 million.
Furthermore, the most recent reported appraised value was $151.3
million which represented a 26% decline from the prior 2023 value
and 56% decline from securitization. The most recent appraisal
value is significantly below the outstanding loan balance of $240
million and further below the total loan exposure (inclusive of
advances) of $290 million.
In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and quality of the asset, and Moody's analyzed multiple scenarios
to reflect various levels of stress in property values could impact
loan proceeds at each rating level.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns, or a significant improvement
in the loan's performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan, an
increase in realized and expected losses or increased interest
shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in January 2025.
DEAL PERFORMANCE
As of the January 15, 2025 distribution date, the transaction's
aggregate certificate balance remains unchanged at $240 million
from securitization. The original 5-year (including three one-year
extensions), interest only, floating rate loan is secured by the
borrowers' fee simple interests in two, full-service hotels
totaling 782-guestrooms known as The Hilton Portland Downtown (455
guestrooms) and The Duniway (327 guestrooms), located in Portland,
Oregon. The two properties are adjacently located, and hotel guests
benefit from access to the amenities at both of the hotels.
The loan has been in special servicing since June 2020 due to
monetary default triggered by the coronavirus outbreak. While the
portfolio's NCF initially rebounded from the COVID-related lows to
$6.8 million and $7.1 million in 2022 and 2023, respectively, the
trend reversed in 2024 as the reported TTM NCF as of March 2024 was
$4.8 million due to combination of lower revenues and increased
operating expenses as compared to 2023. Due to the loan's floating
interest rate in excess of 7.5%, the DSCR is below 0.30X based on
the March 2024 TTM NCF.
Furthermore, the Downtown Portland hotel market continues to face
an elongated recovery. According to CBRE EA, Downtown Portland's
Revenue per Available Room (RevPAR) was $89.03 in 2024, flatlining
compared with the RevPAR of $89.43 in 2023 and 32% lower than its
RevPAR of $130.84 in 2019.
Since the master servicer made a non-recoverability determination
in May 2024 on the loan in relation to P&I advances, no interest
has been distributed to any of the outstanding classes and as of
January 2025 remittance there are aggregate outstanding interest
shortfalls totaling $16.7 million. Interest shortfalls are expected
to continue to accumulate across all classes until the ultimate
disposition of the asset. The first mortgage balance of $240
million represents a Moody's LTV of 219%, which takes into account
the recent decline in the properties' NCF and the downtown Portland
market dynamics.
NELNET STUDENT 2007-1: Fitch Lowers Rating on Two Tranches to 'Bsf'
-------------------------------------------------------------------
Fitch Ratings has downgraded both the class A-4 and class B-2 notes
of Nelnet Student Loan Trust 2007-1 to 'Bsf' from 'AAsf' and 'Asf',
respectively. Stable Rating Outlooks have been assigned to the
class A-4 and class B-2 notes following the downgrade.
Entity/Debt Rating Prior
----------- ------ -----
Nelnet Student Loan
Trust 2007-1
A-4 64032EAD9 LT Bsf Downgrade AAsf
B-2 64032EAJ6 LT Bsf Downgrade Asf
Transaction Summary
On July 25, 2024, Nelnet announced that, starting with servicer
reports posted on or after Aug. 25, 2024, the weighted average
remaining term for Federal Family Education Loan Program (FFELP)
transactions will be reported in two ways to address the treatment
of loans in income-based repayment (IBR) plans.
The first method, called 'Current WAM', is the traditional
calculation used by Nelnet. It discloses the remaining term to
maturity of IBR Loans as a 10-year 30-year term, based on the loan
type and/or original principal balance minus the time in
repayment.
The second method, called 'Alternate WAM' uses a set payment amount
under IBR terms to calculate the remaining term, reflecting the
term originally disclosed to the borrower at the origination of the
FFELP Loan.
This review includes servicer reports posted after Aug. 25, 2024.
Fitch has adopted the 'Alternate WAM' calculation in its cashflow
modeling.
The downgrades are due to an increase in maturity risk, the risk
that the notes will not pay in full prior to the legal final
maturity date, in Fitch's cashflow modeling. Maturity risk has
increased for the transaction over the last two years as the
remaining term of the assets increases.
Despite the notes failing the base cases, due to the legal final of
class A-4 being 11 years away, and the ability of the sponsor to
call the notes upon reaching 10% pool factor, Fitch believes there
is a limited margin of safety that supports a 'Bsf' rating.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises 100% FFELP
loans, with guaranties provided by eligible guarantors and
reinsurance provided by the U.S. Department of Education (ED) for
at least 97% of principal and accrued interest. The U.S. sovereign
rating is currently 'AA+'/Stable.
Collateral Performance: For this transaction, Fitch applies the
standard default timing curve in its credit stress cash flow
analysis. The claim reject rate is assumed to be 0.25% in the base
case and 1.65% in the 'AA' case.
Based on transaction-specific performance to date, Fitch assumes a
cumulative default rate of 20.00% under the base case scenario and
a default rate of 55.00% under the 'AA' credit stress scenario.
After applying the default timing curve per criteria, the effective
default rate is unchanged from the cumulative default rate. Fitch
is maintaining the sustainable constant default rate (sCDR) of
3.50% and the sustainable constant prepayment rate (sCPR; voluntary
and involuntary prepayments) of 12.50% in cash flow modelling.
The TTM levels of deferment, forbearance and IBR (prior to
adjustment) are 4.70% (4.93% at April 30, 2024), 6.51% (5.91%) and
26.19% (26.19%). These assumptions and are used as the starting
point in cash flow modelling, and subsequent declines or increases
are modelled as per criteria. The 31-60 days past due (DPD) has
decreased and the 91-120 DPD has increased from April 30, 2024 and
are currently 3.55% for 31 DPD and 1.64% for 91 DPD compared to
3.69% and 1.18% at April 30, 2024 for 31 DPD and 91 DPD,
respectively. The borrower benefit is approximately 0.13%, based on
information provided by the sponsor.
Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. As of October 2024, 98.80%
of the trust student loans are indexed to SOFR (with remainder
indexed to 91-day T-bills). Nelnet 2007-1 is indexed to 90-day
Average SOFR plus the spread adjustment of 0.26161%. Fitch applies
its standard basis and interest rate stresses to these transactions
as per criteria.
Payment Structure: Credit enhancement (CE) is provided by
overcollateralization, excess spread, and for the class A notes,
subordination provided by the class B notes. As of the most recent
distribution date, reported total parity is 101.59%. Liquidity
support is provided by a reserve account sized at the greater of
0.15% of the bond balance and $3,623,145.56, currently sized at the
floor.
Operational Capabilities: Day-to-day servicing is provided by
Nelnet, Inc. Fitch believes Nelnet to be an adequate servicer, due
to its extensive track record as one of the largest servicers of
FFELP loans.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Rating Sens:
'AA+sf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating given the strong
linkage to the U.S. sovereign, by nature of the reinsurance
provided by the Department of Education. Aside from the U.S.
sovereign rating, defaults, basis risk and loan extension risk
account for the majority of the risk embedded in FFELP student loan
transactions. This section provides insight into the model-implied
sensitivities the transaction faces when one assumption is
modified, while holding others equal.
Fitch conducts credit and maturity stress sensitivity analysis by
increasing or decreasing key assumptions by 25% and 50% over the
base case. The credit stress sensitivity is viewed by stressing
both the base case default rate and the basis spread. The maturity
stress sensitivity is viewed by stressing remaining term, IBR usage
and prepayments. The results below 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.
Nelnet Student Loan Trust 2007-1:
Current Ratings: class A 'Bsf'; class B 'Bsf'
Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity
Stress); class B 'CCCsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
- Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
- Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
- Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
- Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';
- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
- IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';
- IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf';
- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf';
- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Nelnet Student Loan Trust 2007-1
Credit Stress Sensitivity
- Default decrease 25%: class A 'CCCsf'; class B 'CCCsf';
- Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'CCCsf';
Maturity Stress Sensitivity
- CPR increase 25%: class A 'BBBsf'; class B 'Bsf';
- IBR usage decrease 25%: class A 'Bsf'; class B 'CCCsf';
- Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+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.
NELNET STUDENT 2007-1: Moody's Cuts Rating on Cl. A-4 Certs to Ba1
------------------------------------------------------------------
Moody's Ratings has downgraded the rating of four classes of notes
and upgraded the rating of two classes of notes issued by six FFELP
loan securitizations serviced and administered by Nelnet, Inc.
(Nelnet, Ba1) or its subsidiaries. The securitizations are backed
by student loans originated under the Federal Family Education Loan
Program (FFELP) that are guaranteed by the US government for a
minimum of 97% of defaulted principal and accrued interest.
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: Wachovia Student Loan Trust 2005-1
Cl. B, Downgraded to Aa1 (sf); previously on Sep 27, 2024 Confirmed
at Aaa (sf)
Issuer: Nelnet Student Loan Trust 2006-2
Cl. B, Upgraded to A3 (sf); previously on Nov 21, 2023 Downgraded
to Baa3 (sf)
Issuer: Nelnet Student Loan Trust 2006-3
Cl. B, Downgraded to A1 (sf); previously on Sep 27, 2024 Downgraded
to Aa1 (sf)
Issuer: Nelnet Student Loan Trust 2007-1
Cl. A-4, Downgraded to Ba1 (sf); previously on Sep 27, 2024
Downgraded to Baa3 (sf)
Issuer: Nelnet Student Loan Trust 2012-1
Class B Notes, Downgraded to Aa1 (sf); previously on Sep 27, 2024
Confirmed at Aaa (sf)
Issuer: Nelnet Student Loan Trust 2014-4
Class B Notes, Upgraded to Aaa (sf); previously on Oct 18, 2016
Upgraded to Aa1 (sf)
RATINGS RATIONALE
The rating actions are primarily driven by the updated performance
of the transactions and updated expected loss on the tranches
across Moody's cash flow scenarios. Moody's quantitative analysis
derives the expected loss of the tranche using 28 cash flow
scenarios with weights accorded to each scenario.
The upgrade actions reflect the recent paydowns on the bonds. The
high prepayment levels observed between late 2023 and mid-2024 have
reduced the risk of these notes not being paid down by their legal
final maturity dates.
The downgrade actions take into consideration the increased
likelihood that the notes will not pay off by their legal final
maturity dates due to the extension of the remaining term on some
of the underlying loans. Longer remaining loan terms adversely
impact collateral cashflows and can have material adverse impact on
amortization of the notes prior to their legal final maturity
dates. Notes that have long legal final maturity dates are less
susceptible to this risk.
The rating actions also reflect Moody's consideration of collateral
data provided by Nelnet in an updated format. Nelnet is now
providing collateral representative loans ("replines") grouped by
remaining term, a data format which provides a more granular view
of the portfolio and is more consistent with that provided by other
FFELP ABS issuers.
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 METHODOLOGY
The principal methodology used in these ratings was "FFELP Student
Loan Securitizations" published in December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the ratings
owing to a build-up in credit enhancement.
Down
Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. In addition, because the US Department of
Education guarantees at least 97% of principal and accrued interest
on defaulted loans, Moody's could downgrade the rating of the notes
if it were to downgrade the rating on the United States government.
NORTHWOODS CAPITAL XV: Moody's Assigns Ba3 Rating to Cl. ERR Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to seven classes of CLO
refinancing notes (the "Refinancing Notes") issued by Northwoods
Capital XV, Limited (the "Issuer").
Moody's rating action is as follows:
US$270,000,000 Class A1RR Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)
US$11,700,000 Class A2RR Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)
US$52,650,000 Class BRR Senior Secured Floating Rate Notes due
2034, Assigned Aa1 (sf)
US$12,050,000 Class C1RR Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)
US$18,800,000 Class D1RR Mezzanine Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)
US$10,000,000 Class D2RR Mezzanine Secured Deferrable Fixed Rate
Notes due 2034, Assigned Baa3 (sf)
US$24,300,000 Class ERR Junior Secured Deferrable Floating Rate
Notes due 2034, Assigned Ba3 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Angelo, Gordon & Co., L.P. (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period.
The Issuer previously issued one other class of secured notes and
one class of subordinated notes, which will remain outstanding.
In addition to the issuance of the Refinancing Notes, a couple of
other changes to transaction features will occur in connection with
the refinancing including reinstatement and extension of the
non-call period.
No action was taken on the Class C-2-R notes because its expected
loss remains commensurate with its current rating, after taking
into account the CLO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach To Rating Collateralized Loan Obligations".
The key model inputs Moody's used in 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: $435,045,936
Defaulted par: $3,393,156
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2955
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.40%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 46.63%
Weighted Average Life (WAL): 5.49 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.
OAKTREE CLO 2020-1: S&P Assigns BB-(sf) Rating on Class E-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt and the new class X
debt from Oaktree CLO 2020-1 Ltd./Oaktree CLO 2020-1 LLC, a CLO
managed by Oaktree Capital Management L.P. that was originally
issued in June 2020 and underwent a refinancing in June 2021. At
the same time, S&P withdrew its ratings on the class AR, BR, CR,
DR, and ER debt following payment in full on the Feb. 14, 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-RR, B-RR, C-RR, D-1-RR, and E-RR debt
was issued at a lower spread over three-month CME term SOFR than
the previous debt.
-- The replacement class D-2-RR debt was issued at a higher spread
over three-month CME term SOFR than the previous debt.
-- The replacement class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and
E-RR debt was issued at a floating spread, replacing the previous
floating spread.
-- The stated maturity and reinvestment periods were each extended
by 3.5 years.
-- The non-call period was extended to Jan. 15, 2027.
-- The new class X debt was issued in connection with this
refinancing. This debt is expected to be paid down using interest
proceeds during the first five payment dates, beginning with the
payment date in July 2025.
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 2020-1 Ltd./Oaktree CLO 2020-1 LLC
Class X, $1.00 million: AAA (sf)
Class A-RR, $256.00 million: AAA (sf)
Class B-RR, $48.00 million: AA (sf)
Class C-RR (deferrable), $24.00 million: A (sf)
Class D-1-RR (deferrable), $24.00 million: BBB- (sf)
Class D-2-RR (deferrable), $4.00 million: BBB- (sf)
Class E-RR (deferrable), $12.00 million: BB- (sf)
Ratings Withdrawn
Oaktree CLO 2020-1 Ltd./Oaktree CLO 2020-1 LLC
Class AR to NR from 'AAA (sf)'
Class BR to NR from 'AA (sf)'
Class CR (deferrable) to NR from 'A (sf)'
Class DR (deferrable) to NR from 'BBB- (sf)'
Class ER (deferrable) to NR from 'BB- (sf)'
Other Debt
Oaktree CLO 2020-1 Ltd./Oaktree CLO 2020-1 LLC
Subordinated notes, $40.50 million: NR
NR--Not rated
OCP CLO 2015-9: S&P Assigns BB- (sf) Rating on Class E-R3 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R3, B-R3,
C-R3, D-1-R3, D-2-R3, and E-R3 replacement 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 July 2015 and underwent a
refinancing in 2017, then was reset again in 2022. S&P Global
Ratings did not rate the transaction when it was reset in 2022.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement debt was issued at a lower spread over
three-month CME term SOFR than the 2022 debt.
-- The class D-R debt was replaced by two new classes, D-1-R3 and
D-2-R3, which are sequential in payment.
-- The reinvestment period was extended to Jan. 15, 2028.
-- The non-call period was 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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
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
OHA CREDIT VII: S&P Assigns BB- (sf) Rating on Class E-R4 Notes
---------------------------------------------------------------
S&P Global Ratings assigned ratings to the class A-L, A-R4, B-L,
B-1-R4, B-2-R4, C-R4, D-1-R4, D-2-R4, and E-R4 debt replacement
debt from OHA Credit Partners VII Ltd./OHA Credit Partners VII
Inc., a CLO managed by Oak Hill Advisors L.P., that was originally
issued in March 2021. At the same time, S&P withdrew its ratings on
the original class A-R3, A-L, B-R3, B-L, C-R3, D-1-R3, D-2-R3, and
E-R3 debt following payment in full on the Feb. 20, 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-L, A-R4, B-L, B-1-R4, C-R4, D-1-R4,
D-2-R4, and E-R4 debt was issued at a lower spread over three-month
SOFR than the original debt.
-- The stated maturity and reinvestment period were extended by
four years.
