/raid1/www/Hosts/bankrupt/TCR_Public/250406.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, April 6, 2025, Vol. 29, No. 95
Headlines
1988 CLO 6: S&P Assigns BB- (sf) Rating on Class E Notes
720 EAST VII: S&P Assigns BB- (sf) Rating on Class E Notes
AIMCO CLO 15: S&P Assigns B- (sf) Rating on Class F-R Notes
AOA 2021-1177: DBRS Confirms BB(high) Rating on Class HRR Certs
APIDOS CLO XXII: Moody's Ups Rating on $10MM Class E-R Notes to B1
ARES LVIII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
AVIS BUDGET 2023-2: Moody's Assigns Ba1 Rating to Class D Notes
AVIS BUDGET 2023-3: Moody's Assigns Ba1 Rating to Class D Notes
AVIS BUDGET 2023-5: Moody's Assigns Ba1 Rating to Class D Notes
BARINGS CLO 2025-I: S&P Assigns BB- (sf) Rating on Cl. E Notes
BARINGS MIDDLE 2025-I: S&P Assigns BB- (sf) Rating on Cl. E Notes
BENEFIT STREET XXIV: Moody's Assigns Ba3 Rating to $20MM E-R Notes
BMO 2025-5C9: Fitch Assigns 'B-sf' Final Rating on Class G-RR Certs
CAIRN CLO XVII: S&P Assigns B- (sf) Rating on Class F-R Notes
CANYON CLO 2025-1: Moody's Assigns B3 Rating to $250,000 F Notes
CARLYLE GLOBAL 2016-1: S&P Assigns BB- (sf) Rating on D-R3 Notes
CFMT 2025-HB16: DBRS Gives Prov. B Rating on Class M5 Notes
CHASE HOME 2025-3: Fitch Assigns B+sf Final Rating on Cl. B-5 Certs
CHI COMMERCIAL 2025-SFT: Moody's Gives Ba2 Rating to Cl. HRR Certs
CIFC FUNDING 2014-III: Moody's Assigns B3 Rating to $5MM F-R Notes
COMM 2012-LTRT: S&P Lowers Class D Certs Rating to 'CCC- (sf)'
ELEVATION CLO 2025-18: S&P Assigns BB- (sf) Rating on E Notes
ELLINGTON CLO IV: Moody's Downgrades Rating on 2 Tranches to Caa3
ELMWOOD CLO 22: S&P Assigns B- (sf) Rating on Class F-R Notes
ELMWOOD CLO 34: S&P Affirms 'BB- (sf)' Rating on Class E Notes
ELMWOOD CLO 39: S&P Assigns B- (sf) Rating on Class F Notes
ELMWOOD CLO 40: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes
FIGRE TRUST 2025-HE2: DBRS Gives Prov. B(low) Rating on F Notes
FRANKLIN PARK I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
GS MORTGAGE 2014-GC24: Moody's Lowers Rating on 2 Tranches to Ba3
GS MORTGAGE 2018-SRP5: S&P Lowers Cl. B Certs Rating to 'CCC (sf)'
GS MORTGAGE 2025-PJ3: Moody's Assigns B2 Rating to Cl. B-5 Certs
GS MORTGAGE 2025-SL1: Fitch Gives 'Bsf' Rating on Class B-2 Certs
GUGGENHEIM CLO 2020-1: S&P Raises E-R Notes Rating to 'BB- (sf)'
HILDENE TRUPS 4: Moody's Assigns (P)Ba2 Rating to Class D-R Notes
HINNT LLC 2025-A: Moody's Assigns Ba2 Rating to Class D Notes
HOMEWARD OPPORTUNITIES 2025-RRTL1: DBRS Rates M2 Notes 'B(low)'
JP MORGAN 2013-C10: S&P Lowers F Certs Rating to 'CCC (sf)'
JP MORGAN 2018-PHH: Moody's Lowers Rating on Cl. A Certs to B2
JP MORGAN 2018-WPT: DBRS Confirms CCC Rating on 4 Tranches
JP MORGAN 2025-CES2: Fitch Assigns 'B-sf' Final Rating on B-2 Certs
JPMBB COMMERCIAL 2015-C31: DBRS Confirms C Rating on 2 Classes
KKR CLO 22: Moody's Affirms Ba3 Rating on $33MM Class E Notes
LAKESIDE PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
LOBEL AUTOMOBILE 2025-1: DBRS Finalizes BB Rating on E Notes
MADISON PARK XXXVII: Fitch Affirms 'BB+sf' Rating on Cl. ER2 Notes
MANHATTAN WEST 2020-1MW: DBRS Confirms BB(high) Rating on HRR Certs
MARANON LOAN 2022-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes
MORGAN STANLEY 2016-PSQ: Moody's Cuts Rating on Cl. C Certs to B1
MORGAN STANLEY 2025-NQM2: S&P Assigns 'B' Rating on Cl. B-2 Certs
NATIXIS COMMERCIAL 2018-ALXA: DBRS Confirms BB(high) on E Certs
NEUBERGER BERMAN 33: S&P Assigns BB- (sf) Rating on E-R2 Notes
NEW CENTURY 2004-2: Moody's Lowers Rating on 3 Tranches to Caa1
NEW MOUNTAIN 7: Fitch Assigns 'BB-sf' Rating on Class E Notes
NEW RESIDENTIAL 2025-NQM2: Fitch Assigns B-sf Rating on B-2 Notes
NLT 2025-INV1: S&P Assigns B (sf) Rating on Class B-2 Notes
OAKTREE CLO 2025-29: S&P Assigns Prelim BB- (sf) Rating on E Notes
OCP AEGIS 2025-41: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
OCTAGON 74: Fitch Assigns 'BB-sf' Rating on Class E Notes
OFSI BSL XV: S&P Assigns BB- (sf) Rating on Class E Notes
PALMER SQUARE 2021-2: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes
PARLIAMENT FUNDING IV: DBRS Confirms BB(low) Rating on C Notes
PRPM 2025-RCF2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. M-2 Notes
RADNOR RE 2022-1: Moody's Upgrades Rating on Cl. M-1B Notes to Ba1
RCKT MORTGAGE 2025-1: Moody's Assigns B1 Rating to Cl. B-5 Certs
REALT 2025-1: DBRS Finalizes B Rating on Class G Certs
RIN XII LLC: Moody's Assigns Ba3 Rating to $6.750MM Class E Notes
RR 19: S&P Assigns BB- (sf) Rating on Class D-R Notes
RR 19: S&P Assigns Prelim BB- (sf) Rating on Class D-R Notes
SAGARD-HALSEYPOINT 9: S&P Assigns Prelim 'BB-' Rating on E Notes
SAGARD-HALSEYPOINT CLO 9: S&P Assigns BB- (sf) Rating on E Notes
SUMMIT ISSUER 2020-1: Fitch Affirms 'BB-sf' Rating on Class C Debt
SYCAMORE TREE 2025-6: S&P Assigns BB- (sf) Rating on Class E Notes
SYMETRA CLO 2025-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
SYMPHONY CLO 47: S&P Assigns BB- (sf) Rating on Class E Notes
TCW CLO 2017-1: S&P Affirms 'BB- (sf)' Rating on Class ERR Notes
TOWD POINT 2025-CES1: Fitch Assigns 'B-(EXP)sf' Rating on B1 Notes
TRIMARAN CAVU 2022-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
TRTX 2025-FL6: Fitch Assigns 'B-sf' Final Rating on Class G Notes
UNITED AUTO 2022-1: S&P Affirms BB (sf) Rating on Class E Notes
VENTURE XXVIII CLO: Moody's Cuts Rating on Series B/E Notes to Ba3
[] Moody's Upgrades Ratings of 26 Bonds From 3 US RMBS Deals
[] Moody's Upgrades Ratings on 11 Bonds From 5 US RMBS Deals
[] Moody's Upgrades Ratings on 22 Bonds From 9 US RMBS Deals
[] Moody's Upgrades Ratings on 23 Bonds from 10 US RMBS Deals
[] Moody's Upgrades Ratings on 31 Bonds From 9 US RMBS Deals
[] Moody's Upgrades Ratings on 45 Bonds From 15 US RMBS Deals
*********
1988 CLO 6: S&P Assigns BB- (sf) Rating on Class E Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to 1988 CLO 6 Ltd./1988 CLO
6 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 1988 Asset Management LLC.
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
1988 CLO 6 Ltd./1988 CLO 6 LLC
Class A-1, $252.00 million: AAA (sf)
Class A-2, $12.00 million: AAA (sf)
Class B, $40.00 million: AA (sf)
Class C-1 (deferrable), $16.00 million: A+ (sf)
Class C-2 (deferrable), $8.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB- (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $40.20 million: NR
NR--Not rated.
720 EAST VII: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to 720 East CLO VII
Ltd./720 East CLO VII 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 Northwestern Mutual Investment
Management Co. LLC.
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
720 East CLO VII Ltd./720 East CLO VII LLC
Class A-1, $195.00 million: AAA (sf)
Class A-1L loans, $61.00 million: AAA (sf)
Class A-2, $24.00 million: AAA (sf)
Class B, $24.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB- (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $34.50 million: NR
NR--Not rated
AIMCO CLO 15: S&P Assigns B- (sf) Rating on Class F-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1-R, D-2-R, and E-R replacement debt and the new class F-R debt
from AIMCO CLO 15 Ltd./AIMCO CLO 15 LLC, a CLO originally issued in
August 2021 that is managed by Allstate Investment Management Co.
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 March 31,
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 April 17, 2027.
-- The reinvestment period was extended to April 17, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to April 17, 2038.
-- The target initial par amount remains at $400 million. There
are no additional effective date or ramp-up period, and the first
payment date following the refinancing is July 17, 2025.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- The balance of the subordinated notes increased by $3 million,
to $45 million, on the March 31, 2025, 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."
Ratings Assigned
AIMCO CLO 15 Ltd./AIMCO CLO 15 LLC
Class A-R, $248.00 million: AAA (sf)
Class B-R, $56.00 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), $4.00 million: B- (sf)
Ratings Withdrawn
AIMCO CLO 15 Ltd./AIMCO CLO 15 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
AIMCO CLO 15 Ltd./AIMCO CLO 15 LLC
Subordinated notes, $45.00 million: NR
NR--Not rated.
AOA 2021-1177: DBRS Confirms BB(high) Rating on Class HRR Certs
---------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates issued by AOA
2021-1177 Mortgage Trust as follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class X-EXT at A (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
Morningstar DBRS changed the trends on Classes E and HRR to
Negative from Stable. All remaining trends are Stable.
The Negative trends on Classes E and HRR reflect the sustained
decline in net cash flow (NCF) since issuance, most recently
reported at $23.3 million with the YE2024 financial reporting. In
comparison, YE2023 NCF was $30.4 million and the Morningstar DBRS
NCF derived at issuance was $35.5 million. While the NCF declines
are attributable to the fluctuation in the collateral's occupancy
rate over the past few years, it is noteworthy the borrower has
executed six new leases since Q2 2024, totaling 13.3% of the NRA,
including an expansion lease with existing tenant Mill Point
Capital LLC (2.2% of the NRA; lease expires in February 2030).
Morningstar DBRS notes the increased credit risk to the transaction
since issuance and will continue to monitor the transaction for
meaningful leasing momentum and resulting NCF changes.
The transaction is collateralized by 1177 Avenue of the Americas, a
47-story, 1.0 million square-foot (sf) office tower in the Grand
Central submarket of Manhattan. The building is between 45th Street
and 46th Street on 6th Avenue (Avenue of the Americas) and was
built in 1992. The California State Teachers' Retirement System
(CalSTRS), Silverstein Properties, and UBS Group AG (UBS) acquired
the building in in 2007, but in June 2021, CalSTRS acquired UBS'
50.0% equity position in the property in a deal that valued the
asset at $865.0 million.
The interest-only, floating-rate loan had an initial maturity date
in October 2023; however, the borrower has exercised two of up to
three one-year extension options to date, extending the loan's
current maturity date to October 2025. There are no performance
triggers, financial covenants, or fees required for the borrower to
exercise any of the extension options; however, the execution of
each option is conditional upon, among other things, no events of
default and the borrower's purchase of an interest rate cap
agreement for each extension term.
The loan has been on the servicer's watchlist since March 2024
because of a low occupancy rate, which was most recently reported
at 76.8% in the December 2024 rent roll compared with 74.0% at
YE2023, 86.0% at YE2022, and the issuance figure of 87.0%. Despite
the decline in occupancy, the loan continues to maintain a healthy
debt service coverage ratio (DSCR) of 4.12 times (x) as per the
trailing-nine-month reporting period ended September 30, 2024. In
comparison, the YE2023 figure was 4.93x and the YE2022 figure was
5.96x. The tenant roster is relatively granular, as aside from the
largest tenant, Kramer Levin Naftalis & Frankel LLP (26.7% of NRA;
lease expiry in November 2035), no other individual tenant accounts
for more than 7.0% of NRA. Tenant rollover risk includes leases
totaling 9.2% of the NRA with scheduled expiration dates prior to
the loan's fully extended maturity date in October 2026.
According to Q4 2024 Reis data, office properties in the Grand
Central submarket reported an average vacancy rate of 12.3% and an
average asking rate of $76.48 per sf (psf) gross, compared with the
subject's figures of 23.2% and $74.98 psf, respectively, as of the
December 2024 rent roll. Although the elevated vacancy rate at the
subject is concerning, Morningstar DBRS notes the property benefits
from its high quality and proximity to the Grand Central Terminal.
Furthermore, the sponsor invested significant capital to improve
the lobby and add an amenity floor in 2021.
The April 2024 Morningstar DBRS credit rating analysis and action
included an updated collateral 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. Morningstar DBRS
maintained the valuation approach from its April 2024 review, which
was based on a capitalization rate of 7.0% applied to the
Morningstar DBRS NCF of $35.5 million. Morningstar DBRS also
maintained positive qualitative adjustments to the loan-to-value
ratio sizing benchmarks totaling 7.25% to reflect the quality of
the asset and the stability of demand for properties well
positioned near major transportation arteries. The Morningstar DBRS
concluded value of $506.5 million represents a -41.1% variance from
the issuance appraised value of $860.0 million.
Notes: All figures are in U.S. dollars unless otherwise noted.
APIDOS CLO XXII: Moody's Ups Rating on $10MM Class E-R Notes to B1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Apidos CLO XXII:
US$29,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Upgraded to A1 (sf);
previously on October 20, 2024 Upgraded to A3 (sf)
US$21,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D-R Notes"), Upgraded to Ba1 (sf);
previously on May 28, 2024 Affirmed Ba3 (sf)
US$10,000,000 Class E-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class E-R Notes"), Upgraded to B1 (sf);
previously on May 28, 2024 Affirmed B3 (sf)
Apidos CLO XXII, originally issued in October 2015 and refinanced
in March 2020, 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
transaction has been conducted during a rating committee.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since September 2024. The Class
A-1R notes have been paid down by approximately 25% or $80.8
million since then. Based on Moody's calculations, the OC ratios
for the Class C, Class D and Class E notes are currently 126.85 %,
114.35% and 109.34%, respectively, versus September 2024 levels of
117.66%, 109.20%, and 105.66%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since the September 2024. Based Moody's calculations, the weighted
average rating factor (WARF) is currently 2989 compared to 2833 in
September 2024.
No actions were taken on the Class A-1R, Class A-2R, and Class B-R
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: $248,099,450
Defaulted par: $3,150,374
Diversity Score: 57
Weighted Average Rating Factor (WARF): 2989
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.01%
Weighted Average Recovery Rate (WARR): 47.43%
Weighted Average Life (WAL): 3.27 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 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.
ARES LVIII: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Ares
LVIII CLO Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Ares LVIII CLO Ltd.
A-1R2 LT NRsf New Rating
A-2R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1R2 LT BBB-sf New Rating
D-2R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Ares LVIII CLO Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by Ares CLO
Management LLC. The transaction originally closed in 2020 and had
the first refinancing in 2022. On April 2, 2025, all of the
existing secured notes will be paid in full. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $399.85 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 24.3, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.0. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
96.3% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.1% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.4%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 40.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D-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, 'AAsf' for class C-R2, 'A+sf'
for class D-1R2, 'A-sf' 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 Ares LVIII CLO
Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
AVIS BUDGET 2023-2: Moody's Assigns Ba1 Rating to Class D Notes
---------------------------------------------------------------
Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the
series 2023-2 class D rental car asset backed notes issued by Avis
Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is
an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC
(ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group,
Inc., is the owner and operator of Avis Rent A Car System, LLC
(Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc,
Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC.
The complete rating action is as follows:
Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-2
Series 2023-2 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The definitive rating assigned to the series 2023-2 class D notes
is based on (1) the credit quality of the collateral in the form of
rental fleet vehicles which ABCR uses in its rental car business,
(2) the credit quality of ABCR as the primary lessee and as
guarantor under the operating lease, (3) the track-record and
expertise of ABCR as sponsor and administrator, (4) the available
credit enhancement, which consists of subordination and
over-collateralization, (5) minimum liquidity in the form of cash
and/or a letter of credit, and (6) the transaction's legal
structure.
The class D notes benefit from dynamic credit enhancement primarily
in the form of overcollateralization. The credit enhancement level
for the 2023-2 class D note will fluctuate over time with changes
in the fleet composition and will be determined as the sum of (1)
5.00% for vehicles subject to a guaranteed depreciation or
repurchase program from eligible manufacturers (program vehicles)
rated at least Baa3 by us, (2) 8.50% for all other program
vehicles, (3) 14.00% minimum for non-program (risk) vehicles and
(4) 35.65% for medium and heavy duty trucks, in each case, as a
percentage of the aggregate outstanding balance of the class A, B,
C and D notes net of the series allocated cash amount.
As in prior issuances, the transaction documents will stipulate
that the required total enhancement shall include a minimum portion
which is liquid (in cash and/or a letter of credit), sized as a
percentage of the outstanding note balance, rather than fleet
vehicles.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the rating of the series 2023-2 class D note,
as applicable if, among other things, (1) the credit quality of the
lessee improves, (2) the likelihood of the transaction's sponsor
defaulting on its lease payments were to decrease, and (3)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to strengthen, as reflected by
a stronger mix of program and non-program vehicles and a stronger
credit quality of vehicle manufacturers.
Down
Moody's could downgrade the rating of the series 2023-2 class D
note if, among other things, (1) the credit quality of the lessee
weakens, (2) the likelihood of the transaction's sponsor defaulting
on its lease payments were to increase, (3) the likelihood of the
sponsor accepting its lease payment obligation in its entirety in
the event of a Chapter 11 bankruptcy were to decrease, and (4)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to weaken, as reflected by a
weaker mix of program and non-program vehicles and a weaker credit
quality of vehicle manufacturers.
AVIS BUDGET 2023-3: Moody's Assigns Ba1 Rating to Class D Notes
---------------------------------------------------------------
Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the
series 2023-3 class D rental car asset backed notes issued by Avis
Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is
an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC
(ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group,
Inc., is the owner and operator of Avis Rent A Car System, LLC
(Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc,
Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC.
The complete rating action is as follows:
Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-3
Series 2023-3 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The definitive rating assigned to the series 2023-3 class D notes
is based on (1) the credit quality of the collateral in the form of
rental fleet vehicles which ABCR uses in its rental car business,
(2) the credit quality of ABCR as the primary lessee and as
guarantor under the operating lease, (3) the track-record and
expertise of ABCR as sponsor and administrator, (4) the available
credit enhancement, which consists of subordination and
over-collateralization, (5) minimum liquidity in the form of cash
and/or a letter of credit, and (6) the transaction's legal
structure.
The class D notes benefit from dynamic credit enhancement primarily
in the form of overcollateralization. The credit enhancement level
for the 2023-3 class D note will fluctuate over time with changes
in the fleet composition and will be determined as the sum of (1)
5.00% for vehicles subject to a guaranteed depreciation or
repurchase program from eligible manufacturers (program vehicles)
rated at least Baa3 by us, (2) 8.50% for all other program
vehicles, (3) 14.00% minimum for non-program (risk) vehicles and
(4) 35.75% for medium and heavy duty trucks, in each case, as a
percentage of the aggregate outstanding balance of the class A, B,
C and D notes net of the series allocated cash amount.
As in prior issuances, the transaction documents will stipulate
that the required total enhancement shall include a minimum portion
which is liquid (in cash and/or a letter of credit), sized as a
percentage of the outstanding note balance, rather than fleet
vehicles.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the rating of the series 2023-3 class D note,
as applicable if, among other things, (1) the credit quality of the
lessee improves, (2) the likelihood of the transaction's sponsor
defaulting on its lease payments were to decrease, and (3)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to strengthen, as reflected by
a stronger mix of program and non-program vehicles and a stronger
credit quality of vehicle manufacturers.
Down
Moody's could downgrade the rating of the series 2023-3 class D
note if, among other things, (1) the credit quality of the lessee
weakens, (2) the likelihood of the transaction's sponsor defaulting
on its lease payments were to increase, (3) the likelihood of the
sponsor accepting its lease payment obligation in its entirety in
the event of a Chapter 11 bankruptcy were to decrease, and (4)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to weaken, as reflected by a
weaker mix of program and non-program vehicles and a weaker credit
quality of vehicle manufacturers.
AVIS BUDGET 2023-5: Moody's Assigns Ba1 Rating to Class D Notes
---------------------------------------------------------------
Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the
series 2023-5 class D rental car asset backed notes issued by Avis
Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is
an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC
(ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group,
Inc., is the owner and operator of Avis Rent A Car System, LLC
(Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc,
Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC.
The complete rating actions is as follows:
Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-5
Series 2023-5 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The definitive rating assigned to the series 2023-5 class D notes
is based on (1) the credit quality of the collateral in the form of
rental fleet vehicles which ABCR uses in its rental car business,
(2) the credit quality of ABCR as the primary lessee and as
guarantor under the operating lease, (3) the track-record and
expertise of ABCR as sponsor and administrator, (4) the available
credit enhancement, which consists of subordination and
over-collateralization, (5) minimum liquidity in the form of cash
and/or a letter of credit, and (6) the transaction's legal
structure.
The class D notes benefit from dynamic credit enhancement primarily
in the form of overcollateralization. The credit enhancement level
for the 2023-5 class D note will fluctuate over time with changes
in the fleet composition and will be determined as the sum of (1)
5.00% for vehicles subject to a guaranteed depreciation or
repurchase program from eligible manufacturers (program vehicles)
rated at least Baa3 by us, (2) 8.50% for all other program
vehicles, (3) 14.00% minimum for non-program (risk) vehicles and
(4) 35.70% for medium and heavy duty trucks, in each case, as a
percentage of the aggregate outstanding balance of the class A, B,
C and D notes net of the series allocated cash amount.
As in prior issuances, the transaction documents will stipulate
that the required total enhancement shall include a minimum portion
which is liquid (in cash and/or a letter of credit), sized as a
percentage of the outstanding note balance, rather than fleet
vehicles.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the ratings of the series 2023-5 class D
note, as applicable if, among other things, (1) the credit quality
of the lessee improves, (2) the likelihood of the transaction's
sponsor defaulting on its lease payments were to decrease, and (3)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to strengthen, as reflected by
a stronger mix of program and non-program vehicles and a stronger
credit quality of vehicle manufacturers.
Down
Moody's could downgrade the ratings of the series 2023-5 class D
note if, among other things, (1) the credit quality of the lessee
weakens, (2) the likelihood of the transaction's sponsor defaulting
on its lease payments were to increase, (3) the likelihood of the
sponsor accepting its lease payment obligation in its entirety in
the event of a Chapter 11 bankruptcy were to decrease, and (4)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to weaken, as reflected by a
weaker mix of program and non-program vehicles and a weaker credit
quality of vehicle manufacturers.
BARINGS CLO 2025-I: S&P Assigns BB- (sf) Rating on Cl. E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Barings CLO Ltd.
2025-I/Barings CLO 2025-I 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 Barings LLC.
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
Barings CLO Ltd. 2025-I/Barings CLO 2025-I LLC
Class A, $320.00 million: AAA (sf)
Class B, $60.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1 (deferrable), $30.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $50.30 million: Not rated
BARINGS MIDDLE 2025-I: S&P Assigns BB- (sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Barings Middle Market
CLO Ltd. 2025-I/Barings Middle Market CLO 2025-I LLC's
floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by Barings LLC.
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
Barings Middle Market CLO Ltd. 2025-I/
Barings Middle Market CLO 2025-I LLC
Class X, $4.00 million: AAA (sf)
Class A, $158.00 million: AAA (sf)
Class A-L loans(i), $45.00 million: AAA (sf)
Class B, $35.00 million: AA (sf)
Class C (deferrable), $28.00 million: A (sf)
Class D (deferrable), $21.00 million: BBB- (sf)
Class E (deferrable), $21.00 million: BB- (sf)
Subordinated notes, $37.73 million: NR
(i)All or a portion of the class A-L loans are convertible to class
A notes. Upon such conversion, the class A notes will be increased
by such converted amount with a corresponding decrease in the class
A-L loans. Therefore, the maximum amount of class A notes
achievable is $203.00 million. No class A notes can be converted to
class A-L loans.
NR--Not rated.
BENEFIT STREET XXIV: Moody's Assigns Ba3 Rating to $20MM E-R Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to five classes of refinancing
notes (collectively, the "Refinancing Notes") issued by Benefit
Street Partners CLO XXIV, Ltd. (the "Issuer").
Moody's rating action is as follows:
US$310,000,000 Class A-R Senior Secured Floating Rate Notes due
2034, Assigned Aaa (sf)
US$70,000,000 Class B-R Senior Secured Floating Rate Notes due
2034, Assigned Aa1 (sf)
US$30,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned A2 (sf)
US$30,000,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2034, Assigned Baa3 (sf)
US$20,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2034, Assigned Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies 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.
BSP CLO Management 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: extensions of the non-call period;
changes to certain collateral quality tests; the updates to
alternative benchmark replacement provisions; and changes to the
matrices.
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:
Portfolio Par: $500,000,000
Diversity Score: 85
Weighted Average Rating Factor (WARF): 2830
Weighted Average Spread (WAS): 3.25%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 5.4 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.
BMO 2025-5C9: Fitch Assigns 'B-sf' Final Rating on Class G-RR Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to BMO
2025-5C9 Mortgage Trust commercial mortgage pass-through
certificates.
- $1,154,000 class A-1 'AAAsf'; Outlook Stable;
- $476,056,000 class A-3 'AAAsf'; Outlook Stable;
- $477,210,000a class X-A 'AAAsf'; Outlook Stable;
- $57,095,000 class A-S 'AAAsf'; Outlook Stable;
- $38,347,000 class B 'AA-sf'; Outlook Stable;
- $29,826,000 class C 'A-sf'; Outlook Stable;
- $125,268,000a class X-B 'A-sf'; Outlook Stable;
- $15,946,000b class D 'BBBsf'; Outlook Stable;
- $15,946,000a,b class X-D 'BBBsf'; Outlook Stable;
- $9,619,000b,c class E-RR 'BBB-sf'; Outlook Stable;
- $15,339,000b,c class F-RR 'BB-sf'; Outlook Stable;
- $10,226,000b,c class G-RR 'B-sf'; Outlook Stable.
Fitch does not rate the following class:
- $28,121,468b,c class J-RR.
Notes:
(a) Notional amount and interest only
(b) Privately placed and pursuant to Rule 144A
(c) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the
transaction's horizontal risk retention interest.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, the primary assets of which are 26 loans secured by 49
commercial properties with an aggregate principal balance of
$681,729,46 as of the cutoff date. The loans were contributed to
the trust by Bank of Montreal, Citi Real Estate Funding Inc.,
Goldman Sachs Mortgage Company, 3650 Capital SCF LOE I(A), LLC, UBS
AG, German American Capital Corporation, Société Générale
Financial Corporation, and LoanCore Capital Markets LLC.
The master servicer is Midland Loan Services, a Division of PNC
Bank, National Association and the special servicer is 3650 REIT
Loan Servicing LLC. The trustee and certificate administrator are
Computershare Trust Company, National Association. The certificates
will follow a sequential paydown structure.
Since Fitch published its expected ratings on March 13, 2025, the
balances for classes A-2 and A-3 were finalized. At the time, the
expected ratings were published, the expected class A-2 balance
range was $0 to $225,000,000 and the expected class A-3 balance
range was $251,056,000 to $476,056,000. Certificates balances for
classes A-2 and A-3 reflect the midpoint respective value of each
range. The final class balance for class A-2 is $0 and was not
offered, hence the expected rating of 'AAA(EXP)sf' has been
withdrawn. The final class balance for class A-3 is $476,056,000.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 26 loans
totaling 96.0% by balance. Fitch's resulting net cash flow (NCF) of
$171.7 million represents an 13.7% decline from the issuer's
underwritten NCF.
Higher Leverage: The pool leverage is in-line when compared to
recent U.S. private label multiborrower transactions rated by
Fitch. The pool's Fitch loan-to-value ratio (LTV) of 97.3% is in
line with the 2025 YTD and higher than 2024 averages of 97.6% and
92.4%, respectively. The pool's Fitch NCF debt yield (DY) of 10.3%
is lower than the 2025 YTD and 2024 averages of 10.7%.
Shorter-Duration Loans: The pool is 98.8% composed of loans with
five-year terms, whereas standard conduit transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default than 10-year loans,
all else equal. This is mainly attributed to the shorter window of
exposure to potential adverse economic conditions. Fitch considered
its loan performance regression in its analysis of the pool.
Investment-Grade Credit Opinion Loans: Three loans representing
16.4% of the pool received an investment-grade credit opinion.