-- Of the identified underlying collateral obligations, 100.00%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
-- Of the identified underlying collateral obligations, 97.69%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.
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
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-1-R4 (deferrable), $42.0 million: BBB- (sf)
Class D-2-R4 (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.
PRET 2025-RPL1: DBRS Finalizes B Rating on Class B-2 Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the PRET
2025-RPL1 Trust Mortgage-Backed Notes, Series 2025-RPL1 (the Notes)
issued by PRET 2025-RPL1 Trust (PRET 2025-RPL1 or the Trust) as
follows:
-- $315.5 million Class A-1 at AAA (sf)
-- $24.6 million Class A-2 at AA (sf)
-- $340.1 million Class A-3 at AA (sf)
-- $362.6 million Class A-4 at A (sf)
-- $381.3 million Class A-5 at BBB (sf)
-- $22.5 million Class M-1 at A (sf)
-- $18.7 million Class M-2 at BBB (sf)
-- $11.3 million Class B -1 at BB (sf)
-- $7.9 million Class B-2 at B (sf)
The Class A-3, Class A-4, and Class A-5 Notes are exchangeable.
These classes can be exchanged for combinations of initial
exchangeable notes as specified in the offering documents.
The AAA (sf) credit rating on the Notes reflects 25.75% of credit
enhancement provided by subordinated notes. The AA (sf), A (sf),
BBB (sf), BB (sf), and B (sf) credit ratings reflect 19.95%,
14.65%, 10.25%, 7.60%, and 5.75% of credit enhancement,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Trust is a securitization of a portfolio of seasoned performing
and reperforming first-lien residential mortgages funded by the
issuance of mortgage-backed notes (the Notes). The Notes are backed
by 2,151 loans with a total principal balance of $424,874,071 as of
the Cut-Off Date (December 31, 2024).
The mortgage loans are approximately 190 months seasoned. As of the
Cut-Off Date, 93.8% of the loans are current (including 2.0%
bankruptcy-performing loans), and 6.2% of the loans are 30 days
delinquent (including one bankruptcy loan) under the Mortgage
Bankers Association (MBA) delinquency method. Under the MBA
delinquency method, 49.8% and 79.2% of the mortgage loans have been
zero times 30 days delinquent for the past 24 months and 12 months,
respectively.
The portfolio contains 81.9% modified loans as determined by the
Issuer. Morningstar DBRS considers the modifications happened more
than two years ago for 87.4% of these loans. Within the pool, 650
mortgages have an aggregate non-interest-bearing deferred amount of
$24,962,873 which comprises 5.9% of the total principal balance.
PRET 2025-RPL1 represents the fifth rated securitization of the
seasoned performing and reperforming residential mortgage loans
issued by the Sponsor, Nomura Corporate Funding Americas, LLC (NCFA
or the Sponsor), but the third on the PRET shelf. The Sponsor is
registered with the U.S. Securities and Exchange Commission and
incorporated in the state of Delaware.
The Mortgage Loan Seller will contribute the loans to the Trust
through Nomura Asset Depositor Company, LLC (the Depositor). As the
Sponsor, NCFA or one of its majority-owned affiliates will acquire
and retain a 5% vertical interest in each class of Notes (other
than the Class R Notes) and the Trust Certificate to satisfy the
credit risk retention requirements under Section 15G of the
Securities Exchange Act of 1934 and the regulations promulgated
thereunder.
All of the loans are being serviced by Selene Finance LP (Selene).
There will not be any advancing of delinquent principal and
interest (P&I) on any mortgages by the Servicer or any other party
to the transaction; however, the Servicer is obligated to make
advances in respect of homeowners association (HOA) fees in super
lien states and, in certain cases, taxes and insurance as well as
reasonable costs and expenses incurred in the course of servicing
and disposing of properties.
The Controlling Holder will have the option to repurchase any
mortgage loan that becomes 90+ days DQ or any REO property at a
price equal to the sum of (i) UPB plus interest (ii) any
outstanding Post-Cut-Off ate Deferred Amount, and (iii) any
Pre-Existing Servicing Advances, unreimbursed Servicing Advances or
unpaid Servicing Fees with respect to such Mortgage Loan, as long
as the aggregate repurchased DQ mortgages and REO properties do not
exceed 10.0% of the aggregate UPB of the Mortgage Loans as of the
Cut-Off Date.
On any Payment Date on or after the Payment Date in January 2027,
the Redemption Right Holder will have the option to purchase all
remaining loans and other property of the Issuer at the Redemption
Price. The Redemption Right Holder will be the beneficial owner of
more than 50% the Class XS Notes.
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class A-2 and more subordinate P&I
bonds will not be paid from principal proceeds until the more
senior classes are retired.
Notes: All figures are in US dollars unless otherwise noted.
PROGRESS RESIDENTIAL 2025-SFR1: DBRS Gives B(low) Rating on G Certs
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Single-Family Rental Pass-Through Certificates (the Certificates)
issued by Progress Residential 2025-SFR1 Trust (PROG 2025-SFR1 or
the Issuer):
-- $348.3 million Class A at AAA (sf)
-- $60.3 million Class B at AA (sf)
-- $47.4 million Class C at A (low) (sf)
-- $61.1 million Class D at BBB (sf)
-- $25.9 million Class E1 at BBB (sf)
-- $24.8 million Class E2 at BBB (low) (sf)
-- $53.3 million Class F1 at BB (sf)
-- $19.1 million Class F2 at BB (low) (sf)
-- $45.7 million Class G at B (low) (sf)
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The AAA (sf) credit rating on the Class A certificates reflects
54.07% of credit enhancement provided by subordinate certificates.
The AA (sf), A (low) (sf), BBB (sf), BBB (low) (sf), BB (sf), BB
(low) (sf), and B (low) (sf) credit ratings reflect 46.12%, 39.87%,
28.39%, 25.13%, 18.09%, 15.58%, and 9.55% of credit enhancement,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Certificates are supported by the income streams and values
from 2,095 rental properties. The properties are distributed across
nine states and 18 MSAs in the United States. Morningstar DBRS maps
an MSA based on the ZIP code provided in the data tape, which may
result in different MSA stratifications than those provided in
offering documents. As measured by (BPO) value, 60.9% of the
portfolio is concentrated in three states: Florida (26.3%), North
Carolina (19.2%), and Tennessee (15.4%). The average BPO value is
$363,782. The average age of the properties is roughly 23 years as
of the cut-off date. The majority of the properties have three or
more bedrooms. The Certificates represent a beneficial ownership in
an approximately five-year, fixed-rate, interest-only loan with an
initial aggregate principal balance of approximately $758.3
million.
Morningstar DBRS finalized the provisional credit ratings to each
class of certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses
Morningstar DBRS' single-family rental subordination analytical
tool and is based on Morningstar DBRS' published criteria (for more
details, see https://dbrs.morningstar.com). Morningstar DBRS
developed property-level stresses for the analysis of single-family
rental assets. The finalized credit ratings are based on the level
of stresses each class can withstand and whether such stresses are
commensurate with the applicable credit rating level. Morningstar
DBRS' analysis includes estimated base-case NCFs by evaluating the
gross rent, concession, vacancy, operating expenses, and capital
expenditure (capex) data. The Morningstar DBRS NCF analysis
resulted in a minimum DSCR of higher than 1.0 times (x).
Furthermore, Morningstar DBRS reviewed the participants in the
transaction, including the property manager, servicer, and special
servicer. These transaction parties are acceptable to Morningstar
DBRS. (For more details, see the Property Manager and Servicer
Summary section of the related presale report.) Morningstar DBRS
also conducted a legal review and found no material credit rating
concerns.
Notes: All figures are in U.S. dollars unless otherwise noted.
PRPM 2025-RCF1: DBRS Gives Prov. BB(low) Rating on M-3 Notes
------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage-Backed Notes, Series 2025-RCF1 (the Notes) to be issued by
PRPM 2025-RCF1, LLC (PRPM 2025-RCF1 or the Trust):
-- $158.0 million Class A-1 at (P) AAA (sf)
-- $24.1 million Class A-2 at (P) AA (high) (sf)
-- $16.7 million Class A-3 at (P) A (sf)
-- $12.3 million Class M-1 at (P) BBB (sf)
-- $3.1 million Class M-2 at (P) BBB (low) (sf)
-- $8.9 million Class M-3 at (P) BB (low) (sf)
The (P) AAA (sf) credit rating on the Class A-1 Notes reflects
36.95% of credit enhancement provided by the subordinated notes.
The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BBB (low)
(sf), and (P) BB (low) (sf) credit ratings reflect 27.35%, 20.70%,
15.80%, 14.55%, and 11.00% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Trust is a securitization of a portfolio of newly originated
and seasoned, performing and reperforming, first-lien residential
mortgages, to be funded by the issuance of the Notes. The Notes are
backed by 959 loans with a total principal balance of $250,623,880
as of the Cut-Off Date (December 31, 2024).
Morningstar DBRS calculated the portfolio to be approximately 47
months seasoned on average, though the age of the loans is quite
dispersed, ranging from three months to 375 months. Approximately
88.5% of the loans had origination guideline or document
deficiencies, which prevented these loans from being sold to Fannie
Mae, Freddie Mac, or another purchaser, and the loans were
subsequently put back to the sellers. In its analysis, Morningstar
DBRS assessed such defects and applied certain penalties, and
consequently increased expected losses on the mortgage pool.
In the portfolio, 15.1% of the loans are modified. The
modifications happened more than two years ago for 76.2% of the
modified loans. Within the portfolio, 131 mortgages have
non-interest-bearing deferred amounts representing 0.8% of the
total unpaid principal balance (UPB). Unless specified otherwise,
all statistics on the mortgage loans in this report are based on
the current UPB, including the applicable non-interest-bearing
deferred amounts.
Based on Issuer-provided information, certain loans in the pool
(13.3%) are not subject to or exempt from the Consumer Financial
Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM)
rules because of seasoning or because they are business-purpose
loans. The loans subject to the ATR rules are designated as QM Safe
Harbor (42.7%), QM Rebuttable Presumption (5.0%), and Non-Qualified
Mortgage (Non-QM; 39.0%) by UPB.
PRP-LB VI, LLC (the Sponsor) acquired the mortgage loans prior to
the upcoming Closing Date and, through a wholly owned subsidiary,
PRP Depositor 2025-RCF1, LLC (the Depositor), will contribute the
loans to the Trust. As the Sponsor, PRP-LB VI, LLC or one of its
majority-owned affiliates will acquire and retain a portion of the
Class B Notes and the membership certificate representing the
initial overcollateralization amount to satisfy the credit risk
retention requirements.
PRPM 2025-RCF1 is the ninth "scratch and dent" rated securitization
for the Issuer. The Sponsor has securitized many rated and unrated
transactions under the PRPM shelf, most of which have been
seasoned, reperforming, and nonperforming securitizations.
On or before 45 days after the closing date, loans serviced by
interim servicers, representing 21.3% of the mortgage loans, will
be transferred to SN Servicing Corporation, bringing total loans
serviced to 61.7% of the pool. Nationstar Mortgage LLC doing
business as Rushmore Servicing will service the remaining 38.3% of
the pool.
The Servicers will not advance any delinquent principal and
interest on the mortgages; however, the Servicers are obligated to
make advances in respect of prior liens, insurance, real estate
taxes, and assessments as well as reasonable costs and expenses
incurred in the course of servicing and disposing of properties.
The Issuer has the option to redeem the Notes in full at a price
equal to the sum of (1) the remaining aggregate Note Amount; (2)
any accrued and unpaid interest due on the Notes through the
redemption date (including any Cap Carryover); and (3) any fees and
expenses of the transaction parties, including any unreimbursed
servicing advances (Redemption Price). Such Optional Redemption may
be exercised on or after the payment date in February 2027.
Additionally, a failure to pay the Notes in full by the Payment
Date in February 2030 will trigger a mandatory auction of the
underlying certificates on the March 2030 payment date by the Asset
Manager or an agent appointed by the Asset Manager. If the auction
fails to elicit sufficient proceeds to make-whole the Notes,
another auction will follow every four months for the first year
and subsequent auctions will be carried out every six months. If
the Asset Manager fails to conduct the auction, the holder of more
than 50% of the Class M-3 Notes will have the right to appoint an
auction agent to conduct the auction.
The transaction employs a sequential-pay cash flow structure with a
bullet feature to Class A-2 and more subordinate notes on the
Expected Redemption Date (Payment Date in February 2029) or the
occurrence of a Credit Event. Interest and principal collections
are first used to pay interest and any Cap Carryover amount to the
Notes sequentially and then to pay Class A-1 until its balance is
reduced to zero, which may provide for timely payment of interest
on certain rated Notes. Class A-2 and below are not entitled to any
payments of principal until the Expected Redemption Date or upon
the occurrence of a Credit Event, except for remaining available
funds representing net sale proceeds of the mortgage loans. Prior
to the Expected Redemption Date or a Credit Event, any available
funds remaining after Class A-1 is paid in full will be deposited
into a Redemption Account. Beginning on the Payment Date in
February 2029, the Class A-1 and the other offered Notes will be
entitled to the initial Note Rate plus the step-up note rate of
1.00% per annum. If the does not redeem the rated Notes in full by
the payment date in October 2031, or an Event of Default occurs and
is continuing, a Credit Event will have occurred. Upon the
occurrence of a Credit Event, accrued interest on Class A-2 and the
other offered Notes will be paid as principal to Class A-1 or the
succeeding senior Notes until it has been paid in full. The
redirected amounts will accrue on the balances of the respective
Notes and will later be paid as principal payments.
Natural Disasters/Wildfires
With regard to any mortgage loan that may have suffered material
damage prior to the Closing Date as a result of the Los Angeles
wildfires, the Sponsor will either remove or repurchase the
Potentially Affected Wildfire Property, as defined in the
Indenture, prior to the Closing Date within ninety (90) days of
receipt of evidence and determination by the Sponsor at the
Repurchase Price, as defined in the Indenture, and provide notice
to the Indenture Trustee of such repurchase.
Maryland Consumer Purpose
In 2024, the Maryland Appellate Court ruled that a statutory trust
that held a defaulted home equity line of credit (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.
Notes: All figures are in U.S. dollars unless otherwise noted.
RCKT MORTGAGE 2025-CES2: Fitch Gives B(EXP) Rating on 5 Tranches
----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
issued by RCKT Mortgage Trust 2025-CES2 (RCKT 2025-CES2).
Entity/Debt Rating
----------- ------
RCKT Mortgage
Trust 2025-CES2
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
A-1 LT AAA(EXP)sf Expected Rating
A-4 LT AA(EXP)sf Expected Rating
A-5 LT A(EXP)sf Expected Rating
A-6 LT BBB(EXP)sf Expected Rating
B-1A LT BB(EXP)sf Expected Rating
B-X-1A LT BB(EXP)sf Expected Rating
B-1B LT BB(EXP)sf Expected Rating
B-X-1B LT BB(EXP)sf Expected Rating
B-2A LT B(EXP)sf Expected Rating
B-X-2A LT B(EXP)sf Expected Rating
B-2B LT B(EXP)sf Expected Rating
B-X-2B LT B(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The notes are supported by 4,408 closed-end second lien (CES) loans
with a total balance of approximately $385 million as of the cutoff
date. The pool consists of CES mortgages acquired by Woodward
Capital Management LLC from Rocket Mortgage LLC. Distributions of
principal and interest (P&I) and loss allocations are based on a
traditional senior-subordinate, sequential structure in which
excess cash flow can be used to repay losses or net weighted
average coupon (WAC) shortfalls.
KEY RATING DRIVERS
Fitch views the home price values of this pool as 11.1% 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 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
Prime Credit Quality (Positive): The collateral consists of 4,408
loans totaling about $385 million, seasoned at around four months
in aggregate, as calculated by Fitch (one month, per the
transaction documents), taken as the difference between the
origination date and the cutoff date. The borrowers have a strong
credit profile, including a WA Fitch model FICO score of 741, a
debt-to-income ratio (DTI) of 39.8% and moderate leverage, with a
sustainable loan-to-value ratio (sLTV) of 77.5%.
Second Lien Collateral (Negative): The entirety of the collateral
pool consists of second lien loans originated by Rocket Mortgage,
LLC. Fitch assumed no recovery and 100% loss severity (LS) on
second-lien loans based on the historical behavior of second-lien
loans in economic stress scenarios. Fitch assumes second lien loans
default at a rate comparable to first lien loans. After controlling
for credit attributes, no additional penalty was applied.