Herald Center (8.8% of the pool) received a standalone credit
opinion of 'BBB-sf*', Queens Center (4.6% of the pool) received a
standalone credit opinion of 'BBBsf*' and Project Midway (2.9% of
the pool) received a standalone credit opinion of 'BBB+sf*'. The
pool's total credit opinion percentage is higher than the 2025 YTD
and 2024 averages of 6.5% and 14.9%, respectively. Excluding credit
opinion loans, the pool's Fitch LTV and DY of 102.0% and 10.2%,
respectively, are in line with the equivalent conduit YTD 2025 LTV
and DY averages of 101.9% and 9.9%, 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 list below indicates the model-implied rating sensitivity to
changes in one variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'A-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations.
The list below indicates the model-implied rating sensitivity to
changes to in one variable, Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on recomputation of certain
characteristics with respect to each mortgage loan. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CAIRN CLO XVII: S&P Assigns B- (sf) Rating on Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its credit ratings to Cairn CLO XVII
DAC's class A-R, B-R, C-R, D-R, E-R, and F-R notes. The issuer has
unrated subordinated notes outstanding from the existing
transaction.
The ratings assigned to Cairn CLO XVII DAC's reset notes reflect
S&P's assessment of:
-- The diversified collateral pool, which primarily comprises
broadly syndicated speculative-grade senior secured term loans and
bonds that are governed by collateral quality tests.
-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes through collateral selection,
ongoing portfolio management, and trading.
-- The transaction's legal structure, which is bankruptcy remote.
-- The transaction's counterparty risks, which are in line with
S&P's counterparty rating framework.
Portfolio benchmarks
S&P Global Ratings' weighted-average rating factor 2,662.10
Default rate dispersion 693.82
Weighted-average life (years) 4.25
Weighted-average life (years) extended
to cover the length of the reinvestment period 4.56
Obligor diversity measure 140.64
Industry diversity measure 16.56
Regional diversity measure 1.23
Transaction key metrics
Portfolio weighted-average rating
derived from S&P's CDO evaluator B
'CCC' category rated assets (%) 2.32
Target 'AAA' weighted-average recovery (%) 37.24
Target weighted-average spread (net of floors; %) 3.77
Target weighted-average coupon (%) 4.24
Rationale
Under the transaction documents, the rated notes will pay quarterly
interest unless a frequency switch event occurs. Following this,
the notes will switch to semiannual payments. The portfolio's
reinvestment period will end approximately 4.6 years after
closing.
The portfolio is well-diversified, primarily comprising broadly
syndicated speculative-grade senior-secured term loans and
senior-secured bonds. Therefore, S&P has conducted its credit and
cash flow analysis by applying its criteria for corporate cash flow
CDOs.
S&P said, "In our cash flow analysis, we used the EUR399.5 million
par amount, which is lower than the target par amount of EUR400
million. This is because the portfolio features debt issued by
Altice France S.A., which we downgraded to 'CC' on Feb. 28, 2025.
As a result, we applied a 40% recovery rate at the 'AAA' rating
level, carrying the initial position of EUR2.5 million at EUR1.0
million. The transaction will build back up to the target par
amount using excess proceeds from the issuance of the reset notes.
Furthermore, we modeled the covenanted weighted-average spread
(3.75%), the covenanted weighted-average coupon (4.00%), and the
target weighted-average recovery rates calculated in line with our
CLO criteria for all classes of notes. We applied various cash flow
stress scenarios, using four different default patterns, in
conjunction with different interest rate stress scenarios for each
liability rating category."
Until the end of the reinvestment period on Oct. 18, 2029, the
collateral manager may substitute assets in the portfolio as long
as our CDO Monitor test is maintained or improved in relation to
the initial ratings on the notes. This test looks at the total
amount of losses that the transaction can sustain--as established
by the initial cash flows for each rating--and compares that with
the current portfolio's default potential plus par losses to date.
As a result, until the end of the reinvestment period, the
collateral manager may through trading deteriorate the
transaction's current risk profile, if the initial ratings are
maintained.
S&P said, "Under our structured finance sovereign risk criteria,
the transaction's exposure to country risk is sufficiently
mitigated at the assigned ratings.
"The transaction's documented counterparty replacement and remedy
mechanisms adequately mitigate its exposure to counterparty risk
under our counterparty criteria.
"The transaction's legal structure and framework is bankruptcy
remote, in line with our legal criteria.
"Cairn Loan Investments II LLP manages the CLO, and the maximum
potential rating on the liabilities is 'AAA' under our operational
risk criteria.
"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe the ratings assigned are
commensurate with the available credit enhancement for the class
A-R to F-R notes. Our credit and cash flow analysis indicates that
the available credit enhancement for the class B-R to F-R notes
could withstand stresses commensurate with higher ratings than
those assigned. However, as the CLO will be in its reinvestment
phase --during which the transaction's credit risk profile could
deteriorate--we have capped our ratings on the notes.
"Given our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for all the
rated classes of notes.
"In addition to our standard analysis, to indicate how rising
pressures among speculative-grade corporates could affect our
ratings on European CLO transactions, we also included the
sensitivity of the ratings on the class A-R to E-R notes based on
four hypothetical scenarios.
"As our ratings analysis makes additional considerations before
assigning ratings in the 'CCC' category, and we would assign a 'B-'
rating if the criteria for assigning a 'CCC' category rating are
not met, we have not included the above scenario analysis results
for the class F-R notes."
Environmental, social, and governance
S&P said, "We regard the transaction's exposure to environmental,
social, and governance (ESG) credit factors as broadly in line with
our benchmark for the sector. Primarily due to the diversity of the
assets within CLOs, the exposure to environmental and social credit
factors is viewed as below average, while governance credit factors
are average. For this transaction, the documents prohibit or limit
certain assets from being related to certain activities.
Accordingly, since the exclusion of assets from these activities
does not result in material differences between the transaction and
our ESG benchmark for the sector, no specific adjustments have been
made in our rating analysis to account for any ESG-related risks or
opportunities."
Cairn CLO XVII DAC is a European cash flow CLO securitization of a
revolving pool, comprising mainly euro-denominated leveraged loans
and bonds. The transaction is a broadly syndicated CLO that is
managed Cairn Loan Investments II LLP.
Ratings list
Amount **Credit
Class Rating* (mil. EUR) Interest rate§ enhancement(%)
A-R AAA (sf) 248.00 Three/six-month EURIBOR 38.00
plus 1.20%
B-R AA (sf) 44.00 Three/six-month EURIBOR 27.00
plus 1.70%
C-R A (sf) 24.00 Three/six-month EURIBOR 21.00
plus 2.30%
D-R BBB- (sf) 28.00 Three/six-month EURIBOR 14.00
plus 3.50%
E-R BB- (sf) 18.00 Three/six-month EURIBOR 9.50
plus 5.50%
F-R B- (sf) 12.00 Three/six-month EURIBOR 6.50
plus 8.15%
Sub notes NR 35.10 N/A N/A
*The ratings assigned to the class A-R and B-R notes address timely
interest and ultimate principal payments. The ratings assigned to
the class C-R, D-R, E-R, and F-R notes address ultimate interest
and principal payments.
§The payment frequency switches to semiannual and the index
switches to six-month EURIBOR when a frequency switch event occurs.
EURIBOR--Euro Interbank Offered Rate.
** Based the target par amount of EUR400 million.
NR--Not rated.
N/A--Not applicable.
CANYON CLO 2025-1: Moody's Assigns B3 Rating to $250,000 F Notes
----------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Canyon CLO 2025-1, Ltd. (the Issuer or Canyon 2025-1):
US$315,000,000 Class A-1 Senior Secured Floating Rate Notes due
2038, Definitive Rating Assigned Aaa (sf)
US$250,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2038, Definitive Rating Assigned B3 (sf)
The notes listed are referred to herein, collectively, as the Rated
Notes.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Canyon 2025-1 is a managed cash flow CLO. The issued notes will be
collateralized primarily by 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 not senior secured loans. The portfolio is
approximately 90.0% ramped as of the closing date.
Canyon CLO Advisors L.P. (the Manager) will direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's five year reinvestment period.
Thereafter, subject to certain restrictions, the Manager may
reinvest unscheduled principal payments and proceeds from sales of
credit risk assets.
In addition to the Rated Notes, the Issuer issued six other classes
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 3071
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 45.0%
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 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.
CARLYLE GLOBAL 2016-1: S&P Assigns BB- (sf) Rating on D-R3 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R3,
A-2-R3, B-R3, C-R3, and D-R3 replacement debt from Carlyle Global
Market Strategies CLO 2016-1 Ltd./Carlyle Global Market Strategies
CLO 2016-1 LLC, a CLO managed by Carlyle GMS CLO Management LLC
that was originally issued in March 2016 and underwent a second
refinancing in May 2021. At the same time, S&P withdrew its ratings
on the class A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 debt following
payment in full on the March 27, 2025, refinancing date. S&P also
affirmed its ratings on the class X and E-R2 debt, which was not
refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to March 27, 2027.
-- No additional assets were purchased on the March 27, 2025,
refinancing date. 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.
-- S&P said, "On a standalone basis, our cash flow analysis
indicated a lower rating on the replacement class B-R3, C-R3, and
D-R3 debt, and the non-refinanced class E-R2 debt. However, we
assigned our 'A (sf)' rating on the class B-R3 debt, 'BBB- (sf)'
rating on the class C-R3 debt, and 'BB- (sf)' rating on the class
D-R3 debt, and affirmed our 'B-'(sf)' rating on the class E-R2
debt, after considering the margin of failure, the relatively
stable overcollateralization ratio since our last rating action on
the transaction, and that the transaction has entered its
amortization phase. Based on the latter, we expect the credit
support available to all rated classes to increase as principal is
collected and the senior debt is paid down. In addition, we believe
the payment of principal or interest on the class E-R2 debt, when
due, does not depend on favorable business, financial, or economic
conditions. Therefore, this class does not fit our definition of
'CCC' risk in accordance with our guidance criteria."
Replacement And May 2021 Debt Issuances
Replacement debt
-- Class A-1-R3, $226.30 million: Three-month CME term SOFR +
1.09%
-- Class A-2-R3, $48.70 million: Three-month CME term SOFR +
1.60%
-- Class B-R3 (deferrable), $22.20 million: Three-month CME term
SOFR + 2.10%
-- Class C-R3 (deferrable), $20.90 million: Three-month CME term
SOFR + 3.20%
-- Class D-R3 (deferrable), $12.10 million: Three-month CME term
SOFR + 6.25%
May 2021 debt
-- Class A-1-R2, $226.30 million: Three-month CME term SOFR +
1.40%(i)
-- Class A-2-R2, $48.70 million: Three-month CME term SOFR +
1.91%(i)
-- Class B-R2 (deferrable), $22.20 million: Three-month CME term
SOFR + 2.31%(i)
-- Class C-R2 (deferrable), $20.90 million: Three-month CME term
SOFR + 3.61%(i)
-- Class D-R2 (deferrable), $12.10 million: Three-month CME term
SOFR + 6.86%(i)
(i)Includes credit spread adjustment of 0.26% (rounded off).
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
Carlyle Global Market Strategies CLO 2016-1 Ltd./
Carlyle Global Market Strategies CLO 2016-1 LLC
Class A-1-R3, $226.30 million: AAA (sf)
Class A-2-R3, $48.70 million: AA (sf)
Class B-R3 (deferrable), $22.20 million: A (sf)
Class C-R3 (deferrable), $20.90 million: BBB- (sf)
Class D-R3 (deferrable), $12.10 million: BB- (sf)
Ratings Withdrawn
Carlyle Global Market Strategies CLO 2016-1 Ltd./
Carlyle Global Market Strategies CLO 2016-1 LLC
Class A-1-R2 to NR from 'AAA (sf)'
Class A-2-R2 to NR from 'AA (sf)'
Class B-R2 to NR from 'A (sf)'
Class C-R2 to NR from 'BBB- (sf)'
Class D-R2 to NR from 'BB- (sf)'
Ratings Affirmed
Carlyle Global Market Strategies CLO 2016-1 Ltd./
Carlyle Global Market Strategies CLO 2016-1 LLC
Class X: 'AAA (sf)'
Class E-R2: 'B- (sf)'
Other Debt
Carlyle Global Market Strategies CLO 2016-1 Ltd./
Carlyle Global Market Strategies CLO 2016-1 LLC
Subordinated notes, $36.75 million: NR
NR--Not rated.
CFMT 2025-HB16: DBRS Gives Prov. B Rating on Class M5 Notes
-----------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the Asset-Backed
Notes, Series 2025-1 (the Notes) to be issued by CFMT 2025-HB16,
LLC as follows:
-- $256.5 million Class A at (P) AAA (sf)
-- $42.7 million Class M1 at(P) AA (low) (sf)
-- $30.2 million Class M2 at (P) A (low) (sf)
-- $28.0 million Class M3 at (P) BBB (low) (sf)
-- $20.3 million Class M4 at (P) BB (low) (sf)
-- $25.0 million Class M5 at (P) B (sf)
The AAA (sf) rating reflects 35.5% of credit enhancement. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf)
ratings reflect 24.7%, 17.1%, 10.1%, 5.0%, and -1.3% of credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS did not
rate any other classes in this transaction.
Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over 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), (4) if it is no longer the borrower's primary
residence, (5) if a tax or insurance default occurs, or (6) if the
borrower fails to properly maintain the related residence. In
addition, borrowers must be current on any homeowner's association
dues, if applicable. Reverse mortgages are typically nonrecourse;
borrowers don't have to provide additional assets in cases where
the outstanding loan amount exceeds the property's value (the
crossover point). As a result, liquidation proceeds will fall below
the loan amount in cases where the outstanding balance reaches the
crossover point, contributing to higher loss severities for these
loans.
As of the Cut-Off Date (January 31, 2025), the collateral consists
of approximately $397.6 million in unpaid principal balance (UPB)
from 1,141 nonperforming home equity conversion mortgage (HECM)
reverse mortgage loans and real estate owned (REO) properties
secured by first liens typically on single-family residential
properties, condominiums, multifamily (two- to four-family)
properties, manufactured homes, and planned unit developments. The
mortgage assets were originated between 1999 and 2017. Of the total
assets, 369 have a fixed interest rate (39.08% of the balance),
with a 5.2% weighted-average coupon (WAC). The remaining 772 assets
have floating-rate interest (60.92% of the balance) with a 6.5%
WAC, bringing the entire collateral pool to a 6.0% WAC.
All the mortgage assets in this transaction are nonperforming
(i.e., inactive) assets. There are 522 mortgage assets in a
foreclosure process (53.9% of balance), 260 are in default (16.4%),
83 are in bankruptcy (7.56%), 127 are called due (9.9%), and 149
are REO (12.27%). However, all these assets are insured by the U.S.
Department of Housing and Urban Development (HUD), and this
insurance acts to mitigate losses vis-à-vis uninsured loans. See
discussion in the Analysis section below. Because the insurance
supplements the home value, the industry metric for this collateral
is not the loan-to-value ratio (LTV) but rather the
weighted-average (WA) effective LTV adjusted for HUD insurance,
which is 59.49% for these assets. The WA LTV is calculated by
dividing the UPB by the maximum claim amount plus the asset value.
The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior Notes (Class
A Notes) have been reduced to zero. This structure provides credit
enhancement in the form of subordinate classes and reduces the
effect of realized losses. These features increase the likelihood
that holders of the most senior class of Notes will receive regular
distributions of interest and/or principal. All Note classes have
available fund caps.
Classes M1, M2, M3, M4, M5, (together, the Class M Notes) have
principal lockout terms insofar as they are not entitled to
principal payments prior to a Redemption event, unless an
Acceleration Event or Auction Failure Event occurs. Available cash
will be trapped until these dates, at which stage the Notes will
start to receive payments. Note that the Morningstar DBRS cash flow
as it pertains to each note models the first payment being received
after these dates for each of the respective Notes; hence, at the
time of issuance, these rules are not likely to affect the natural
cash flow waterfall.
A failure to pay the Notes in full on the Mandatory Call Date
(September 2027) will trigger a mandatory auction of all assets. If
the auction fails to elicit sufficient proceeds to pay off the
Notes, another auction will follow every three months for up to a
year after the Mandatory Call Date. If these have failed to pay off
the Notes, this is deemed an Auction Failure, and subsequent
auctions will proceed every six months.
If the Class M5 Notes have not been redeemed or paid in full by the
Mandatory Call Date, they will accrue additional accrued amounts.
Morningstar DBRS does not rate these additional accrued amounts.
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the rated Notes are the related
Note Amounts. In addition, the associated financial obligations for
the Class A, M1, M2, M3, and M4 Notes include the related Cap
Carryover and Interest Payment Amounts.
Notes: All figures are in U.S. dollars unless otherwise noted.
CHASE HOME 2025-3: Fitch Assigns B+sf Final Rating on Cl. B-5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Chase Home Lending
Mortgage Trust 2025-3 (Chase 2025-3).
Entity/Debt Rating Prior
----------- ------ -----
Chase 2025-3
A-2 LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-3-X LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-4-A LT AAAsf New Rating AAA(EXP)sf
A-4-X LT AAAsf New Rating AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-5-A LT AAAsf New Rating AAA(EXP)sf
A-5-X LT AAAsf New Rating AAA(EXP)sf
A-6 LT AAAsf New Rating AAA(EXP)sf
A-6-A LT AAAsf New Rating AAA(EXP)sf
A-6-X LT AAAsf New Rating AAA(EXP)sf
A-7 LT AAAsf New Rating AAA(EXP)sf
A-7-A LT AAAsf New Rating AAA(EXP)sf
A-7-X LT AAAsf New Rating AAA(EXP)sf
A-8 LT AAAsf New Rating AAA(EXP)sf
A-8-A LT AAAsf New Rating AAA(EXP)sf
A-8-X LT AAAsf New Rating AAA(EXP)sf
A-9 LT AAAsf New Rating AAA(EXP)sf
A-9-A LT AAAsf New Rating AAA(EXP)sf
A-9-B LT AAAsf New Rating AAA(EXP)sf
A-9-X1 LT AAAsf New Rating AAA(EXP)sf
A-9-X2 LT AAAsf New Rating AAA(EXP)sf
A-9-X3 LT AAAsf New Rating AAA(EXP)sf
A-11 LT AAAsf New Rating AAA(EXP)sf
A-11-X LT AAAsf New Rating AAA(EXP)sf
A-12 LT AAAsf New Rating AAA(EXP)sf
A-13 LT AAAsf New Rating AAA(EXP)sf
A-13-X LT AAAsf New Rating AAA(EXP)sf
A-14 LT AAAsf New Rating AAA(EXP)sf
A-14-X LT AAAsf New Rating AAA(EXP)sf
A-14-X2 LT AAAsf New Rating AAA(EXP)sf
A-14-X3 LT AAAsf New Rating AAA(EXP)sf
A-14-X4 LT AAAsf New Rating AAA(EXP)sf
A-X-1 LT AAAsf New Rating AAA(EXP)sf
B-1 LT AA-sf New Rating AA-(EXP)sf
B-1-A LT AA-sf New Rating AA-(EXP)sf
B-1-X LT AA-sf New Rating AA-(EXP)sf
B-2 LT A-sf New Rating A-(EXP)sf
B-2-A LT A-sf New Rating A-(EXP)sf
B-2-X LT A-sf New Rating A-(EXP)sf
B-3 LT BBB-sf New Rating BBB-(EXP)sf
B-4 LT BBsf New Rating BB(EXP)sf
B-5 LT B+sf New Rating B+(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
A-R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The certificates are supported by 428 loans with a total balance of
approximately $453.62 million as of the cutoff date. The scheduled
balance as of the cutoff date is $453.25 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, 99.6% qualify as safe-harbor qualified mortgage
(SHQM) average prime offer rate (APOR) loans, and the remaining
0.4% qualify as rebuttable presumption (APOR) qualified mortgage
loans. There is no exposure to Libor in this transaction. The
collateral comprises 100% fixed-rate loans. The certificates are
fixed rate and capped at the net weighted average coupon (WAC) or
based on the net WAC, or they are floating rate or inverse floating
rate based off the SOFR index and capped at the net WAC; as a
result, the certificates have no Libor exposure.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.8% above a long-term sustainable
level (versus 11.1% on a national level as of 3Q24, down 0.5% since
the prior quarter, 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 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
428 high-quality, fixed-rate, fully amortizing loans with
maturities of 10 to 30 years that total $453.25 million. In total,
99.6% 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 4.8 months, according to
Fitch. The pool has a WA FICO score of 769, as determined by Fitch,
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 75.8% 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 ratio
(CLTV) is 75.6%, which translates to a sustainable loan-to-value
ratio (sLTV) of 84.2%. This represents moderate borrower equity in
the property and reduced default risk, compared with a borrower
with a CLTV over 80%.
Of the pool, 99.6% of the loans are designated as SHQM APOR loans,
and the remaining 0.4% are designated rebuttable presumption QM.
Of the pool, 100% comprises loans where the borrower maintains a
primary or secondary residence (88.1% primary and 11.9% secondary).
Single-family homes and planned unit developments (PUDs) constitute
92.1% of the pool, condominiums make up 6.9%, co-ops make up 0.4%
and the remaining 0.6% are multifamily. The pool consists of loans
with the following loan purposes, as determined by Fitch: purchases
(84.3%), cashout refinances (4.1%) and rate-term refinances
(11.6%). Fitch views favorably that no loans are for investment
properties and a majority of mortgages are purchases.
Of the pool loans, 18.9% are concentrated in California, followed
by Texas and Florida. The largest MSA concentration is in the Los
Angeles MSA (6.0%), followed by the New York MSA (5.8%) and the San
Francisco MSA (5.7%). The top three MSAs account for 17.6% 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-B, first, and then to the super-senior classes pro rata once
class A-9-B 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.
Credit Enhancement 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 42.0% 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 analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all 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 0.17% at the 'AAAsf' stress due to 68.2% due
diligence with no material findings.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 68.2% 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 2025-3 has an ESG Relevance Score of '4+' for Transaction
Parties and Operational Risk. Operational risk is well controlled
in Chase 2025-3, 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.
CHI COMMERCIAL 2025-SFT: Moody's Gives Ba2 Rating to Cl. HRR Certs
------------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to six classes of
CMBS securities, issued by CHI Commercial Mortgage Trust 2025-SFT,
Commercial Mortgage Pass-Through Certificates, Series 2025-SFT:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. HRR, Definitive Rating Assigned Ba2 (sf)
Cl. XA*, Definitive Rating Assigned Aaa (sf)
* Reflects interest-only classes
RATINGS RATIONALE
The certificates are collateralized by a single loan backed by a
first lien commercial mortgage on the fee simple interest in
Salesforce Tower Chicago (the "Property"). The Property is a newly
constructed, 60-story Class A office tower located in downtown
Chicago, IL. Moody's ratings are based on the credit quality of the
loans and the strength of the securitization structure.
Moody's approach to rating this transaction involved the
application of both 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.
Salesforce Tower Chicago is a 60-story, Class A office tower
located in downtown Chicago, IL. The Property encompasses 1.2
million SF and is situated within the Wolf Point master plan
development at the confluence of the Chicago River. The site is
bounded by West Wolf Point Plaza to the north and the three
branches of the Chicago River to the south, east and west. The
positioning of the tower at the intersection of the Chicago River
provides the Property with unique and protected views from all
floors.
The Property was completed by architects Pelli Clarke & Partners in
2023 and was built to a high level of specification. It is one of
the only office buildings in the country with Gold designations
from LEED, WELL, Energy Star and WiredScore. It is the first
building in Chicago to require and measure EPDs to quantify
embodied carbon emissions of concrete, steel and other construction
materials, which led to a 27% concrete and 9% steel reduction in
its completion and a 19% total reduction in carbon emissions.
The sponsor developed the Property as the third and final phase of
the Wolf Point master plan development along with two luxury
multifamily towers (both non-collateral and completed in 2016 and
2020 respectively) and a connected parking garage (with the
below-grade parking structure portion serving as collateral).
Amenities include a glass lobby with five rotating digital art
displays, a full floor amenity center with a premium health and
fitness club, a conference center and lounges with riverfront
balconies. The surrounding master plan development also features a
3.5 acre urban park directly on the river which includes a 1,000
foot extension of the Chicago Riverwalk. As of March 1, 2025, the
Property is 95.2% leased to two office tenants accounting for 92.9%
of NRA and 98.9% of gross rent, one retail tenant accounting for
1.0% of NRA and 1.0% of gross rent, and amenities and building
storage accounting for 1.2% and 0.2% of NRA respectively. The
weighted-average remaining tenant lease term at the Property is
approximately 17.0 years.
The Property sits within the River North submarket but its
riverfront location places it at the border of the West Loop.
Access is provided by the local brown and purple "L" lines two
blocks away at the Merchandise Mart station, further "L" lines are
accessible at Clark and Lake station which is less than 10 minutes'
walk away. Regional and suburban access is provided by I-90 which
is less than a mile away as well as Union Station and Ogilvie
Transportation Center, which are respectively the fourth and fifth
busiest railway stations in the US and are less than a 25 minute
and 15 minute walk from the Property.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessments of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessments 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 makes 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 uses an adjusted loan balance that reflects
each loan's amortization profile.
The Moody's first mortgage actual DSCR is 1.28X and Moody's first
mortgage actual stressed DSCR is 0.88X. Moody's DSCR is based on
Moody's stabilized net cash flow.
The whole loan first mortgage balance of $610,000,000 represents a
Moody's LTV ratio of 98.4% based on Moody's Value. Adjusted Moody's
LTV ratio for the first mortgage balance is 91.9% 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 consider those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property's overall
quality grade is 0.50.
Notable strengths of the transaction include: the collateral's
superior quality, location, tenancy, lack of loan term rollover,
and experienced sponsorship.
Notable concerns of the transaction include: soft market
fundamentals, tenant concentration, tenant contraction and
termination options, limited operating history, interest-only
mortgage loan profile and certain credit negative legal features.
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 rating:
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.
CIFC FUNDING 2014-III: Moody's Assigns B3 Rating to $5MM F-R Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by CIFC Funding
2014-III, Ltd. (the Issuer):
US$312,500,000 Class A-1R Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$5,000,000 Class F-R Junior Secured Deferrable Floating Rate
Notes due 2038, Assigned B3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies 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 not senior
secured loans or eligible investments.
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 extended five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing Notes, the six other
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: reinstatement and
extension of the reinvestment period; extensions of the stated
maturity and non-call period; changes to the overcollateralization
test levels; and changes to the base matrix and modifiers.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par: $500,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 3126
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 6.00%
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.
COMM 2012-LTRT: S&P Lowers Class D Certs Rating to 'CCC- (sf)'
--------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of
commercial mortgage pass-through certificates from COMM 2012-LTRT,
a U.S. CMBS transaction.
This is a U.S. large loan CMBS transaction that is secured by two
fixed-rate, Brookfield mall-backed mortgage loans in Florida and
Nebraska. One loan is currently with the special servicer, and the
other is on the master servicer's watchlist, after both failed to
repay at their modified maturity dates in October 2024.
Rating Actions
The downgrades on the class A, B, C, and D certificates primarily
reflect:
-- S&P's assessment that the transaction faces adverse selection
with the two loans exhibiting weak credit metrics. Since its last
published review in January 2023, one loan transferred back to
special servicing due to maturity default, while the other is on
the master servicer's watchlist for pending maturity. The sponsor
of both loans, Brookfield Properties, again failed to repay either
loan upon their modified extended maturity dates in 2024. KeyBank
Real Estate Capital (KeyBank), which is both the master and the
special servicer, has stated that, based on the transaction
documents, neither loan will be able to extend beyond October 2025.
KeyBank is currently working on extending the Westroads Mall loan
to October 2025, and anticipates imminently foreclosing upon the
Oaks Mall loan. S&P assessed that based on their reported
performances, the sponsor will continue to face challenges
refinancing both loans despite significant amortization to date
(35.9% down from original trust balance) without equity
contributions.
-- The reported operating performances of the collateral
properties securing the two loans have declined since S&P's last
review.
-- S&P's aggregated expected-case valuation for the two remaining
properties, which is now 26.5% lower than the values we derived in
its last review and 63.8% below its expected-case values at
issuance, is partially offset by material amortization of both
loans.
The downgrades on class C to 'CCC (sf)' and class D to 'CCC- (sf)'
also reflect S&P's qualitative consideration that the repayment of
these classes are dependent upon favorable business, financial, and
economic conditions and that classes C and D are vulnerable to
default.
S&P lowered the rating on the class 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 balance of class
X-A references the class A-1 and A-2 certificates.
S&P said, "We will continue to monitor the performance of both
properties and resolution of each loan. 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 March 7, 2025, trustee remittance report, the trust
balance was $166.0 million, down from $203.2 million at the time of
our last review in January 2023 and $259.0 million at issuance. The
pool currently includes two retail mall-backed loans, unchanged
from issuance.
The trust has not incurred any principal losses to date.
Loan Details And Property-Level Analysis
Westroads Mall ($89.0 million, 53.6% of pooled trust balance)
The larger of the two loans, Westroads Mall, has an $89.0 million
balance, down from $108.1 million as of S&P's January 2023 review
and $140.7 million at issuance. In addition, the borrower's equity
interest secures a $13.2 million mezzanine loan. The loan amortizes
on a 30-year schedule, originally matured Oct. 1, 2022, and matured
most recently on Oct. 1, 2024, after being modified in September
2022.
The Westroads Mall loan is currently on the master servicer's
watchlist due to pending maturity. The borrower had sought an
additional three-year extension, but KeyBank, as the master and
special servicer, is constrained by the prospectus, which states
that no loan may be extended beyond five years prior to the deal's
rated final distribution date of October 2030. As a result, KeyBank
has indicated that an extension through Oct. 1, 2025, is in the
process of being finalized.