Sequential Payment Structure (Positive): The transaction features a
typical sequential payment structure. Principal is used to pay down
the bonds sequentially and losses are allocated reverse
sequentially. Monthly excess cashflow is derived from remaining
amounts after allocation of the interest and principal priority of
payments. These amounts will be applied as principal first to repay
any current and previously allocated cumulative applied realized
loss amounts and then to repay any potential net WAC shortfalls.
The senior classes incorporate a step-up coupon of 1.00% (to the
extent still outstanding) after the 48th payment date.
180 Day Charge Off Feature (Positive): The servicer can write off
the balance of a loan at 180 days delinquent based on the MBA
delinquency method, but it is not obligated to do so. If the
servicer expects a meaningful recovery in a liquidation scenario,
the Majority Class XS Noteholder may direct the servicer to
continue to monitor the loan and not charge it off. The 180-day
charge-off feature will cause losses to occur sooner while there is
a larger amount of excess interest to protect against losses.
This compares favorably to a delayed liquidation scenario where the
loss occurs later in the life of the deal and less excess is
available. If the loan is not charged off due to a presumed
recovery, this will provide additional benefit to the transaction
above Fitch's expectations. Additionally, subsequent recoveries
realized after the writedown at 180 days' delinquent (excluding
forbearance mortgage or loss mitigation loans) will be passed on to
bondholders as principal.
In higher stress scenarios, Fitch does not expect loan workouts
because less or negative equity will remain. In this situation, the
six-month timeline is reasonable for cashflow analysis. In lower
stresses, there is a higher possibility of charge off not occurring
due to potential recoveries, which would be more positive than
Fitch's analysis assumed.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch's incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national level to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 42.2% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, already rated
'AAAsf', the analysis indicates there is potential positive rating
migration for all of the rated classes. Specifically, a 10% gain in
home prices would result in a full category upgrade for the rated
class excluding those assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC. The third-party due diligence
described in Form 15E focused on credit, regulatory compliance and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% PD credit to the 25.0% of the pool by loan count
in which diligence was conducted. This adjustment resulted in a
19bps reduction to the 'AAAsf' expected loss.
ESG Considerations
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.
REGATTA XX: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Regatta XX Funding Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Regatta XX Funding Ltd.
A-R LT NRsf 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
Suboordinated Notes LT NRsf New Rating
X LT NRsf New Rating
Transaction Summary
Regatta XX Funding Ltd. (the issuer), a reset transaction which
originally closed in September 2021, is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Napier Park Global
Capital (US) LP. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first-lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.67 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
97.69% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.25% versus a
minimum covenant, in accordance with the initial expected matrix
point of 67.73%.
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 11.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 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 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
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 Regatta XX Funding
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.
RFR TRUST 2025-SGRM: Fitch Assigns B+(EXP)sf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following expected ratings and
Rating Outlooks to RFR Trust 2025-SGRM, Commercial Mortgage
Pass-Through Certificates series 2025-SGRM:
- $630,600,000 class A at 'AAAsf'; Outlook Stable;
- $88,000,000 class B at 'AA-sf'; Outlook Stable;
- $81,300,000 class C at 'A-sf'; Outlook Stable;
- $114,500,000 class D at 'BBB-sf'; Outlook Stable;
- $155,600,000 class E at 'BB-sf'; Outlook Stable;
- $69,500,000 class F at 'B+sf'; Outlook Stable;
Fitch does not expect to rate the following classes:
- $1,200,000,000 class X;
- $60,500,000 class HRR*.
*HRR - Horizontal risk retention interest representing
approximately 5.0% of the estimated fair value of all classes of
regular certificates.
Transaction Summary
The certificates represent the beneficial ownership interest in a
trust expected to comprise a $1.2 billion, four-year, fixed-rate,
interest-only commercial mortgage whole loan.
The mortgage will be secured by, among other considerations, the
borrower's fee simple interest in the Seagram Building, an
859,934-sf, 38-story, class A office tower located in Midtown
Manhattan.
Mortgage loan proceeds, along with $24.2 million of existing loan
reserves, will be used to refinance $1.15 billion of prior debt,
fund $46.9 million in upfront reserves related to ongoing landlord
obligations and free rent, pay additional mortgage recording tax of
$13.2 million, and pay estimated closing-related costs of $11.1
million in a cash-neutral transaction. The loan sponsor is RFR,
which is indirectly owned and controlled by Aby Rosen and Michael
Fuchs.
The loan is expected to be co-originated by Morgan Stanley Mortgage
Capital Holdings LLC, Citi Real Estate Funding Inc. and JPMorgan
Chase Bank, National Association, which will act as trust loan
sellers. Wells Fargo Bank, National Association will serve as the
master servicer, and Situs Holdings, LLC will serve as the special
servicer. Computershare Trust Company, National Association will
act as trustee and certificate administrator.
The certificates will follow a sequential-pay structure. The
transaction is scheduled to close on March 5, 2025.
KEY RATING DRIVERS
Net Cash Flow: Fitch's net cash flow (NCF) for the property is
estimated at $77.59 million, 17.3% lower than the issuer's NCF.
Fitch applied a 7.0% cap rate to derive a Fitch value of $1.108
billion for the property. The Fitch cap rate is among the lowest
applied to an office building, given the many unique factors of the
asset, its location and its tenancy.
High Fitch Leverage: The $1.2 billion mortgage loan equates to
total senior debt of approximately $1,397 psf, with a Fitch
stressed loan-to-value ratio (LTV), debt service coverage ratio
(DSCR) and debt yield (DY) of 108.3%, 0.81x and 6.5%, respectively.
The lowest Fitch-rated tranche (class F) has a Fitch LTV, DSCR and
DY of 102.8%, 0.85x and 6.8%, respectively.
Trophy Quality Asset; Superior Manhattan Location: The loan is
secured by the Seagram Building, an iconic 859,934-sf, 38-story,
class A office tower located in the Plaza district of Midtown
Manhattan. The property is easily accessible to many parts of the
New York City MSA due to its proximity to several entrances to
Grand Central Terminal, which provides connectivity to many New
York and Connecticut suburbs via the Metro-North Railroad
(Metro-North) and Long Island Rail Road (LIRR) services.
The property has received a LEED Silver certification and features
high-end finishes. The sponsors invested $16.3 million in 2022 to
create The Playground, an amenity complex containing fitness
facilities and athletic courts as well as flex spaces and
conference rooms. Fitch assigned the Seagram Building a property
quality grade of "A".
Well-Positioned Anchor Tenant: The subject's largest tenant is Blue
Owl (27.8% of NRA), which has been a tenant at the property since
2022 and is headquartered in the building. Blue Owl leases nine
floors in the building in two contiguous blocks (floors 2-6 and
floors 16-19). In October 2024, Blue Owl leased floors 16-19
shortly after the previous tenant, Clayton, Dubilier & Rice, gave
notice of its intent to surrender the space in June 2025. This
represents the second instance of Blue Owl expanding its footprint
within the building, after previously doing so in 2022.
Blue Owl's space on the fifth floor offers access to two private
terraces and is built out with a conference center and a large
employee cafeteria with a professional kitchen, which serves two
meals a day. Blue Owl is one of several tenants that have outfitted
their spaces with internal staircases to connect suites on adjacent
floors.
Strong Tenant Profile: The Seagram Building is considered one of
Manhattan's most iconic office addresses and is in high demand for
a diverse group of high-quality tenants. The building is 96.3%
physically occupied by 40 tenants and has a higher concentration of
investment-grade or creditworthy tenants relative to other
multitenant office buildings rated by Fitch.
Approximately 36.8% of the NRA and 40.7% of Fitch's base rent
comprise creditworthy tenants, including Blue Owl and TIAA of
America. Furthermore, 64% of tenants have either their global or
U.S. headquarters at the property, including RFR Realty. The
property has an in-place weighted average lease term remaining
(WALTR) of 9.7 years, which is well past the loan maturity date in
2029.
Institutional Sponsorship: The sponsor is RFR, which is indirectly
owned and controlled by Aby Rosen and Michael Fuchs. RFR was
founded in 1991 and has a commercial real estate (CRE) portfolio of
more than 100 properties containing over 25 million sf. RFR's
portfolio includes office properties in New York, Stamford, Miami,
Seattle, San Francisco and Denver.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf'
/ 'B+sf';
-10% NCF Decrease: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' /
'B-sf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf'
/ 'B+sf';
- 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / 'BBsf' /
'BB-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-calculation of
certain characteristics with the respect to the 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.
RR 38: S&P Assigns Prelim BB- (sf) Rating on Class D Notes
----------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to RR 38
Ltd./RR 38 LLC's class A-1a and D floating-rate debt.
The 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 Redding Ridge Asset Management LLC.
The preliminary ratings are based on information as of Feb. 19,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
RR 38 Ltd/RR 38 LLC
Class A-1a, $372.0 million: AAA (sf)
Class A-1b, $30.0 million: Not rated
Class A-2, $45.0 million: Not rated
Class B (deferrable), $45.0 million: Not rated
Class C-1 (deferrable), $36.0 million: Not rated
Class C-2 (deferrable), $6.0 million: Not rated
Class D (deferrable), $18.0 million: BB- (sf)
Subordinated notes, $55.9 million: Not rated
SIGNAL PEAK 10: S&P Assigns BB- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its 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 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."
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 XIV: S&P Assigns B- (sf) Rating on Class F-R2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R2 debt and the new class X and F-R2 debt from Sixth Street CLO
XIV Ltd./Sixth Street CLO XIV LLC, a CLO formerly known as TICP CLO
XIV Ltd. and managed by Sixth Street CLO XIV Management LLC that
was originally issued in September 2019 and underwent a refinancing
in December 2021. At the same time, S&P withdrew its ratings on the
class A-1-R, A-2-R, B-R, C-R, and D-R debt following payment in
full on the Feb. 20, 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 reestablished and will end in January
2027.
-- The reinvestment period was reestablished and will end in
January 2030.
-- The stated maturity was extended to January 2038.
-- The new class X debt was issued in connection with this
refinancing. This debt will be paid down using interest proceeds
beginning with the payment date in July 2025.
-- The new class F-R2 debt was issued in connection with this
refinancing.
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 XIV Ltd./Sixth Street CLO XIV LLC
Class X, $4.00 million: AAA (sf)
Class A-1-R2, $244.00 million: AAA (sf)
Class F-R2 (deferrable), $0.20 million: B- (sf)
Ratings Withdrawn
Sixth Street CLO XIV Ltd./Sixth Street CLO XIV LLC
Class A-1-R to NR from 'AAA (sf)'
Class A-2-R to NR from 'AA (sf)'
Class B-R to NR from 'A (sf)'
Class C-R to NR from 'BBB- (sf)'
Class D-R to NR from 'BB- (sf)'
Other Debt
Sixth Street CLO XIV Ltd./Sixth Street CLO XIV LLC
Class A-2-R2, $11.00 million: NR
Class B-R2, $45.00 million: NR
Class C-R2 (deferrable), $27.00 million: NR
Class D-1-R2 (deferrable), $25.00 million: NR
Class D-2-R2 (deferrable), $2.00 million: NR
Class E-R2 (deferrable), $14.00 million: NR
Subordinated notes(i), $38.80 million: NR
(i)Includes $2.45 million of subordinated notes issued on the Feb.
20, 2025, refinancing date.
NR--Not rated.
SIXTH STREET XIV: S&P Assigns Prelim B- (sf) Rating on F-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R2 debt and proposed new class X and F-R2
debt from Sixth Street CLO XIV Ltd./Sixth Street CLO XIV LLC, a CLO
formerly known as TICP CLO XIV Ltd. and managed by Sixth Street CLO
XIV Management LLC that was originally issued in September 2019 and
underwent a refinancing in December 2021.
The preliminary ratings are based on information as of Feb. 14,
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 December 2021 debt. S&P
said, "At that time, we expect to withdraw our ratings on the
December 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 December 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 debt.
According to the proposed supplemental indenture:
-- The non-call period will be reestablished and is expected to
end in January 2027.
-- The reinvestment period will be reestablished and is expected
to end in January 2030.
-- The stated maturity will be extended to January 2038.
-- The proposed new class X debt will be issued in connection with
this refinancing. This debt is expected to be paid down using
interest proceeds beginning with the payment date in July 2025.
-- The proposed new class F-R2 debt will be issued in connection
with this refinancing.
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
Sixth Street CLO XIV Ltd./Sixth Street CLO XIV LLC
Class X, $4.00 million: AAA (sf)
Class A-1-R2, $244.00 million: AAA (sf)
Class A-2-R2, $11.00 million: NR
Class B-R2, $45.00 million: NR
Class C-R2 (deferrable), $27.00 million: NR
Class D-1-R2 (deferrable), $25.00 million: NR
Class D-2-R2 (deferrable), $2.00 million: NR
Class E-R2 (deferrable), $14.00 million: NR
Class F-R2 (deferrable), $0.20 million: B- (sf)
Other Debt
Sixth Street CLO XIV Ltd./Sixth Street CLO XIV LLC
Subordinated notes(i), $38.80 million: NR
(i)Includes $2.45 million of subordinated notes that will be issued
on the Feb. 20, 2025, refinancing date.
NR--Not rated.
SLM STUDENT 2007-6: Moody's Lowers Rating on Cl. A-5 Certs to Ba1
-----------------------------------------------------------------
Moody's Ratings has taken action on 31 classes of notes issued by
24 student loan securitizations serviced by Navient Solutions, LLC.
The securitizations are backed by student loans originated under
the Federal Family Education Loan Program (FFELP) that are
guaranteed by the US government for a minimum of 97% of defaulted
principal and accrued interest.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Navient Student Loan Trust 2015-1
Floating Rate Class A-2 Notes, Downgraded to Baa2 (sf); previously
on Mar 15, 2024 Downgraded to A3 (sf)
Issuer: SLC Student Loan Trust 2005-2
Cl. A-4, Downgraded to A1 (sf); previously on Jun 3, 2020
Downgraded to Aa1 (sf)
Issuer: SLC Student Loan Trust 2006-2
Cl. A-6, Downgraded to A1 (sf); previously on Jul 10, 2024
Downgraded to Aa2 (sf)
Issuer: SLM Student Loan Trust 2003-11
Cl. A-7, Downgraded to A2 (sf); previously on May 24, 2024
Downgraded to A1 (sf)
Issuer: SLM Student Loan Trust 2004-1
Cl. A-6, Downgraded to Baa1 (sf); previously on May 24, 2024
Downgraded to A1 (sf)
Cl. B, Downgraded to Baa3 (sf); previously on May 24, 2024
Confirmed at Baa2 (sf)
Issuer: SLM Student Loan Trust 2004-2
Cl. B, Downgraded to Baa3 (sf); previously on May 24, 2024
Confirmed at Baa2 (sf)
Issuer: SLM Student Loan Trust 2004-5
Cl. B, Upgraded to Baa1 (sf); previously on May 24, 2024 Downgraded
to Baa2 (sf)
Issuer: SLM Student Loan Trust 2004-8
Cl. A-6, Downgraded to A2 (sf); previously on Apr 4, 2024
Downgraded to Aa3 (sf)
Issuer: SLM Student Loan Trust 2005-3
Cl. B, Downgraded to A2 (sf); previously on Nov 1, 2016 Downgraded
to A1 (sf)
Issuer: SLM Student Loan Trust 2005-4
Cl. A-4, Downgraded to A1 (sf); previously on May 24, 2024
Confirmed at Aa1 (sf)
Issuer: SLM Student Loan Trust 2005-5
Cl. A-5, Downgraded to A2 (sf); previously on May 24, 2024
Downgraded to Aa3 (sf)
Issuer: SLM Student Loan Trust 2005-8
Cl. A-5, Downgraded to A1 (sf); previously on May 24, 2024
Confirmed at Aa1 (sf)
Issuer: SLM Student Loan Trust 2005-9
Cl. A-7a, Downgraded to A1 (sf); previously on Apr 4, 2024
Downgraded to Aa3 (sf)
Cl. A-7b, Downgraded to A1 (sf); previously on Apr 4, 2024
Downgraded to Aa3 (sf)
Issuer: SLM Student Loan Trust 2006-10
Cl. B, Upgraded to A2 (sf); previously on May 24, 2024 Upgraded to
A3 (sf)
Issuer: SLM Student Loan Trust 2006-2
Cl. A-6, Downgraded to A2 (sf); previously on May 24, 2024
Downgraded to Aa2 (sf)
Issuer: SLM Student Loan Trust 2006-5
Cl. B, Downgraded to Baa2 (sf); previously on Jul 29, 2021
Downgraded to Baa1 (sf)
Issuer: SLM Student Loan Trust 2006-7
Cl. A-6A, Downgraded to A1 (sf); previously on May 24, 2024
Downgraded to Aa2 (sf)
Cl. A-6B, Downgraded to A1 (sf); previously on May 24, 2024
Downgraded to Aa2 (sf)
Cl. A-6C, Downgraded to A1 (sf); previously on May 24, 2024
Downgraded to Aa2 (sf)
Cl. B, Upgraded to Aaa (sf); previously on May 24, 2024 Downgraded
to A1 (sf)
Issuer: SLM Student Loan Trust 2006-8
Cl. A-6, Downgraded to Baa1 (sf); previously on May 24, 2024
Downgraded to A2 (sf)
Cl. B, Downgraded to Baa3 (sf); previously on May 24, 2024
Confirmed at Baa2 (sf)
Issuer: SLM Student Loan Trust 2006-9
Cl. A-6, Downgraded to Baa3 (sf); previously on May 24, 2024
Downgraded to Baa2 (sf)
Issuer: SLM Student Loan Trust 2007-1
Cl. A-6, Downgraded to Baa2 (sf); previously on May 24, 2024
Downgraded to A3 (sf)
Issuer: SLM Student Loan Trust 2007-6
Cl. A-5, Downgraded to Ba1 (sf); previously on May 24, 2024
Downgraded to Baa2 (sf)
Issuer: SLM Student Loan Trust 2009-3
Cl. A, Downgraded to Baa2 (sf); previously on May 7, 2024
Downgraded to A3 (sf)
Issuer: SLM Student Loan Trust 2011-2
Class A-2 Notes, Upgraded to Aaa (sf); previously on Dec 19, 2023
Downgraded to A1 (sf)
Issuer: SLM Student Loan Trust 2011-3
Floating Rate Cl. A Note, Upgraded to Aaa (sf); previously on May
7, 2024 Downgraded to A1 (sf)
Floating Rate Cl. B Notes, Upgraded to A1 (sf); previously on May
7, 2024 Downgraded to A2 (sf)
RATINGS RATIONALE
The rating actions reflect updated performance of the transactions
and updated expected loss on the tranches across Moody's cash flow
scenarios. Moody's quantitative analysis derives the expected loss
of the tranche using 28 cash flow scenarios with weights accorded
to each scenario.
For SLC Student Loan Trust 2005-2, SLC Student Loan Trust 2006-2,
SLM Student Loan Trust 2003-11, SLM Student Loan Trust 2004-1, SLM
Student Loan Trust 2004-2, SLM Student Loan Trust 2004-8, SLM
Student Loan Trust 2005-3, SLM Student Loan Trust 2005-4, SLM
Student Loan Trust 2005-5, SLM Student Loan Trust 2005-8, SLM
Student Loan Trust 2005-9, SLM Student Loan Trust 2006-2, SLM
Student Loan Trust 2006-5, SLM Student Loan Trust 2006-7, SLM
Student Loan Trust 2006-8, SLM Student Loan Trust 2006-9, SLM
Student Loan Trust 2007-1, SLM Student Loan Trust 2007-6, SLM
Student Loan Trust 2009-3, and Navient Student Loan Trust 2015-1,
the downgrade rating actions also reflect an updated consideration
of the impact of the collateral data format in Moody's analysis.
For several years, servicing data for these transactions has been
reported based in part on collateral representative loans
("replines") grouped by remaining term, providing a more granular
view than in earlier reporting. Under this format, the remaining
term distribution of the collateral pools is less clustered around
the collateral weighted average maturity and more widely
distributed than in earlier reports. In Moody's previous analysis
for the longer-dated bonds (those with legal final maturity dates
more than five years away), Moody's made positive adjustments to
model outputs to normalize the impact of the collateral data format
on modeled cashflows. However, given the observed weak underlying
pool performance trends for the sector and to reflect data format
considerations more consistently across issuers, Moody's are no
longer applying these adjustments. The weighted average remaining
terms (WAM) on the underlying pools for many FFELP ABS transactions
continue to rise as utilization of Income-Based-Repayment (IBR)
plans remains high, reducing collateral pool amortization rates and
increasing the risk of notes not paying down by their legal final
maturity dates. Additionally, Moody's expect prepayment rates to
decline for FFELP transactions generally due to the suspension of
the Saving on a Valuable Education (SAVE) Plan, further reducing
collateral amortization rates. The federal SAVE Plan, which
launched in August 2023, offered both lower payments and shorter
forgiveness timelines. To be eligible for the SAVE Plan, millions
of borrowers had consolidated their FFELP debt into Federal Direct
Loans, resulting in a surge in securitized loan prepayments and ABS
bond repayments.
For the Class B notes of SLM Student Loan Trust 2004-5, the Class B
notes of SLM Student Loan Trust 2006-10, the Class B notes of SLM
Student Loan Trust 2006-7, the Class A-2 notes of SLM Student Loan
Trust 2011-2, and the Class A and B notes of SLM Student Loan Trust
2011-3, the upgrade actions reflect the recent paydowns on the
bonds. The high prepayment levels observed between late 2023 and
mid-2024 have reduced the risk of these notes not being paid down
by their legal final maturity dates.
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 METHODOLOGY
The principal methodology used in these ratings was "FFELP Student
Loan Securitizations" published in December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings if the paydown speed of the loan
pool increases as a result of declining borrower usage of
deferment, forbearance and IBR, increasing voluntary prepayment
rates, or prepayments with proceeds from sponsor repurchases of
student loan collateral. Moody's could also upgrade the ratings
owing to a build-up in credit enhancement and upgrades of the CR
Assessment on the swap counterparty, when applicable.
Down
Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. In addition, because the US Department of
Education guarantees at least 97% of principal and accrued interest
on defaulted loans, Moody's could downgrade the rating of the notes
if it were to downgrade the rating on the United States government.
Moody's could also downgrade the ratings owing to downgrades of the
CR Assessment on the swap counterparty, when applicable.
SOFI PERSONAL 2024-2: Fitch Lowers Rating on Cl. F Notes to 'B-sf'
------------------------------------------------------------------
Fitch Ratings has taken the following rating actions on two SoFi
Personal Loan Trusts (SPLT).
Entity/Debt Rating Prior
----------- ------ -----
SoFi Personal Loan
Trust 2024-1
A 83407RAA3 LT AAAsf Upgrade AAsf
SoFi Personal Loan
Trust 2024-2
A 83407NAA2 LT AAAsf Affirmed AAAsf
B 83407NAB0 LT AAsf Affirmed AAsf
C 83407NAC8 LT Asf Affirmed Asf
D 83407NAD6 LT BBBsf Affirmed BBBsf
E 83407NAE4 LT B+sf Downgrade BBsf
F 83407NAF1 LT B-sf Downgrade BBsf
Transaction Summary
SPLT 2024-1 and SPLT 2024-2 are discrete trusts each backed by
static pools of unsecured consumer loans originated by SoFi Bank,
National Association (SoFi Bank) under the SoFi Personal Loan
Program. Due to delinquencies and defaults that are higher than
initially expected, Fitch revised its base case default assumption
upward for each of these transactions. SPLT 2024-1 and SPLT 2024-2
lifetime cumulative default rate assumptions have been increased to
7.88% and 7.94%, respectively, from 5.00% for each at closing.
SPLT 2024-1 benefits from credit enhancement (CE) that has
increased since closing due to the transaction's turbo feature
following the breach of the Cumulative Net Loss (CNL) trigger.
Despite worse than expected performance, Fitch has upgraded the
class A note and assigned a Stable Outlook due to the note passing
Fitch's modeling at the requisite rating levels under the revised
assumptions.
Despite the worsening performance and revised default assumption,
SPLT 2024-2 class A through class D have built up CE to the degree
that they are able to absorb the higher defaults at their relative
rating level stresses. In particular, the transaction's breach of
the CNL trigger stopping excess cash from being released from the
structure, contributes to an acceleration in the CE build-up for
these notes. Fitch has affirmed the ratings of class A and class D,
with their Outlooks remaining Stable. Fitch has affirmed the
ratings for class B and class C and revised their Outlooks to
Positive from Stable.
The SPLT 2024-2 class E and class F CEs are unable to absorb the
higher default assumptions at their originally assigned 'BBsf'
rating level stresses. The current CE for both classes is negative
and has been declining for the past three payment dates. Fitch has
downgraded Class E and class F to reflect current CE levels
relative to the pool's delinquencies and expected defaults. Fitch
has revised class E and class F Outlook to Negative from Stable to
reflect potential risk of further CE deterioration.
KEY RATING DRIVERS
Adequate Receivable Quality: The SPLT 2024-1 and SPLT 2024-2 pool
primarily consists of unsecured consumer loans made to obligors
with strong credit scores (average credit score of 747 and 746,
respectively) and high incomes (weighted average [WA] income of
$183,166 and $183,396, respectively). The pools consist of
amortizing loans with a WA net interest rate of 14.626% and
14.633%, respectively. WA original terms are 38.5 months and 38.0
months, respectively. The pools are on average 10.5 months for
2024-1 and 11.0 months for 2024-2 seasoned.
Base Case Default Reflects Weakened Performance: The default
performance for securitizations issued after 2022 has been trending
weaker than historical originations. Due to this deterioration and
observed SPLT 2024-1 and SPLT 2024-1 pool performance worse than
initial expectations, Fitch revised its lifetime base case default
assumption to 7.88% from the initial 5.00% set at issuance for SPLT
2024-1 and to 7.94% from the initial 5.00% set at issuance for SPLT
2024-2. At issuance, Fitch also applied a stress multiple of 4.5x
at the 'AAAsf' stress level for the pools of both deals. Fitch
revises the stress multiple to 4.35x at the 'AAAsf' for both
transactions, to account for the portfolios' higher losses to
date.
Credit Enhancement Mitigates Stressed Losses for Senior Notes:
Despite the worsening performance and revised default assumption,
in the case of SPLT 2024-1, the transaction has built up CE to the
degree that it is able to absorb the higher losses at the current
rating level stresses. In particular, the transaction's turbo
feature, triggered by the breach of CNL trigger, contributes to an
acceleration in the CE build-up. As of the January 2025, payment
date, CE is 14.97% compared to 12.53% at origination.
In the case of SPLT 2024-2, Class A through Class D have built
enough CE to withstand the higher losses at the current rating
level stresses. In particular, the transaction's turbo feature,
triggered by the breach of CNL trigger, contributes to an
acceleration in the CE build-up for classes senior to Class E.
As of January 2025, Class A CE is 39.48% up from 24.52% at
issuance; Class B CE is 27.03% up from 17.27% at issuance; Class C
CE is 15.41% up from 10.50% at issuance; Class D CE is 7.27% up
from 5.77% at issuance. Class E and Class F are experiencing CE
deterioration due to the diversion of the excess spread to pay off
senior note, as well as a very high prepayment rate at 38.40% as of
January which further erodes the overcollateralization and excess
spread of the portfolio. Class E and Class F are therefore not able
to withstand the higher losses at the current rating level
stresses.
Adequate Servicing Capabilities: SoFi has a long track record as an
originator, underwriter and servicer. SoFi began originating
personal loans in 2015. The entity's credit risk profile is
mitigated by backup servicing provided by Systems & Services
Technologies, Inc. (SST). Fitch considers all parties to be
adequate servicers for this pool at their expected rating levels.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
SPLT 2024-1
Current Ratings: 'AAAsf'
Increased default base case by 10%: 'AAAsf'
Increased default base case by 25%: 'AAAsf'
Increased default base case by 50%: 'AAAsf'
SPLT 2024-2
Current Ratings: 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'B+', 'B-'
Increased default base case by 10%: 'AAAsf', 'AAAsf', AA-sf',
'BBB+sf', 'B-sf', 'CCCsf'
Increased default base case by 25%: 'AAAsf', 'AA+sf', 'Asf',
'BBB-sf', 'CCCsf', 'NR'
Increased default base case by 50%: 'AAAsf', 'AA-sf', 'A-sf',
'BB+sf', 'NR', 'NR'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
SPLT 2024-1
No positive rating action/upgrade sensitivity is provided for the
notes as the class A notes are at their highest achievable
ratings.
SPLT 2024-2
Current Ratings: 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'B+', 'B-'
Decreased default base case by 25%: 'AAAsf', 'AAAsf', 'AAsf',
'BBB+sf', 'B+sf', 'B-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.
SYMPHONY CLO XXIII: Fitch Assigns BB-sf Final Rating on E-R2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Symphony
CLO XXIII, Ltd. refinancing notes.
Entity/Debt Rating
----------- ------
Symphony CLO XXIII,
Ltd. - Refi.
A-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1R2 LT BBBsf New Rating
D-2R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Symphony CLO XXIII, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO), managed by Symphony
Alternative Asset Management LLC, that originally closed in
November 2020. Net proceeds from the issuance of the secured and
subordinated notes will provide refinancing on a portfolio of
approximately $338 million (excluding defaults) of primarily
first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 27.12 versus a maximum covenant, in
accordance with the initial expected matrix point of 30. 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
95.3% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.8% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72.5%.
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 is in a
post-reinvestment period; however, limited trading activity is
still permissible. 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 between 'BBB+sf' and 'AA+sf' for class A-R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-1-R2,
between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between
less than 'B-sf' and 'BB-sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf'
for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class
E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Symphony CLO XXIII,
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.
SYMPHONY CLO XXXI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class X-R, A-R, B-R, C-R, D-R, and E-R debt from
Symphony CLO XXXI Ltd./Symphony CLO XXXI LLC, a CLO managed by
Symphony Alternative Asset Management LLC that was originally
issued in March 2022.
The preliminary ratings are based on information as of Feb. 20,
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 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 CME term
SOFR than the original debt.
-- The replacement class X-R debt is expected to be issued at a
higher spread over three-month CME term SOFR than the original
debt.
-- The replacement class X-R, 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 replacement class D-R debt is expected to receive a
preliminary rating of 'BBB (sf)', in comparison with the original
class D debt, which is currently rated 'BBB- (sf)'.
-- The reinvestment period will be extended to Jan. 22, 2030.
-- The stated maturity will be extended to Jan. 22, 2038.
-- The class X-R debt will be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds during the first eight payment dates beginning
with the second payment date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Symphony CLO XXXI Ltd./Symphony CLO XXXI LLC
Class X-R, $5.00 million: AAA (sf)
Class A-R, $310.00 million: AAA (sf)
Class B-R, $70.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-R (deferrable), $28.15 million: BBB (sf)
Class E-R (deferrable), $21.85 million: BB- (sf)
Other Debt
Symphony CLO XXXI Ltd./Symphony CLO XXXI LLC
Subordinated notes, $57.25 million: Not rated
TCW CLO 2019-2: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
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S&P Global Ratings assigned its ratings to the class A-1R2, A-2R2,
B-R2, C-R2, D-1R2, D-2R2, and E-R2 replacement debt from TCW CLO
2019-2 Ltd./TCW CLO 2019-2 LLC, a CLO originally issued in November
2019 transaction that was first refinanced in February 2022 and is
managed by TCW Asset Management Co. LLC. At the same time, S&P
withdrew its ratings on the previous class A-1R, A-2R, B-R, C-R,
D-R, and E-R debt following payment in full on the Feb. 20, 2025,
refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Jan. 20, 2027.
-- The reinvestment period was extended to Jan. 20, 2030.
-- The legal final maturity date was extended to Jan. 20, 2038.
-- The target par amount remained at $400.00 million. There is no
additional effective date or ramp-up period, and the first payment
date following the second refinancing is July 20, 2025.