As of the March 2025 trustee remittance report, the loan had a
reported performing matured balloon payment status, and $4.3
million was held in various lender-controlled reserve accounts.
Cash management is in place, and excess cash flow is being used to
pay down the loan's principal balance.
The loan is secured by the borrower's fee simple interests in a
portion (540,304 sq. ft.) of Westroads Mall, a 1.1 million-sq.-ft.
regional mall built in 1967 in Omaha, Neb. The mall is anchored by
AMC Westroads (73,252 sq. ft.), Dick's Sporting Goods (84,000 sq.
ft.), JCPenney (177,223 sq. ft.; noncollateral), and Von-Maur
(179,114 sq. ft.; noncollateral). In addition, there is a vacant
172,699 sq. ft. noncollateral anchor box formerly occupied by
Younkers (closed in 2018).
The property's reported performance continues to decrease and
remains below pre-COVID-19 levels.
According to the September 2024 rent roll, the collateral was 95.2%
leased after adjusting for known tenant movements. The five largest
collateral tenants comprise 43.0% of the collateral's NRA:
-- Dick's Sporting Goods (15.6% of NRA; 3.4% of in place gross
rent, as calculated by S&P Global Ratings; January 2029 lease
expiry).
-- AMC Westroads (13.6%; pays percentage rent; November 2028).
-- Forever 21 (5.7%; pays percentage rent; January 2027).
-- The Container Store (4.7%; 0.2%; February 2027).
-- H&M (3.4%; 3.4%; January 2025). The tenant is still listed in
the mall directory.
The mall faces elevated tenant rollover, with 10.6% of NRA (14.1%
of in place gross rent, as calculated by S&P Global Ratings)
expiring in 2025, 7.1% (11.5%) in 2026, and 18.9% (15.0%) in 2027.
S&P said, "In our current analysis, using a 90.0% occupancy rate, a
$35.85-per-sq.-ft. S&P Global Ratings' in place gross rent, and a
35.9% operating expense ratio, we derived an S&P Global Ratings'
NCF of $11.6 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 to reflect our perceived higher risk
premium for weak performing class B mall), we arrived at an S&P
Global Ratings' expected-case value of $89.4 million, 26.5% below
our last review value, and 40.0% lower than the September 2022
appraisal value of $149.0 million. Our revised expected-case value
yielded an S&P Global Ratings' loan-to-value (LTV) ratio of 99.6%
on the current loan balance."
Table 1
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 95.6 95.9 90.8
Net cash flow (mil. $) 9.6 14.5 15.8
Debt service coverage (x) 1.39 1.57 1.65
Appraisal value (mil. $)(ii) 149.0 149.0 149.0
(i)Reporting period.
(ii)Updated as of September 2022. The property was appraised at
$242.0 million at issuance.
Table 2
S&P Global Ratings' key assumptions
Last
Current review published review At issuance
(March 2025)(i) (Jan 2023)(i) (Sep 2012)
Trust balance (mil. $) 89.0 108.1 140.7
Occupancy rate (%) 90.0 89.5 94.5
Net cash flow (mil. $) 11.6 11.6 15.1
Capitalization rate (%) 13.00 9.50 7.00
Value (mil. $) 89.4 121.6 215.0
Value per sq. ft. ($) 165 225 398
Loan-to-value ratio (%) (ii)99.6 88.9 65.4
(i)Review period.
(ii)Based on the trust balance at the time of our review.
The Oaks Mall ($77.0 million, 46.4% of pooled trust balance)
The smaller of the two loans, The Oaks Mall, has a trust balance of
$77.0 million, down from $95.1 million as of S&P's January 2023
review andf$118.3 million at issuance. In addition, the borrower's
equity interest secures a $16.8 million mezzanine loan. The loan
amortizes on a 30-year schedule, originally matured Oct. 1, 2022,
and matured most recently on Oct. 1, 2024, after being modified in
September 2022.
The Oaks Mall loan transferred back to special servicing on Oct. 9,
2024, due to maturity default. KeyBank reports that it is pursuing
foreclosure and anticipates appointing a receiver imminently.
As of the March 2025 trustee remittance report, the loan had a
reported performing matured balloon payment status, $1.6 million
was held in various lender-controlled reserve accounts, and
outstanding servicer advances for property expenses totaled
$87,582. Cash management is in place, and excess cash flow is being
used to pay down the loan's principal balance.
The loan is secured by the borrower's fee simple interests in a
portion (581,849 sq. ft.) of The Oaks Mall, a 906,349-sq.-ft.
regional mall built in 1978 in Gainsville, Fla. The mall is
anchored by JCPenney (133,561 sq. ft.), Belk (99,806 sq. ft.),
University of Florida Health (136,000 sq. ft.; noncollateral), and
two separate Dillard's (103,500 sq. ft. and 85,000 sq. ft.;
noncollateral).
The property's reported performance has continued to decline and
remains well below pre-COVID-19 levels.
According to the September 2024 rent roll, the collateral was 82.5%
leased after adjusting for known tenant movements. The five largest
collateral tenants comprise 50.3% of the collateral's NRA:
-- J.C. Penney (22.8% of NRA; 3.4% of in place gross rent, as
calculated by S&P Global Ratings; January 2028 lease expiry).
-- Belk (17.2%; 2.8%; February 2028).
-- Forever 21 (4.8%; pays percentage rent; December 2024). The
tenant is still listed in the mall directory, however, due to its
recent bankruptcy filing and lease expiration, we marked the tenant
as vacant in S&P's current analysis.
-- H&M (3.9%; 0.0%; January 2026). The tenant's rent appears to be
deferred as a result of a co-tenancy clause.
-- Shoe Carnival (1.7%; 1.9%; January 2027).
The mall faces significant tenant rollover in the next three years,
with 10.4% of NRA (23.4% of in place gross rent, as calculated by
S&P Global Ratings) expiring in 2025, 14.0% (22.8%) in 2026, and
6.4% (14.2%) in 2027.
S&P said, "In our current analysis, using an 82.5% occupancy rate,
a $25.99-per-sq.-ft. S&P Global Ratings' gross rent, and a 39.2%
operating expense ratio, we derived an S&P Global Ratings' NCF of
$6.9 million, the same as in our last review. Utilizing an S&P
Global Ratings' capitalization rate of 13.25% (up 350 basis points
from our last review to reflect our perceived higher risk premium
for weak performing class B mall), we arrived at an S&P Global
Ratings' expected-case value of $52.1 million, 26.4% below our last
review value, and 35.7% lower than the December 2024 appraisal
value of $81.0 million. Our revised expected-case value yielded an
S&P Global Ratings' LTV ratio of 147.9% on the loan balance."
Table 3
Servicer-reported collateral performance
Six months ending June 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%)(ii) 92.6 94.0 92.8
Net cash flow (mil. $) 4.0 8.4 9.0
Debt service coverage (x) 1.19 1.23 1.10
Appraisal value (mil. $)(iii) 81.0 85.0 85.0
(i)Reporting period.
(ii)Includes non-collateral anchor space.
(iii)Updated as of September 2022 and December 2024, respectively.
The property was appraised at $227.0 million at issuance.
Table 4
S&P Global Ratings' key assumptions
Last
Current review published review At issuance
(March 2025)(i) (Jan 2023)(i) (Sep 2012)
Trust balance (mil. $) 77.0 95.1 118.3
Occupancy rate (%) 82.5 61.4 94.0
Net cash flow (mil. $) 6.9 6.9 12.8
Capitalization rate (%) 13.25 9.75 7.25
Value (mil. $) 52.1 70.8 176.1
Value per sq. ft. ($) 89 122 303
Loan-to-value ratio (%)(ii) 147.9 134.4 67.2
(i)Review period.
(ii) Based on the trust balance at the time of our review.
Ratings Lowered
COMM 2012-LTRT
Class A-2 to 'A- (sf)' from 'A (sf)'
Class B to 'BB- (sf)' from 'BB (sf)'
Class C to 'CCC (sf)' from 'B- (sf)'
Class D to 'CCC- (sf)' from 'CCC (sf)'
Class X-A to 'A- (sf)' from 'A (sf)'
ELEVATION CLO 2025-18: S&P Assigns BB- (sf) Rating on E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Elevation CLO 2025-18
Ltd./Elevation CLO 2025-18 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 ArrowMark Colorado Holdings LLC.
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 notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Elevation CLO 2025-18 Ltd./Elevation CLO 2025-18 LLC
Class A-1, $240.00 million: AAA (sf)
Class A-2, $20.00 million: AAA (sf)
Class B, $44.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $20.00 million: BBB (sf)
Class D-2 (deferrable), $9.00 million: BBB- (sf)
Class E (deferrable), $11.00 million: BB- (sf)
Subordinated notes, $35.30 million: NR
NR--Not rated.
ELLINGTON CLO IV: Moody's Downgrades Rating on 2 Tranches to Caa3
-----------------------------------------------------------------
Moody's Ratings has downgraded the ratings on the following notes
issued by Ellington CLO IV, Ltd.:
US$44,450,000 Class E-1 Secured Deferrable Floating Rate Notes due
2029 (the "Class E-1 Notes"), Downgraded to Caa3 (sf); previously
on June 4, 2024 Downgraded to Caa1 (sf)
US$3,050,000 Class E-2-R Secured Deferrable Fixed Rate Notes due
2029 (the "Class E-2-R Notes"), Downgraded to Caa3 (sf); previously
on June 4, 2024 Downgraded to Caa1 (sf)
US$6,975,000 Class F-1 Secured Deferrable Floating Rate Notes due
2029 (the "Class F-1 Notes"), Downgraded to Ca (sf); previously on
January 12, 2024 Downgraded to Caa3 (sf)
US$150,000 Class F-2 Secured Deferrable Fixed Rate Notes due 2029
(the "Class F-2 Notes"), Downgraded to Ca (sf); previously on
January 12, 2024 Downgraded to Caa3 (sf)
Ellington CLO IV, Ltd., originally issued in March 2019 and
partially refinanced in June 2021, 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 2021.
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating actions on the Class E-1, E-2-R, F-1 and F-2
notes reflect the specific risks to the notes posed by par loss and
credit deterioration observed in the underlying CLO portfolio.
Based on Moody's calculation, the OC ratios (before applying excess
Caa haircuts) for the Class E-1 and E-2-R notes and the F-1 and F-2
notes are currently at 77.75% and 69.50% versus June 2024 levels of
103.38% and 97.60%, respectively. Additionally, the Class E-1 and
E-2-R notes are carrying deferred interest balances of 3,368,401
and 179,156, respectively, while the Class F-1 and F-2 notes are
carrying deferred balances of 1,608,663 and 25,203, respectively.
Additionally, the portfolio weighted average rating factor (WARF)
is deteriorating, and based on Moody's calculations, is currently
at 5483 compared to 4793 in June 2024. Furthermore, Moody's notes
that 100% of the current portfolio is comprised of obligors with
Moody's corporate family or other equivalent ratings of Caa1 or
lower (after any adjustments for watchlist for possible
downgrade).
No actions were taken on the Class D-1 and Class D-2-R 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." In addition,
because of the collateral pool's low diversity, Moody's used
CDOROM™ to simulate a default distribution that it then used as
an input in the cash flow model.
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: $36,493,160
Defaulted par: $41,339,567
Diversity Score: 10
Weighted Average Rating Factor (WARF): 5483
Weighted Average Spread (WAS): 4.23%
Weighted Average Recovery Rate (WARR): 44.10%
Weighted Average Life (WAL): 1.73 years
Par haircut in OC tests and interest diversion test: 3.81%
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 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 Rating:
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.
ELMWOOD CLO 22: S&P Assigns B- (sf) Rating on Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1R, D-2R, E-R, and F-R replacement debt from Elmwood CLO 22
Ltd./Elmwood CLO 22 LLC, a CLO originally issued in March 2023 that
is managed by Elmwood Asset Management LLC. At the same time, S&P
withdrew its ratings on the original class B, C, D, E, and F debt
following payment in full on the March 31, 2025, refinancing date.
The original class A was 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 reinvestment period was extended to April 17, 2030.
-- The non-call period was extended to March 31, 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
debt. The class F-R debt was issued at a higher spread over
three-month CME term SOFR than the original notes.
-- The original class D debt was replaced by sequentially paying
the class D-1R and D-2R debt.
-- No additional subordinated notes were issued in connection with
this refinancing. The stated maturity of the original subordinated
notes was extended to April 17, 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."
Ratings Assigned
Elmwood CLO 22 Ltd./Elmwood CLO 22 LLC
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-1R (deferrable), $24.00 million: BBB- (sf)
Class D-2R (deferrable), $3.00 million: BBB- (sf)
Class E-R (deferrable), $13.00 million: BB- (sf)
Class F-R (deferrable), $8.00 million: B- (sf)
Ratings Withdrawn
Elmwood CLO 22 Ltd./Elmwood CLO 22 LLC
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Class F (deferrable) to NR from 'B- (sf)'
Other Debt
Elmwood CLO 22 Ltd./Elmwood CLO 22 LLC
Subordinated notes, $32.80 million: NR
NR--Not rated.
ELMWOOD CLO 34: S&P Affirms 'BB- (sf)' Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its rating to the new class F debt from
Elmwood CLO 34 Ltd./Elmwood CLO 34 LLC, a CLO managed by Elmwood
Asset Management LLC that was originally issued in November 2024.
At the same time, S&P affirmed its ratings on the class A-1, B, C,
D-1, D-2, and E debt.
In addition to the new class F debt, which has been issued via a
supplemental indenture, the notional balance of the existing
subordinated notes has also been reduced to $80.00 million from
$97.90 million.
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 assigned and affirmed ratings.
"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."
Rating Assigned
Elmwood CLO 34 Ltd./Elmwood CLO 34 LLC
Class F, $20.00 million: B- (sf)
Ratings Affirmed
Elmwood CLO 34 Ltd./Elmwood CLO 34 LLC
Class A-1: 'AAA (sf)'
Class B: 'AA (sf)'
Class C: 'A (sf)'
Class D-1: 'BBB- (sf)'
Class D-2: 'BBB- (sf)'
Class E: 'BB- (sf)'
Other Debt
Elmwood CLO 34 Ltd./Elmwood CLO 34 LLC
Class A-2, $45.00 million: NR
Subordinated notes, $80.00 million: NR
NR--Not rated.
ELMWOOD CLO 39: S&P Assigns B- (sf) Rating on Class F Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Elmwood CLO 39
Ltd./Elmwood CLO 39 LLC's floating- and fixed-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 Elmwood Asset Management LLC.
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
Elmwood CLO 39 Ltd./Elmwood CLO 39 LLC
Class A-1, $315.00 million: AAA (sf)
Class A-2, $5.00 million: AAA (sf)
Class B-1, $60.00 million: AA (sf)
Class B-2, $5.00 million: AA (sf)
Class C-1 (deferrable), $25.00 million: A (sf)
Class C-2 (deferrable), $5.00 million: A (sf)
Class D-1 (deferrable), $25.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E-1 (deferrable), $15.00 million: BB- (sf)
Class E-2 (deferrable), $1.25 million: BB- (sf)
Class F (deferrable), $6.25 million: B- (sf)
Subordinated notes, $40.00 million: NR
NR--Not rated.
ELMWOOD CLO 40: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Elmwood CLO
40 Ltd./Elmwood CLO 40 LLC's floating-rate debt.
The debt issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans. The transaction is managed by Elmwood Asset
Management LLC.
The preliminary ratings are based on information as of April 3,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Elmwood CLO 40 Ltd./Elmwood CLO 40 LLC
Class A, $630.00 million: AAA (sf)
Class B, $130.00 million: AA (sf)
Class C (deferrable), $60.00 million: A (sf)
Class D-1 (deferrable), $60.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E (deferrable), $33.70 million: BB- (sf)
Class F (deferrable), $17.75 million: B- (sf)
Subordinated notes, $80.00 million: NR
NR--Not rated.
FIGRE TRUST 2025-HE2: DBRS Gives Prov. B(low) Rating on F Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Mortgage-Backed Notes, Series 2025-HE2 (the Notes) to be issued by
FIGRE Trust 2025-HE2 (FIGRE 2025-HE2 or the Trust):
-- $230.0 million Class A at (P) AAA (sf)
-- $21.0 million Class B at (P) AA (low) (sf)
-- $20.5 million Class C at (P) A (low) (sf)
-- $11.2 million Class D at (P) BBB (low) (sf)
-- $11.7 million Class E at (P) BB (low) (sf)
-- $12.1 million Class F at (P) B (low) (sf)
The (P) AAA (sf) credit rating on the Class A Notes reflects 26.10%
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 19.35%, 12.75%,
9.15%, 5.40%, and 1.50% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
DBRS, Inc. 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 the Notes. The Notes are backed by 4,200 loans
(individual HELOC draws) which correspond to 3,940 HELOC families
(each consisting of an initial HELOC draw and subsequent draws by
the same borrower) with a total unpaid principal balance (UPB) of
$311,206,542 and a total current credit limit of $338,374,014 as of
the Cut-Off Date (March 1, 2025).
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 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-HE2 is the 13th
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 2.4% of the pool (97 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 92.0% 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 $1,089,223 (0.35% of the aggregate UPB as of the Cut-Off
Date). Prior to the payment date in April 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 April 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
Certificate holder 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 Certificate holder 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 Certificate
holder. The Reserve Account's required amount will become $0 on the
payment date in April 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 (March 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 US dollars unless otherwise noted.
FRANKLIN PARK I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Franklin
Park Place CLO I reset transaction.
Entity/Debt Rating
----------- ------
Franklin Park
Place CLO I
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
Subordinated LT NRsf New Rating
X-R LT NRsf New Rating
Transaction Summary
Franklin Park Place CLO I, the issuer, is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Franklin Advisers,
Inc. The transaction originally closed in March 2022 and is
anticipated to undergo its first refinancing on April 2, 2025. The
net proceeds from the issuance of secured and subordinated notes
will finance a portfolio of approximately $385 million, primarily
composed 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. The weighted average rating factor (WARF) of the indicative
portfolio is 23.6, versus a maximum covenant, in accordance with
the initial expected matrix point of 25. 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
97.45% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.4% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72.3%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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 'BBB-sf'
for class D-1-R, and 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, 'AA+sf' for class C-R, 'A+sf'
for class D-1-R, and '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 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 Franklin Park Place
CLO I.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
GS MORTGAGE 2014-GC24: Moody's Lowers Rating on 2 Tranches to Ba3
-----------------------------------------------------------------
Moody's Ratings has affirmed the rating on one class and downgraded
the ratings on six classes in GS Mortgage Securities Trust
2014-GC24, Commercial Mortgage Pass-Through Certificates, Series
2014-GC24 as follows:
Cl. A-5, Affirmed Aaa (sf); previously on Aug 26, 2024 Affirmed Aaa
(sf)
Cl. A-S, Downgraded to A1 (sf); previously on Aug 26, 2024
Downgraded to Aa2 (sf)
Cl. B, Downgraded to Ba3 (sf); previously on Aug 26, 2024
Downgraded to Baa3 (sf)
Cl. C, Downgraded to Caa2 (sf); previously on Aug 26, 2024
Downgraded to B2 (sf)
Cl. PEZ, Downgraded to B2 (sf); previously on Aug 26, 2024
Downgraded to Ba2 (sf)
Cl. X-A*, Downgraded to A1 (sf); previously on Aug 26, 2024
Downgraded to Aa1 (sf)
Cl. X-B*, Downgraded to Ba3 (sf); previously on Aug 26, 2024
Downgraded to Baa3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating on one P&I class, Cl. A-5, was affirmed because of its
significant credit support and the expected principal paydowns from
the remaining loans in the pool. Cl. A-5 has already paid down 98%
from its original balance and will benefit from payment priority
from any principal payments from liquidations or paydowns from the
remaining loans in the pool.
The rating on three P&I classes, Cl. A-S, Cl. B and Cl. C, were
downgraded due to the increase in interest shortfalls and higher
expected losses as a result of the exposure to specially serviced
and poorly performing loans. The remaining four loans are all in
special servicing and the largest specially serviced loan (Stamford
Plaza Portfolio – 40% of the pool) has had an interest only DSCR
below 1.00X since 2019 and is secured by office properties with
cash flows well below levels at securitization. Furthermore, the
specially serviced loans are all two or more months delinquent and
have each recognized appraisal reduction amounts as of the March
2025 remittance statement.
The rating on the interest-only (IO) classes, Cl. X-A and Cl. X-B,
were downgraded due to the decline in the credit quality of its
referenced classes.
The rating on the exchangeable class, Cl. PEZ, was downgraded due
to the decline in the credit quality of its referenced exchangeable
classes.
Moody's rating action reflects a base expected loss of 49.2% of the
current pooled balance, compared to 20.9% at Moody's last review.
Moody's base expected loss plus realized losses is now 15.7% of the
original pooled balance, compared to 10.3% at the last review.
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 all of the remaining
loans in the pool are in special servicing. In this approach,
Moody's determines a probability of default for each specially
serviced loan that Moody's 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.
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. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
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.
DEAL PERFORMANCE
As of the March 12, 2025 distribution date, the transaction's
aggregate certificate balance has decreased by 70.7% to $314.9
million from $1.07 billion at securitization. The certificates are
collateralized by four remaining specially serviced mortgage loans.
As of the March 2025 remittance report, the smallest remaining loan
representing (1% of the pool) was deemed non-recoverable by the
Master Servicer and three loans have been liquidated from the pool,
contributing to an aggregate realized loss of $13.5 million (for an
average loss severity of 27.5%).
As of the March 2025 remittance statement cumulative interest
shortfalls were $3.9 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans. Interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications and extraordinary trust
expenses.
The largest specially serviced loan is the Stamford Plaza Portfolio
Loan ($126.7 million – 40.2% of the pool), which represents a
pari passu portion of a $244.6 million senior mortgage loan. The
property is also encumbered by $227.2 million of mezzanine
financing. The loan is secured by a four-building office complex
representing approximately 982,500 SF and located in Stamford,
Connecticut. The loan has been in special servicing since August
2024 after failing to pay off at maturity. As of December 2024, the
portfolio was 63% leased, compared to 66% in September 2022, 62% as
of December 2021, 65% in June 2020 and 88% at securitization. The
portfolio's cash flow has been distressed since 2018 due to lower
occupancy and the loan's actual reported NOI DSCR has been below
1.00X since 2019. The portfolio's year-end 2024 NOI has declined
over 50% since securitization and the loan is actively under cash
management with all property cash flow being controlled by the
lender. Servicer commentary indicates a modification proposal is
being reviewed while also dual tracking foreclosure. The trust
portion of the loan has an appraisal reduction (ARA) in March 2025
of $31.8 million (25% of its outstanding principal balance) as an
updated appraisal value has not yet been reported. As of March 2025
remittance, this loan was last paid through July 2024 and has
accrued servicer advances of approximately $6.9 million. Due to the
weak office fundamental performance in the CBD of Stamford, CT and
the distressed performance of this loan, Moody's anticipated a
significant loss on this loan.
The second largest specially serviced loan is the is the Coastal
Grand Mall Loan ($97.7 million – 31.0% of the pool), which is
secured by an approximately 631,200 SF component of a 1.1 million
SF enclosed super-regional mall located in Myrtle Beach, South
Carolina. The non-collateral anchors include Dillard's and Belk and
the collateral anchor, J.C. Penney is a ground lease tenant. The
collateral is 50% owned by CBL & Associates Properties, Inc. (NYSE:
CBL) and 50% owned by Burroughs & Chapin Company, Inc. The loan
previously transferred to special servicing in March 2020 due to
the coronavirus outbreak but returned to the master servicer in May
2020 after temporary payment relief was granted, however, the loan
was transferred back to the special servicer in August 2024, after
the borrower was unable to pay off the loan at scheduled maturity.
The trust portion of the loan has an appraisal reduction (ARA) in
March 2025 of $24.6 million (25% of its outstanding principal
balance) as an updated appraisal value has not yet been reported.
The loan has amortized by 22% since securitization and had an NOI
DSCR of 1.86X as of September 2024, however, the loan was last paid
through its January 2025 payment date. Servicer commentary
indicated that the lender is engaged in potential modification
discussions with the borrower, while dual tracking foreclosure.
The third largest specially serviced loan is the Beverly Connection
Loan ($87.5 million – 27.8% of the pool), which represents a pari
passu portion of a $175.0 million senior mortgage loan. The
property is also encumbered by a $35.0 million B-note. The loan is
secured by an approximately 334,600 square feet (SF), two-level,
power center located on the border of Beverly Hills and West
Hollywood in Los Angeles, California. The collateral is comprised
of a fee simple interest in approximately 270,700 SF of retail
space and a leasehold interest in the remaining portion with a
ground lease expiration in December 2085. The largest tenant,
Target, accounts for 30% of net rentable area (NRA) with a lease
expiration in 2029. Other national tenants at the property include
Marshalls (10% of NRA), Ross Dress for Less (9% of NRA), Nordstrom
Rack (9% of NRA), and Saks Fifth Avenue Off Fifth (8% of NRA).
Occupancy was 92% in November 2024, compared to 95% in December
2019, 94 %in December 2017, and 98% at securitization. Despite the
high occupancy, the property's cash flow has been lower than
securitization levels due to an increase in expenses. An updated
appraised value from December 2024 reflected a 26% decline in value
since securitization and was slightly above the senior mortgage
loan balance, however, it was 8% below the outstanding whole loan
balance (inclusive of the B-note). The loan is interest-only
through its term and was last paid through the January 2025 payment
date and recognized an appraisal reduction (ARA) in March 2025 of
$3.8 million. The loan is actively cash managed with all property
cash flow being controlled by the lender. Servicer commentary
indicated the lender is finalizing terms for a loan modification
and maturity extension with the borrower.
The remaining specially serviced loan is secured by a single tenant
retail property in Grand Blanc, Michigan that is 100% vacant and
has been deemed non-recoverable by the Master Servicer. Moody's
estimates an aggregate $155 million loss for the specially serviced
loans (49% expected loss on average).
GS MORTGAGE 2018-SRP5: S&P Lowers Cl. B Certs Rating to 'CCC (sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on two classes of commercial
mortgage pass-through certificates from GS Mortgage Securities
Corp. Trust 2018-SRP5, a U.S. CMBS transaction. At the same time,
S&P affirmed its 'CCC (sf)' ratings on three classes from the
transaction.
This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a floating-rate, interest-only (IO) corrected mortgage loan
secured by the borrowers' fee-simple and/or leasehold interests in
five enclosed regional malls totaling 5.9 million sq. ft. (of
which, 3.7 million sq. ft. is collateral) located in California,
Ohio, and Washington.
The floating-rate loan pays SOFR plus a 2.95% weighted average
spread and matures on Dec. 9, 2025. As of the March 17, 2025,
trustee remittance report, the trust balance was $488.7 million,
down from $549.0 million at issuance. This paydown resulted from a
loan modification in 2022 that stipulated applying excess cash flow
and a $10.0 million capital infusion from new sponsors, Pacific
Retail Capital Partners and Golden East Investors, to pay down the
trust balance.
Rating Actions
The downgrades on classes A and B and affirmations on classes C and
D primarily reflect:
-- That the reported operating performance of the collateral mall
properties has not materially improved since S&P's last published
review in November 2023. The servicer-reported net cash flow (NCF)
for year-end 2023 and the nine months ended Sept. 30, 2024, are
below the reported 2021 and 2020 levels. Further, the loan has
reported debt service coverage (DSC) well below 1.00x.
-- S&P's revised aggregated expected-case valuation for the mall
portfolio, which is 31.0% lower than the value it derived in its
last review due primarily to its lower NCF and higher risk premium
assumptions for class B and C mall properties.
-- S&P's belief that the transaction faces liquidity risk with
reported sub-1.00x DSC and that the borrowers will continue to
experience difficulty refinancing the mortgage loan at its modified
extended maturity date in December 2025 due to, among other
factors, adverse market conditions for the underperforming class B
and C malls.
-- For classes B, C, and D, our qualitative consideration that
their repayments are dependent upon favorable business, financial,
and economic conditions, and that these classes are vulnerable to
default.
-- The affirmation on the class X-NCP IO certificates reflects our
criteria for rating IO securities, in which the rating on the IO
security would not be higher than that of the lowest-rated
reference class. Class X-NCP's notional amount references classes
A, B, C, and D.
Property-Level Analysis
The collateral mall portfolio consists of:
-- Plaza West Covina--667,814 sq. ft. of a 1.2 million-sq.-ft.
regional mall in West Covina, Calif. ($135.7 million current
allocated loan amount; 27.8% of pooled trust balance).
-- Franklin Park Mall--705,503 sq. ft. of a 1.3 million-sq.-ft.
regional mall in Toledo, Ohio ($112.4 million; 23.0%).
-- Parkway Plaza--944,728 sq. ft. of a 1.3 million-sq.-ft.
regional mall in El Cajon, Calif. ($104.1 million; 21.3%).
-- Capital Mall--804,065 sq. ft. regional mall in Olympia, Wash.
($80.7 million; 16.5%).
-- Great Northern Mall--606,933 sq. ft. of a 1.2 million-sq.-ft.
regional mall in North Olmsted, Ohio ($55.8 million; 11.4%).
S&P said, "In our November 2023 review, we noted declines in the
portfolio's reported performance and occupancy. As a result, using
a $36.0 million NCF and 10.30% S&P Global Ratings weighted average
capitalization rate, we derived an aggregated expected-case value
of $349.3 million.
"In our current review, the portfolio continues to perform below
our expectations. As a result, we revised and lowered our combined
NCF (mainly driven by lower-than-expected reported performance on
Parkway Plaza and Capital Mall) by 8.7% from our last review to
$32.8 million. Using an S&P Global Ratings weighted average
capitalization rate of 13.63% (reflecting our view of higher risk
premium for non-dominant class B and C malls facing strong
competitions in their respective trade areas), we derived our
expected-case value of $240.9 million for the portfolio, 31.0%
lower than the value we derived in our last review and 57.1% below
the November 2021 appraisal value of $561.6 million. This yielded
an S&P Global Ratings loan-to-value ratio over 100% on the current
trust loan balance."
Details of the individual mall's reported performance and S&P's
underlying property-level assumptions are shown in tables 1-10.
Tables 11 and 12 summarize the portfolio's reported performance and
our property-level analysis.
Table 1
Plaza West Covina
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 83.2 92.0 87.7
Net cash flow (mil. $) 6.4 9.7 9.6
Debt service coverage (x) 0.74 0.88 1.56
Appraisal value (mil. $)(ii) 215.0 215.0 215.0
(i)Reporting period.
(ii)Appraised at $343.0 million at issuance.
Table 2
Plaza West Covina
S&P Global Ratings' key assumptions
Last
Current review published review At issuance
(March 2025)(i) (Nov 2023)(i) (June 2018)(i)
Occupancy rate (%) 86.9 90.0 93.6
Net cash flow (mil. $) 11.3 11.3 17.6
Capitalization rate (%) 14.00 8.75 7.50
Value (mil. $) 80.5 128.9 228.0
Value per sq. ft. ($) 121 193 341
(i)Review period.
Table 3
Franklin Park Mall
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 94.0 93.2 92.3
Net cash flow (mil. $) 4.4 7.5 6.2
Debt service coverage (x) 0.62 0.82 1.21
Appraisal value (mil. $)(ii) 82.8 82.8 82.8
(i)Review period.
(ii)Appraised at $284.0 million at issuance.
Table 4
Franklin Park Mall
S&P Global Ratings' key assumptions
Last
Current review published review At issuance
(March 2025)(i) (Nov 2023)(i) (June 2018)(i)
Occupancy rate (%) 90.6 91.9 93.8
Net cash flow (mil. $) 8.7 8.7 14.5
Capitalization rate (%) 12.00 12.00 7.50
Value (mil. $) 72.2 72.2 193.6
Value per sq. ft. ($) 102 102 274
(i)Review period.
Table 5
Parkway Plaza
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 92.2 92.2 93.8
Net cash flow (mil. $) 3.2 6.6 5.9
Debt service coverage (x) 0.49 0.79 1.26
Appraisal value (mil. $)(ii) 155.0 155.0 155.0
(i)Review period.
(ii)Appraised at $263.0 million at issuance.
Table 6
Parkway Plaza
S&P Global Ratings' key assumptions
Last
Current review published review At issuance
(March 2025)(i) (Nov 2023)(i) (June 2018)(i)
Occupancy rate (%) 65.3 88.7 94.0
Net cash flow (mil. $) 5.2 7.5 13.1
Capitalization rate (%) 15.00 9.50 7.75
Value (mil. $) 34.4 78.8 168.5
Value per sq. ft. ($) 36 83 178
(i)Review period.
Table 7
Capital Mall
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 91.3 91.3 94.1
Net cash flow (mil. $) 2.6 3.9 3.8
Debt service coverage (x) 0.50 0.60 1.03
Appraisal value (mil. $)(ii) 69.4 69.4 69.4
(i)Review period.
(ii)Appraised at $204.0 million at issuance.
Table 8
Capital Mall
S&P Global Ratings' key assumptions
Last
Current review published review At issuance
(March 2025)(i) (Nov 2023)(i) (June 2018)(i)
Occupancy rate (%) 91.3 90.1 89.5
Net cash flow (mil. $) 4.8 5.6 10.6
Capitalization rate (%) 14.00 14.00 7.75
Value (mil. $) 34.1 40.0 136.6
Value per sq. ft. ($) 42 50 170
(i)Review period.
Table 9
Great Northern Mall
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 82.3 82.3 91.5
Net cash flow (mil. $) 1.4 3.2 2.7
Debt service coverage (x) 0.42 0.71 1.07
Appraisal value (mil. $)(ii) 39.4 39.4 39.4
(i)Review period.
(ii)Appraised at $141.0 million at issuance.
Table 10
Great Northern Mall
S&P Global Ratings' key assumptions
Last
Current review published review At issuance
(March 2025)(i) (Nov 2023)(i) (June 2018)(i)
Occupancy rate (%) 82.3 76.6 93.6
Net cash flow (mil. $) 2.9 2.9 7.4
Capitalization rate (%) 15.00 10.00 7.75
Value (mil. $) 19.7 29.5 96.1
Value per sq. ft. ($) 32 49 158
(i)Review period.
Table 11
Total portfolio
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 89.0 90.5 92.1
Net cash flow (mil. $) 18.0 30.9 28.1
Debt service coverage (x) 0.58 0.78 1.27
Appraisal value (mil. $)(ii) 561.6 561.6 561.6
(i)Review period.
(ii)Appraised at $1.2 billion at issuance.
Table 12
Total portfolio
S&P Global Ratings' key assumptions
Last
Current review published review At issuance
(March 2025)(i) (Nov 2023)(i) (June 2018)(i)
Trust balance (mil. $) 488.7 488.7 549.0
Occupancy rate (%) 82.3 87.9 92.9
Net cash flow (mil. $) 32.8 36.0 63.2
Capitalization rate (%) 13.63 10.30 7.62
Value (mil. $) 240.9 349.3 822.8
Value per sq. ft. ($) 65 94 221
Loan-to-value ratio (%)(ii) 202.9 140.0 66.7
(i)Review period.
(ii)Based on the trust balance at the time of our review.
Ratings Lowered
GS Mortgage Securities Corp. Trust 2018-SRP5
Class A to 'B- (sf)' from 'BB- (sf)'
Class B to 'CCC (sf)' from 'B- (sf)'
Ratings Affirmed
GS Mortgage Securities Corp. Trust 2018-SRP5
Class C: CCC (sf)
Class D: CCC (sf)
Class X-NCP: CCC (sf)
GS MORTGAGE 2025-PJ3: Moody's Assigns B2 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 60 classes of
residential mortgage-backed securities (RMBS) issued by GS
Mortgage-Backed Securities Trust 2025-PJ3, and sponsored by Goldman
Sachs Mortgage Company (GSMC).
The securities are backed by a pool of prime jumbo (92.4% by
balance) and GSE-eligible (7.6% by balance) residential mortgages
aggregated by GSMC and originated and serviced by multiple
entities.
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2025-PJ3
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 Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. A-21, Definitive Rating Assigned Aaa (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. A-25, 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-X-3*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-4*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-5*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-6*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-7*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-8*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-9*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-10*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-11*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-12*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-13*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-14*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-15*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-16*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-17*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-18*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-19*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-20*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-21*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-22*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-23*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-24*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-25*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-26*, Definitive Rating Assigned Aaa (sf)
Cl. B-1, Definitive Rating Assigned Aa2 (sf)
Cl. B-1A, Definitive Rating Assigned Aa2 (sf)
Cl. B-X-1*, Definitive Rating Assigned Aa2 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-2A, Definitive Rating Assigned A2 (sf)
Cl. B-X-2*, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
*Reflects Interest-Only Classes
Moody's are withdrawing the provisional ratings for the Class A-1L
Loans, Class A-2L Loans and Class A-3L Loans, assigned on March 12,
2025, because the issuer will not be issuing these 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
0.35%, in a baseline scenario-median is 0.17% and reaches 4.41% 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.
GS MORTGAGE 2025-SL1: Fitch Gives 'Bsf' Rating on Class B-2 Certs
-----------------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed certificates
issued by GS Mortgage-Backed Securities Trust 2025-SL1 (GSMBS
2025-SL1) as follows:
Entity/Debt Rating Prior
----------- ------ -----
GSMBS 2025-SL1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
B-1 LT BBsf New Rating BB(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
M-1 LT BBBsf New Rating BBB(EXP)sf
R LT NRsf New Rating NR(EXP)sf
RISKRETEN LT NRsf New Rating NR(EXP)sf
SA LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
The notes are supported by 11,547 seasoned performing loans (SPLs)
and reperforming loans (RPLs) with a total balance of approximately
$464 million.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.9% above a long-term sustainable level versus
11.1% on a national level as of 3Q24, down 0.5% since last quarter.
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.
RPL Credit Quality (Negative): The collateral consists of 11,547
seasoned performing and re-performing first and second-lien loans.
As of the cutoff date, the pool was 94.7% current and 5.3% DQ.
Approximately 73.1% of the loans were treated as having clean
payment histories for the past two years or more (clean current) or
having been clean since origination if seasoned less than two
years. In addition, 55.4% of loans have a prior modification. The
borrowers have a low credit profile (654 FICO and 45% DTI) and low
leverage (59.5% sLTV).
Sequential-Pay Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure, whereby the subordinate
classes do not receive principal until the senior classes are
repaid in full. The credit enhancement consists of subordinated
notes, the distributions of which will be subordinated to P&I
payments due to senior noteholders.
In addition, excess cash flow resulting from the difference between
the interest earned on the mortgage collateral and that paid on the
notes may be available to repay current or previously allocated
realized losses sequentially (after prioritizing fees to
transaction parties, Net WAC shortfalls and to the breach reserve
account).
No Servicer P&I Advances (Mixed): The servicer will not advance
delinquent monthly payments of P&I, which reduce liquidity to the
trust. P&I advances made on behalf of loans that become delinquent
and eventually liquidate reduce liquidation proceeds to the trust.
Due to the lack of P&I advancing, the loan-level loss severity (LS)
is less for this transaction than for those where the servicer is
obligated to advance P&I. Structural provisions and cash flow
priorities, together with increased subordination and excess
interest, provided for timely payments of interest to all rated
classes in their respective rating cases.
180-Day Charge-off Feature (Positive): The servicer has the
ability, but not the obligation, to write off the balance of a loan
at 180 days delinquent (DQ) based on the Mortgage Bankers
Association (MBA) delinquency method. The controlling holder must
be notified of the decision and respond within five business days
with their disagreement, or the servicer may treat a lack of
response as consent and proceed with the charge-off. To the extent
the servicer expects meaningful recovery in any liquidation
scenario, they may continue to monitor the loan and not charge it
off.
While the 180-day charge-off feature will result in losses being
incurred sooner, there is a larger amount of excess interest to
protect against them. This compares favorably with a delayed
liquidation scenario, where losses occur later in the life of a
transaction and less excess is available to cover them. If a loan
is not charged off due to a presumed recovery, this will provide
added benefit to the transaction, above Fitch's expectations.
Additionally, recoveries realized after the write-down at 180 days
DQ (excluding forbearance mortgage or loss mitigation loans) will
be passed on to bondholders as principal.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 42.1% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
CRITERIA VARIATION
Fitch's "U.S. RMBS Rating Criteria" requires a diligence review of
20% loans for second-lien transactions. For this transaction, only
39 loans were reviewed in accordance with rating agency standards.
To mitigate this, an additional 32% of the loan pool was reviewed
prior to acquisition, but the review did not include the
corresponding grades.
However, Fitch incorporated the results in its analysis because of
the similar scope. The lack of the diligence sample also did not
have a material impact due to the high percentage of second-lien
collateral and the 100% loss severity assumption on the very low
LTV collateral. Consequently, Fitch did not make any adjustments to
losses, and there was no rating impact from the criteria
variation.
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 various firms. The third-party due diligence described
in Form 15E focused on a regulatory compliance review that covered
applicable federal, state and local high-cost loan and/or
anti-predatory laws, as well as the Truth In Lending Act (TILA) and
Real Estate Settlement Procedures Act (RESPA). The scope was
consistent with published Fitch criteria for due diligence on RPL
RMBS. Fitch considered this information in its analysis and, as a
result, made the following adjustments to its analysis:
- Loans with an indeterminate HUD1 located in states that fall
under Freddie Mac's "Do Not Purchase List" received a100% LS
override;
- Loans with an indeterminate HUD1 but not located in states that
fall under Freddie Mac's "Do Not Purchase List" received a
five-point LS increase;
- Unpaid taxes and lien amounts were added to the LS.
Fitch's loss expectations were adjusted by 25bps as a result of the
compliance and title issues.
ESG Considerations
GSMBS 2025-SL1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to the adjustment for the Rep &
Warranty framework without other operational mitigants, which has a
negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GUGGENHEIM CLO 2020-1: S&P Raises E-R Notes Rating to 'BB- (sf)'
----------------------------------------------------------------
S&P Global Ratings reviewed its ratings on Guggenheim CLO 2020-1
Ltd., a U.S. CLO managed by Guggenheim Partners Investment
Management LLC. S&P raised its ratings on the class B-R, C-R, and
D-R debt and removed them from CreditWatch with positive
implications, where S&P had placed them on March 14, 2025. At the
same time, S&P affirmed its ratings on the class A-R and E-R debt
from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the February 2025 trustee report.
The transaction has paid down approximately $116.55 million to the
class A-R notes since the CLO refinanced in April 2021. These
paydowns increased the reported overcollateralization (O/C)
ratios:
-- The class A-R/B-R O/C ratio improved to 161.16% from 131.77%
reported in the May 2021 trustee report that was issued following
the refinance.
-- The class C-R O/C ratio improved to 138.01% from 122.24%.
-- The class D-R O/C ratio improved to 122.94% from 115.13%.
-- The class E-R O/C ratio improved to 112.13% from 109.51%.
-- All O/C ratios experienced a positive movement due to the lower
balances of the senior debt; 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 about $21.06 million (about 12.7% of
the assets) reported as of the February 2025 trustee report,
compared with $0.00 million reported as of the May 2021 trustee
report. In the same period, the trustee also reported an increase
in defaults to about $2.99 million from $0.00."
However, despite the 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 3.18 years
reported as of the February 2025 trustee report, compared with
about 5.23 years reported in the May 2021 trustee report.
The upgraded ratings reflect the improved credit support available
to the debt 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 debt could result in further ratings changes.
S&P said, "On a standalone basis, the results of the cash flow
analysis indicated a higher rating on the class C-R, D-R, and E-R
debt. However, our rating actions considered the results of
additional sensitivity runs we ran given the CLO's increased
exposure to lower quality assets and to some assets trading at low
prices that we noticed in the portfolio. Consequently, we limited
the upgrade on some classes to have more cushions at their current
rating level.
"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 And Removed From Creditwatch
Guggenheim CLO 2020-1 Ltd.
Class B-R to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class C-R to 'AA (sf)' from 'A (sf) /Watch Pos'
Class D-R to 'BBB (sf)' from 'BBB- (sf) /Watch Pos'
Ratings Affirmed
Guggenheim CLO 2020-1 Ltd.
Class A-R: 'AAA (sf)'
Class E-R: 'BB- (sf)'
HILDENE TRUPS 4: Moody's Assigns (P)Ba2 Rating to Class D-R Notes
-----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to six classes of
CDO refinancing notes (the Refinancing Notes) to be issued by
Hildene TruPS Securitization 4, Ltd. (the Issuer):
US$263,800,000 Class A1-R Senior Secured Floating Rate Notes due
2040, Assigned (P)Aaa (sf)
US$71,050,000 Class A2A-R Senior Secured Floating Rate Notes due
2040, Assigned (P)Aa1 (sf)
US$40,000,000 Class A2F-R Senior Secured Fixed Rate Notes due 2040,
Assigned (P)Aa1 (sf)
US$58,350,000 Class B-R Mezzanine Secured Deferrable Floating Rate
Notes due 2040, Assigned (P)A1 (sf)
US$22,200,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2040, Assigned (P)Baa3 (sf)
US$27,750,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2040, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks, particularly those associated with
the CDO's portfolio and structure.
Hildene TruPS Securitization 4, Ltd. is a static cash flow TruPS
CDO. The issued notes will be collateralized primarily by (1) trust
preferred securities ("TruPS") and subordinated debt issued by US
community banks and their holding companies and (2) TruPS, surplus
notes and subordinated debt issued by insurance companies and their
holding companies. The portfolio is expected to be fully ramped as
of the closing date.
Hildene Structured Advisors, LLC (the Manager) will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer. The Manager will direct the disposition of any
defaulted securities, deferring securities or credit risk
securities. The transaction prohibits any asset purchases or
substitutions at any time.
In addition to the Rated Notes, the Issuer will issue one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
The performing portfolio of this CDO consists of (1) TruPS and
subordinated debt issued by 67 US community banks and (2) TruPS,
surplus notes and subordinated debt issued by 7 insurance
companies, the majority of which Moody's does not rate. Moody's
assesses the default probability of bank obligors that do not have
public ratings through credit scores derived using RiskCalc(TM), an
econometric model developed by Moody's Analytics. Moody's
evaluation of the credit risk of the bank obligors in the pool
relies on FDIC Q3-2024 financial data. Moody's assesses the default
probability of insurance company obligors that do not have public
ratings through credit assessments provided by its insurance
ratings team based on the credit analysis of the underlying
insurance companies' annual statutory financial reports. Moody's
assumes a fixed recovery rate of 10% for both the bank and
insurance obligations.
For modeling purposes, Moody's used the following base-case
assumptions:
Performing Par amount: $541,360,000
Defaulted/Deferring par: $14,000,000
Weighted Average Rating Factor (WARF): 731
Weighted Average Spread Float Assets (WAS): 2.71%
Weighted Average Coupon Fixed Assets (WAC): 7.25%
Weighted Average Coupon (WAC)/Weighted Average Spread(WAS) for
fixed to float assets: 3.26%/2.34%
Weighted Average Recovery Rate (WARR): 10.0%
Weighted Average Life (WAL): 8.7 years
Methodology Underlying 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 a 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.
HINNT LLC 2025-A: Moody's Assigns Ba2 Rating to Class D Notes
-------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to the notes issued
by HINNT 2025-A LLC. HINNT 2025-A LLC is backed by a pool of
timeshare loans originated by Holiday Inn Club Vacations
Incorporated (HICV) who also serviced the transaction. HICV began
operations in 1982 and is an experienced sponsor and servicer of
timeshare loans. Computershare Trust Company, National Association
(Computershare; Baa2) will serve as the backup servicer and
indenture trustee for the transaction.
The complete rating actions are as follows:
Issuer: HINNT 2025-A LLC
Timeshare Loan-Backed Notes, Series 2025-A, Class A, Definitive
Rating Assigned Aaa (sf)
Timeshare Loan-Backed Notes, Series 2025-A, Class B, Definitive
Rating Assigned A3 (sf)
Timeshare Loan-Backed Notes, Series 2025-A, Class C, Definitive
Rating Assigned Baa3 (sf)
Timeshare Loan-Backed Notes, Series 2025-A, Class D, Definitive
Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying collateral
and its expected performance, the capital structure, and the
experience and expertise of HICV as servicer and the back-up
servicing arrangement with Computershare.
Moody's expected median cumulative net loss expectation for HINNT
2025-A LLC is 21.2% and the loss at a Aaa stress is 62%. Moody's
based Moody's net loss expectations on an analysis of the credit
quality of the underlying collateral; the historical performance of
similar collateral, including securitization performance and
managed portfolio performance; the ability of HICV to perform the
servicing functions and Computershare to perform the backup
servicing functions; and current expectations for the macroeconomic
environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class C notes and
Class D notes are expected to benefit from 59.10%, 27.70%, 12.70%,
and 4.45% of hard credit enhancement, respectively. Hard credit
enhancement for the notes consists of a combination of
overcollateralization, a reserve account and subordination. For the
purpose of calculating initial hard credit enhancement, Moody's
uses a reserve of 2.50%. The notes may also benefit from excess
spread.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "US Vacation
Timeshare Loan Securitizations" published in April 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the Class B, C, and D notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. This transaction has a pro-rata
structure with sequential pay triggers. Moody's expectations of
pool losses could decline as a result of better than expected
improvements in the economy, changes to servicing practices that
enhance collections or refinancing opportunities that result in
prepayments.
Down
Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectations of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the US
economy, deficient servicing, errors on the part of transaction
parties, inadequate transaction governance or fraud.
HOMEWARD OPPORTUNITIES 2025-RRTL1: DBRS Rates M2 Notes 'B(low)'
---------------------------------------------------------------
DBRS, Inc. finalized provisional credit ratings on the
Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes) to be issued
by Homeward Opportunities Fund Trust 2025-RRTL1 (HOF 2025-RRTL1 or
the Issuer) as follows:
-- $245.6 million Class A1 at A (low) (sf)
-- $208.0 million Class A1A at A (low) (sf)
-- $37.6 million Class A1B at A (low) (sf)
-- $21.6 million Class A2 at BBB (low) (sf)
-- $20.8 million Class M1 at BB (low) (sf)
-- $16.0 million Class M2 at B (low) (sf)
The A (low) (sf) credit rating reflects 23.25% of credit
enhancement provided by the subordinated notes and
overcollateralization. The BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 16.50%, 10.00%, and 5.00% 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 an 18-month revolving
portfolio of residential transition loans (RTLs) funded by the
issuance of the Notes. As of the Initial Cut-Off Date, the Notes
are backed by:
-- 432 mortgage loans with a total principal balance of
approximately $166,334,493;
-- Approximately $153,665,507 in the Accumulation Account; and
-- Approximately $2,000,000 in the Interest Reserve Account.
Additional RTLs may be added to the revolving portfolio on future
additional transfer dates, subject to the transaction's eligibility
criteria.
HOF 2025-RRTL1 represents the fourth RTL securitization issued by
the Sponsor, Homeward Opportunities Fund LP (HOF). Formed in 2019,
HOF is a fund managed by and affiliated with Neuberger Berman
Investment Advisers LLC (NBIA), whose investment objective is to
achieve an attractive risk-adjusted return on investment by
acquiring, managing, holding for investment, and disposing of U.S.
residential real estate-related investments, including but not
limited to residential, commercial, multifamily, residential
rental, mixed residential/commercial, bridge, and investment
mortgage loans.
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 be extended, 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, but are not
limited to:
-- A minimum nonzero weighted-average (NZ WA) FICO score of 735.
-- A maximum WA loan-to-cost ratio of 80.0%.
-- A maximum NZ WA as repaired loan-to-value ratio of 70.0%.
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+ and mixed used 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 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 Servicing Administrator.
In the HOF 2025-RRTL1 revolving portfolio, RTLs may be:
-- Fully funded, (1) with no obligation of further advances to the
borrower, or (2) 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
-- 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 HOF
2025-RRTL1 eligibility criteria, unfunded commitments are limited
to 50.0% of the assets of the Issuer, which includes (1) the unpaid
principal balance (UPB) of the mortgage loans, and (2) amounts in
the Accumulation Account.
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 February 2027, the Class A1, A1A, A1B,
and A2 fixed rates listed in the credit ratings table will step up
by 1.000% the following month.
There will be no advancing of delinquent (DQ) interest on any
mortgage by the Servicers or any other party to the transaction.
However, the Servicers are obligated to fund Servicing Advances,
which include taxes, insurance premiums, and reasonable costs
incurred in the course of servicing and disposing properties. Each
Servicer will be entitled to reimburse itself for Servicing
Advances from available funds prior to any payments on the Notes.
The Servicers will satisfy Rehabilitation Disbursement Requests by
(1) for loans with funded commitments, releasing funds from the
rehab escrow account to the applicable borrower; or (2) for loans
with unfunded commitments, releasing funds from principal
collections on deposit in the related Servicers' Custodial Account
(Rehabilitation Advances). If amounts in the applicable Servicers'
Custodial Account are insufficient to fund a Rehabilitation
Advance, the Depositor may advance funds from the Accumulation
Account. The Depositor will be entitled to reimburse itself for
Rehabilitation Disbursement Requests from time to time from the
Accumulation Account.
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 credit
enhancement (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.
An Interest Reserve Account is in place to help cover the first
three months of interest payments to the Notes. Such account is
funded upfront in an amount equal to $2,000,000. On the payment
dates occurring in March, April, and May 2025, the Paying Agent
will withdraw a specified amount to be included in available
funds.
Historically, RTL originations reviewed by Morningstar DBRS have
generated robust mortgage repayments, which 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 mortgage repayments relative to draw
commitments for NBIA's historical acquisitions 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 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
par plus interest and fees (the Redemption Price).
On any Payment Date following the termination of the Reinvestment
Period, the Depositor, at its option, may purchase all of the
mortgage loans at the Redemption Price.
Repurchase Option
The Sponsor 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 as of the
Initial Cut-Off Date. 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.
Repurchases
A mortgage loan may be repurchased under the following
circumstances:
-- There is a material representations and warranties (R&W)
breach, a material document defect, or a diligence defect that the
Sponsor is unable to cure;
-- The Sponsor elects to exercise its Repurchase Option; or
-- An optional redemption occurs.
U.S. Credit Risk Retention
As the Sponsor, HOF, 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 properties that are located
within certain disaster areas (such as those impacted by the
Greater Los Angeles wildfires). Although many RTL already have a
rehab component, the original scope of rehab may be affected by
such disasters. After a disaster, the Servicers follow standard
protocol, which includes a review of the impacted area, borrower
outreach, 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.
JP MORGAN 2013-C10: S&P Lowers F Certs Rating to 'CCC (sf)'
-----------------------------------------------------------
S&P Global Ratings lowered its ratings on four classes of
commercial mortgage pass-through certificates from J.P. Morgan
Chase Commercial Mortgage Securities Trust 2013-C10.
This is a U.S. CMBS transaction that is currently backed by one
specially-serviced loan and one corrected mortgage loan, down from
50 loans at issuance.
Rating Actions
The downgrades on classes C, D, and E, despite higher
model-indicated ratings, primarily reflect:
-- S&P's analysis of the larger of the two remaining loans in the
pool, Gateway Center ($92.7 million pooled trust balance as of the
March 2025 trustee remittance report; 66.7% of the remaining pooled
trust balance). The property is currently 63.0% occupied and
servicer-reported financials indicate negative net cash flow (NCF)
for 2023 and the annualized year-to-date (YTD) September 2024
period. The loan is specially-serviced and has a total of $2.3
million in servicer advances and interest thereon outstanding,
reflecting the servicer having to advance the last four months of
principal and interest payments. Additionally, the property
experienced a further decline in its appraisal value to $87.9
million ($60 per sq. ft.) as of October 2024, which, when compared
to the loan's $95.0 million total exposure, implies an appraisal
reduction amount (ARA) and resultant appraisal subordinate
entitlement reduction (ASER) on the loan, although none have been
effected to date. Our forecast liquidity scenario assumes an ARA
and resultant ASER based on our $72.8 million ($50-per-sq.-ft.) S&P
Global Ratings' value for the property. According to the special
servicer, a receiver has been put in place and it expects to obtain
title to the property sometime in 2025; however, the ultimate
resolution timeframe remains unknown, which in our view leaves the
trust at greater exposure to future appraisal value declines and
ASER-related interest shortfalls, and/or an eventual nonrecoverable
declaration.
-- The other remaining loan in the pool, West County Center ($46.3
million; 33.3%), also has a special-servicing history, having
failed to refinance multiple times in the past. S&P said,
"Furthermore, servicer-reported NCF for the collateral mall has
declined since our 2022 review, resulting in us recasting our S&P
Global Ratings' NCF. We feel these factors, along with the more
discerning lending environment for malls, will impede the loan's
ability to refinance at its December 2026 maturity." This could
have direct negative impacts on the trust bonds, including
additional interest shortfalls from any resultant special-servicing
fees, and indirect effects by prolonging the bonds' exposure to the
Gateway Center loan.
S&P said, "The downgrade of the ratings on classes E and F to 'CCC
(sf)' further reflect our qualitative consideration that their
repayment is dependent upon favorable business, financial, and
economic conditions and that these classes are vulnerable to
payment default. Our forecast liquidity scenario considers the
$38,114 monthly special-servicing fee and a potential monthly ASER
of $103,023 on the Gateway Center loan--calculated using our $72.8
million ($50-per-sq.-ft.) S&P Global Ratings' value on the
property--and indicates both classes to be at heightened risk of
liquidity interruption.
"We will continue to monitor the transaction's performance and the
collateral loans, especially any developments around the
performance and resolution of the specially-serviced loan. To the
extent future developments differ meaningfully from our underlying
assumptions, we may take further rating action as we determine
necessary."
Loan Details
Gateway Center ($92.7 million pooled trust amount; 66.7% of total
pooled trust balance)
The largest remaining loan in the pool is secured by the borrower's
fee simple interest in a four-building office complex totaling 1.5
million sq. ft., built in 1952 and 1960, and renovated in 2000 and
2012, in the central business district of Pittsburgh. The four
buildings are located on a nine-acre site, and three of the
buildings are centered around an open-air plaza, while the fourth
is located across the street with its own outdoor area. The
buildings are all connected to two underground parking garages.
The loan initially matured in January 2023, but it was transferred
to special servicing in November 2022 due to imminent maturity
default as the borrower indicated refinancing difficulty due to low
property occupancy, which was reported as 67.0% at the time of
transfer. The loan was modified with updated terms including a
January 2024 maturity, with an additional option to extend to
January 2025. The loan again failed to refinance by January 2024,
was extended to January 2025, and again transferred to special
servicing in August 2024 for imminent maturity default, where it
remains.
The property was 63.0% occupied as of February 2025.
Servicer-reported NCF was $5.2 million in 2022, dropped to -$1.3
million in 2023, and declined further to -$3.5 million for the
annualized YTD September 2024 period.