-- Additional subordinated notes with a notional balance of $20.75
million were issued on the second 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
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC
Class A-1R2, $248.0 million: AAA (sf)
Class A-2R2, $16.0 million: AAA (sf)
Class B-R2, $40.0 million: AA (sf)
Class C-R2 (deferrable), $24.0 million: A (sf)
Class D-1R2 (deferrable), $24.0 million: BBB (sf)
Class D-2R2 (deferrable), $6.0 million: BBB- (sf)
Class E-R2 (deferrable), $10.0 million: BB- (sf)
Ratings Withdrawn
TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC
Class A-1R to not rated from 'AAA (sf)'
Class A-2R to not rated from 'AAA (sf)'
Class B-R to not rated from 'AA (sf)'
Class C-R to not rated from 'A (sf)'
Class D-R to not rated from 'BBB- (sf)'
Class E-R to not rated from 'BB- (sf)'
Other Outstanding Debt
TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC
Subordinated notes, $60.7 million: Not rated
TOWD POINT 2025-CRM1: DBRS Gives Prov. B Rating on B2 Notes
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DBRS, Inc. assigned provisional credit ratings to the following
Asset-Backed Securities, Series 2025-CRM1 (the Notes) to be issued
by Towd Point Mortgage Trust 2025-CRM1 (TPMT 2025-CRM1 or the
Trust):
-- $251.2 million Class A1 at (P) AAA (sf)
-- $22.3 million Class A2 at (P) AA (high) (sf)
-- $16.3 million Class M1 at (P) A (sf)
-- $13.8 million Class M2 at (P) BBB (low) (sf)
-- $10.3 million Class B1 at (P) BB (low) (sf)
-- $6.3 million Class B2 at (P) B (sf)
-- $22.3 million Class A2A at (P) AA (high) (sf)
-- $22.3 million Class A2AX at (P) AA (high) (sf)
-- $22.3 million Class A2B at (P) AA (high) (sf)
-- $22.3 million Class A2BX at (P) AA (high) (sf)
-- $22.3 million Class A2C at (P) AA (high) (sf)
-- $22.3 million Class A2CX at (P) AA (high) (sf)
-- $22.3 million Class A2D at (P) AA (high) (sf)
-- $22.3 million Class A2DX at (P) AA (high) (sf)
-- $16.3 million Class M1A at (P) A (sf)
-- $16.3 million Class M1AX at (P) A (sf)
-- $16.3 million Class M1B at (P) A (sf)
-- $16.3 million Class M1BX at (P) A (sf)
-- $16.3 million Class M1C at (P) A (sf)
-- $16.3 million Class M1CX at (P) A (sf)
-- $16.3 million Class M1D at (P) A (sf)
-- $16.3 million Class M1DX at (P) A (sf)
-- $13.8 million Class M2A at (P) BBB (low) (sf)
-- $13.8 million Class M2AX at (P) BBB (low) (sf)
-- $13.8 million Class M2B at (P) BBB (low) (sf)
-- $13.8 million Class M2BX at (P) BBB (low) (sf)
-- $13.8 million Class M2C at (P) BBB (low) (sf)
-- $13.8 million Class M2CX at (P) BBB (low) (sf)
-- $13.8 million Class M2D at (P) BBB (low) (sf)
-- $13.8 million Class M2DX at (P) BBB (low) (sf)
The (P) AAA (sf) credit rating on the Notes reflects 24.60% of
credit enhancement provided by subordinated notes. The (P) AA
(high) (sf), (P) A (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and
(P) B (sf) credit ratings reflect 17.90%, 13.00%, 8.85%, 5.75%, and
3.85% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
TPMT 2025-CRM1 is a securitization of a portfolio of fixed, prime
and near-prime, closed-end second-lien (CES) and first- and
junior-lien revolving home equity lines of credit (HELOCs)
residential mortgages funded by the issuance of the Asset-Backed
Securities, Series 2025-CRM1 (the Notes). The Notes are backed by
3,868 mortgage loans with a total principal balance of $333,157,392
(CES mortgage loans totaling to $242,944,527 as of the CES Mortgage
Cut-Off Date (January 1, 2025), and HELOC total outstanding balance
of $90,212,865 as of the HELOC Loan Mortgage Cut-off Date (December
31, 2024).
TPMT 2025-CRM1 represents the ninth junior lien securitization by
FirstKey Mortgage, LLC and first by CRM 2 Sponsor, LLC. Spring EQ,
LLC (Spring EQ; 76.5%) is the top originator for the mortgage
pool.
Newrez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 84.9%)
and loanDepot.com LLC (loanDepot; 15.1%) are the Servicers of the
loans in this transaction.
U.S. Bank Trust Company, National Association (rated AA with a
Stable trend by Morningstar DBRS) will act as the Indenture
Trustee, Paying Agent, Administrative Trustee, Note Registrar, and
Administrator. U.S. Bank National Association and Computershare
Trust Company, N.A. (rated BBB (high) with a Stable trend by
Morningstar DBRS) will act as the Custodians.
CRM 2 Sponsor, LLC (CRM) will acquire the loans from various
transferring trusts on the Closing Date. The transferring trusts
acquired the mortgage loans from the Originators. CRM and the
transferring trusts are beneficially owned by funds managed by
affiliates of Cerberus Capital Management, L.P. Upon acquiring the
loans from the transferring trusts, CRM will transfer the loans to
CRM 2 Depositor, LLC (the Depositor). The Depositor in turn will
transfer the loans to Towd Point Mortgage Grantor Trust 2025-CRM1
(the Grantor Trust). The Grantor Trust will issue two classes of
certificates - P&I Grantor Trust Certificate and IO Grantor Trust
Certificate. The Grantor Trust certificates will be issued in the
name of the Issuer. The Issuer will pledge P&I Grantor Trust
Certificate with the Indenture Trustee and will be the primary
asset of the Trust. As a Sponsor, CRM, through one or more
majority-owned affiliates, will acquire and retain a 5% eligible
vertical interest in each class of securities to be issued (other
than Class D or any residual certificates) to satisfy the credit
risk retention requirements.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules,
they were made to borrowers who generally do not qualify for
agency, government, or private-label nonagency prime jumbo products
for various reasons. In accordance with the Qualified Mortgage
(QM)/ATR rules, 9.3% of the loans are designated as non-QM, 11.6%
are designated as QM Rebuttable Presumption, and 50.7% are
designated as QM Safe Harbor. Approximately 1.3% and 27.1% of the
mortgages are loans made to investors for business purposes and
HELOC loans, respectively, and were not subject to the QM/ATR
rules.
For the CES mortgage loans, the Servicers will generally fund
advances of delinquent principal and interest (P&I) on any mortgage
until such loan becomes 60 days delinquent under the Office of
Thrift Supervision (OTS) delinquency method (equivalent to 90 days
delinquent under the Mortgage Bankers Association (MBA) delinquency
method), contingent upon recoverability determination. However, the
Servicer will stop advancing delinquent P&I if the aggregate amount
of unreimbursed P&I advances owed to a Servicer exceeds 90.0% of
the amounts on deposit in the custodial account maintained by such
Servicer. For the HELOC mortgage loans, there will not be any
advancing of delinquent principal or interest on any mortgages by
the Servicers. In addition, for all the mortgage loans, the related
servicer may be obligated to make advances in respect of homeowner
association fees, taxes, and insurance, installment payments on
energy improvement liens, and reasonable costs and expenses
incurred in the course of servicing and disposing of properties
unless a determination is made that there will be material
recoveries.
For this transaction, any junior lien loan that is 150 days
delinquent under the OTS delinquency method (equivalent to 180 days
delinquent under the MBA delinquency method), upon review by the
related Servicer, may be considered a Charged Off Loan. With
respect to a Charged Off Loan, the total unpaid principal balance
will be considered a realized loss and will be allocated reverse
sequentially to the Noteholders. If there are any subsequent
recoveries for such Charged Off Loans, the recoveries will be
included in the principal remittance amount and applied in
accordance with the principal distribution waterfall; in addition,
any class principal balances of Notes that have been previously
reduced by allocation of such realized losses may be increased by
such recoveries sequentially in order of seniority. Morningstar
DBRS' analysis assumes reduced recoveries upon default on loans in
this pool.
This transaction incorporates a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class A2
and subordinate bonds will not be paid from principal proceeds
until the Class A1 Notes are retired.
On or after (1) the payment date in January 2028 or (2) the first
payment date when the aggregate pool balance of the mortgage loans
(other than the Charged Off Loans and the REO properties) is
reduced to less than 30.0% of the Cut-Off Date balance, the call
option holder will have the option to purchase P&I Grantor Trust
Certificate so long as the aggregate proceeds from such purchase
exceeds the minimum price (Optional Redemption). Minimum price will
at least equal sum of (A) class balances of the Notes plus the
accrued interest and unpaid interest, (B) any fees, expenses and
indemnification amounts, and (C) accrued and unpaid amounts owed to
the Class X Certificates minus the Class AX distributable amount.
On or after the first payment date on which the aggregate pool
balance of the mortgage loans and the REO properties is less than
10% of the aggregate pool balance as of the Cut-Off Date, the call
option holder will have the option to purchase P&I Grantor Trust
Certificate at the minimum price (Clean-Up Call).
Approximately 4.6% of the mortgage pool contains loans secured by
mortgage properties that are located within zip codes identified by
FEMA as having been affected by the California wildfires. Each of
the mortgaged property located in these zip codes were inspected
prior to the Closing Date. Each such property inspection report
came back with no damage as of the date of such reports. 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
water, fire, earthquake, earth movement other than earthquake,
windstorm, flood, tornado or similar casualty).
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 pandemic scenarios, which were
first published in April 2020.
Notes: All figures are in US dollars unless otherwise noted.
TOWD POINT 2025-CRM1: Fitch Assigns 'B-sf' Rating on Class B2 Notes
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Fitch Ratings has assigned final ratings to Towd Point Mortgage
Trust 2025-CRM1 (TPMT 2025-CRM1).
Entity/Debt Rating Prior
----------- ------ -----
TPMT 2025-CRM1
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AA-sf New Rating AA-(EXP)sf
A2A LT AA-sf New Rating AA-(EXP)sf
A2AX LT AA-sf New Rating AA-(EXP)sf
A2B LT AA-sf New Rating AA-(EXP)sf
A2BX LT AA-sf New Rating AA-(EXP)sf
A2C LT AA-sf New Rating AA-(EXP)sf
A2CX LT AA-sf New Rating AA-(EXP)sf
A2D LT AA-sf New Rating AA-(EXP)sf
A2DX LT AA-sf New Rating AA-(EXP)sf
AX LT NRsf New Rating NR(EXP)sf
B1 LT BB-sf New Rating BB-(EXP)sf
B2 LT B-sf New Rating B-(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
M1 LT A-sf New Rating A-(EXP)sf
M1A LT A-sf New Rating A-(EXP)sf
M1AX LT A-sf New Rating A-(EXP)sf
M1B LT A-sf New Rating A-(EXP)sf
M1BX LT A-sf New Rating A-(EXP)sf
M1C LT A-sf New Rating A-(EXP)sf
M1CX LT A-sf New Rating A-(EXP)sf
M1D LT A-sf New Rating A-(EXP)sf
M1DX LT A-sf New Rating A-(EXP)sf
M2 LT BBB-sf New Rating BBB-(EXP)sf
M2A LT BBB-sf New Rating BBB-(EXP)sf
M2AX LT BBB-sf New Rating BBB-(EXP)sf
M2B LT BBB-sf New Rating BBB-(EXP)sf
M2BX LT BBB-sf New Rating BBB-(EXP)sf
M2C LT BBB-sf New Rating BBB-(EXP)sf
M2CX LT BBB-sf New Rating BBB-(EXP)sf
M2D LT BBB-sf New Rating BBB-(EXP)sf
M2DX LT BBB-sf New Rating BBB-(EXP)sf
X LT NRsf New Rating NR(EXP)sf
XS1 LT NRsf New Rating NR(EXP)sf
XS2 LT NRsf New Rating NR(EXP)sf
XS3 LT NRsf New Rating NR(EXP)sf
Transaction Summary
Fitch rates the residential mortgage-backed notes issued by TPMT
2025-CRM1 as indicated above. The notes are supported by 3,868
newly originated, closed-end second lien (CES) loans and HELOC
loans with a total balance of $333 million as of the cutoff date.
Spring EQ, LLC and loanDepot.com LLC originated approximately 77%
and 15% of the loans, respectively. Shellpoint Mortgage Servicing
(SMS) and loanDepot will service all of the loans. The servicers
will advance delinquent (DQ) monthly payments of P&I for up to 60
days, under the Office of Thrift Supervision (OTS) methodology, or
until deemed nonrecoverable.
Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential structure. The
sequential-pay structure locks out principal to the subordinated
notes until the most senior notes outstanding are paid in full.
Excess cash flow can be used to repay losses or net weighted
average coupon (WAC) shortfalls. In addition, the structure
includes a senior interest-only (IO) class, which represents a
senior interest strip of 1.50%, with such interest strip
entitlement being senior to the net interest amounts paid to the
P&I certificates.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to an updated view
on sustainable home prices, Fitch views the home price values of
this pool as 11.3% above a long-term sustainable level, compared
with 11.6% on a national level as of 2Q24, up 0.1% qoq. Housing
affordability is at its worst levels in decades, driven by high
interest rates and elevated home prices. Home prices increased 4.3%
yoy nationally as of August 2024, despite modest regional declines,
but are still being supported by limited inventory.
Closed and Open Second Liens (Negative): The substantial majority
of the collateral pool (99.7%) comprises newly originated second
lien (either closed end or HELOC) mortgages. Fitch assumed no
recovery and 100% loss severity (LS) on second lien loans based on
the historical behavior of second lien loans in economic stress
scenarios. Fitch assumes second lien loans default at a rate
comparable to first lien loans; after controlling for credit
attributes, no additional penalty was applied.
Strong Credit Quality (Positive): The pool primarily consists of
new-origination second lien (either closed end of HELOC) mortgages,
seasoned at approximately six months (as calculated by Fitch), with
a relatively strong credit profile — a weighted average (WA)
model credit score of 737, a 39% debt-to-income ratio (DTI) and a
moderate sustainable loan-to-value ratio (sLTV) of 81%.
Roughly 99% of the loans were treated as full documentation in
Fitch's analysis. Approximately 58% of the loans were originated
through a retail channel.
Sequential-Pay Structure with Realized Loss and Writedown Feature
(Mixed): The transaction's cash flow is based on a sequential-pay
structure whereby the subordinate classes (excluding class D) do
not receive principal until the most senior classes are repaid in
full. Losses are allocated in reverse-sequential order, excluding
class D. Furthermore, the provision to reallocate principal to pay
interest on the 'AAAsf' rated notes prior to other principal
distributions is highly supportive of timely interest payments to
those notes in the absence of servicer advancing.
For any loan that becomes DQ for 150 days or more under the OTS
methodology, the servicer will review and may charge off the loan
with the asset manager's approval, based on an equity analysis
review performed by the servicer. This action will result in the
most subordinated class being written down.
Fitch views the writedown feature positively, despite the 100% LS
assumed for each defaulted second lien loan, as cash flows will not
be needed to pay timely interest to the 'AAAsf' rated notes during
loan resolution by the servicers. Additionally, subsequent
recoveries realized after the writedown at 150 days DQ (excluding
forbearance mortgage or loss mitigation loans) will be passed on to
bondholders as principal.
The structure does not allocate excess cashflow to turbo down the
bonds but includes a step-up coupon feature. The fixed interest
rate for classes A1, A2 and M1 will increase by 100 bps, subject to
the net WAC, after four years. The structure includes a senior IO
class certificate (class AX), which represents a senior interest
strip of 1.50% per annum based off the related mortgage rate of
each mortgage loan, with the interest strip entitlement being
senior to the net interest amounts paid to the notes and at the top
of the waterfall.
The inclusion of this senior IO class reduces the collateral WAC
and effectively diminishes the excess spread. Due to it is a
strip-off of the entire collateral balance and accrual amounts will
be reduced by any losses on the collateral pool, class AX cannot be
rated by Fitch. Overall, unlike other second lien transactions,
this transaction has less excess spread available and its
application offers diminished support to the rated classes,
requiring a higher level of credit enhancement (CE).
Limited Advancing Construct (Neutral): The servicers will be
advancing delinquent P&I on the closed-end collateral for a period
up to 60 days delinquent under the OTS method as long as the
amounts are deemed recoverable. Due to Fitch's projected LS
assumption on second lien collateral, it assumed no advancing in
its analysis.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative rating sensitivity analysis shows how ratings
would react to steeper market value declines (MVDs) at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
addition to the model-projected 42.3%, at 'AAAsf'. The analysis
indicates there is some potential rating migration, with higher
MVDs for all rated classes compared with model projections.