The servicer has had to advance the last four months of principal
and interest payments on the loan, amounting to $2.3 million of
advances and interest thereon, for a total exposure of $95.0
million. In addition, the October 2024 appraised value of $87.9
million ($60 per sq. ft.), down from $124.3 million ($85 per sq.
ft.) as of January 2023, implies an ARA and resultant ASER;
however, none have been effected to date. As discussed, S&P's
analysis assumes an ARA and resultant ASER based on its $72.8
million ($50-per-sq.-ft.) S&P Global Ratings' value for the
property, which is unchanged from its 2022 review.
The special servicer has indicated that a receiver has been put in
place and it expects title to the property sometime in 2025;
however, the ultimate resolution timeframe remains uncertain.
West County Center ($46.3 million pooled trust amount; 33.3% of
total pooled trust balance)
The pooled trust loan is part of a $143.5 million whole loan, with
a $97.2 million pari-passu piece held in JPMorgan Chase Commercial
Mortgage Securities Trust 2012-LC9, a U.S. CMBS transaction. All
performance figures referenced are whole-loan based.
The loan is secured by the borrower's fee simple interest in
743,945 sq. ft. of an approximately 1.2-million-sq.-ft. regional
mall located in Des Peres, Mo., a suburb of St. Louis. The property
was originally constructed in 1969 but was demolished, apart from
the JCPenney store, and rebuilt in September 2002. It was
most-recently renovated in 2009. Anchors at the property include
Macy's (266,000 sq. ft.), Nordstrom (185,000 sq. ft.), and JCPenney
(199,469 sq. ft.). Of the anchors, only Nordstrom, which is subject
to a ground lease with the borrower, is included as collateral for
the loan.
S&P said, "The property has maintained strong occupancy; however,
servicer-reported NCF has declined since our 2022 review. The
annualized YTD June 2022 servicer-reported NCF and occupancy were
$15.9 million and 95.7%, respectively. Since then, occupancy has
remained in the mid- to upper-90% range (most recently, 96.0% as of
September 2024), while servicer-reported NCF declined to $14.8
million for full-year 2022 and $11.7 million for both full-year
2023 and the annualized YTD September 2024 period. Given this, we
reevaluated the property, assuming a 10.0% long-term vacancy
(accounting for upcoming lease roll) and using primarily full-year
2023 operating expenses, yielding a revised S&P Global Ratings' NCF
of $10.7 million, down from $13.1 million previously. Maintaining
our 9.25% capitalization rate, we arrived at a revised S&P Global
Ratings' value of $115.6 million ($155 per sq. ft.), down from
$141.9 million ($191 per sq. ft.) previously and 51.8% lower than
the $240.0 million ($323-per-sq.-ft.) December 2022 appraisal
value. The December 2022 appraisal value is 29.4% lower than the
issuance appraisal value of $340.0 million ($457 per sq. ft.)."
The loan is currently on the master servicer's watchlist for a low
reported debt service coverage ratio, which was 1.19x for the
annualized YTD September 2024 period. The loan was transferred to
special servicing in April 2020 for imminent monetary default
related to the COVID-19 pandemic, after which the borrower's parent
company filed for bankruptcy. The loan then missed its initial
December 2022 maturity but was modified with updated terms,
including a December 2024 maturity with further extension options
through December 2026. The loan again failed to refinance by
December 2024 and now matures in December 2026. S&P feels the
property's performance decline, the loan's failed refinancing
history, and the more discerning lending environment for malls will
impede the loan's ability to refinance by its upcoming maturity
date.
Transaction Summary
As of the March 2025 trustee remittance report, the collateral pool
balance was $138.9 million. which is 10.9% of the pool balance at
issuance. The pool currently includes one specially-serviced loan
and one corrected mortgage loan, down from 50 loans at issuance.
In the current reporting period, the trust experienced $37,990 in
monthly interest shortfalls, stemming primarily from monthly
special-servicing fees on the Gateway Center loan ($38,114), which
resulted in the non-rated class NR experiencing an interest
shortfall.
Ratings Lowered
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10
Class C to 'BBB (sf)' from 'A (sf)'
Class D to 'BB-(sf)' from 'BBB- (sf)'
Class E to 'CCC (sf)' from 'BB- (sf)'
Class F to 'CCC (sf)' from 'B- (sf)'
JP MORGAN 2018-PHH: Moody's Lowers Rating on Cl. A Certs to B2
--------------------------------------------------------------
Moody's Ratings has affirmed the ratings on three classes and
downgraded the ratings on four classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2018-PHH, Commercial Mortgage
Pass-Through Certificates, Series 2018-PHH as follows:
Cl. A, Downgraded to B2 (sf); previously on Jul 12, 2024 Downgraded
to Ba1 (sf)
Cl. B, Downgraded to Caa1 (sf); previously on Jul 12, 2024
Downgraded to Ba3 (sf)
Cl. C, Downgraded to Caa3 (sf); previously on Jul 12, 2024
Downgraded to Caa1 (sf)
Cl. D, Downgraded to C (sf); previously on Jul 12, 2024 Downgraded
to Caa3 (sf)
Cl. E, Affirmed C (sf); previously on Jul 12, 2024 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Jul 12, 2024 Affirmed C (sf)
Cl. HRR, Affirmed C (sf); previously on Jul 12, 2024 Affirmed C
(sf)
RATINGS RATIONALE
The ratings on four P&I classes, Cl. A, Cl. B, Cl. C and Cl. D,
were downgraded primarily due to the continued delinquency,
uncertainty around the timing and proceeds from the ultimate
resolution of the asset and the significant loan advances that have
continued to increase from Moody's prior review. As of the March
2025 distribution date there was approximately $69.4 million of
advances (inclusive of P&I, T&I, other expense advances and
cumulative accrued unpaid advance interest outstanding) which
accounted for 21.1% of the outstanding loan balance, up from
approximately $61.9 million at Moody's last review. Moody's action
also reflects the potential for higher losses and interest
shortfall concerns due to the ongoing delinquency and uncertainty
of resolution timeline. The loan has been in special servicing
since April 2020 and was last paid through its July 2021 payment
date. Furthermore, the property's operating expense growth is
outpacing the increase in RevPAR growth and the net cash flow (NCF)
has not reached Moody's expectations at the last review.
The ratings on three P&I classes, Cl. E, Cl. F and Cl. HRR, were
affirmed because the ratings are consistent with Moody's expected
loss.
From 2021 through 2024, the property's cash flow performance
improved year over year, however, growth has slowed and the 2024
NCF remained below its performance levels in 2019. The positive
cash flow trends may soon reverse due to the combination of higher
expected real estate tax payments, increased operating expenses and
the slower pace of revenue growth. The NCF DSCR has been below
1.00X due to the cash flow trends and the significant increase in
its floating interest rate in recent years. As a result, Moody's
expects the advances to remain outstanding and may continue to
increase if the property's cash flow does not improve. Servicing
advances are senior in the transaction waterfall and are paid back
prior to any principal recoveries which may result in lower
recovery to the total trust balance.
In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and trophy nature 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.
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.
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
loan performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan or
increase in interest shortfalls.
DEAL PERFORMANCE
As of the March 17, 2025 distribution date, the transaction's
aggregate certificate balance remains unchanged from Moody's prior
reviews at approximately $329 million. The decrease from
approximately $333 million at securitization was due to a scheduled
annual principal paydown from 25% of excess cash flow in 2019. The
securitization is backed by a single floating-rate loan
collateralized by the borrower's fee simple interest in the Palmer
House Hilton. The 24-story, 1,642-guestroom property is located in
the central business district of Chicago, Illinois, one block west
of Millennium Park and Michigan Avenue. There is an approximately
$94 million of mezzanine debt held outside of the trust.
The loan was transferred to the special servicer in April 2020 due
to the impact of the coronavirus outbreak and the loan is
classified as "non-performing maturity balloon" as of the March
2025 remittance statement. The property's performance had declined
prior to the coronavirus outbreak and its reported NCF in 2019 was
$25.9 million, representing a 22% decline from 2018. After
experiencing negative cash flow in 2020 and 2021 due to
COVID-related closures between April 2020 and June 2021, the cash
flow turned positive in 2022 and reached $16.3 million in 2023 NCF.
The property continued positive cash flow trends in 2024 and
reported an NCF of $18.8 million, however, this was still below
2019 levels and well below levels at securitization. While the
Downtown / Loop Chicago hotel market has recovered to RevPAR levels
above its pre-pandemic levels, the property's size and reliance on
the meeting and group segment has elongated its recovery timing.
According to CBRE EA, Downtown / Loop Chicago Revenue per Available
Room (RevPAR) reached $160.52 in 2024, 11.4% above its RevPAR of
$144.04 in 2019, however, over the same timeframe and despite
improvements in recent years, the property's RevPAR remans
approximately 7% below its 2019 levels. Additionally, the
property's recent NCF growth may stall or reverse its positive
trend in 2025 due to an expected increase in expenses from higher
anticipated real estate tax payments.
The cash flow trends combined with the floating rate loan's
interest rate of above 6% as of the March 2025 remittance
statement, resulted in a DSCR of less than 1.00X on the interest
only debt service and the loan was last paid through its July 2021
payment date causing loan advances to continue to accumulate. As of
the March 2025 distribution date, the outstanding advances
(including P&I advances, T&I advances, other expenses, and
cumulative accrued unpaid advance interest) totaled $69.4 million,
representing 21.1% of the loan outstanding balance. The most
recently reported appraisal value dated August 2024, was marginally
lower than the prior year and while it remained above the
outstanding mortgage loan balance, the value was approximately 11%
lower than the total mortgage loan exposure (inclusive of
outstanding advances). As a result, an appraisal reduction of $76.4
million was reported as of the March 2025 remittance statement and
outstanding interest shortfalls totaled $17.8 million, impacting
Cl. E, Cl. F, and Cl. HRR. There have been no losses as of the
current distribution date. The special servicer indicated they have
filed for judicial foreclosure and a receiver has been appointed.
Servicer commentary also indicated there is ongoing litigation in
regard to a license agreement between the original borrower and a
borrower related entity for space located in an adjacent
office/annex building.
Moody's NCF is now $18.4 million and Moody's LTV and stressed DSCR
for the first mortgage loan balance are 188% and 0.60X,
respectively, compared to 169.0% and 0.67X at Moody's last review.
However, Moody's analysis also factored in the significant loan
advances and the potential for higher expected losses and interest
shortfall concerns given the continued loan delinquency and
uncertainty of the timing of the ultimate resolution of the asset.
The total outstanding advances of $69.4 million causes the
aggregate loan exposure to be $398.3 million as of the current
distribution date. The advances have continued to increase in
recent months and are likely to be outstanding through the loan's
ultimate resolution.
JP MORGAN 2018-WPT: DBRS Confirms CCC Rating on 4 Tranches
----------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-WPT
issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2018-WPT as follows:
-- Class A-FL at AAA (sf)
-- Class A-FX at AAA (sf)
-- Class XA-FX at AAA (sf)
-- Class B-FL at AA (low) (sf)
-- Class B-FX at AA (low) (sf)
-- Class C-FL at A (low) (sf)
-- Class C-FX at A (low) (sf)
-- Class X-FL at BBB (low) (sf)
-- Class XB-FX at BBB (low) (sf)
-- Class D-FL at BB (high) (sf)
-- Class D-FX at BB (high) (sf)
-- Class E-FL at B (high) (sf)
-- Class E-FX at B (high) (sf)
-- Class F-FL at CCC (sf)
-- Class F-FX at CCC (sf)
-- Class G-FL at CCC (sf)
-- Class G-FX at CCC (sf)
Morningstar DBRS changed the trends on all classes to Negative from
Stable to reflect the decline in performance since Morningstar
DBRS' last review and the elevated refinance risk for the loan
following its transfer back to special servicing in November 2024,
ahead of its maturity date in July 2025. Classes F-FX, G-FX, F-FL,
and G-FL do not have a trend as these classes have credit ratings
that do not typically carry a trend in commercial mortgage-backed
securities (CMBS) credit ratings.
The loan is secured by the fee and leasehold interests in a
portfolio of 147 properties, consisting of nearly 9.9 million
square feet of office and flex space with a whole loan balance of
$1.23 billion as of the March 2025 reporting, reflecting a 4.5%
whole loan reduction since issuance. Three properties, which
previously represented approximately 1.0% of the total allocated
loan amount have been released from the portfolio. Property
releases are permitted upon the following provisions: a prepayment
of 115.0% of the original allocated loan amount and a remaining
portfolio loan-to-value ratio (LTV) equal to or less than the
issuance LTV or the LTV prior to the release.
The mortgage loan is split into a floating-rate component with an
original balance of $255.0 million and a fixed-rate loan totaling
$1.02 billion, comprising the $850.0 million trust balance and
three companion loans totaling $170.0 million. The companion loans
are secured across three other Morningstar DBRS-rated transactions,
including BMARK 2018-B5, BMARK 2018-B6, and BMARK 2018-B7, as well
as a fourth deal, BMARK 2018-B8, which was not rated by Morningstar
DBRS. Following a loan modification in July 2023, the loan's
maturity was extended to July 2025 with no extension options
remaining.
As a condition to the modification, the borrower paid down the loan
by $25.0 million, contributed $15.0 million to tenant improvement/
leasing commission and replacement reserves, and purchased a
24-month interest rate cap. Additionally, excess cash flow, after
reserve deposits are made, is now being applied to pay down the
loan up to a cap of $10.0 million. As noted above, the loan was
transferred back to special servicing in November 2024 because of
imminent nonmonetary default resulting from reported shortfalls in
the cash management account. With the loan's maturity approaching
in July 2025 and the continued performance decline reported through
the first half of 2024, Morningstar DBRS anticipates a second loan
modification will be necessary.
According to the trailing six months ended June 30, 2024,
financials, the portfolio reported an annualized net cash flow
(NCF) of $82.3 million (reflecting a debt service coverage ratio
(DSCR) of 1.10 times (x)), representing a 17.7% decline from the
YE2023 NCF of $100.0 million (a DSCR of 1.32x) and an 8.4% decline
from the Morningstar DBRS NCF of $89.8 million derived at the last
review. Occupancy declined to 75.9% as of June 2024, down from
78.6% at YE2023 and 89.0% at issuance. Despite the relatively
stable occupancy rate, cash flow declined predominantly because of
decreased base rent and expense reimbursements. Morningstar DBRS
has inquired about the reason for the revenue decline but suspects
it may be related to dark tenants or rental abatements granted in
2024.
Morningstar DBRS' previous credit rating action in April 2024
included an update to the portfolio's 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 valuation approach from the April 2024 review, which was based
on a capitalization rate of 9.50% applied to the Morningstar DBRS
NCF of $89.8 million. Morningstar DBRS also maintained negative
qualitative adjustments to the LTV sizing benchmarks totaling -2.0%
to reflect the portfolio's older average construction age and the
properties' generally suburban locations. The Morningstar DBRS
concluded value of $945.6 million represents a variance of -42.1%
from the issuance appraised value of $1.63 billion and implies a
whole loan LTV of 128.8%.
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-CES2: Fitch Assigns 'B-sf' Final Rating on B-2 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2025-CES2 (JPMMT 2025-CES2).
Entity/Debt Rating Prior
----------- ------ -----
JPMMT 2025-CES2
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AA-sf New Rating AA-(EXP)sf
A-3 LT A-sf New Rating A-(EXP)sf
M-1 LT BBB-sf New Rating BBB-(EXP)sf
B-1 LT BB-sf New Rating BB-(EXP)sf
B-2 LT B-sf New Rating B-(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
B-4 LT NRsf New Rating NR(EXP)sf
A-IO-S LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
The JPMMT 2025-CES2 residential mortgage-backed certificates are
backed by 100% closed-end second lien (CES) loans on residential
properties. This is the fourth transaction to be rated by Fitch
that includes 100% CES loans off the JPMMT shelf.
The pool consists of 2,866 non-seasoned, performing, CES loans with
a current outstanding balance (as of the cutoff date) of $345.88
million. The main originators in the transaction are AmWest Funding
Corp. (AmWest) and PennyMac Loan Services (PennyMac). All other
originators make up less than 10% of the pool. The loans are
serviced by mainly AmWest, NewRez and PennyMac with all other
servicers making up less than 10% of the pool.
Distributions of interest and principal are based on a sequential
structure, while losses are allocated reverse sequentially,
starting with the most subordinate class.
The servicers, mainly AmWest, NewRez and PennyMac, will not be
advancing delinquent monthly payments of principal and interest
(P&I).
The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B,
A-2, A-3 and M-1 certificates with respect to any distribution date
prior to the distribution date (and the related accrual period)
will have an annual rate equal to the lower of (i) the applicable
fixed rate set forth for such class of certificates and (ii) the
net weighted average coupon (WAC) for such distribution date. The
pass-through rate on class A-1A, A-1B, A-2, A-3 and M-1
certificates with respect to any distribution date on and after the
distribution date in March 2029 (and the related accrual period)
will be an annual rate equal to the lower of (i) the sum of the
applicable fixed rate set forth in the table above for such class
of certificates and the step-up rate and (ii) the net WAC for such
distribution date. The "step-up rate" means a per annum rate equal
to 1.000%.
The pass-through rate on class B-1, B-2 and B-3 certificates with
respect to any distribution date and the related accrual period
will be an annual rate equal to the lower of (i) the applicable
fixed rate set forth for such class of certificates and (ii) the
net WAC for such distribution date.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 9.5% above a long-term sustainable
level (versus 11.1% on a national level as of 3Q24, down 0.5% since
the prior quarter, based on Fitch's updated view on sustainable
home prices). Housing affordability is the worst it has been in
decades, driven by both high interest rates and elevated home
prices. Home prices 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
2,866 performing, fixed-rate loans secured by CES on primarily one-
to four-family residential properties (including planned unit
developments), condominiums and townhouses, totaling $345.88
million. The loans were made to borrowers with strong credit
profiles and relatively low leverage.
The loans are seasoned at an average of nine months, according to
Fitch, and six months, per the transaction documents. The pool has
a weighted average (WA) original FICO score of 737, as determined
by Fitch, indicative of very high credit-quality borrowers. About
36.8% of the loans, as determined by Fitch, have a borrower with an
original FICO score equal to or above 750. The original WA combined
loan-to-value ratio (CLTV) of 66.2%, as determined by Fitch,
translates to a sustainable LTV ratio (sLTV) of 72.8%.
The transaction documents stated a WA original LTV of 20.1% and a
WA CLTV of 66.2%. The LTVs represent moderate borrower equity in
the property and reduced default risk, compared with a borrower
CLTV of over 80%. Of the pool loans, 52.0% were originated by a
retail channel or correspondent channel with the remaining 48.0%
originated by a broker channel. Based on Fitch's documentation
review, it considers 67.7% of the loans to be fully documented.
Based on Fitch's analysis of the pool, 92.5% of the loans are of a
primary or secondary residence, and the remaining 7.5% are investor
loans (this includes one loan that Fitch considered a foreign
national). Per the transaction documents there are 7.4% investor
loans and 92.6% loans on primary or secondary residences.
Single-family homes, planned unit developments (PUDs), townhouses
and single-family attached dwellings constitute 93.4% of the pool;
condominiums make up 3.4%, while multifamily homes make up 3.2%.
The pool consists of loans with the following loan purposes,
according to Fitch: cashout refinances (99.4%), purchases (0.4%)
and rate-term refinances (0.2%). The transaction documents show
99.6% of the pool to be cashouts, 0.0% to be rate term refinances
and 0.4% to be purchases. If the cashout amount is less than 3%,
Fitch typically does not consider the loan to be a cashout loan,
which explains the difference in Fitch's cashout percentage
compared to the transaction documents.
None of the loans in the pool are over $1.0 million.
As a majority of the loans are fully documented with high FICOs,
Fitch's prime loan loss model was used for the analysis of this
pool.
Geographic Concentration (Negative): Of the pool loans, 47.3% are
concentrated in California, followed by Florida and Georgia. The
largest MSA concentration is Los Angeles MSA (29.3%), followed by
the Riverside-San Bernardino MSA (4.1%) and the New York MSA
(3.8%). The top three MSAs account for 37.1% of the pool. As a
result, a 1.06x penalty was applied for geographic concentration
risk which increased the 'AAAsf' loss by 1.24%.
Second Lien Collateral (Negative): The entirety of the collateral
pool consists of CES loans originated by AmWest, PennyMac and other
originators. Fitch assumed no recovery and 100% loss severity (LS)
on second lien loans, based on the historical behavior of the loans
in economic stress scenarios. Fitch assumes second lien loans
default at a rate comparable to first lien loans. After controlling
for credit attributes, no additional penalty was applied.
Sequential Structure with No Advancing of Delinquent P&I (Mixed):
The proposed structure is a sequential structure in which principal
is distributed first, pro rata, to the A-1A and A-1B classes, then
sequentially to the A-2, A-3, M-1, B-1, B-2, B-3 and B-4 classes.
Interest is prioritized in the principal waterfall and any unpaid
interest amounts are paid prior to principal being paid.
The transaction has monthly excess cash flows that are used to
repay any realized losses incurred, and then cap carryover
amounts.
A realized loss will occur if the collateral balance is less than
the unpaid balance of the outstanding classes. Realized losses will
be allocated reverse sequentially with the losses allocated first
to class B-4. Once the A-2 class is written off, principal will be
allocated, first, to class A-1B, and then to class A-1A.
The transaction will have subordination and excess spread,
providing credit enhancement (CE) and protection from losses.
180-Day Chargeoff Feature/Best Execution (Positive): For any
mortgage loan 180 or more days delinquent (DQ; or earlier, in
accordance with the related servicer's servicing practices, other
than due to such mortgage loan being or becoming subject to a
forbearance plan), the related servicer will perform an equity
analysis review and may charge off such mortgage loan (each such
mortgage loan, a "charged-off loan") with the approval of the
controlling holder if such review indicates no significant recovery
is likely in respect of such mortgage loan.
If the controlling holder does not approve such chargeoff, then the
related servicer will continue monitoring the lien status of such
mortgage loan, in which case, the related servicer will provide the
controlling holder with prompt written notice if such servicer
obtains actual knowledge that the associated first lien mortgage
loan is subject to payoff, foreclosure, short sale or similar
event.
Fitch views the fact that the servicer is conducting an equity
analysis to determine the best execution strategy for the
liquidation of severely DQ loans to be a positive, as the servicer
and controlling holder are acting in the best interest of the
noteholders to limit losses on the transaction. If the controlling
holder decides to write off the losses at 180 days, it compares
favorably to a delayed liquidation scenario, whereby the loss
occurs later in the life of the transaction and less excess is
available. In its cash flow analysis, Fitch assumed the loans would
be written off at 180 days, as this is the most likely scenario in
a stressed case when there is limited equity in the home.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity 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 41.2% 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, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Consolidated Analytics, Clarifii, and
Clayton. The third-party due diligence described in Form 15E
focused on three areas: compliance review, credit review, and data
integrity and was conducted on 100% of the loans. Additionally,
32.2% loans had a due diligence review performed on valuations done
by Consolidated Analytics and Clarifii. Fitch considered this
information in its analysis and, as a result, Fitch decreased its
loss expectations by 0.98% at the 'AAAsf' stress due to 100% due
diligence with no material findings.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Consolidated Analytics, Clarifii, and Clayton were
engaged to perform the reviews. Loans under this engagement were
given compliance and credit reviews and assigned initial and final
grades for each subcategory. Minimal exceptions and waivers were
noted in the due diligence reports. Refer to the "Third-Party Due
Diligence" section for more detail.
Fitch also utilized data files 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 the auditor (Deloitte), and no material discrepancies
were noted.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
JPMBB COMMERCIAL 2015-C31: DBRS Confirms C Rating on 2 Classes
--------------------------------------------------------------
DBRS Limited downgraded credit ratings on seven classes of
Commercial Mortgage Pass-Through Certificates, Series 2015-C31
issued by JPMBB Commercial Mortgage Securities Trust 2015-C31 as
follows:
-- Class X-B to BB (high) (sf) from A (high) (sf)
-- Class B to BB (sf) from A (sf)
-- Class C to CCC (sf) from BB (sf)
-- Class X-C to CCC (sf) from BB (high) (sf)
-- Class EC to CCC (sf) from BB (sf)
-- Class D to C (sf) from CCC (sf)
-- Class X-D to C (sf) from CCC (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-3 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class E at C (sf)
-- Class F at C (sf)
Morningstar DBRS changed the trends on Classes A-S and X-A to
Negative from Stable. The trends on Classes B and X-B are Negative.
Classes C, D, E, F, X-C, X-D, and EC are credit rating categories
that do not generally carry a trend in commercial mortgage backed
securities (CMBS). The trends on all remaining Classes are Stable.
The credit rating downgrades on Classes C, X-C, D, EC, and X-D
reflect Morningstar DBRS' increased loss projections from the loans
in special servicing, which suggests trust losses would fully erode
the Class D principal balance and eat into the Class C principal
balance. The loss projection is primarily driven by the two largest
specially serviced loans, Civic Opera Building (Prospectus ID#1,
10.9% of the pool) and the Sunblet Portfolio (Prospectus ID#3, 8.6%
of the pool), both of which were analyzed with liquidation
scenarios at the previous Morningstar DBRS credit rating action in
April 2024. Since then, the Highland Landmark I (Prospectus ID#5,
5.1% of the pool) and Airport North Portfolio (Prospectus ID#6,
4.9% of the pool) loans have both transferred to special servicing
and were analyzed under liquidation scenarios with this credit
rating action. Three of the four specially serviced loans are
discussed below.
Morningstar DBRS also recognizes nearly all of the outstanding
loans in the pool have upcoming maturity dates throughout the
second and third quarters of 2025. Most of the remaining borrowers
are expected to successfully secure takeout financing; however,
Morningstar DBRS has identified a number of loans, representing
approximately 8.0% of the pool, that have an elevated refinance
risk because of performance-related concerns. Although the
properties securing those loans have not received updated
appraisals since issuance, Morningstar DBRS believes there is
potential for value declines given the ongoing performance
concerns, which will complicate takeout financing efforts. The
repayment of Class B is reliant on proceeds from the loans
identified with increased maturity risk, supporting the credit
rating downgrade on Classes B and X-B. In the event additional
borrowers are unable to secure takeout financing or at risk
properties experience greater than anticipated value declines,
further credit rating action may be taken, supporting the Negative
trend on Classes AS, X-A, B, and X-B.
As of the February 2025 remittance, 45 loans of the original 58
remain outstanding with a pool balance of $723.0 million,
representing a collateral reduction of 29.6% since issuance. Of the
remaining loans, 16 loans, representing 27.3% of the pool balance,
have fully defeased. Four loans are in special servicing, totaling
29.5% of the pool balance. Each of these loans are among the
largest 10 loans in the pool by outstanding trust loan balance. In
addition, six loans representing 6.1% of the pool balance are on
the servicer's watchlist, four of which have been flagged for
performance and/or credit related reasons.
The largest loan in the pool, Civic Opera Building, is secured by
the borrower's fee-simple interest in a 915,162-square-foot (sf)
office property in Chicago's West Loop District and is pari passu
with a companion note in the JPMBB Commercial Mortgage Securities
Trust 2015-C32 transaction, which is also rated by Morningstar
DBRS. The loan has been in special servicing since June 2020, and
according to servicer commentary from February 2025, the lender
amended the complaint to add a recourse component to the
foreclosure and will enter the discovery phase shortly. Occupancy
continues to decline, with the September 2024 rent roll reporting
an occupancy rate of 53.7% with an additional 8.3% of rollover over
the next 12 months. An updated appraisal dated September 2024,
valued the property at $109.8 million, compared with the April 2023
value of $128.3 million, and representing a 50.1% decline from the
appraised value of $220.0 million at issuance. Morningstar DBRS'
analysis for this loan included a liquidation scenario based on a
30.0% haircut to the September 2024 appraised value, in addition to
including the outstanding advances and expected servicer expenses,
which totaled nearly $30 million. This analysis suggested a loss
severity in excess of 85.0%, or approximately $70 million.
The second-largest loan in special servicing, Sunbelt Portfolio, is
secured by the fee-simple interests in a portfolio of three office
properties in Birmingham, Alabama, and Columbia, South Carolina.
The loan transferred to special servicing in January 2022 for
imminent monetary default and with the February 2025 servicer
commentary, receivers had been appointed and the special servicer
is proceeding with foreclosure. The loan was last paid in May 2024
and remains delinquent as of this commentary. The loan has a
scheduled July 2025 maturity date. The portfolio has experienced
precipitous occupancy declines in recent years, with the most
recent figure reporting the properties were 65.5% occupied as of
September 2024, compared with 72.2% occupancy as of YE2021.
Financial performance continues to decline, with the September 2024
debt service coverage ratio (DSCR) reported at 0.46 times (x), down
from 1.10x at YE2022. At issuance, the portfolio was valued at
$203.3 million, which declined to $118.0 million as of the May 2024
appraisal, representing a decline of approximately 42.0%. The
Morningstar DBRS' analysis included a liquidation scenario based on
a 35.0% haircut to the May 2024 appraised value, in addition to
including the outstanding advances and expected servicer expenses,
which totaled nearly $9.0 million. This analysis suggested a loan
loss severity in excess of 50.0%, or approximately $32 million.