Specifically, a 10% additional decline in home prices would lower
all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated classes, excluding those being assigned ratings of
'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC (AMC) and Consolidated Analytics. A
third-party due diligence review was completed on 78.7% of the
loans. The scope, as described in Form 15E, focused on credit,
regulatory compliance and property valuation reviews, consistent
with Fitch criteria for new originations. The results of the
reviews indicated low operational risk with no loans receiving a
final grade of C/D. Fitch applied a credit for the high percentage
of loan-level due diligence, which reduced the 'AAAsf' loss
expectation by 72bps.
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 XX: S&P Assigns B- (sf) Rating on Class F-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, B-R,
C-R, D-1-R, D-2-R, and F-R replacement debt from Trinitas CLO XX
Ltd./Trinitas CLO XX LLC, a CLO originally issued in June 2022 that
is managed by Trinitas Capital Management LLC. At the same time,
S&P withdrew its ratings on the original class A-1, B, C, D-1, D-2,
and F debt following payment in full on the Feb. 19, 2025,
refinancing date. The original class A-2 debt was not refinanced
and is not rated; the replacement class E-R debt is not rated.
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 February 2026.
-- No additional assets were purchased on the Feb. 19, 2025
refinancing date, and the target initial par amount remains at $500
million. 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.
-- 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-1-R, $305.00 million: Three-month CME term SOFR +
1.04%
-- Class B-R, $60.00 million: Three-month CME term SOFR + 1.50%
-- Class C-R (deferrable), $28.00 million: Three-month CME term
SOFR + 1.95%
-- Class D-1-R (deferrable), $20.50 million: Three-month CME term
SOFR + 3.00%
-- Class D-2-R (deferrable), $8.50 million: Three-month CME term
SOFR + 4.00%
-- Class E-R (deferrable), $16.00 million: Three-month CME term
SOFR + 5.75%
-- Class F-R (deferrable), $1.00 million: Three-month CME term
SOFR + 7.85%
Original debt
-- Class A-1, $305.00 million: Three-month CME term SOFR + 1.53%
-- Class A-2, $15.00 million: 4.75%
-- Class B, $60.00 million: Three-month CME term SOFR + 2.46%
-- Class C (deferrable), $28.00 million: Three-month CME term SOFR
+ 3.50%
-- Class D-1 (deferrable), $20.50 million: Three-month CME term
SOFR + 4.70%
-- Class D-2 (deferrable), $8.50 million: Three-month CME term
SOFR + 5.85%
-- Class E (deferrable), $16.00 million: Three-month CME term SOFR
+ 8.15%
-- Class F (deferrable), $1.00 million: Three-month CME term SOFR
+ 8.33%
-- Subordinated notes, $44.71 million: Not applicable
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Trinitas CLO XX Ltd./Trinitas CLO XX LLC
Class A-1-R, $305.00 million: AAA (sf)
Class B-R, $60.00 million: AA (sf)
Class C-R (deferrable), $28.00 million: A (sf)
Class D-1-R (deferrable), $20.50 million: BBB+ (sf)
Class D-2-R (deferrable), $8.50 million: BBB- (sf)
Class F-R (deferrable), $1.00 million: B- (sf)
Ratings Withdrawn
Trinitas CLO XX Ltd./Trinitas CLO XX LLC
Class A-1 to NR from 'AAA (sf)'
Class B 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 F to NR from 'B- (sf)'
Other Debt
Trinitas CLO XX Ltd./Trinitas CLO XX LLC
Class A-2, $15.00 million: NR
Class E-R, $16.00 million: NR
Subordinated notes, $44.71 million: NR
NR--Not rated.
UPSTART SECURITIZATION 2022-1: DBRS Confirms BB Rating on B Trust
-----------------------------------------------------------------
DBRS, Inc. confirmed three credit ratings from three Upstart
Securitization Trust transactions.
Debt Class Rating Action
---------- ------ ------
Upstart Securitization Trust 2021-4
Class B BBB(low)(sf) Confirmed
Upstart Securitization Trust 2021-5
Class B BBB(low)(sf) Confirmed
Upstart Securitization Trust 2022-1
Class B BB(sf) Confirmed
The credit rating actions are based on the following analytical
considerations:
-- Although losses are tracking above the Morningstar DBRS initial
base-case CNL expectations, the current level of hard CE and
estimated excess spread are sufficient to support the Morningstar
DBRS projected remaining CNL assumptions at multiples of coverage
commensurate with the credit ratings.
-- The transactions include a CNL Ratio Amortization Event that,
if tripped, would cause a lockout of any distributions, if
available, to the Certificateholders. Upstart Securitization Trust
2022-1 is in breach of the CNL Ratio Amortization Event.
-- The transaction parties' capabilities with regard to
originating, underwriting, and servicing.
-- 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 pandemic scenarios, which were
first published in April 2020.
Notes: The principal methodology applicable to the credit ratings
is Morningstar DBRS Master U.S. ABS Surveillance (January 10,
2025).
VENTURE CLO 31: Moody's Cuts Rating on $32MM Class E Notes to Ba3
-----------------------------------------------------------------
Moody's Ratings has downgraded the ratings on the following notes
issued by Venture 31 CLO, Limited:
US$32,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Downgraded to Ba3 (sf); previously
on February 23, 2023 Upgraded to Ba2 (sf)
US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Downgraded to Caa1 (sf); previously
on February 23, 2023 Upgraded to B1 (sf)
Venture 31 CLO, Limited, issued in April 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2023.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating actions on the Class E and Class F notes
reflect the specific risks to the notes posed by par loss and
credit deterioration observed in the underlying CLO portfolio.
Based on the trustee's January 2025 report, the OC ratio for the
Class E and Class F notes are reported at 103.74% and 101.69%[1],
respectively, versus January 2024 level of 104.70% and 103.00%[2],
respectively. Furthermore, the trustee-reported weighted average
rating factor (WARF) has been deteriorating and the January 2025
trustee-reported level is 3043[3], compared to 2687 in January
2024[4], failing the trigger of 2939. Finally, the reported
portfolio exposure to instruments rated at or below Caa1 (or
equivalent) increased to 8.9% in January 2025[5] from 6.0% in
January 2024[6]. Moody's note that the trustee's OC ratio does not
reflect the recent payment to the Class A-1 notes on the January
21st, 2025, payment date.
No actions were taken on the Class A-1, Class A-2, Class B, Class
C-1, Class C-2, and Class D notes because their expected losses
remain commensurate with their current ratings, after taking into
account the CLO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in 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: $558,412,657
Defaulted par: $6,441,933
Diversity Score: 76
Weighted Average Rating Factor (WARF): 3213
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.97%
Weighted Average Life (WAL): 3.28 years
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
WELLS FARGO 2014-LC18: DBRS Cuts Class D Rating to BB
-----------------------------------------------------
DBRS Limited downgraded its credit ratings on six classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-LC18
issued by Wells Fargo Commercial Mortgage Trust 2014-LC18 as
follows:
-- Class D to BB (sf) from BBB (low) (sf)
-- Class E to C (sf) from B (sf)
-- Class F to C (sf) from CCC (sf)
-- Class X-B to BB (high) (sf) from BBB (sf)
-- Class X-E to C (sf) from B (high) (sf)
-- Class X-F to C (sf) from CCC (sf)
Morningstar DBRS also confirmed its credit ratings on the remaining
classes as follows:
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class PEX at A (sf)
Morningstar DBRS maintained the Negative trends on Classes D and
X-B. The trends on Classes B, C, and PEX remain Stable. There are
no trends on Classes E, F, X-E, and X-F, which have credit ratings
that do not generally carry trends in commercial mortgage-backed
securities (CMBS) credit ratings.
The credit rating downgrades reflect an increase in Morningstar
DBRS' loss expectations, as a result of the concentrated nature of
the pool as it enters wind-down. Since the last credit rating
action, 67 loans have repaid and one loan was liquidated with no
loss to the trust, representing a collateral reduction of 81.4% of
the pool. As of the January 2025 remittance, only 11 loans remain
in the pool; nine of which (86.7% of the pool balance) are in
special servicing, and the remaining loans are being monitored on
the servicer's watchlist for upcoming maturity. Given the adverse
selection and high concentration of defaulted assets, Morningstar
DBRS considered liquidation scenarios for all specially serviced
loans to determine recoverability for the remaining classes.
While the three largest loans, 2900 Fairview Park Drive (Prospectus
ID#4, 16.8% of the pool), Colorado Mills (Prospectus ID#6, 14.8% of
the pool), and One Towne Square (Prospectus ID#7, 14.1% of the
pool) remain current with workout strategies yet to be finalized,
Morningstar DBRS notes that the risk of payment default remains
high. This would extend the recoverability timeline for the
outstanding bonds and increase propensity for interest shortfalls.
This consideration was a primary factor in Morningstar DBRS'
decision to maintain Negative trends on Classes D and X-B, along
with the potential for further value deterioration as updated
appraisals on are received. However, as loan workouts resolve and
Morningstar DBRS' loss projections stabilize, the Negative trends
may be revised to Stable based on Morningstar DBRS' updated
expectations of recovery of the junior bonds.
The primary contributor to Morningstar DBRS' loss expectations is
One Towne Square. The loan is secured by a 426,970-square-foot (sf)
office property in Southfield, Michigan, approximately 17 miles
northwest of Detroit. The loan transferred to the special servicer
in October 2024 for anticipated maturity default ahead of the
scheduled maturity in December 2024. As per the January 2025
remittance, the loan was last paid through in November 2024 and the
workout strategy is yet to be determined. According to the October
2024 rent roll, occupancy at the property was reported at 84.6%, as
compared with 77.9% at YE2023 and 89.9% at issuance. Debt service
coverage ratio (DSCR) was reported at 1.35 times (x) for the
trailing nine-month period ended September 30, 2024, which remains
in line with the YE2023 figure. Over the next 12 months, leases
totaling 16.5% of net rentable area (NRA) are scheduled to roll
over. According to a Reis, Inc. report, office properties in the
North Southfield submarket reported an average vacancy rate of
25.6% in Q3 2024, indicating the borrower may face challenges in
back-filling any upcoming rollover. Morningstar DBRS recently
reviewed the Maccabees Center, securitized in the GSMS 2014-GC22
transaction, which is collateralized by a suburban office building
in Southfield, Michigan. The property was appraised approximately
70% below issuance in January 2025, driven by the low in-place
occupancy rate and weak submarket fundamentals. Though the subject
property continues to benefit from a relatively healthy occupancy
rate and DSCR, the soft submarket conditions coupled with rollover
risk are likely to contribute to value deterioration similar to the
Maccabees Center property. In its analysis, Morningstar DBRS
considered a liquidation scenario based on a stressed haircut to
the issuance appraised value, resulting in a loss severity of
approaching 50%.
Colorado Mills is secured by a 918,448-sf portion of 1.1 million-sf
regional outlet mall in Lakewood, Colorado, and is sponsored by
Simon Property Group, Inc. (Simon). The subject loan has a pari
passu piece secured in the Wells Fargo Commercial Mortgage
Securities, Inc. 2014-C25 transaction, which is also rated by
Morningstar DBRS. The loan transferred to the special servicer in
August 2024 for imminent monetary default and subsequently failed
to repay at maturity in November 2024. As per the January 2025
remittance, the special servicer is reviewing loan modification
proposals from the borrower while dual-tracking lender remedies.
The occupancy rate has declined since issuance, most recently
reported at 87.5% in September 2024. Despite the declines in
occupancy, net cash flow remains in line with expectations at
issuance. The property is anchored by a Regal UA Movie Theatre
(9.0% of the NRA, lease expiry in December 2032) and Burlington
(6.9% of the NRA, lease expiry in January 2031), and there is
significant rollover risk of 27.4% of NRA over the next 12 months.
Although there is no finalized workout strategy yet, Morningstar
DBRS expects Simon will attempt to negotiate a maturity extension.
Given the gradual occupancy decline since issuance, which is likely
to exacerbate with the significant rollover risk, and general
uncertainty surrounding the borrower's plans, Morningstar DBRS
analyzed this loan with a liquidation scenario based on a
conservative haircut to the issuance appraised value, resulting in
a loss severity of approximately 20%.
Notes: All figures are in U.S. dollars unless otherwise noted.
WIND RIVER 2018-1: S&P Affirms 'BB- (sf)' Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B, C, and D
notes from Wind River 2018-1 CLO Ltd. (formerly THL Credit Wind
River 2018-1 CLO Ltd.). At the same time, S&P affirmed its ratings
on the class A-1 and E notes the same transaction.
The rating actions follow its review of the transaction's
performance using data from the December 2024 and January 2025
trustee reports.
The transaction has paid down $199.78 million in collective
paydowns to the class A-1 notes since S&P's August 2018 rating
actions. These paydowns resulted in improved reported
overcollateralization (O/C) ratios since the July trustee report,
which S&P used for its previous rating actions (the following
ratios do not reflect the January 2025 paydowns):
-- The class A-1/B O/C ratio improved to 154.87% from 131.99%.
-- The class C O/C ratio improved to 129.68% from 120.86%.
-- The class D O/C ratio improved to 116.19% from 113.99%.
-- The class E O/C ratio declined to 107.26% from 109.04%.
While the senior O/C ratios experienced a positive movement due to
the lower balances of the senior notes, the class E O/C ratio
declined, primarily due to increased haircuts following the
portfolio's increased exposure to 'CCC' or lower quality assets.
S&P said, "Though the credit support improved due to amortization,
the portfolio's credit quality has slightly deteriorated since our
last rating actions. Collateral obligations with ratings in the
'CCC' category have increased, with $20.59 million reported as of
the December 2024 trustee report, compared with $0 reported as of
the August 2018 trustee report. Over the same period, the par
amount of defaulted collateral has increased to $2.74 million from
$0."
However, despite the slightly larger concentrations in the 'CCC'
category and defaulted collateral, the transaction, especially the
senior tranches, has also benefited from a drop in the weighted
average life due to the underlying collateral's seasoning, with
3.45 years reported as of the December 2024 trustee report,
compared with 6.04 years reported at the time of our August 2018
rating actions.
The upgraded ratings reflect the improved credit support available
to the notes at the prior rating levels.
The affirmed ratings reflect adequate credit support at the current
rating levels, though any deterioration in the credit support
available to the notes could result in further ratings changes.
S&P said, "On a standalone basis, the cash flow analysis results
indicated a higher rating on the class C, D, and E notes. However,
our rating actions reflect our analysis of the results of
additional sensitivity runs that considered the exposure to lower
quality assets and distressed prices we noticed in the portfolio.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
Ratings Raised
Wind River 2018-1 CLO Ltd.
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'AA- (sf)' from 'A (sf)'
Class D to 'BBB (sf)' from 'BBB- (sf)'
Ratings Affirmed
Wind River 2018-1 CLO Ltd.
Class A-1: 'AAA (sf)'
Class E: 'BB- (sf)'
WIND RIVER 2021-3: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-R, C-1R, C-2R, D-1a-R, D-1b-R,
D-2-R, and E-R debt from Wind River 2021-3 CLO Ltd./Wind River
2021-3 CLO LLC, a CLO managed by First Eagle Alternative Credit LLC
that was originally issued March 25, 2021, and 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. 20,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the March 5, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the outstanding class A-1,
A-2, B, B-2, C, D-1, D-2, and E 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
Wind River 2021-3 CLO Ltd./Wind River 2021-3 CLO LLC
Class A-1-R, $296.1 million: AAA (sf)
Class A-2-R, $9.4 million: AAA (sf)
Class B-R, $51.7 million: AA (sf)
Class C-1R (deferrable), $20.7 million: A (sf)
Class C-2R (deferrable), $7.5 million: A (sf)
Class D-1a-R (deferrable), $18.5 million: BBB+ (sf)
Class D-1b-R (deferrable), $5.0 million: BBB+ (sf)
Class D-2-R (deferrable), $9.4 million: BBB- (sf)
Class E-R (deferrable), $14.1 million: BB- (sf)
Subordinated notes, $81.7 million: Not rated
[] DBRS Reviews 726 Classes From 20 US RMBS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 726 classes from 20 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 20
transactions reviewed, 18 are classified as prime mortgage
transactions, and two are classified as agency credit-risk transfer
transactions. Of the 726 classes reviewed, Morningstar DBRS
upgraded its credit ratings on 92 classes and confirmed its credit
ratings on 634 classes.