Another specially serviced office loan, Highland Landmark I
(Prospectus ID#5, 5.1% of the pool) transferred to special
servicing in June 2024 following payment default. The loan is paid
through in November 2024 and has a scheduled maturity date of
August 2025. The loan is secured by a suburban Class A office
property in Downers Grove, Illinois. According to the February 2025
servicer commentary, the special servicer has reached out to the
borrower while also initiating the foreclosure process. The
servicer is currently awaiting a hearing date regarding the
appointment of the receiver. Prior to the transfer to special
servicing, the loan was being monitored on the servicer's watchlist
for a cash trap tied to the departure of the former largest tenant,
Advocate Health Center (formerly 68.0% of the net rentable area
(NRA). As of the February 2025 reserve report, there is $10.9
million in the cash trap account with an additional $300,000 spread
among various accounts. As of the September 2024 rent roll, the
subject was only 17.5% occupied, down significantly from 86.0% at
YE2023. The largest tenant at the subject is Univar Inc. (12.9% of
the NRA, lease expiry in June 2026), while the remaining tenancy is
quite granular. Although a new appraisal has not been completed to
date, Morningstar DBRS expects a significant value decline from the
issuance value of $64.6 million. The Morningstar DBRS' analysis for
this loan included a liquidation scenario based on a 75% haircut to
the issuance appraised value, in addition to the inclusion of
outstanding advances and expected servicer expenses, which totaled
nearly $4.0 million. This analysis suggested a loan loss severity
in excess of 65.0%, or approximately $25.0 million.
Notes: All figures are in U.S. dollars unless otherwise noted.
KKR CLO 22: Moody's Affirms Ba3 Rating on $33MM Class E Notes
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by KKR CLO 22 Ltd:
US$63 million Class B Senior Secured Floating Rate Notes,
Upgraded to Aaa (sf); previously on May 26, 2023 Upgraded to
Aa1 (sf)
US$30 million Class C Senior Secured Deferrable Floating Rate
Notes, Upgraded to Aa1 (sf); previously on May 26, 2023
Upgraded to A1 (sf)
US$36 million Class D Senior Secured Deferrable Floating Rate
Notes, Upgraded to Baa1 (sf); previously on Oct 5, 2020
Confirmed at Baa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$390 million (Current outstanding amount US$213,908,765)
Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf);
previously on Jun 29, 2018 Definitive Rating Assigned Aaa (sf)
US$33 million Class E Senior Secured Deferrable Floating Rate
Notes, Affirmed Ba3 (sf); previously on Oct 5, 2020 Confirmed
at Ba3 (sf)
KKR CLO 22 Ltd., issued in June 2018, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The portfolio is managed
by KKR Financial Advisors II, LLC. The transaction's reinvestment
period ended in July 2023.
RATINGS RATIONALE
The rating upgrades on the Class B, Class C and Class D notes are
primarily a result of the deleveraging of the senior notes
following amortisation of the underlying portfolio over the last 12
months.
The affirmations on the ratings on the Class A and Class E 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 notes has paid down by approximately USD157.0 million
(40.3% of original balance) over the last 12 months and USD176.1
million (45.2%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased for Class A/B, Class C
and Class D. According to the trustee report dated February 2025
[1] the Class A/B, Class C and Class D OC ratios are reported at
144.6%, 130.5% and 116.8%, compared to February 2024 [2] levels of
131.6%, 123.1% and 114.2%, respectively.
Key model inputs:
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.
In its base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD411.3m
Defaulted Securities: USD4.4m
Diversity Score: 60
Weighted Average Rating Factor (WARF): 3150
Weighted Average Life (WAL): 3.88 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.43%
Weighted Average Recovery Rate (WARR): 46.56%
Par haircut in OC tests and interest diversion test: 3.24%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations 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 incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, using the methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance" published in
October 2024. Moody's concluded the ratings of the notes are not
constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
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 assumes 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.
-- Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes that, at transaction maturity, the
liquidation value of such an asset will depend on the nature of the
asset as well as the extent to which the asset's maturity lags that
of the liabilities. Liquidation values higher than Moody's
expectations would have a positive impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
LAKESIDE PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Lakeside
Park CLO Ltd./Lakeside Park CLO LLC's fixed- and floating-rate
debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Blackstone Liquid Credit Strategies
LLC.
The preliminary ratings are based on information as of April 1,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Lakeside Park CLO Ltd./Lakeside Park CLO LLC
Class A, $392.20 million: AAA (sf)
Class B-1, $70.30 million: AA (sf)
Class B-2, $12.50 million: AA (sf)
Class C (deferrable), $37.50 million: A (sf)
Class D (deferrable), $37.50 million: BBB- (sf)
Class E (deferrable), $25.00 million: BB- (sf)
Subordinated notes, $66.90 million: Not rated
LOBEL AUTOMOBILE 2025-1: DBRS Finalizes BB Rating on E Notes
------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings to the classes
of notes to be issued by Lobel Automobile Receivables Trust 2025-1
(the Issuer) as follows:
-- $106,590,000 Class A Notes at AAA (sf)
-- $15,126,000 Class B Notes at AA (sf)
-- $26,924,000 Class C Notes at A (sf)
-- $12,807,000 Class D Notes at BBB (sf)
-- $24,504,000 Class E Notes at BB (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The credit ratings are based on Morningstar DBRS' review of the
following analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund, and
available excess spread. Credit enhancement levels are sufficient
to support the Morningstar DBRS-projected cumulative net loss (CNL)
assumption under various stress scenarios.
(2) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the legal final maturity date.
(3) The Morningstar DBRS CNL assumption is 15.00% based on the
expected pool composition.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns: December 2024 Update," published on December 19, 2024.
These baseline macroeconomic scenarios replace Morningstar DBRS's
moderate and adverse Coronavirus Disease (COVID-19) pandemic
scenarios, which were first published in April 2020.
(4) The transaction parties' capabilities with regard to
originations, underwriting, and servicing.
(5) The quality and consistency of historical static pool data for
Lobel originations since 2012.
(6) The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the nonconsolidation of
the special-purpose vehicle with Lobel, that the trust has a valid
first-priority security interest in the assets, and the consistency
with the Morningstar DBRS's "Legal Criteria for U.S. Structured
Finance."
Lobel is an indirect auto finance company focused primarily on
independent dealers. The company provides financing to subprime
borrowers who are unable to obtain financing through traditional
sources, such as banks, credit unions, and captive finance
companies.
The rating on the Class A Notes reflects 48.15% of initial hard
credit enhancement provided by the subordinated Notes in the pool,
the reserve account (1.00%), and overcollateralization (7.80%). The
ratings on the Class B, C, D, and E Notes reflect 40.65%, 27.30%,
20.95%, and 8.80% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.
Morningstar DBRS' credit rating on the securities referenced herein
addresses the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations for each of the rated notes
are the related Noteholders' Monthly Interest Distributable Amount
and the related Outstanding Amount.
Notes: All figures are in US dollars unless otherwise noted.
MADISON PARK XXXVII: Fitch Affirms 'BB+sf' Rating on Cl. ER2 Notes
------------------------------------------------------------------
Fitch Ratings has affirmed the ratings of classes BR2, CR2, D-1A,
D-1B, D-2 and ER2 notes of Madison Park Funding XXXVII, Ltd.
(Madison Park XXXVII). The Rating Outlooks on all tranches remain
Stable.
Entity/Debt Rating Prior
----------- ------ -----
Madison Park
Funding XXXVII, Ltd.
BR2 55817EAY2 LT AA+sf Affirmed AA+sf
CR2 55817EBA3 LT Asf Affirmed Asf
D-1A 55817EBC9 LT BBB-sf Affirmed BBB-sf
D-1B 55817EBG0 LT BBB-sf Affirmed BBB-sf
D-2 55817EBE5 LT BBB-sf Affirmed BBB-sf
ER2 55817FAG8 LT BB+sf Affirmed BB+sf
Transaction Summary
Madison Park XXXVII is a broadly syndicated loan collateralized
loan obligation (CLO) that is managed by UBS Asset Management
(Americas) LLC. The transaction originally closed in July 2019,
reset in April 2024, and will exit its reinvestment period in April
2029. This CLO is secured primarily by first lien, senior secured
leveraged loans.
KEY RATING DRIVERS
Stable Credit Quality Amid Spread Compression
The affirmations are based on the stable credit quality of the
portfolio since the reset and updated cash flow analysis. The Fitch
weighted average rating factor (WARF) of the portfolio, based on
the February 2025 trustee report, improved slightly to 24.9 from
25.2 at time of reset, and defaults increased to 0.8% from 0.4% of
the portfolio. The Fitch weighted average recovery rate (WARR)
decreased to 73.6% from 74.3%. The portfolio also has 0.4% of
target portfolio par gains, based on the collateral balance
adjusted for trustee-reported recovery amounts on defaulted
assets.
The reported weighted average spread (WAS) of the portfolio
decreased to 3.44% from 3.74% at the time of reset, pressuring WAS
test cushions, and resulted in managing to a lower minimum WAS test
level of 3.35% in recent months than initial test levels. The
weighted average life (WAL) of the portfolio increased to 4.7 from
4.5 years and remains compliant with its WAL test. The portfolio
currently passes all other collateral quality and coverage tests,
as well as its concentration limitations.
Updated Cash Flow Analysis
Based on these key rating drivers, Fitch conducted an updated cash
flow analysis based on the current portfolio and a newly run Fitch
Stressed Portfolio (FSP). The FSP analysis stressed the current
portfolio from the February trustee report to account for
permissible concentration and collateral quality test limits.
Breakeven default rate (BEDR) cushions have decreased on all notes
since the reset but remain positive for all rated classes in the
current portfolio analysis. Cushions were also mostly constrained
in the backloaded default timing, 'interest rate up' scenario in
the current portfolio analysis.
Fitch affirmed all the notes' ratings in line with their Model
Implied Ratings (MIRs) as defined in Fitch's CLOs and Corporate
CDOs Rating Criteria. Although BEDR cushions have trended down,
Fitch continues to maintain Stable Outlooks on all the rated notes
as the transaction continues to be actively managed with four years
remaining in its reinvestment period. Fitch also believes the notes
continue to have sufficient levels of credit protection to
withstand potential deterioration in the credit quality of the
portfolio in most stress scenarios commensurate with each class
rating.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing and the
notes' CE do not compensate for the higher loss expectation than
initially assumed;
- A 25% increase of the mean default rate across all ratings, along
with a 25% decrease of the recovery rate at all rating levels for
the current portfolio, would lead to a downgrade of one rating
notch for the pari passu Class D-1A and D-1B notes, two notches for
the class CR2 and D-2 notes, three notches for the class BR2 notes,
and five notches for the class ER2 notes, based on MIRs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades may occur in the event of better-than-expected portfolio
credit quality and transaction performance;
- A 25% reduction of the mean default rate across all ratings,
along with a 25% increase of the recovery rate at all rating levels
for the current portfolio, would lead to upgrades of one notch for
the class BR2 notes, three rating notches for the class ER2 notes,
four notches for the class CR2 notes, and five notches for the
D-1A, D-1B and D-2 notes, based on MIRs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Madison Park
Funding XXXVII, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
MANHATTAN WEST 2020-1MW: DBRS Confirms BB(high) Rating on HRR Certs
-------------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2020-1MW
issued by Manhattan West 2020-1MW Mortgage Trust as follows:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
-- Class X at AAA (sf)
All trends are Stable.
The credit rating confirmations reflect the stable to improving
performance of the transaction, which has remained in line with
Morningstar DBRS' expectations since issuance. The subject property
has maintained strong occupancy of near 100%, highlighted by a high
concentration of long-term investment-grade tenants.
The transaction is collateralized by a trophy 70-story Class A
office building in the Hudson Yards submarket of Manhattan. The
borrower used whole-loan proceeds of $1.8 billion to refinance
existing construction financing held by a syndicate of banks
scheduled to mature in April 2021, return equity to the sponsor,
fund up-front reserves, and pay closing costs. The transaction
benefits from experienced institutional sponsorship in the form of
a joint-venture partnership between Brookfield Property Partners
L.P. and the Qatar Investment Authority, noted at issuance,
combined with Blackstone Real Estate, which acquired a 49% stake in
One Manhattan West in March 2022.
The seven-year loan pays a fixed-rate interest of 2.341% on an
interest-only (IO) basis through the September 2027 maturity of the
loan. The asset benefits from long-term, institutional-grade
tenancy. Additionally, none of the current leases roll during the
loan term, and the existing tenants have contractual rent increases
built throughout their respective lease terms. The earliest
scheduled lease expiration of any of the major tenants (Skadden,
Arps, Slate, Meagher, & Flom LLP (Skadden); Ernst & Young (E&Y);
Accenture; the National Hockey League; and McKool Smith), which
together are responsible for more than 85% of base rent, is almost
eight full years after loan maturity. The property's tenancy is
heavily concentrated, with the top three tenants (Skadden, E&Y, and
Accenture) accounting for nearly 75% of the building's net rentable
area and slightly above 70% of base rent.
According to the September 2024 rent roll, the property had a
physical occupancy rate of 99.8% with an average rental rate of
$94.44 per square foot (psf), which has increased since issuance
from realized rent steps. According to the September 2024 T-9
financials, the annualized net cash flow (NCF) and debt service
coverage ratio (DSCR) were $128.7 million and 3.60 times (x),
respectively, compared with $119.0 million and 3.34x, respectively,
at YE2023 and the Morningstar DBRS figures of $106.4 million and
2.99x, respectively, reflecting overall healthy performance
metrics.
The April 2024 Morningstar DBRS credit rating analysis and action
included an update to the Morningstar DBRS value. 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. In the
analysis for this review, Morningstar DBRS maintained the
capitalization rate of 6.25% and the Morningstar DBRS NCF of $106.4
million. Morningstar DBRS also maintained positive qualitative
adjustments to the LTV Sizing benchmarks totaling 10.75% to reflect
the subject property's quality and long-term, in-place tenancy to
investment-grade tenants. The Morningstar DBRS concluded value of
$1.7 billion represents a -32.6% variance from the issuance
appraised value of $2.5 billion, implying a whole-loan
loan-to-value ratio of 105.7%.
Notes: All figures are in U.S. dollars unless otherwise noted.
MARANON LOAN 2022-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, A-L, B-R, B-L, C-R, and D-R debt from
Maranon Loan Funding 2022-1 Ltd./Maranon Loan Funding 2022-1R LLC
and replacement class E-R debt from Maranon Loan Funding 2022-1
Ltd. The transaction is a CLO managed by Eldridge Capital Advisers
LLC that was originally issued in November 2022.
The preliminary ratings are based on information as of April 3,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the April 15, 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 issuer of the original debt, Maranon Loan Funding 2022-1
LLC, will merge at closing with Maranon Loan Funding 2022-1 Ltd.,
which will in turn be issuing the replacement debt with the
co-issuer, Maranon Loan Funding 2022-1R LLC (other than for class
E-R, which will be issued by Maranon Loan Funding 2022-1 Ltd.
only).
-- The replacement class X-R, A-R, A-L, B-R, B-L, C-R, D-R, and
E-R debt is expected to be issued at a lower spread over
three-month SOFR than the original debt.
-- The stated maturity and reinvestment period will be extended
3.39 years.
-- The transaction will add two loan classes, classes A-L and B-L.
All or a portion of each class of loans can be converted into class
A and B notes, 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 debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Maranon Loan Funding 2022-1 Ltd./
Maranon Loan Funding 2022-1R LLC
Class X-R, $20.0 million: AAA (sf)
Class A-R, $152.0 million: AAA (sf)
Class A-L loans, $80.0 million: AAA (sf)
Class B-R, $27.5 million: AA (sf)
Class B-L loans, $12.5 million: AA (sf)
Class C-R (deferrable), $32.0 million: A (sf)
Class D-R (deferrable), $24.0 million: BBB- (sf)
Class E-R (deferrable), $24.0 million: BB- (sf)
Other Debt
Maranon Loan Funding 2022-1 Ltd./
Maranon Loan Funding 2022-1R LLC
Subordinated notes, $57.5 million: Not rated
MORGAN STANLEY 2016-PSQ: Moody's Cuts Rating on Cl. C Certs to B1
-----------------------------------------------------------------
Moody's Ratings has downgraded the ratings on four classes in
Morgan Stanley Capital I Trust 2016-PSQ, Commercial Mortgage
Pass-Through Certificates, Series 2016-PSQ as follows:
Cl. A, Downgraded to A3 (sf); previously on Jun 4, 2024 Downgraded
to Aa2 (sf)
Cl. B, Downgraded to Ba1 (sf); previously on Jun 4, 2024 Downgraded
to A3 (sf)
Cl. C, Downgraded to B1 (sf); previously on Jun 4, 2024 Downgraded
to Baa3 (sf)
Cl. D, Downgraded to B3 (sf); previously on Jun 4, 2024 Downgraded
to Ba2 (sf)
RATINGS RATIONALE
The ratings on four P&I classes were downgraded primarily due to an
increase in Moody's loan-to-value (LTV) ratio as a result of
decline in performance and the loan's refinance risk as it
approaches its January 2026 maturity date. The loan has remained
current on its debt service payments, however, given the higher
interest rate environment and loan performance trends, Moody's
anticipates the loan may face increased refinance risk upon its
maturity.
The net cash flow (NCF) for the property remained stable from
securitization through 2020, however, the cash flow dropped 11%
year over year in 2021 due to lower property's revenue and after
being stable in 2022 and 2023, the September 2024 NCF indicated
further performance declines. The property's annualized NCF for the
period ending September 2024 was approximately 7% lower than
year-end 2023 level and was nearly 19% lower than the NOI in 2015.
The trust mortgage loan maintains a DSCR above 2.20X based on its
fixed interest rate of 3.842% and Moody's anticipates the loan will
remain current on its monthly debt service payments, however, given
current market interest rates and the property's cash flow trends
Moody's anticipates the loan may be at heightened refinance risk at
its January 2026 maturity date.
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.
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. The transaction's Issuer Profile Score (IPS) is S-4.
Moody's have revised the transaction's Credit Impact Score to CIS-4
from CIS-2.
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.
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
loan performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan and
an increase in realized and expected losses or interest
shortfalls.
DEAL PERFORMANCE
As of the March 12, 2025 payment date, the transaction's
certificate balance remains unchanged from that of securitization
at $173.4 million. The loan is componentized into four notes and
the Notes A-1A and A-2 are included in the trust. Notes A-1B (MSBAM
2016-C28) and A-1C (MSBAM 2016-C29) are pari passu in rights of
payment with each other and with Note A-1A, and collectively will
be senior in right of payment to Note A-2. The aggregate first
mortgage balance including the pari passu pieces is $310 million.
The certificates are collateralized by a single, 10-year, interest
only, fixed-rate loan secured by the leasehold interest in Penn
Square Mall, a 1.06 million square feet (SF) (approximately 777,281
SF of collateral) super-regional mall located approximately five
miles north of Oklahoma City, Oklahoma.
The property is the only dominant mall in its trade area and its
geographic region. Anchor tenants at the mall include Dillard's
Women's, Dillard's Men's, Children's and Home (all part of
collateral with lease expirations in January 2027), and Macy's and
JC Penney (both non-collateral). Based on the September 2024 rent
roll, occupancy for the total property was 94%, and the in-line
space was 84% leased compared to 97% and 92%, respectively in 2019.
The property's inline occupancy has declined since securitization
and faces further rollover risk. Based on the September 2024 rent
roll, tenants representing approximately 24% of the collateral
square footage had lease expirations date through January 2026. One
notable tenant, Forever 21 (31,255 SF; lease expiration in January
2026), recently filed chapter 11 bankruptcy protection and
announced plans to close stores, however, the tenant represents
less than 1% of the property's rental revenue based on the
September 2024 rent roll. Another notable tenant, Pottery Barn
(10,340 SF), has a lease expiration date in January 2026 and has
already taken space in the nearby OAK mixed use development, which
opened its first phase in 2024 and is still being further
developed. As a result of these likely departures, occupancy may
further decline if the borrower is unable to lease up vacant
space.
The property's annualized NCF for the period ending September 2024
was $26.8 million, approximately 7% lower than in December 2023 and
20% lower than in December 2019. After exhibiting stable cash flow
performance from securitization through 2020, the property's cash
flow declined materially in 2021 with no significant improvement
observed through the end of 2023. The downturn in performance was
primarily attributable to reduced revenues, primarily driven by a
decline in in-line occupancy compared to 2019 levels.
Given the sustained decline in cash flow since 2021, Moody's have
lowered the Moody's NCF to $26.3 million. Moody's LTV ratio on the
first mortgage balance is 103.3%. Moody's stressed DSCR on the
first mortgage balance of $310 million is 0.92X, compared to 1.00X
at last review. As of the March 2025 remittance statement, there
was a minimal $476 interest shortfall to Cl. D and there were no
outstanding loan advances.
MORGAN STANLEY 2025-NQM2: S&P Assigns 'B' Rating on Cl. B-2 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Morgan Stanley
Residential Mortgage Loan Trust 2025-NQM2'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)
secured by single-family residential properties, including
townhouses, planned-unit developments, and condominiums, and two-
to four-family residential properties to both prime and nonprime
borrowers. The pool has 1,006 loans backed by 1,034 properties. The
loans are qualified-mortgage (QM) safe-harbor average prime offer
rate (APOR), QM rebuttable presumption (APOR),
non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans.
S&P said, "After we assigned preliminary ratings on March 17, 2025,
the sponsor removed one mortgage loan from the pool and provided an
updated structure. In addition, the class B-1 certificate rate was
priced at a NetWac coupon rate. After analyzing the final coupons
and updated structure, we assigned ratings for all classes, which
are unchanged from the preliminary ratings we assigned."
The ratings reflect S&P's view of:
-- The pool's collateral composition and geographic
concentration;
-- The transaction's credit enhancement, associated structural
mechanics, and representations and warranties framework;
-- The mortgage aggregators, Morgan Stanley Mortgage Capital
Holdings LLC and Morgan Stanley Bank N.A.;
-- The mortgage originators, including reviewed originator
HomeXpress Mortgage Corp.;
-- The 100% due diligence results consistent with represented loan
characteristics; and
S&P said, "Our outlook that considers our current projections for
U.S. economic growth, unemployment rates, and interest rates, as
well as our view of housing fundamentals. Our outlook is updated,
if necessary, when these projections change materially."
Ratings Assigned(i)
Morgan Stanley Residential Mortgage Loan Trust 2025-NQM2
Class A-1-A, $264,077,000: AAA (sf)
Class A-1-B, $40,942,000: AAA (sf)
Class A-1, $305,019,000: AAA (sf)
Class A-2, $30,912,000: AA- (sf)
Class A-3, $37,462,000: A- (sf)
Class M-1, $15,148,000: BBB- (sf)
Class B-1, $7,575,000: BB
Class B-2, $8,188,000: B
Class B-3, $5,118,434: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R-PT, $20,475,434: NR
Class PT, $388,947,000: NR
Class R, not applicable: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period and is initially $409,422,434.
NR--Not rated.
NATIXIS COMMERCIAL 2018-ALXA: DBRS Confirms BB(high) on E Certs
---------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-ALXA
issued by Natixis Commercial Mortgage Securities Trust 2018-ALXA:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BB (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the underlying collateral, which remains in line
with Morningstar DBRS' expectations. The loan is collateralized by
Centre 425 Bellevue, a 356,909-square-foot (sf) Class A office
building in downtown Bellevue, Washington, approximately 10 miles
east of Seattle. The condominium interest includes 98.3% of the
leasable square footage within the 16-story structure in addition
to an eight-level underground parking garage. The property is
predominantly occupied by the investment-grade tenant Amazon.com,
Inc. (Amazon) on a triple-net lease that extends to September
2033.
The 10-year fixed-rate interest-only mortgage loan has an
anticipated repayment date in 2027 and final loan maturity in 2033.
The $124.5 million trust balance includes a $10.0 million piece of
a split pari passu senior loan and a $114.5 million subordinate B
note. A pari passu piece of the senior loan is held in the CSAIL
2017-CX10 transaction, also rated by Morningstar DBRS. Additional
debt consists of a $57.6 million mezzanine loan, which is
co-terminous with the trust mortgage loan. The loan is sponsored by
RFR Holdings LLC and Tristar Capital LLC, whose principals serve as
guarantors for the transaction.
According to the December 2024 rent roll, the collateral was 100.0%
occupied. Amazon accounted for 99.4% of the net rentable area,
paying a base rental rate of $39.60 per sf, subject to annual rent
escalations of 2.25%. Per the lease agreement, Amazon's initial
lease expiry is on September 30, 2033, with three five-year
extension options remaining and no termination options available.
The lease is also guaranteed by Amazon, subject to a cap of $190.0
million for the first five years, which reduces by $19.0 million
each year thereafter.
In early 2023, Amazon laid off nearly 2,300 employees in the
Seattle and Bellevue area following the adoption of a hybrid work
model. While significant, Morningstar DBRS did not believe the
layoffs posed significantly increased risks for the subject
transaction given Amazon's long-term lease with no termination
options and the company's investment-grade status. According to
more recent news sources, CEO Andy Jassy announced a policy shift,
requiring all employees to return to the office full time, which is
expected to significantly impact Downtown Bellevue, where Amazon
maintains a substantial office presence of over 12,000 employees.
According to the September 2024 financial reporting, the annualized
net cash flow (NCF) for the trailing nine months ended September
30, 2024, was reported at $16.9 million with a debt service
coverage ratio (DSCR) of 1.88 times (x) based on total mortgage
debt, in line with the year-end (YE) 2023 NCF figure of $16.8
million, reflecting a DSCR of 1.87x. Morningstar DBRS' previous
credit rating action in April 2024 included an update to the
asset's 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 valuation approach from the April 2024 review, which
was based on a capitalization rate of 7.25% applied to the
Morningstar DBRS NCF of $15.9 million based on a stress to the
YE2022 NCF figure. Morningstar DBRS maintained positive qualitative
adjustments to the loan-to-value ratio (LTV) sizing benchmarks
totaling 6.25% to reflect the property's quality, stable tenancy,
and its location within a strong market. The Morningstar DBRS
concluded value of $219.8 million represents a variance of -30.4%
from the issuance appraised value of $316.0 billion million and
implies a whole-loan LTV of 121.0%.
Morningstar DBRS' credit rating on the applicable classes addresses
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Notes: All figures are in U.S. dollars unless otherwise noted.
NEUBERGER BERMAN 33: S&P Assigns BB- (sf) Rating on E-R2 Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R2, B-R2,
C-R2, D-1R2, D-2R2, D-3R2, and E-R2 replacement debt and the new
class X-R2 debt from Neuberger Berman Loan Advisers CLO 33
Ltd./Neuberger Berman Loan Advisers CLO 33 LLC, a CLO managed by
Neuberger Berman Loan Advisers LLC that was originally issued in
September 2019 and underwent a refinancing in October 2021.
The replacement debt was issued via a supplemental indenture, which
outlined the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-R2, B-R2, C-R2, and E-R2 debt was
issued at a lower spread over three-month SOFR than the existing
debt.
-- The stated maturity and reinvestment periods were extended by
5.5 years, each.
-- The non-call period was extended to March 28, 2027.
-- The class X-R2 debt was issued in connection with this
refinancing and is expected to be paid down using interest proceeds
during the first seven payment dates, beginning on 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
Neuberger Berman Loan Advisers CLO 33 Ltd./
Neuberger Berman Loan Advisers CLO 33 LLC
Class X-R2, $6.00 million: AAA (sf)
Class A-R2, $375.00 million: AAA (sf)
Class B-R2, $81.00 million: AA (sf)
Class C-R2 (deferrable), $36.00 million: A (sf)
Class D-1R2 (deferrable), $30.00 million: BBB (sf)
Class D-2R2 (deferrable), $6.00 million: BBB- (sf)
Class D-3R2 (deferrable), $2.40 million: BBB- (sf)
Class E-R2 (deferrable), $21.60 million: BB- (sf)
Ratings Withdrawn
Neuberger Berman Loan Advisers CLO 33 Ltd./
Neuberger Berman Loan Advisers CLO 33 LLC
Class A-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-R (deferrable) to NR from 'A (sf)'
Class D-R (deferrable) to NR from 'BBB- (sf)'
Class E-R(deferrable) to NR from 'BB- (sf)'
Other Debt
Neuberger Berman Loan Advisers CLO 33 Ltd./
Neuberger Berman Loan Advisers CLO 33 LLC
Subordinated notes, $67.00 million: NR
NR-- Not rated.
NEW CENTURY 2004-2: Moody's Lowers Rating on 3 Tranches to Caa1
---------------------------------------------------------------
Moody's Ratings has downgraded the ratings of three bonds issued by
New Century Home Equity Loan Trust, Series 2004-2. The collateral
backing this deal consists of subprime mortgages.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
A List of Affected Credit Ratings is available at
https://urlcurt.com/u?l=obupgU
The complete rating actions are as follows:
Issuer: New Century Home Equity Loan Trust, Series 2004-2
Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020
Downgraded to Ba2 (sf)
Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020
Downgraded to Ba2 (sf)
Cl. M-3, Downgraded to Caa1 (sf); previously on Jun 9, 2020
Downgraded to Ba2 (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.
The rating downgrades are the result of outstanding credit interest
shortfalls that are unlikely to be recouped. Each of the downgraded
bonds has a weak interest recoupment mechanism where missed
interest payments will likely result in a permanent interest loss.
Unpaid interest owed to bonds with weak interest recoupment
mechanisms are reimbursed sequentially based on bond priority, from
excess interest, if available, and only after the
overcollateralization has built to a pre-specified target amount.
Given that overcollateralization has been consistently decreasing
due to volatility in collateral performance over the past two
years, there has been an increase in the outstanding missed
interest payments on these bonds. Consequently, Moody's considers
the likelihood of missed interest payments on these bonds being
repaid as relatively low. The size and length of the outstanding
interest shortfalls were considered in Moody's analysis.
No actions were taken on the other rated classes in this deal
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.
NEW MOUNTAIN 7: Fitch Assigns 'BB-sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to New
Mountain CLO 7 Ltd.
Entity/Debt Rating
----------- ------
New Mountain
CLO 7 Ltd
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C-1 LT Asf New Rating
C-2 LT Asf New Rating
D-1 LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
New Mountain CLO 7 Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by New
Mountain Credit CLO Advisers, L.L.C. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first-lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.36 versus a maximum covenant, in accordance with
the initial expected matrix point of 26.83. 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
99.44% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.17% versus a
minimum covenant, in accordance with the initial expected matrix
point of 75.17%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 46% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 5.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBBsf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C-1, between 'Bsf' and 'BBB+sf' for class C-2, between less
than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and
'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AA+sf'
for class C-2, 'A+sf' for class D-1, 'Asf' for class D-2, and
'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to 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 New Mountain CLO 7
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.
NEW RESIDENTIAL 2025-NQM2: Fitch Assigns B-sf Rating on B-2 Notes
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgaged-backed notes issued by New Residential Mortgage Loan
Trust 2025-NQM2 (NRMLT 2025-NQM2).
Entity/Debt Rating Prior
----------- ------ -----
NRMLT 2025-NQM2
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AA-sf New Rating AA-(EXP)sf
A-3 LT A-sf New Rating A-(EXP)sf
M-1 LT BBB-sf New Rating BBB-(EXP)sf
B-1 LT BB-sf New Rating BB-(EXP)sf
B-2 LT B-sf New Rating B-(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The notes are supported by 631 newly originated loans with a
balance of $326 million as of the March 1, 2025, cut-off date. The
pool consists of loans originated by NewRez LLC, as well as
third-party originator Champions Funding, LLC (Champions), among
others.
The notes are secured mainly by non-qualified mortgage (QM) loans
as defined by the ability-to-repay (ATR) Rule. Of the loans in the
pool, 63.4% are designated as non-QM while the remainder are not
subject to the ATR Rule.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.7% above a long-term sustainable level (relative
to 11.1% on a national level as of 3Q24). Housing affordability is
the worst it has been in decades, driven by both high interest
rates and elevated home prices. Home prices had increased 3.8% yoy
nationally as of November 2024 despite modest regional declines,
but are still being supported by limited inventory.
Non-Prime Credit Quality (Negative): The collateral consists of 631
loans, totaling $326 million and seasoned approximately three
months in aggregate, according to Fitch, as calculated from
origination date. The borrowers have a moderate credit profile when
compared with other non-QM transactions, with 749 Fitch model FICO
score and 44% debt/income ratios (DTI), as determined by Fitch
after converting the debt service coverage ratio (DSCR) values.
However, leverage (80% sustainable loan/value [sLTV]) within this
pool is consistent compared to previous NRMLT transactions from
2024.
The pool consists of 57.6% of loans where the borrower maintains a
primary residence, while 42.4% are considered an investor property
or second home. Additionally, only 13.0% of the loans were
originated through a retail channel, and 63.4% are considered
non-QM. The remainder are not subject to QM.
Modified Sequential-Payment Structure (Mixed): The structure pays
principal pro rata among the senior notes while shutting out the
subordinate bonds from principal until all senior classes are
reduced to zero. If a cumulative loss trigger event or delinquency
trigger event occurs in a given period, principal will be paid
sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are
reduced to zero.
Starting on the payment date immediately following the first
payment date of which the principal balance of the mortgage loans
is less than or equal to 20% of the balance as of the cut-off date,
the class A-1A, A-1B, A-2 and A-3 notes feature a 100-bp coupon
step-up, subject to the net WAC. This increases the interest
allocation for the A-1 through A-3 and decreases the amount of
excess spread available in the transaction.
Loan Documentation (Negative): 51.3% of the pool was underwritten
to less than full documentation, according to Fitch. Approximately
42.4% was underwritten to a 12-month or 24-month bank statement
program for verifying income, which is not consistent with Fitch's
view of a full documentation program.
A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protection Bureau's (CFPB)
ATR Rule. The standards are meant to reduce the risk of borrower
default arising from lack of affordability, misrepresentation or
other operational quality risks due to rigor of the ATR Rule's
mandates with respect to the underwriting and documentation of the
borrower's ATR. Additionally, 25.3% are DSCR product and 7.4% are
Asset Depletion product.
High Investor Property Concentrations (Negative): Approximately
36.6% of the pool comprises investment property loans, including
25.3% underwritten to a cash flow ratio rather than the borrower's
DTI ratio. Investor property loans exhibit higher probability of
defaults (PDs) and higher loss severities (LS) than owner-occupied
homes. Fitch increased the PD by approximately 2.0x for the cash
flow ratio loans relative to a traditional income documentation
investor loan, to account for the increased risk.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 42.0% at 'AAA'. The
analysis indicates there is some potential rating migration with
higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Evolve, Infinity, and SitusAMC. The third-party due
diligence described in Form 15E focused on credit, compliance, and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments to
its analysis:
- Fitch applied a 5% PD credit at the loan level for all loans
graded either 'A' or 'B';
- Fitch lowered its loss expectations by approximately 50bps
because of the diligence review.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
NLT 2025-INV1: S&P Assigns B (sf) Rating on Class B-2 Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to NLT 2025-INV1 Trust's
mortgage-backed notes.
The note issuance is an RMBS securitization backed by first-lien,
fixed- and adjustable-rate (some with interest-only periods) fully
amortizing or balloon residential mortgage loans to both prime and
nonprime borrowers. The loans are secured by single-family
residences, townhouses, planned-unit developments, condominiums,
two- to four-family residential properties, and manufactured homes.
The pool consists of 1,347 business-purpose investment property
loans, including 25 cross-collateralized loans backed by 126
properties, that are all ability-to-repay-exempt loans.
The ratings reflect S&P's view of:
-- The pool's collateral composition and geographic
concentration;
-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;
-- The mortgage aggregator and originators;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's macroeconomic outlook, which considers our current
projections for U.S. economic growth, unemployment rates, and
interest rates, as well as its view of housing fundamentals, which
is updated, if necessary, when these projections change
materially.
Ratings Assigned(i)
NLT 2025-INV1 Trust
Class A-1, $198,679,000: AAA (sf)
Class A-2, $22,277,000: AA (sf)
Class A-3, $38,230,000: A (sf)
Class M-1, $16,106,000: BBB (sf)
Class B-1, $11,288,000: BB (sf)
Class B-2, $8,881,000: B (sf)
Class B-3, $5,569,138: NR
Class PT, $301,030,138: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, not applicable: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate state principal
balance of the mortgage loans as of the first day of the related
due period and is initially $301,030,138.
NR--Not rated.
OAKTREE CLO 2025-29: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Oaktree CLO
2025-29 Ltd./Oaktree CLO 2025-29 LLC's floating-rate debt.
The debt issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans. The transaction is managed by Oaktree CLO
Management Co. LLC.
The preliminary ratings are based on information as of April 2,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Oaktree CLO 2025-29 Ltd./Oaktree CLO 2025-29 LLC
Class A, $256.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $22.00 million: BBB (sf)
Class D-2 (deferrable), $8.00 million: BBB- (sf)
Class E (deferrable), $10.00 million: BB- (sf)
Subordinated notes, $37.58 million: NR
NR--Not rated.
OCP AEGIS 2025-41: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP Aegis
CLO 2025-41 Ltd./OCP Aegis CLO 2025-41 LLC's fixed- and
floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Onex Credit Partners LLC.
The preliminary ratings are based on information as of April 2,
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
Aegis CLO 2025-41 Ltd./OCP Aegis CLO 2025-41 LLC
Class A, $280.00 million: AAA (sf)
Class B-1, $34.00 million: AA+ (sf)
Class B-2, $10.00 million: AA+ (sf)
Class C (deferrable), $20.00 million: A+ (sf)
Class D-1 (deferrable), $16.00 million: BBB+ (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $31.90 million: Not rated
OCTAGON 74: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Octagon
74, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Octagon 74, Ltd.
A-1 LT NRsf New Rating NR(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1A LT BBB-sf New Rating BBB-(EXP)sf
D-1B LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
Transaction Summary
Octagon 74, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Octagon Credit Investors, LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first-lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 23.16 versus a maximum covenant, in
accordance with the initial expected matrix point of 25. 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
95.73% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.35% versus a
minimum covenant, in accordance with the initial expected matrix
point of 68.7%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 5.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Octagon 74, 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.
OFSI BSL XV: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------
S&P Global Ratings assigned its ratings to OFSI BSL XV CLO
Ltd./OFSI BSL XV CLO LLC's fixed- and floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by OFS CLO Management III LLC, a
subsidiary of OFS Capital Management.
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
OFSI BSL XV CLO Ltd./OFSI BSL XV CLO LLC
Class A-1, $180.00 million: AAA (sf)
Class A-J, $12.00 million: AAA (sf)
Class B, $36.00 million: AA (sf)
Class C-1 (deferrable), $16.00 million: A (sf)
Class C-2 (deferrable), $2.00 million: A (sf)
Class D-1 (deferrable), $15.00 million: BBB (sf)
Class D-Ja (deferrable), $2.00 million: BBB- (sf)
Class D-Jb (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $9.00 million: BB- (sf)
Subordinated notes, $28.90 million: NR
NR--Not rated.
PALMER SQUARE 2021-2: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Palmer Square CLO 2021-2, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Palmer Square
CLO 2021-2, Ltd.
A-R-1 LT NRsf New Rating
A-R-2 LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-R-1 LT BBBsf New Rating
D-R-2 LT BBB-sf New Rating
E-R LT BB-sf New Rating
F-R LT B-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Palmer Square CLO 2021-2, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) managed by Palmer Square
Capital Management LLC that originally closed in May 2021. On March
28, 2025 (the first refinancing date), the CLO's secured notes will
be redeemed in full using refinancing proceeds. Net proceeds from
the issuance of the first refinancing notes and the subordinated
notes will provide financing on a portfolio of approximately
$548.65 million (excluding $1.35 million of defaulted obligations)
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 23.95, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.4. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
96.98% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.26% versus a
minimum covenant, in accordance with the initial expected matrix
point of 73.8%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
that of other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-R-2, between
'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-R-1,
between less than 'B-sf' and 'BB+sf' for class D-R-2, between less
than 'B-sf' and 'B+sf' for class E-R and less than 'B-sf' for class
F-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-R-2 notes as
these notes are in the highest rating category of 'AAAsf'.
For the remaining classes, variability in key model assumptions,
such as increases in recovery rates and decreases in default rates,
could result in an upgrade. Fitch evaluated the notes' sensitivity
to potential changes in such metrics; the minimum rating results
under these sensitivity scenarios are 'AAAsf' for class B-R,
'AA+sf' for class C-R, 'A+sf' for class D-R-1, 'A-sf' for class
D-R-2, 'BBB+sf' for class E-R and 'BB+sf' for class F-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 Palmer Square CLO
2021-2, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
PARLIAMENT FUNDING IV: DBRS Confirms BB(low) Rating on C Notes
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DBRS, Inc. confirmed its following provisional credit ratings on
the Class A Notes, the Class B Notes, and the Class C Notes
(together, the Notes) issued by Parliament Funding IV LLC pursuant
to the Indenture dated June 28, 2024, as most-recently amended by
the Third Supplemental Indenture dated March 5, 2025 (the
Supplemental Indenture) by and between Parliament Funding IV LLC,
as Issuer and State Street Bank and Trust Company, as Trustee:
-- Class A Notes: at (P) AAA (sf)
-- Class B Notes: at (P) BBB (sf)
-- Class C Notes: at (P) BB (low) (sf)
The provisional credit rating on the Class A Notes addresses the
timely payment of interest (excluding the post-Event of Default
interest rate of 2.00% per annum) and the ultimate payment of
principal on or before the Stated Maturity. The provisional credit
ratings on the Class B Notes and Class C Notes address the ultimate
payment of interest (excluding the post-Event of Default interest
rate of 2.00% per annum) and the ultimate payment of principal on
or before the Stated Maturity.
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' review
of the Supplemental Indenture, which increased the Maximum
Principal Amount of the Notes, among other changes. The
Reinvestment Period ends on December 31, 2028. The Stated Maturity
is January 15, 2037.
The Notes are collateralized primarily by a portfolio of U.S.
middle-market corporate loans. The Issuer is managed by Owl Rock
Diversified Advisors LLC, an affiliate of Blue Owl Capital Inc.
Morningstar DBRS considers Owl Rock Diversified Advisors LLC an
acceptable collateralized loan obligation (CLO) manager.
The credit ratings reflect the following primary considerations:
(1) The Supplemental Indenture dated March 5, 2025.
(2) The integrity of the transaction's structure.
(3) Morningstar DBRS' assessment of the portfolio quality and
covenants.
(4) Adequate credit enhancement to withstand Morningstar DBRS'
projected collateral loss rates under various cash flow-stress
scenarios.
(5) Morningstar DBRS' assessment of the origination, servicing, and
CLO management capabilities of Owl Rock Diversified Advisors LLC.
(6) The legal structure as well as legal opinions addressing
certain matters of the Borrower and the consistency with the
Morningstar DBRS "Legal Criteria for U.S. Structured Finance"
methodology.
The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via a selection of an
applicable row from a collateral quality test matrix (the CQM, as
defined in Schedule 5 of the Supplemental Indenture). Depending on
a given Diversity Score (DScore), the following metrics are
selected accordingly from the applicable row of the CQM: Maximum
Average Morningstar DBRS Risk Score Test, and Weighted-Average
Spread (WAS). Morningstar DBRS analyzed each structural
configuration as a unique transaction, and all configurations
(matrix points) passed the applicable Morningstar DBRS rating
stress levels. The Coverage Tests and triggers as well as the
Collateral Quality Tests that Morningstar DBRS modeled during its
analysis are presented below:
(1) Class A Asset Coverage Test: minimum 170.00%; currently
208.81%
(2) Class B Asset Coverage Test: minimum 120.00%; currently
144.77%
(3) Class C Asset Coverage Test: minimum 111.15%; currently
127.74%
(4) Maximum Average Morningstar DBRS Risk Score Test: Subject to
the CQM; maximum 41.37%; currently 25.58%
(5) Minimum WAS Test: Subject to the CQM; minimum 4.00%; currently
4.85%
(6) Minimum Weighted Average Coupon Test: minimum 5.00%; currently
N/A
(7) Minimum DScore: Subject to the CQM; minimum 8; currently 18.98
The transaction is performing according to the parameters of the
Indenture. The Issuer is in compliance with all coverage and
collateral quality tests as well as concentration limitations for
portfolio collateral obligations per the trustee report as of
February 5, 2025.
Some particular strengths of the transaction are (1) the collateral
quality, which consists mostly of senior-secured middle-market
loans; (2) the expected adequate diversification of the portfolio
of collateral obligations (Diversity Score, matrix driven); and (3)
the Collateral Manager's expertise in CLOs and overall approach to
selection of Collateral Obligations.
Some challenges were identified: (1) the expected weighted-average
credit quality of the underlying obligors may fall below investment
grade (per the CQM), and the majority may not have public ratings
once purchased, and (2) the underlying collateral portfolio may be
insufficient to redeem the Notes in an Event of Default.
Morningstar DBRS analyzed the transaction using the Morningstar
DBRS CLO Insight Model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization,
principal prepayment, amount of interest generated, principal
prepayments, default timings, and recovery rates, among other
credit considerations referenced in Morningstar DBRS' "Global
Methodology for Rating CLOs and Corporate CDOs" (November 19,
2024). The Level III Trading Scenarios Approach described in the
CLO Methodology was applied and the predictive model was utilized
in the Morningstar DBRS' analysis of the transaction.
Model-based analysis produced satisfactory results, which, in
addition to Morningstar DBRS' review of the Supplemental Indenture,
supported the confirmation of the provisional credit ratings on the
Notes.
Notes: All figures are in US dollars unless otherwise noted.
PRPM 2025-RCF2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. M-2 Notes
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Fitch Ratings has assigned expected ratings to PRPM 2025-RCF2,
LLC.
PRPM 2025-RCF2 utilizes Fitch's new Interactive RMBS Presale
feature. To access the interactive feature, click the link at the
top of the presale report first page, log into dv01 and explore
Fitch's loan-level loss expectations.
Entity/Debt Rating
----------- ------
PRPM 2025-RCF2
A-1 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
M-2 LT BB-(EXP)sf Expected Rating
B LT NR(EXP)sf Expected Rating
CERT LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch Ratings expects to rate the series 2025-RCF2 residential
mortgage-backed notes to be issued by PRPM 2025-RCF2, LLC as
indicated above. The notes are supported by 841 loans with a
balance of $252.24 million as of the cutoff date. This will be the
eighth PRPM RCF transaction rated by Fitch.
The notes are secured by a pool of recently originated and seasoned
fixed-rate, step-rate and adjustable-rate fully amortizing,
balloon, and performing and reperforming mortgage loans. The notes
are secured by first liens primarily on one- to four-family
residential properties, units in planned unit developments (PUDs),
townhouses, condominiums/cooperatives and manufactured housing.
Based on Fitch's analysis of the pool, 78.0% of the pool loans
represent collateral with a defect or exception to guidelines that
preclude the loans from a government-sponsored entity (GSE) pool.
The remaining 22.0% of the loan types are performing or
reperforming. Based on the transaction documents, 78.3% of the pool
had a defect or exception to guidelines that precluded the loans
from being in a GSE pool and 21.7% are performing or reperforming
loans.
According to Fitch, 38.0% of the loans are non-qualified mortgage
(non-QM), as defined by the Ability to Repay Rule (ATR Rule); 43.4%
are safe-harbor or high-priced QM loans; and the remaining 18.6%
are exempt from the QM rule, as they are investment properties or
were originated prior to the ATR Rule taking effect in January
2014. The transaction documents state that, of the loans, 39.0% are
non-QM, 47.7% are high-priced QM or safe-harbor QM loans, and 13.3%
are exempt from the QM rule. The discrepancy in non-QM percentages
is due to the fact that Fitch had considered scratch and dent (S&D)
loans originated as non-investor prior to January 2014, and then,
after that date, as non-QM loans.
The loans were originated by various originators, with no
originator contributing more than 15% to the pool. SN Servicing
Corp. (SNSC), rated 'RSS3' by Fitch, will service 51.8% of the
loans in the pool; Nationstar Mortgage LLC dba Rushmore Servicing
(Rushmore), rated 'RSS2' by Fitch, will service 44.5% of the loans;
NewRez LLC, rated 'RSS2+' by Fitch, will service 3.6% of the loans;
and the remaining 0.1% will be serviced by Fay Servicing LLC, rated
'RSS2' by Fitch.
The offered A and M notes are fixed rate and capped at available
funds. The B note is a principal-only (PO) bond and is not entitled
to interest. Similar to non-QM transactions, classes A and M have a
step-up coupon feature that is triggered if the deal is not called
in April 2029.
Fitch was only asked to rate class A-1, A-2, A-3, M-1 and M-2
notes.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.2% above a long-term sustainable
level (versus 11.1% on a national level as of 3Q24, down 0.5% since
the prior quarter, based on Fitch's updated view on sustainable
home prices. Housing affordability is the worst it has been in
decades, driven by both high interest rates and elevated home
prices. Home prices have increased 3.8% YoY nationally as of
November 2024, despite modest regional declines, but are still
being supported by limited inventory.
Nonprime Credit Quality (Negative): The collateral consists of 841
first and second lien, fixed-rate, step rate and ARM loans with
maturities of up to 40 years totaling $252.24 million, including
deferred balances. Specifically, the pool comprises 62.6% 30-year,
fully amortizing fixed-rate loans (including 1.3% 10-year
interest-only (IOs)), 17.6% over 30-year fully amortizing
fixed-rate loans, 12.4% less than 30-year, fully amortizing
fixed-rate loans (including 3.5% 10-year IOs), and 7.4% ARM and
step rate loans (including 0.8% 10-year IOs) based on Fitch's
analysis. The pool is seasoned at 54 months, according to Fitch.
The borrowers in this pool have relatively strong credit profiles
with a Fitch-determined weighted average (WA) FICO score of 733,
which is similar to the 739 non-zero WA FICO, per the transaction
documents, and a 46.7% Fitch-determined debt-to-income ratio (DTI).
The borrowers also have moderate leverage, with an original
combined loan-to-value ratio (CLTV), as determined by Fitch, of
74.9% (74.7%, according to transaction documents), translating to a
Fitch-calculated sustainable loan-to-value ratio (sLTV) of 67.1%.
In its analysis, occupancy was re-coded based on due diligence
findings for some loans. As a result, Fitch will have more investor
properties in its analysis than shown in the transaction documents.
In its analysis, Fitch considers 80.4% of the pool to consist of
loans where the borrower maintains a primary residence (83.3%, per
the transaction documents). Fitch considers 15.2% of the pool loans
as comprising investor properties (9.9%, per the transaction
documents) and 4.3% as representing second homes (4.3%, per the
transaction documents).
In its analysis, property types were re-coded based on due
diligence findings. As a result, the percentages will not tie out
to the property types in the transaction documents. In Fitch's
analysis, a majority of the loans (81.5%) are to single-family
homes, townhouses and PUDs; 9.0% are to condominiums; 1.4% are to
cooperatives; 7.6% are to multifamily homes and manufactured
housing; and 0.5% account for other property types. In the
analysis, Fitch treated manufactured properties and properties
coded as other occupancy types as multifamily and, as a result, the
probability of default (PD) was increased for these loans.
In total, 10.1% of the loans were originated through a reviewed
retail channel that was reviewed by Fitch. In total, 74.8% of the
pool was originated through a retail channel. According to Fitch,
38.0% of the loans are designated as non-QM loans and 43.4% are
safe-harbor or high-priced QM loans, while the remaining 18.6% are
exempt from QM status. In its analysis, Fitch considers S&D loans
originated as non-investor and, after January 2014, to be non-QM
since they are no longer eligible for GSE pools. As a result,
Fitch's non-QM, QM and exempt from QM percentages will not be in
line with the transaction documents. Based on Fitch's analysis, the
pool contains 22 loans over $1.0 million, with the largest loan at
$6.30 million.
Fitch determined that self-employed borrowers make up 21.3% of the
pool, salaried borrowers constitute 67.8% and the remaining 10.9%
are of unknown borrower type. About 15.2% of the pool loans (111)
are of investor properties, according to Fitch, and 5.0% (55 loans)
have subordinate financing. According to Fitch, 55 loans had
subordinate financing because Fitch assumed an 80% LTV and 100%
CLTV for any loan missing an original appraisal. Fitch viewed all
loans in the pool to be in the first lien position, based on the
data and confirmation from the servicer.
About 30.3% of the pool loans are concentrated in California. The
largest MSA concentration is in Los Angeles (13.4%), followed by
New York (8.6%) and Riverside-San Bernardino (4.5%). The top three
MSAs account for 26.5% of the pool. There was no penalty for
geographic concentration.
According to Fitch, 95.9% of the pool was current as of the cutoff
date. Overall, the pool characteristics resemble nonprime
collateral; therefore, the pool was analyzed using its nonprime
model.
Loan Count Concentration (Negative): The loan count for this pool
(841 loans) results in a loan count concentration penalty. The loan
count concentration penalty applies when the WA number (WAN) of
loans is less than 300; in this pool, the WAN is 283. The loan
count concentration for this pool results in a 1.02x penalty, which
increases loss expectations by 32 bps at the 'AAAsf' rating
category.
Guideline Exception Loans (Negative): Roughly 78.0% of the
collateral consists of loans that had defects or exceptions to
guidelines at origination with a substantial portion originally
underwritten to GSE guidelines. The exceptions ranged from those
that are immaterial to Fitch's analysis (loan seasoning and
mortgage insurance issues), to those handled by Fitch's model due
to tape attributes (prior delinquencies and LTVs above guidelines)
and to loans with potential compliance exceptions that received
loss adjustments (loans with miscalculated DTIs and potential ATR
issues). In addition, loans with missing documentation may extend
foreclosure timelines or increase loss severity (LS), which Fitch
is able to account for in its loss analysis.
Non-QM Loans with Less than Full Documentation (Negative):
According to Fitch, about 33.4% of the pool loans were underwritten
to less than full documentation. Per the transaction documents,
82.7% were underwritten to full documentation and 17.3% to less
than full documentation. Specifically, 5.3% were underwritten to
alternative documentation, 0.4% to a streamline refinance, 6.9% to
an unknown program, and 0.6% to a debt service coverage ratio
(DSCR) program, including no ratio loans. Overall, Fitch increased
the PD on non-full documentation loans to reflect the additional
risk.
In its analysis, Fitch considered 15.2% of the less than full
documentation loans as stated documentation, 7.2% as less than full
documentation and 11.0% as no documentation. The remaining 66.6%
were considered full documentation. Due to diligence findings and
documentation treatment of certain loan documentation types (e.g.
no doc, alt-doc and streamline refinance), Fitch's documentation
types will not match the types in the transaction documents, which
viewed the transaction as 82.7% full documentation.
A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protection Bureau's (CFPB)
ATR Rule. This reduces risk of borrower default arising from lack
of affordability, misrepresentation or other operational quality
risks due to the rigor of the Rule's mandates with respect to
underwriting and documentation of the borrower's ATR.
Sequential Deal Structure with Overcollateralization and No DQ P&I
Advancing (Mixed): The transaction utilizes a sequential-payment
structure with no advances of delinquent (DQ) principal or
interest. The transaction also includes a structural feature where
it reallocates interest from the more junior classes to pay
principal on the more senior classes on or after the occurrence of
a credit event. The amount of interest paid out as principal to the
more senior classes is added to the balance of the affected junior
classes. This feature allows for a faster paydown of the senior
classes.
An offset to the positive feature of the sequential structure is
that the transaction will not write down the bonds due to potential
losses or undercollateralization. In periods of adverse
performance, the subordinate bonds will continue to be paid
interest, at the expense of principal payments that otherwise would
support the more senior bonds; in a more traditional structure, the
subordinate bonds would be written down and accrue a smaller amount
of interest. The potential for increasing amounts of
undercollateralization is mitigated by reallocation of available
funds after the 80th payment date.
The servicers will not be advancing DQ monthly payments of
principal and interest (P&I). Because P&I advances made on behalf
of loans that become DQ and eventually liquidate reduce liquidation
proceeds to the trust, the loan-level LS is less in this
transaction than for those where the servicer is obligated to
advance P&I. To provide liquidity and ensure timely interest will
be paid to the 'AAAsf' rated classes and ultimate interest will be
paid on the remaining rated classes, principal will need to be used
to pay for interest accrued on DQ loans. This will result in stress
on the structure and the need for additional credit enhancement
(CE) compared to a pool with limited advancing.
In this structure, interest payments and fees are paid from the
interest waterfall prior to the occurrence of a credit event. The
principal waterfall will pay any current and unpaid accrued
interest amounts to the classes prior to principal being paid
sequentially, starting with the A-1 class prior to the occurrence
of a credit event. On and after the occurrence of a credit event,
fees will be paid out of available funds; after the fees are paid,
interest and principal will be paid out of available funds with
interest still being prioritized in the structure over the payment
of principal.
Coupons on the notes are based on the lower of the available funds
cap (AFC) and the stated coupon. If the AFC is paid, it is
considered a coupon cap shortfall (interest shortfall) and the
coupon cap shortfall amount is the difference between interest that
was paid (per the AFC) and what should have been paid based on the
stated coupon. If the transaction is not called on the expected
redemption date (April 2029), the coupons step up 100bps. Class B
and the certificate class will be issued as PO bonds and will not
accrue interest.
The transaction has overcollateralization (OC), which will provide
subordination and protect the classes from losses. Classes will not
be written down by realized losses.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 41.7%, at 'AAA'. The analysis indicates there is
some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class, excluding those being
assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by ProTitle, Infinity and SitusAMC. The third-party due
diligence described in Form 15E for Infinity focused on these
areas: compliance, data integrity, payment history, and title/lien
review. The third-party due diligence described in Form 15E for
SitusAMC in addition covered modification payment history, credit,
valuation, and compliance review. The third-party due diligence
described in Form 15E for ProTitle focused on title/lien for 418
loans. Fitch considered this information in its analysis.
Based on the results of the 100% due diligence performed on the
pool, Fitch increased its loss expectations to account for the due
diligence findings (missing HUD-1 and other state compliance
testing failures, ATR Risk, high cost, property damage, TILA/RESPA
failures, and timeline extensions for missing documents only). This
is in addition to the increase in its loss expectations based on
the exceptions noted for the scratch and dent loans. Overall, the
losses were increased by roughly 6.75% at the 'AAAsf' rating
category to account for both the due diligence findings and the
scratch and dent exceptions noted.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria."
The sponsor engaged Infinity and SitusAMC to perform the review.
Loans reviewed under these engagements were given initial and final
compliance grades (100% of the pool). The sponsor also engaged
Infinity and ProTitle to conduct a title review/lien search.
Fitch also received notes on exceptions based on the post close QC
performed by the GSEs on 78.0% of the pool (per Fitch's analysis).
The GSE post close QC consisted of a review of compliance, credit,
and valuations. Fitch considers the scope of the GSE's credit and
valuation post close QC consistent with rating agency standards. As
a result, Fitch used the GSE's post close credit and valuation QC
for the non-seasoned loans in the pool since the scope is
consistent with Fitch's criteria. Fitch took these notes from the
GSE post close QC into account during its analysis of the
transaction.
The remaining 22.0% of loans represent reperforming/performing
loans, according to Fitch's analysis.
Seasoned loans do not require a credit/valuation TPR review, per
Fitch's criteria. Fitch viewed this as acceptable given the loan
level R&Ws in the transaction, the conservative assumptions Fitch
used in its loss analysis and because compliance due diligence was
performed on the loans. Using a sample of loans is acceptable for
due diligence review, per Fitch's criteria.