The Affected Ratings are available at https://bit.ly/42YpYv1
The Issuers are:
Citigroup Mortgage Loan Trust 2022-J1
Mello Mortgage Capital Acceptance 2021-INV3
Mello Mortgage Capital Acceptance 2021-INV4
Mello Mortgage Capital Acceptance 2022-INV2
J.P. Morgan Mortgage Trust 2024-2
Citigroup Mortgage Loan Trust 2014-J1
Citigroup Mortgage Loan Trust 2014-J2
Citigroup Mortgage Loan Trust 2013-J1
Chase Home Lending Mortgage Trust 2024-3
Chase Home Lending Mortgage Trust 2024-1
Connecticut Avenue Securities Trust 2023-R02
Freddie Mac STACR REMIC Trust 2022-HQA1
GS Mortgage-Backed Securities Trust 2022-MM1
GS Mortgage-Backed Securities Trust 2020-PJ3
GS Mortgage-Backed Securities Trust 2024-PJ1
GS Mortgage-Backed Securities Trust 2020-PJ6
GS Mortgage-Backed Securities Trust 2021-PJ3
Mello Mortgage Capital Acceptance 2021-MTG1
Flagstar Mortgage Trust 2019-2
Chase Home Lending Mortgage Trust 2024-2
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect a positive performance trend and
an increase in credit support sufficient to withstand stresses at
the new credit rating level. The credit rating confirmations
reflect asset performance and credit support levels that are
consistent with the current credit ratings.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns December 2024 Update" published on December 19, 2024.
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 "U.S. RMBS Surveillance Methodology," published
on June 28, 2024.
Notes: All figures are in U.S. dollars unless otherwise noted.
[] Fitch Lowers 3 & Affirms 35 Distressed Ratings on 5 CMBS Deals
-----------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 35 distressed rated
classes across five U.S. CMBS transactions.
Entity/Debt Rating Prior
----------- ------ -----
WFRBS 2014-C24
D 92939KAT5 LT Dsf Downgrade Csf
D 92939KAT5 LT WDsf Withdrawn
E 92939KAV0 LT Dsf Affirmed Dsf
E 92939KAV0 LT WDsf Withdrawn
F 92939KAX6 LT Dsf Affirmed Dsf
F 92939KAX6 LT WDsf Withdrawn
PEX 92939KAL2 LT PIFsf Paid In Full BB-sf
X-C 92939KAM0 LT Dsf Affirmed Dsf
X-C 92939KAM0 LT WDsf Withdrawn
X-D 92939KAP3 LT Dsf Affirmed Dsf
X-D 92939KAP3 LT WDsf Withdrawn
Bear Stearns
Commercial Mortgage
Securities Trust
2007-PWR17
C 07388QAN9 LT Dsf Downgrade Csf
C 07388QAN9 LT WDsf Withdrawn
D 07388QAQ2 LT Dsf Affirmed Dsf
D 07388QAQ2 LT WDsf Withdrawn
E 07388QAS8 LT Dsf Affirmed Dsf
E 07388QAS8 LT WDsf Withdrawn
F 07388QAU3 LT Dsf Affirmed Dsf
F 07388QAU3 LT WDsf Withdrawn
G 07388QAW9 LT Dsf Affirmed Dsf
G 07388QAW9 LT WDsf Withdrawn
H 07388QAY5 LT Dsf Affirmed Dsf
H 07388QAY5 LT WDsf Withdrawn
J 07388QBA6 LT Dsf Affirmed Dsf
J 07388QBA6 LT WDsf Withdrawn
K 07388QBC2 LT Dsf Affirmed Dsf
K 07388QBC2 LT WDsf Withdrawn
L 07388QBE8 LT Dsf Affirmed Dsf
L 07388QBE8 LT WDsf Withdrawn
M 07388QBG3 LT Dsf Affirmed Dsf
M 07388QBG3 LT WDsf Withdrawn
N 07388QBJ7 LT Dsf Affirmed Dsf
N 07388QBJ7 LT WDsf Withdrawn
O 07388QBL2 LT Dsf Affirmed Dsf
O 07388QBL2 LT WDsf Withdrawn
P 07388QBN8 LT Dsf Affirmed Dsf
P 07388QBN8 LT WDsf Withdrawn
Q 07388QBQ1 LT Dsf Affirmed Dsf
Q 07388QBQ1 LT WDsf Withdrawn
Morgan Stanley
Capital I Trust
2006-HQ10
C 61750HAJ5 LT Dsf Affirmed Dsf
C 61750HAJ5 LT WDsf Withdrawn
D 61750HAK2 LT Dsf Affirmed Dsf
D 61750HAK2 LT WDsf Withdrawn
E 61750HAN6 LT Dsf Affirmed Dsf
E 61750HAN6 LT WDsf Withdrawn
F 61750HAP1 LT Dsf Affirmed Dsf
F 61750HAP1 LT WDsf Withdrawn
G 61750HAQ9 LT Dsf Affirmed Dsf
G 61750HAQ9 LT WDsf Withdrawn
H 61750HAR7 LT Dsf Affirmed Dsf
H 61750HAR7 LT WDsf Withdrawn
J 61750HAS5 LT Dsf Affirmed Dsf
J 61750HAS5 LT WDsf Withdrawn
K 61750HAT3 LT Dsf Affirmed Dsf
K 61750HAT3 LT WDsf Withdrawn
L 61750HAU0 LT Dsf Affirmed Dsf
L 61750HAU0 LT WDsf Withdrawn
M 61750HAV8 LT Dsf Affirmed Dsf
M 61750HAV8 LT WDsf Withdrawn
N 61750HAW6 LT Dsf Affirmed Dsf
N 61750HAW6 LT WDsf Withdrawn
O 61750HAX4 LT Dsf Affirmed Dsf
O 61750HAX4 LT WDsf Withdrawn
COMM 2013-CCRE12
D 12624SAE9 LT Dsf Downgrade Csf
UBS-Barclays
Commercial Mortgage
Trust 2012-C2
C-EC 90269CBF6 LT Dsf Affirmed Dsf
C-EC 90269CBF6 LT WDsf Withdrawn
D 90269CAR1 LT Dsf Affirmed Dsf
D 90269CAR1 LT WDsf Withdrawn
E 90269CAT7 LT Dsf Affirmed Dsf
E 90269CAT7 LT WDsf Withdrawn
EC 90269CAP5 LT Dsf Affirmed Dsf
EC 90269CAP5 LT WDsf Withdrawn
F 90269CAV2 LT Dsf Affirmed Dsf
F 90269CAV2 LT WDsf Withdrawn
G 90269CAX8 LT Dsf Affirmed Dsf
G 90269CAX8 LT WDsf Withdrawn
Following today's rating actions, Fitch has withdrawn the ratings
on 37 classes in four transactions.
KEY RATING DRIVERS
Fitch has downgraded the following classes due to principal losses
incurred on the classes and subsequently withdraws the ratings:
- Class D to 'Dsf' from 'Csf' in WFRBS Commercial Mortgage Trust
2014-C24 (WFRBS 2014-C24) due to a realized loss of $38.6 million;
- Class C to 'Dsf' from 'Csf' in Bear Stearns Commercial Mortgage
Securities Trust 2007-PWR17 (BSCM 2007-PWR17) due to realized
losses of $39 million.
Fitch has downgraded the following classes due to principal losses
incurred:
- Class D to 'Dsf' from 'Csf' in COMM 2013-CCRE12 Mortgage Trust
(COMM 2013-CCRE12) due to realized losses of $13.0 million.
Fitch has affirmed the remaining classes in Morgan Stanley Capital
I Trust 2006-HQ10 (MSCI 2006-HQ10) and UBS-Barclays Commercial
Mortgage Trust 2012-C2 (UBSBB 2012-C2) due to principal losses
incurred and subsequently withdraws their ratings.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Negative rating sensitivities are not applicable as class D in COMM
2013-CCRE12 has incurred principal losses and is rated 'Dsf'.
The ratings of all classes in WFRBS 2014-C24, BSCM 2007-PWR17, MSCI
2006-HQ10 and UBSBB 2012-C2 have been withdrawn.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Positive rating sensitivities are not applicable as class D in COMM
2013-CCRE12 has incurred principal losses and is rated 'Dsf'.
The ratings of all classes in WFRBS 2014-C24, BSCM 2007-PWR17, MSCI
2006-HQ10 and UBSBB 2012-C2 have been withdrawn.
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.
[] Moody's Takes Action on 12 Bonds From 5 US RMBS Deals
--------------------------------------------------------
Moody's Ratings has upgraded the ratings of 11 bonds and downgraded
the rating of 1 bond from five US residential mortgage-backed
transactions (RMBS), backed by Alt-A and subprime mortgages issued
by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Structured Asset Investment Loan Trust 2006-3
Cl. A1, Upgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa3 (sf)
Cl. A2, Upgraded to A3 (sf); previously on May 17, 2024 Upgraded to
Ba2 (sf)
Cl. A5, Downgraded to Caa1 (sf); previously on May 17, 2024
Downgraded to B1 (sf)
Issuer: Structured Asset Securities Corp Trust 2004-9XS
Cl. 1-A5, Upgraded to Aaa (sf); previously on May 7, 2024 Upgraded
to A1 (sf)
Underlying Rating: Upgraded to Aaa (sf); previously on May 7, 2024
Upgraded to A1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to
Caa2, Outlook Negative on October 03, 2024)
Cl. 1-A6, Upgraded to Aaa (sf); previously on May 7, 2024 Upgraded
to A1 (sf)
Underlying Rating: Upgraded to Aaa (sf); previously on May 7, 2024
Upgraded to A1 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to
Caa2, Outlook Negative on October 03, 2024)
Cl. 1-M1, Upgraded to Ca (sf); previously on Mar 2, 2011 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2006-NC1
Cl. A1, Upgraded to Aaa (sf); previously on May 16, 2024 Upgraded
to A1 (sf)
Cl. A5, Upgraded to A1 (sf); previously on May 16, 2024 Upgraded to
Caa1 (sf)
Cl. A7, Upgraded to Aaa (sf); previously on May 16, 2024 Upgraded
to A1 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-BC4
Cl. A1, Upgraded to Aaa (sf); previously on Jul 3, 2023 Upgraded to
Baa2 (sf)
Issuer: Structured Asset Securities Corporation Trust 2006-BC5
Cl. A1, Upgraded to Ba3 (sf); previously on Dec 29, 2016 Upgraded
to Caa1 (sf)
Cl. A5, Upgraded to Ba1 (sf); previously on May 16, 2024 Upgraded
to Caa1 (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised expectation of
loss-given-default for each bond.
The rating upgrades are a result of the improving performance of
the related pools, and an increase in credit enhancement available
to the bonds. Credit enhancement grew by 9.4% on average for the
upgraded bonds over the past 12 months.
The rating upgrades 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.
The rating downgrade considered the existence of historical
interest shortfalls for the bond. The bond is undercollateralized
and has been accumulating credit interest shortfall since September
2022. In addition, based on the current paydown speed, the bond is
expected to pay off in the next 12 months. The downgrade took into
account the shortfall size, duration, potential for future
shortfalls, additional deferrals, time to maturity and Moody's
expectations about if the shortfall will be recouped.
Some of the bonds experiencing a rating upgrade have either
incurred a missed or delayed disbursement of an interest payment or
the bond is currently, or expected to become, undercollateralized,
sometimes reflected by a reduction in principal (a write-down).
Moody's expectation of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No action 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 Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Takes Action on 17 Bonds From 12 US RMBS Deals
---------------------------------------------------------
Moody's Ratings has upgraded the ratings of 17 bonds from 12 US
residential mortgage-backed transactions (RMBS), backed by second
lien 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: RFMSII Series 2006-HSA1 Trust
Cl. A-4, Upgraded to Caa2 (sf); previously on Dec 16, 2015
Downgraded to C (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 16,
2015 Downgraded to C (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-5, Upgraded to Caa2 (sf); previously on Dec 16, 2015
Downgraded to C (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Dec 16,
2015 Downgraded to C (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RFMSII Series 2006-HSA2 Trust
Cl. A-I-3, Upgraded to Caa2 (sf); previously on Jun 4, 2010
Confirmed at Ca (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Jun 4, 2010
Confirmed at Ca (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-I-5, Upgraded to Caa1 (sf); previously on Jun 4, 2010
Confirmed at Ca (sf)
Underlying Rating: Upgraded to Caa1 (sf); previously on Jun 4, 2010
Confirmed at Ca (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: SACO I Trust 2005-WM2
Cl. M-1, Upgraded to Caa1 (sf); previously on Jan 17, 2018 Upgraded
to Ca (sf)
Issuer: SACO I Trust 2006-3
Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 6, 2018 Upgraded
to Caa2 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Nov 6, 2018 Upgraded
to Caa3 (sf)
Issuer: SACO I Trust 2006-5
Cl. I-A, Upgraded to Caa2 (sf); previously on Jan 17, 2018 Upgraded
to Caa3 (sf)
Cl. II-A-1, Upgraded to Caa2 (sf); previously on Jan 17, 2018
Upgraded to Caa3 (sf)
Cl. II-A-3, Upgraded to Caa3 (sf); previously on Oct 30, 2008
Downgraded to C (sf)
Issuer: Soundview Home Loan Trust 2005-A
Cl. M-6, Upgraded to Ca (sf); previously on Oct 28, 2008 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2005-S5
Cl. M2, Upgraded to Ca (sf); previously on Oct 28, 2008 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2005-S6
Cl. M2, Upgraded to Ca (sf); previously on Oct 28, 2008 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2006-ARS1
Cl. A1, Upgraded to Ca (sf); previously on Oct 28, 2008 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2006-S1
Cl. A2, Upgraded to Ca (sf); previously on Jul 6, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2006-S2
Cl. A2, Upgraded to Caa1 (sf); previously on Jul 6, 2010 Downgraded
to Ca (sf)
Issuer: Terwin Mortgage Trust 2006-6
Cl. I-A-1, Upgraded to Caa1 (sf); previously on Oct 20, 2010
Downgraded to Ca (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
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 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 Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 15 Bonds From 3 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 15 bonds from three US
residential mortgage-backed transactions (RMBS), backed by prime
jumbo and agency eligible mortgage loans issued by J.P. Morgan
Mortgage Trust.
A List of Affected Credit Ratings is available at
https://urlcurt.com/u?l=qQF8j8
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2021-INV5
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 23, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Apr 23, 2024 Upgraded
to A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Apr 23, 2024 Upgraded
to Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Apr 23, 2024 Upgraded
to Ba2 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Apr 23, 2024 Upgraded
to B2 (sf)
Issuer: J.P. Morgan Mortgage Trust 2021-INV7
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 23, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Apr 23, 2024 Upgraded
to A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Apr 23, 2024 Upgraded
to Baa2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 23, 2024 Upgraded
to Ba2 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Apr 23, 2024 Upgraded
to B2 (sf)
Issuer: J.P. Morgan Mortgage Trust 2021-INV8
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 23, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Apr 23, 2024 Upgraded
to A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Apr 23, 2024 Upgraded
to Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Apr 23, 2024 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Apr 23, 2024 Upgraded
to B1 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectation on the underlying pools.
Each of the transactions Moody's reviewed continue to display
strong collateral performance, with current cumulative losses for
each transaction at or below .02% and a small number of loans in
delinquency. In addition, enhancement levels for all the upgraded
tranches have grown as the pools amortize. The credit enhancement
since closing has grown, on average, 16.0% for the tranches
reviewed.
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.
No actions were taken on the remaining rated classes in this deal
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features and credit
enhancement.
Principal Methodology
The principal methodology used in these ratings 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.
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 3 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 17 bonds from three US
residential mortgage-backed transactions (RMBS), backed by prime
jumbo and agency eligible mortgage.
A comprehensive review of all credit ratings for the respective
transactions(s) has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Mello Mortgage Capital Acceptance 2021-INV4
Cl. B-2, Upgraded to A1 (sf); previously on May 1, 2024 Upgraded to
A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Nov 30, 2021
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on May 1, 2024 Upgraded
to Ba2 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on May 1, 2024 Upgraded
to B2 (sf)
Issuer: Mello Mortgage Capital Acceptance 2021-MTG2
Cl. B2, Upgraded to A1 (sf); previously on May 27, 2021 Definitive
Rating Assigned A2 (sf)
Cl. B2A, Upgraded to A1 (sf); previously on May 27, 2021 Definitive
Rating Assigned A2 (sf)
Cl. B3, Upgraded to A3 (sf); previously on May 27, 2021 Definitive
Rating Assigned Baa2 (sf)
Cl. B4, Upgraded to Baa3 (sf); previously on May 1, 2024 Upgraded
to Ba1 (sf)
Cl. B5, Upgraded to Ba2 (sf); previously on May 27, 2021 Definitive
Rating Assigned B1 (sf)
Cl. BX2*, Upgraded to A1 (sf); previously on May 27, 2021
Definitive Rating Assigned A2 (sf)
Issuer: Mello Mortgage Capital Acceptance 2022-INV1
Cl. A-14, Upgraded to Aaa (sf); previously on Jan 28, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-15, Upgraded to Aaa (sf); previously on Jan 28, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-4*, Upgraded to Aaa (sf); previously on Jan 28, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on May 1, 2024 Upgraded to
A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 28, 2022
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Jan 28, 2022 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, 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 limited cumulative losses of
less than .01% and a small number of loans in delinquencies. In
addition, enhancement levels for the tranches have grown
significantly as the pools amortized. The credit enhancement since
closing has grown, on average, by 16.3% for the tranches upgraded.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
No actions were taken on the remaining rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features and credit
enhancement. Moody's analysis also considered the relationship of
exchangeable bonds to the bonds they could be exchanged for.
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.
[] Moody's Upgrades Ratings on 29 Bonds From 4 US RMBS Deal
-----------------------------------------------------------
Moody's Ratings has upgraded the ratings of 29 bonds from four US
residential mortgage-backed transactions (RMBS). GS Mortgage-Backed
Securities Trust 2022-PJ6 is backed by prime jumbo and agency
eligible mortgage loans. Bayview Opportunity Master Fund VI Trust
2021-INV6, OBX 2021-INV3 Trust, and Oceanview Mortgage Trust
2022-INV1 are backed by almost entirely agency eligible investor
(INV) 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: Bayview Opportunity Master Fund VI Trust 2021-INV6
Cl. A-19, Upgraded to Aaa (sf); previously on Nov 29, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Upgraded to Aaa (sf); previously on Nov 29, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Upgraded to Aaa (sf); previously on Nov 29, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO20*, Upgraded to Aaa (sf); previously on Nov 29, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO21*, Upgraded to Aaa (sf); previously on Nov 29, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO22*, Upgraded to Aaa (sf); previously on Nov 29, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO23*, Upgraded to Aaa (sf); previously on Nov 29, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO24*, Upgraded to Aaa (sf); previously on Nov 29, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Apr 10, 2024 Upgraded
to A2 (sf)
Cl. B-3A, Upgraded to A3 (sf); previously on Apr 10, 2024 Upgraded
to Baa2 (sf)
Issuer: GS Mortgage-Backed Securities Trust 2022-PJ6
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 9, 2024 Upgraded
to Aa2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Apr 9, 2024 Upgraded
to Baa2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 9, 2024 Upgraded
to Ba2 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Sep 30, 2022 Definitive
Rating Assigned B3 (sf)
Issuer: OBX 2021-INV3 Trust
Cl. A-18, Upgraded to Aaa (sf); previously on Nov 22, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-19, Upgraded to Aaa (sf); previously on Nov 22, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Upgraded to Aaa (sf); previously on Nov 22, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO20*, Upgraded to Aaa (sf); previously on Nov 22, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO21*, Upgraded to Aaa (sf); previously on Nov 22, 2021
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 10, 2024 Upgraded
to Aa2 (sf)
Cl. B-1A, Upgraded to Aa1 (sf); previously on Apr 10, 2024 Upgraded
to Aa2 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on Apr 10, 2024 Upgraded
to A3 (sf)
Cl. B-3A, Upgraded to A2 (sf); previously on Apr 10, 2024 Upgraded
to A3 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Apr 10, 2024 Upgraded
to B1 (sf)
Cl. B-IO1*, Upgraded to Aa1 (sf); previously on Apr 10, 2024
Upgraded to Aa2 (sf)
Cl. B-IO3*, Upgraded to A2 (sf); previously on Apr 10, 2024
Upgraded to A3 (sf)
Issuer: Oceanview Mortgage Trust 2022-INV1
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 30, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Apr 30, 2024 Upgraded
to A2 (sf)
Cl. B-3A, Upgraded to Baa1 (sf); previously on Apr 30, 2024
Upgraded to Baa2 (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 pools. The
transactions continue to display strong collateral performance,
with cumulative losses for each transaction under .01% and a small
number of loans in delinquencies. In addition, enhancement levels
for the tranches have grown significantly, as the pools amortize
relatively quickly. The credit enhancement since closing has grown,
on average, 15% 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.
No actions were taken on the remaining rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, 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.
[] Moody's Upgrades Ratings on 40 Bonds From 10 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 40 bonds from ten US
residential mortgage-backed transactions (RMBS), backed by Alt-A
and option ARM mortgages issued by RALI.
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: RALI Series 2006-QA3 Trust
Cl. A-2, Upgraded to Caa2 (sf); previously on Jan 14, 2020 Upgraded
to Caa3 (sf)
Issuer: RALI Series 2006-QA4 Trust
Cl. A, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Confirmed
at Caa3 (sf)
Issuer: RALI Series 2006-QA5 Trust
Cl. I-A-1, Upgraded to Caa2 (sf); previously on Dec 14, 2010
Downgraded to Ca (sf)
Cl. I-A-2, Upgraded to Caa2 (sf); previously on Dec 14, 2010
Downgraded to Ca (sf)
Cl. I-A-3, Upgraded to Caa2 (sf); previously on Dec 14, 2010
Confirmed at Ca (sf)
Issuer: RALI Series 2006-QA6 Trust
Cl. A-1, Upgraded to Caa2 (sf); previously on Dec 14, 2010
Confirmed at Caa3 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to Caa3 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to Caa3 (sf)
Issuer: RALI Series 2006-QO3 Trust
Cl. A-1, Upgraded to Caa3 (sf); previously on Dec 20, 2012
Downgraded to Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 20, 2012 Upgraded
to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Dec 20, 2012 Upgraded
to Ca (sf)
Issuer: RALI Series 2006-QO6 Trust
Cl. A-1, Upgraded to Caa3 (sf); previously on Dec 20, 2012
Downgraded to Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Dec 20, 2012 Upgraded
to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Dec 20, 2012 Upgraded
to Ca (sf)
Issuer: RALI Series 2006-QS3 Trust
Cl. I-A-3, Upgraded to Caa2 (sf); previously on Oct 5, 2012
Confirmed at Caa3 (sf)
Cl. I-A-7, Upgraded to Caa2 (sf); previously on Oct 5, 2012
Confirmed at Caa3 (sf)
Cl. I-A-8, Upgraded to Caa1 (sf); previously on Oct 5, 2012
Confirmed at Caa3 (sf)
Cl. I-A-9*, Upgraded to Caa1 (sf); previously on Oct 5, 2012
Confirmed at Caa3 (sf)
Cl. I-A-10, Upgraded to Caa2 (sf); previously on Oct 5, 2012
Confirmed at Caa3 (sf)
Cl. I-A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-V*, Upgraded to Caa2 (sf); previously on Oct 27, 2017
Confirmed at Caa3 (sf)
Cl. II-A-1, Upgraded to Caa2 (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. II-A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. II-A-V*, Upgraded to Caa3 (sf); previously on Oct 27, 2017
Confirmed at Ca (sf)
Issuer: RALI Series 2006-QS4 Trust
Cl. A-2, Upgraded to Caa2 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-5, Upgraded to Caa2 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-6*, Upgraded to Caa2 (sf); previously on Oct 27, 2017
Confirmed at Caa3 (sf)
Cl. A-7, Upgraded to Caa1 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-8, Upgraded to Caa1 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-9, Upgraded to Caa2 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-12, Upgraded to Caa2 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Issuer: RALI Series 2006-QS5 Trust
Cl. A-7, Upgraded to Caa2 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-8*, Upgraded to Caa2 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-P, Upgraded to Caa1 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Issuer: RALI Series 2006-QS7 Trust
Cl. A-1, Upgraded to Caa3 (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. A-5*, Upgraded to Caa1 (sf); previously on Dec 23, 2010
Downgraded to Ca (sf)
Cl. A-P, Upgraded to Caa1 (sf); previously on Nov 30, 2015
Downgraded to Ca (sf)
Cl. A-V*, Upgraded to Caa3 (sf); previously on Oct 27, 2017
Confirmed at Ca (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 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.
No actions were taken on the remaining rated classes in these deals
as those classes are already at the highest achievable levels
within Moody's rating scale.
Principal Methodologies
The principal methodology used in 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 48 Bonds From Eight US RMBS Deals
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 48 bonds from eight US
residential mortgage-backed transactions (RMBS). GS Mortgage-Backed
Securities Trust 2019-PJ2, GS Mortgage-Backed Securities Trust
2019-PJ3, GS MORTGAGE-BACKED SECURITIES TRUST 2020-PJ4, RATE
Mortgage Trust 2022-J1, and Rate Mortgage Trust 2021-HB1 are backed
by prime jumbo and agency eligible mortgage loans. Bayview MSR
Opportunity Master Fund Trust 2022-INV2, Bayview Opportunity Master
Fund VIa Trust 2022-INV3, and Citigroup Mortgage Loan Trust
2022-INV1 are backed by almost entirely agency eligible investor
(INV) 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: Bayview MSR Opportunity Master Fund Trust 2022-INV2
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 10, 2024 Upgraded
to Aa2 (sf)
Cl. B-3A, Upgraded to A3 (sf); previously on Apr 10, 2024 Upgraded
to Baa2 (sf)
Issuer: Bayview Opportunity Master Fund VIa Trust 2022-INV3
Cl. A-19, Upgraded to Aaa (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Upgraded to Aaa (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Upgraded to Aaa (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO20*, Upgraded to Aaa (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO21*, Upgraded to Aaa (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO22*, Upgraded to Aaa (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO23*, Upgraded to Aaa (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO24*, Upgraded to Aaa (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 25, 2022
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Apr 10, 2024 Upgraded
to A2 (sf)
Cl. B-3A, Upgraded to Baa1 (sf); previously on Feb 25, 2022
Definitive Rating Assigned Baa3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2022-INV1
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 22, 2024 Upgraded
to Aa2 (sf)
Cl. B-1-IO*, Upgraded to Aa1 (sf); previously on Apr 22, 2024
Upgraded to Aa2 (sf)
Cl. B-1-IOW*, Upgraded to Aa1 (sf); previously on Apr 22, 2024
Upgraded to Aa2 (sf)
Cl. B-1-IOX*, Upgraded to Aa1 (sf); previously on Apr 22, 2024
Upgraded to Aa2 (sf)
Cl. B-1W, Upgraded to Aa1 (sf); previously on Apr 22, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Apr 22, 2024 Upgraded
to A2 (sf)
Cl. B-2-IO*, Upgraded to A1 (sf); previously on Apr 22, 2024
Upgraded to A2 (sf)
Cl. B-2-IOW*, Upgraded to A1 (sf); previously on Apr 22, 2024
Upgraded to A2 (sf)
Cl. B-2-IOX*, Upgraded to A1 (sf); previously on Apr 22, 2024
Upgraded to A2 (sf)
Cl. B-2W, Upgraded to A1 (sf); previously on Apr 22, 2024 Upgraded
to A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Apr 22, 2024 Upgraded
to Baa2 (sf)
Cl. B-3-IO*, Upgraded to Baa1 (sf); previously on Apr 22, 2024
Upgraded to Baa2 (sf)
Cl. B-3-IOW*, Upgraded to Baa1 (sf); previously on Apr 22, 2024
Upgraded to Baa2 (sf)
Cl. B-3-IOX*, Upgraded to Baa1 (sf); previously on Apr 22, 2024
Upgraded to Baa2 (sf)
Cl. B-3W, Upgraded to Baa1 (sf); previously on Apr 22, 2024
Upgraded to Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Apr 22, 2024 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Apr 22, 2024 Upgraded
to B1 (sf)
Issuer: GS Mortgage-Backed Securities Trust 2019-PJ2
Cl. B-3, Upgraded to Aa2 (sf); previously on Apr 9, 2024 Upgraded
to A1 (sf)
Cl. B-5, Upgraded to Baa1 (sf); previously on Jul 26, 2019
Definitive Rating Assigned B3 (sf)
Issuer: GS Mortgage-Backed Securities Trust 2019-PJ3
Cl. B-3, Upgraded to Aa1 (sf); previously on Apr 9, 2024 Upgraded
to Aa3 (sf)
Cl. B-5, Upgraded to A3 (sf); previously on Apr 9, 2024 Upgraded to
Baa1 (sf)
Issuer: GS MORTGAGE-BACKED SECURITIES TRUST 2020-PJ4
Cl. B-5, Upgraded to A3 (sf); previously on Apr 9, 2024 Upgraded to
Baa1 (sf)
Issuer: Rate Mortgage Trust 2021-HB1
Cl. B-2, Upgraded to A1 (sf); previously on Dec 14, 2021 Definitive
Rating Assigned A3 (sf)
Cl. B-2A, Upgraded to A1 (sf); previously on Dec 14, 2021
Definitive Rating Assigned A3 (sf)
Cl. B-3, Upgraded to Baa2 (sf); previously on Dec 14, 2021
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba2 (sf); previously on Dec 14, 2021
Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Dec 14, 2021 Definitive
Rating Assigned B3 (sf)
Cl. B-X-2*, Upgraded to A1 (sf); previously on Dec 14, 2021
Definitive Rating Assigned A3 (sf)
Issuer: RATE Mortgage Trust 2022-J1
Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 22, 2024 Upgraded
to Aa2 (sf)
Cl. B-1A, Upgraded to Aa1 (sf); previously on Apr 22, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Feb 4, 2022 Definitive
Rating Assigned A2 (sf)
Cl. B-2A, Upgraded to A1 (sf); previously on Feb 4, 2022 Definitive
Rating Assigned A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 4, 2022
Definitive Rating Assigned Baa2 (sf)
Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Apr 22, 2024
Upgraded to Aa2 (sf)
Cl. B-X-2*, Upgraded to A1 (sf); previously on Feb 4, 2022
Definitive Rating Assigned A2 (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 pools. The
transactions continue to display strong collateral performance,
with cumulative losses for each transaction under .08% and a small
number of loans in delinquencies. In addition, enhancement levels
for the tranches have grown significantly, as the pools amortize
relatively quickly. The credit enhancement since closing has grown,
on average, 2x for the non-exchangeable tranches upgraded.
Moody's analysis also considered the existence of historical
interest shortfalls for some of the bonds. While most shortfalls
have since been recouped, the size and length of the past
shortfalls, as well as the potential for recurrence, were analyzed
as part of the upgrades.
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. 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.
No actions were taken on the remaining rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, credit enhancement
and other qualitative considerations.
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.
[] Moody's Ups Ratings on 6 Bonds From 4 Scratch & Dent RMBS
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of six bonds from four US
residential mortgage-backed transactions (RMBS), backed by Scratch
and Dent mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Bayview Financial Mortgage Pass-Through Trust 2007-B
Cl. 1-A5, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed
Caa3 (sf)
Cl. 2-A3, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C
(sf)
Cl. 2-A4, Upgraded to Caa2 (sf); previously on Apr 27, 2020
Downgraded to C (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2006-2
Cl. M-7, Upgraded to Caa1 (sf); previously on Dec 7, 2022 Upgraded
to Ca (sf)
Issuer: BlackRock Capital Finance L.L.C. 1997-R3
B-1, Upgraded to Caa2 (sf); previously on Jan 28, 2013 Affirmed
Caa3 (sf)
Issuer: MASTR Specialized Loan Trust 2007-2
Cl. A, Upgraded to B3 (sf); previously on Mar 5, 2009 Downgraded to
Caa2 (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
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 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.
*********
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