TPR also performed a review of the payment history, a servicer
comment review, and a title/lien review. All of which are
consistent with Fitch's criteria.
An exception and waiver report was provided to Fitch, indicating
that the pool of reviewed loans has a number of exceptions and
waivers. Fitch determined that some of the exceptions and waivers
do materially affect the overall credit risk of the loans and
increased its loss expectations on these loans to account for the
issues found in the due diligence process on the loans that are
considered scratch and dent with material findings.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout were populated by the
due diligence company and no material discrepancies were noted.
ESG Considerations
PRPM 2025-RCF2 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk due to elevated operational risk,
which resulted in an increase in expected losses. The reviewed
originators and servicing parties did not have a material impact on
expected losses; the Tier 2 reps and warranties (R&W) framework
with an unrated counterparty, along with approximately 82% of the
loans in the pool being underwritten by originators that have not
been assessed by Fitch, resulted in an increase in expected losses
and are relevant to the ratings.
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.
RADNOR RE 2022-1: Moody's Upgrades Rating on Cl. M-1B Notes to Ba1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings of nine bonds from five US
mortgage insurance-linked note (MILN) transactions. These
transactions were issued to transfer to the capital markets the
credit risk of private mortgage insurance (MI) policies issued by
the ceding insurer on a portfolio of residential 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: Oaktown Re VI Ltd.
Cl. B-1, Upgraded to A3 (sf); previously on Jun 12, 2024 Upgraded
to Ba1 (sf)
Cl. M-1C, Upgraded to Aa1 (sf); previously on Jun 12, 2024 Upgraded
to A3 (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Jun 12, 2024 Upgraded
to Baa3 (sf)
Issuer: Oaktown Re VII Ltd.
Cl. M-1B, Upgraded to A2 (sf); previously on Jun 12, 2024 Upgraded
to Baa3 (sf)
Issuer: Radnor Re 2021-1 Ltd.
Cl. M-1C, Upgraded to Aaa (sf); previously on Jun 18, 2024 Upgraded
to A1 (sf)
Cl. M-2, Upgraded to Aa2 (sf); previously on Jun 18, 2024 Upgraded
to Baa2 (sf)
Issuer: Radnor Re 2021-2 Ltd.
Cl. M-1B, Upgraded to A1 (sf); previously on Jun 18, 2024 Upgraded
to Baa3 (sf)
Issuer: Radnor Re 2022-1 Ltd.
Cl. M-1A, Upgraded to Aaa (sf); previously on Sep 21, 2022
Definitive Rating Assigned Ba2 (sf)
Cl. M-1B, Upgraded to Ba1 (sf); previously on Sep 21, 2022
Definitive Rating Assigned 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 expectations on the underlying pools.
Each of the transactions Moody's reviewed continues to display
strong collateral performance, with cumulative losses for each
transaction under .06% and a small percentage of loans in
delinquency. In addition, enhancement levels for most tranches have
grown significantly, as the pools amortize relatively quickly. The
credit enhancement since closing has grown, on average, 74.7% for
the tranches upgraded.
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.
RCKT MORTGAGE 2025-1: Moody's Assigns B1 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 47 classes of
residential mortgage-backed securities (RMBS) issued by RCKT
Mortgage Trust 2025-1, and sponsored by Woodward Capital Management
LLC.
The securities are backed by a pool of prime jumbo (100% by
balance) residential mortgages solely originated and serviced by
Rocket Mortgage, LLC.
The complete rating actions are as follows:
Issuer: RCKT Mortgage Trust 2025-1
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 Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aa1 (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-2*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-3*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-4*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-5*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-6*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-7*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-8*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-9*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-10*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-11*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-12*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-13*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf)
Cl. B-1A, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-X-2*, Definitive Rating Assigned A2 (sf)
Cl. B-2A, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa1 (sf)
Cl. B-4, Definitive Rating Assigned Ba1 (sf)
Cl. B-5, Definitive Rating Assigned B1 (sf)
Cl. A-1A Loans, Definitive Rating Assigned Aaa (sf)
*Reflects Interest-Only Classes
Moody's are withdrawing the provisional rating for the Class A-2A
Loans, assigned March 10, 2025, because the Class A-2A Loans were
not funded on the closing date.
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
0.40%, in a baseline scenario-median is 0.17% and reaches 6.63% 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.
REALT 2025-1: DBRS Finalizes B Rating on Class G Certs
------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following classes of Commercial Mortgage Pass-Through Certificates,
Series 2025-1 (the Certificates) issued by Real Estate Asset
Liquidity Trust (REALT) Series 2025-1 (the Trust):
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class X at AA (high) (sf)
-- Class C at A (sf)
-- Class D-1 at BBB (sf)
-- Class D-2 at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
All trends are Stable.
Classes D-2, E, F, and G will be privately placed.
The collateral consists of 70 fixed-rate loans, including one pari
passu pooled interest, secured by 102 commercial properties with an
aggregate cut-off date balance of $507.6 million. The transaction
is a sequential-pay pass-through structure. The loan pool was
analyzed to determine the provisional credit ratings, reflecting
the long-term probability of loan default within the term and its
liquidity at maturity.
The collateral pool has an issuance Morningstar DBRS WA LTV of
64.9% and scheduled amortization to a Morningstar DBRS Balloon LTV
of 58.1%. When the cut-off loan balances were measured against the
Morningstar DBRS Stabilized NCF and their respective actual
constants, the initial Morningstar DBRS WA DSCR for the pool was
1.74x. Thirty-two loans, representing 40.8% of allocated pool
balance, exhibit a Morningstar DBRS Issuance LTV in excess of
67.1%, a threshold generally indicative of higher-than-average
default frequency. However, only one loan, representing 0.4% of the
allocated pool balance, exhibits an Issuer Term DSCR below 1.25x, a
threshold indicative of a higher likelihood of midterm default.
Sixty-six loans, representing 81.2% of the allocated pool balance,
have been given full or partial recourse credit in the Morningstar
DBRS CMBS Insight model because of some form of recourse to
individuals and REITs or established corporations. Recourse
generally results in lower POD over the term of the loan. While it
is generally difficult to quantify the impact of recourse, all else
being equal, there is a small shift lowering the loan's POD for
warm-body or corporate sponsors that give recourse. Recourse can
also serve as a mitigating factor to other risks, such as
single-tenant risk, by providing an extra incentive for the loan
sponsor to make debt service payments if the sole tenant vacates.
The Morningstar DBRS sample included 23 of the 70 loans in the
pool. Site inspections were performed on nine of the loans, or 13
of the 102 properties in the transaction (31.8% of the pool by
allocated loan balance). Morningstar DBRS conducted meetings with
the on-site property manager, leasing agent, or a representative of
the borrowing entity for seven loans, representing 30.2% of the
pool.
Notes: All figures are in Canadian dollars unless otherwise noted.
RIN XII LLC: Moody's Assigns Ba3 Rating to $6.750MM Class E Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to seven classes of notes
issued and one class of loans incurred by RIN XII LLC (the Issuer
or RIN XII):
US$140,000,000 Class A-1 Floating Rate Senior Notes due 2038,
Definitive Rating Assigned Aaa (sf)
US$148,000,000 Class A-1-L Loans maturing 2038, Definitive Rating
Assigned Aaa (sf)
US$0 Class A-1-L Floating Rate Senior Notes due 2038, Definitive
Rating Assigned Aaa (sf)
US$9,000,000 Class A-2 Floating Rate Senior Notes due 2038,
Definitive Rating Assigned Aaa (sf)
US$45,000,000 Class B Floating Rate Senior Notes due 2038,
Definitive Rating Assigned Aa1 (sf)
US$27,000,000 Class C Deferrable Floating Rate Mezzanine Notes due
2038, Definitive Rating Assigned A2 (sf)
US$27,000,000 Class D Deferrable Floating Rate Mezzanine Notes due
2038, Definitive Rating Assigned Baa3 (sf)
US$6,750,000 Class E Deferrable Floating Rate Mezzanine Notes due
2038, Definitive Rating Assigned Ba3 (sf)
The notes and loans listed are referred to herein, collectively, as
the Rated Debt. The outstanding principal balance of the Class
A-1-L Notes on the closing date will be US$0 and may be increased
up to US$148,000,000 upon the exercise of the conversion option. On
a conversion day, the Class A-1-L Loans may be converted in whole
or in part to Class A-1-L Notes, thereby decreasing the principal
balance of the Class A-1-L Loans and increasing, by the
corresponding amount, the principal balance of the Class A-1-L
Notes. Any conversion shall be irrevocable. No Class A-1-L Notes or
any other Class of Notes may be converted into Class A-1-L Loans.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
RIN XII is a managed cash flow PF CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
project finance and corporate infrastructure loans. At least 50.0%
of the portfolio must consist of project finance infrastructure
loans and eligible investments. The PF CLO permits up to 35% of the
portfolio to be in project finance loans in the electricity (gas)
contracted, merchant or power renewables sectors. At least 96.0% of
the portfolio must consist of first lien senior secured loans and
up to 4.0% of the portfolio may consist of permitted debt
securities and second lien loans. The portfolio is approximately
90% ramped as of the closing date.
RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA
(the "Portfolio Advisor") will direct the selection, acquisition
and disposition of the assets on behalf of the Issuer and may
engage in trading activity, including discretionary trading, during
the transaction's five year reinvestment period. Thereafter, the
Portfolio Advisor is not permitted to purchase additional assets,
and unscheduled principal payments and proceeds from the sale of
assets will be used to amortized the Rated Debt in sequential
order.
In addition to the Rated Debt, the Issuer issued one class of
subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's ratings of the Rated Debt also took into account the
concentrated nature of the portfolio. The PF CLO's indenture allows
for a portfolio that is highly concentrated by sector and
individual asset size. Up to 35% of the portfolio's assets may be
in the electricity (gas) contracted, merchant or power renewables
sectors. The five largest sub-sectors could constitute up to 61% of
the portfolio, with the largest sub-sector potentially being up to
45% of the portfolio.
Additionally, the portfolio may have minimum of 50 obligors with
the largest obligor potentially comprising up to 3.50% of the
portfolio. Credit deterioration in a single sector or in a few
obligors could have an outsized negative impact on the PF CLO
portfolio's overall credit quality. Moody's analysis considered the
potential for a concentrated portfolio.
Moody's modeled the transaction by applying the Monte Carlo
simulation framework in CDOROM™, as described in the "Project
Finance and Infrastructure Asset CLOs" rating methodology published
in July 2024 and by using a cash flow model which estimates
expected loss on a CLO's tranche, as described in the "Moody's
Global Approach to Rating Collateralized Loan Obligations" rating
methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $450,000,000
Weighted Average Rating Factor (WARF) of Project Finance Loans:
2002
Weighted Average Rating Factor (WARF) of Corporate Infrastructure
Loans: 3001
Weighted Average Spread (WAS): 2.90%
Weighted Average Coupon (WAC): 6.0%
Weighted Average Mean Recovery Rate (WARR) of Project Finance
Loans: 66.20%
Weighted Average Mean Recovery Rate (WARR) of Corporate
Infrastructure Loans: 58.80%
Weighted Average Life (WAL): 8.0 years
Permitted Debt Securities and Second Lien Loans: 4.0%
Minimum Obligors: 50
Largest Obligor: 3.50%
Largest 5 Obligors: 17.50%
B2 Default Probability Rating Obligations: 17.00%
B3 Default Probability Rating Obligations: 10.00%
Minimum Project Finance Infrastructure Obligors: 50.0%
Corporate Power Infrastructure Obligors: 14.75%
Power Infrastructure Obligors: 44.75%
Methodology Underlying the Rating Action:
The methodologies used in these ratings were "Project Finance and
Infrastructure Asset CLOs" published in July 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Debt.
RR 19: S&P Assigns BB- (sf) Rating on Class D-R Notes
-----------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-1a-R, C-1b-R, C-2-R, and D-R replacement debt from RR 19
Ltd./RR 19 LLC, a CLO originally issued in November 2021 that is
managed by Redding Ridge Asset Management LLC. At the same time,
S&P withdrew its ratings on the original class A, B, C, and D debt
following payment in full on the April 3, 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-R, A-2-R, B-R, and D-R debt was
issued at a lower spread over three-month term SOFR than the
original debt.
-- The original class C debt was replaced with the sequential
class C-1a-R, C-1b-R, and C-2-R debt, which will have a floating
rate.
-- A new non-call period was established, which will expire on
April 2, 2027.
-- The stated maturity was extended for 4.50 years to April 15,
2040, and the reinvestment period was extended for 3.45 years to
April 15, 2030.
-- Additional subordinated notes were 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 notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
RR 19 Ltd./RR 19 LLC
Class A-1-R, $434.00 million: AAA (sf)
Class A-2-R, $84.00 million: AA (sf)
Class B-R (deferrable), $56.00 million: A (sf)
Class C-1a-R (deferrable), $31.50 million: BBB (sf)
Class C-1b-R (deferrable), $10.50 million: BBB- (sf)
Class C-2-R (deferrable), $3.50 million: BBB- (sf)
Class D-R (deferrable), $24.50 million: BB- (sf)
Ratings Withdrawn
RR 19 Ltd./RR 19 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AA (sf)'
Class B (deferrable) to NR from 'A (sf)'
Class C (deferrable) to NR from 'BBB- (sf)'
Class D (deferrable) to NR from 'BB- (sf)'
Other Debt
RR 19 Ltd./RR 19 LLC
Subordinated notes, $69.00 million: NR
NR--Not rated
RR 19: S&P Assigns Prelim BB- (sf) Rating on Class D-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-R, C-1a-R, C-1b-R, C-2-R, and D-R
debt from RR 19 Ltd./RR 19 LLC, a CLO managed by Redding Ridge
Asset Management LLC that was originally issued in October 2021.
The preliminary ratings are based on information as of April 1,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the April 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 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-1-R, A-2-R, B-R, and D-R debt are
expected to be issued at a lower spread over three-month term SOFR
than the original debt.
-- The original class C debt is being replaced with sequential
class C-1a-R, C-1b-R, and C-2-R debt, which is expected to have a
floating rate.
-- A new non-call period will be established, which will expire on
but exclude April 2, 2027.
-- The stated maturity will be extended for 4.50 years to April
15, 2040, and the reinvestment period will be extended for 3.45
years to April 15, 2030.
-- Additional subordinated notes are expected to be issued in
connection with this refinancing.
-- Added a provision in which the concentration limitation for CCC
rated obligations can be increased if the deal builds excess par.
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
RR 19 Ltd./RR 19 LLC
Class A-1-R, $434.00 million: AAA (sf)
Class A-2-R, $84.00 million: AA (sf)
Class B-R (deferrable), $56.00 million: A (sf)
Class C-1a-R (deferrable), $31.50 million: BBB (sf)
Class C-1b-R (deferrable), $10.50 million: BBB- (sf)
Class C-2-R (deferrable), $3.50 million: BBB- (sf)
Class D-R (deferrable), $24.50 million: BB- (sf)
Other Debt
RR 19 Ltd./RR 19 LLC
Subordinated notes, $69.00 million: Not rated
SAGARD-HALSEYPOINT 9: S&P Assigns Prelim 'BB-' Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to
Sagard-HalseyPoint CLO 9 Ltd./Sagard-HalseyPoint CLO 9 LLC's fixed-
and floating-rate debt.
The note 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 HalseyPoint Asset Management LLC.
The preliminary ratings are based on information as of March 27,
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
Sagard-HalseyPoint CLO 9 Ltd./Sagard-HalseyPoint CLO 9 LLC
Class A, $304.00 million: AAA (sf)
Class B, $57.00 million: AA (sf)
Class C-1 (deferrable), $25.50 million: A (sf)
Class C-2 (deferrable), $3.00 million: A (sf)
Class D-1 (deferrable), $23.75 million: BBB (sf)
Class D-2 (deferrable), $9.50 million: BBB- (sf)
Class E (deferrable), $14.25 million: BB- (sf)
Subordinated notes, $40.00 million: Not rated
SAGARD-HALSEYPOINT CLO 9: S&P Assigns BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sagard-HalseyPoint CLO 9
Ltd./Sagard-HalseyPoint CLO 9 LLC's fixed- and floating-rate debt.
The note 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 HalseyPoint Asset Management LLC.
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
Sagard-HalseyPoint CLO 9 Ltd./Sagard-HalseyPoint CLO 9 LLC
Class A, $304.00 million: AAA (sf)
Class B, $57.00 million: AA (sf)
Class C-1 (deferrable), $25.50 million: A (sf)
Class C-2 (deferrable), $3.00 million: A (sf)
Class D-1 (deferrable), $23.75 million: BBB (sf)
Class D-2 (deferrable), $9.50 million: BBB- (sf)
Class E (deferrable), $14.25 million: BB- (sf)
Subordinated notes, $40.00 million: NR
NR--Not rated.
SUMMIT ISSUER 2020-1: Fitch Affirms 'BB-sf' Rating on Class C Debt
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Fitch Ratings has affirmed Summit Issuer LLC's Secured Dark Fiber
Network Revenue Notes, series 2023-1 and series 2020-1. The Rating
Outlooks remain Stable.
Entity/Debt Rating Prior
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Summit Issuer, LLC,
Secured Dark Fiber
Network Revenue
Notes, Series 2020-1
A-2 86613XAA3 LT A-sf Affirmed A-sf
B 86613XAC9 LT BBB-sf Affirmed BBB-sf
C 86613XAE5 LT BB-sf Affirmed BB-sf
Summit Issuer, LLC,
Secured Dark Fiber
Network Revenue
Notes, Series 2023-1
A-1-L LT Asf Affirmed Asf
A-1-V LT A-sf Affirmed A-sf
A-2 86613XAG0 LT A-sf Affirmed A-sf
B 86613XAH8 LT BBB-sf Affirmed BBB-sf
C 86613XAJ4 LT BB-sf Affirmed BB-sf
Fitch has affirmed the following classes:
- $12,000,000a series 2023-1, class A-1-L, at 'Asf'; Outlook
Stable;
- $125,000,000b series 2023-1, class A-1-V, at 'A-sf'; Outlook
Stable;
- $132,800,000 series 2023-1, class A-2, at 'A-sf'; Outlook
Stable;
- $27,400,000 series 2023-1, class B, at 'BBB-sf'; Outlook Stable;
- $40,500,000 series 2023-1, class C, at 'BB-sf'; Outlook Stable;
- $122,700,000 series 2020-1, class A-2 at 'A-sf'; Outlook Stable;
- $18,900,000 series 2020-1, class B at 'BBB-sf'; Outlook Stable;
- $33,600,000 series 2020-1, class C at 'BB-sf'; Outlook Stable.
(a) This note is a Liquidity Funding Note that can be drawn for the
purpose of funding advances subject to the satisfaction of certain
conditions. There remains no outstanding balance on the note,
consistent with issuance and is not counted when calculating the
debt/Fitch net cash flow (NCF) ratio.
(b) This note is a Variable Funding Note (VFN) and has a maximum
commitment of $125 million, upsized from $50 million, contingent on
leverage consistent with the draws allowed based on leverage levels
consistent with the A-2 notes. This class reflected a zero balance
at issuance and is currently undrawn.
Transaction Summary
The transaction is a securitization of SummitIG's high-capacity
network of fiber optic cable assets. These assets include conduits,
cable, permits, rights and contracts, which support SummitIG's dark
fiber network. The notes are secured by a first-priority perfected
security interest in all the equity interest in the issuer and the
asset entities, along with the obligor's right, title and interest
in the contracts and dark fiber assets.
The collateral largely consists of mission-critical assets that
support the largest data center hub in the U.S. This hub
interconnects high-quality clients, including cloud providers,
telecom companies, data center operators and large enterprise
customers. The dark fiber network represents a differentiated
deployment of a product providing crucial support to the internet.
The majority of necessary capex has already been spent to deploy
the assets and there are limited operating expenses, which allows
for high margins and stable cash flows.
The sponsor is a leading market participant in the Northern
Virginia market (83.7% ARRR) and benefits from high barriers to
entry, including the protection of collateral assets and
corresponding cash flows by first-mover advantage, which precludes
other providers from replicating service offerings. This advantage
is further bolstered by sustained growth in internet usage and
support for data center infrastructure, for which SummitIG's assets
are a necessity. The company has deployed capacity in anticipation
of supporting further growth.
KEY RATING DRIVERS
Net Cash Flow and Trust Leverage: As of January 2025, ARRNOI was
$60.1 million, up approximately 92.0% since the February 2023
issuance of notes, and the outstanding debt relative to the
issuer's NCF was 6.5x compared to 10.4x at closing.
Fitch's NCF on the pool is $58.8 million, exclusive of the cash
flows associated with the VFN, implying a 2.3% haircut to issuer
NCF, compared with a Fitch NCF haircut at issuance of 13.4%. The
reduction in Fitch NCF haircut reflects improved cash flow
durability of contractual revenue due to the underlying
collateral's lower exposure to less seasoned markets and improving
cash flow margins due to greater economies of scale.
Credit Risk Factors: The major factors affecting Fitch's
determination of cash flow and MPL include the high quality of the
underlying collateral networks, scale, creditworthiness and
diversity of the customer base, market position and penetration,
capability of the operator, limited operational requirements and
strength of the transaction structure.
Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for digital infrastructure, the senior classes of
this transaction do not achieve ratings above 'Asf'. The securities
have a rated final payment date 30 years after closing, and the
long-term tenor of the securities increases the risk that an
alternative technology will be developed that renders obsolete the
current transmission of data through fiber optic cables. Fiber
optic cable networks are currently the fastest and most reliable
means to transmit information and data providers continue to invest
in and utilize this technology.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Declining cash flow as a result of higher expenses, contract
churn, declining contract rates, contract amendments or the
development of an alternative technology for the transmission of
data could lead to downgrades.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Increasing cash flow without an increase in corresponding debt
from rate increases, additional contracts, contract amendments, or
lower expenses could lead to upgrades;
- However, the transaction is capped at the 'A' category, given the
potential for technological obsolescence and the ability to issue
additional notes or draw on existing debt commitments, without the
benefit of additional collateral.
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.
SYCAMORE TREE 2025-6: S&P Assigns BB- (sf) Rating on Class E Notes
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S&P Global Ratings assigned its ratings to Sycamore Tree CLO 2025-6
Ltd./Sycamore Tree CLO 2025-6 LLC's fixed- and floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Sycamore Tree CLO Manager LLC.
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
Sycamore Tree CLO 2025-6 Ltd./Sycamore Tree CLO 2025-6 LLC
Class A-1, $310.00 million: AAA (sf)
Class A-2, $10.00 million: AAA (sf)
Class B, $60.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1a (deferrable), $25.00 million: BBB- (sf)
Class D-1b (deferrable), $5.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $44.80 million: NR
NR--Not rated
SYMETRA CLO 2025-1: S&P Assigns Prelim BB- (sf) Rating on E Notes
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S&P Global Ratings assigned its preliminary ratings to Symetra CLO
2025-1 Ltd./Symetra CLO 2025-1 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Symetra Investment Management Co.
The preliminary ratings are based on information as of April 2,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Symetra CLO 2025-1 Ltd./Symetra CLO 2025-1 LLC
Class A-1, $256.00 million: AAA (sf)
Class A-2, $8.00 million: AAA (sf)
Class B, $40.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $16.00 million: BB- (sf)
Subordinated notes, $40.00 million: Not rated
SYMPHONY CLO 47: S&P Assigns BB- (sf) Rating on Class E Notes
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S&P Global Ratings assigned its ratings to Symphony CLO 47
Ltd./Symphony CLO 47 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 Symphony Alternative Asset Management
LLC, a subsidiary of Nuveen Asset Management LLC.
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 notes through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Symphony CLO 47 Ltd./Symphony CLO 47 LLC
Class A-1, $256.0 million: AAA (sf)
Class A-2, $8.0 million: AAA (sf)
Class B, $40.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1 (deferrable), $20.0 million: BBB+ (sf)
Class D-2 (deferrable), $4.0 million: BBB (sf)
Class D-3 (deferrable), $6.0 million: BBB- (sf)
Class E (deferrable), $10.0 million: BB- (sf)
Subordinated notes, $40.8 million: NR
NR--Not rated.
TCW CLO 2017-1: S&P Affirms 'BB- (sf)' Rating on Class ERR Notes
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S&P Global Ratings assigned its ratings to the class X-R3, A1-R3,
A2-R3, B-R3, C-R3, and D-R3 replacement debt and the new class
DF-R3 debt from TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC, a CLO
managed by TCW Asset Management Co. LLC that was originally issued
in July 2017 and underwent a second refinancing in October 2021. At
the same time, S&P withdrew its ratings on the class XRR, A1RR,
A2RR, BRR, CRR, and DRR debt following payment in full on the March
27, 2025, refinancing date. S&P also affirmed its rating on the
class E-RR debt, which was not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Sept. 27, 2025.
-- No additional assets were purchased on the March 27, 2025,
refinancing date and the first payment date following the
refinancing is April 29, 2025.
-- No additional subordinated notes were issued on the refinancing
date.
-- The existing class D-RR debt was split into the new floating
D1-R3 class and the fixed, senior DF-R3 class.
S&P said, "On a standalone basis, our cash flow analysis indicated
a lower rating on the class E-RR debt (which was not refinanced)
than the rating action on the debt reflects. However, we affirmed
our 'BB- (sf)' rating on the class E-RR debt after considering the
margin of failure, the relatively stable overcollateralization
ratio since our last rating action on the transaction, and that the
transaction will 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. In addition, we believe the payment of principal or interest
on the class E-RR debt, when due, does not depend on favorable
business, financial, or economic conditions. Therefore, this class
does not fit our definition of 'CCC' risk in accordance with our
guidance criteria."
Replacement And October 2021 Debt Issuances
Replacement debt
-- Class X-R3, $0.53 million: Three-month CME term SOFR + 0.95 %
-- Class A1-R3, $305.50 million: Three-month CME term SOFR +
1.15%
-- Class A2-R3, $20.00 million: Three-month CME term SOFR + 1.45%
-- Class B-R3, $55.50 million: Three-month CME term SOFR + 1.55%
-- Class C-R3 (deferrable), $30.00 million: Three-month CME term
SOFR + 2.10%
-- Class D-R3 (deferrable), $28.00 million: Three-month CME term
SOFR + 3.70%
-- Class DF-R3 (deferrable), $2.00 million: 7.50%
October 2021 debt
-- Class XRR, $0.53 million: Three-month CME term SOFR + 0.85% +
CSA(i)
-- Class A1RR, $305.50 million: Three-month CME term SOFR + 1.18%
+ CSA(i)
-- Class A2RR, $20.00 million: Three-month CME term SOFR + 1.45% +
CSA(i)
-- Class BRR, $55.50 million: Three-month CME term SOFR + 1.70% +
CSA(i)
-- Class CRR (deferrable), $30.00 million: Three-month CME term
SOFR + 2.30% + CSA(i)
-- Class DRR (deferrable), $30.00 million: Three-month CME term
SOFR + 3.67% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC
Class X-R3, $0.53 million: AAA (sf)
Class A1-R3, $305.500 million: AAA (sf)
Class A2-R3, $20.00 million: AAA (sf)
Class B-R3, $55.50 million: AA (sf)
Class C-R3 (deferrable), $30.00 million: A (sf)
Class D1-R3 (deferrable), $28.00 million: BBB- (sf)
Class DF-R3 (deferrable), $2.00 million: BBB- (sf)
Ratings Withdrawn
TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC
Class XRR to NR from 'AAA (sf)'
Class A1RR to NR from 'AAA (sf)'
Class A2RR to NR from 'AAA (sf)'
Class BRR to NR from 'AA (sf)'
Class CRR to NR from 'A (sf)'
Class DRR to NR from 'BBB- (sf)'
Rating Affirmed
TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC
Class ERR: 'BB- (sf)'
Other Debt
TCW CLO 2017-1 Ltd./TCW CLO 2017-1 LLC
Subordinated notes, $50.60 million: NR
NR--Not rated.
TOWD POINT 2025-CES1: Fitch Assigns 'B-(EXP)sf' Rating on B1 Notes
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Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2025-CES1 (TPMT 2025-CES1).
Entity/Debt Rating
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TPMT 2025-CES1
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA-(EXP)sf Expected Rating
M1 LT A-(EXP)sf Expected Rating
M2A LT BBB-(EXP)sf Expected Rating
M2B LT BB-(EXP)sf Expected Rating
B1 LT B-(EXP)sf Expected Rating
B2 LT NR(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
A2A LT AA-(EXP)sf Expected Rating
A2AX LT AA-(EXP)sf Expected Rating
A2B LT AA-(EXP)sf Expected Rating
A2BX LT AA-(EXP)sf Expected Rating
A2C LT AA-(EXP)sf Expected Rating
A2CX LT AA-(EXP)sf Expected Rating
A2D LT AA-(EXP)sf Expected Rating
A2DX LT AA-(EXP)sf Expected Rating
M1A LT A-(EXP)sf Expected Rating
M1AX LT A-(EXP)sf Expected Rating
M1B LT A-(EXP)sf Expected Rating
M1BX LT A-(EXP)sf Expected Rating
M1C LT A-(EXP)sf Expected Rating
M1CX LT A-(EXP)sf Expected Rating
M1D LT A-(EXP)sf Expected Rating
M1DX LT A-(EXP)sf Expected Rating
M2AA LT BBB-(EXP)sf Expected Rating
M2AAX LT BBB-(EXP)sf Expected Rating
M2AB LT BBB-(EXP)sf Expected Rating
M2ABX LT BBB-(EXP)sf Expected Rating
M2AC LT BBB-(EXP)sf Expected Rating
M2ACX LT BBB-(EXP)sf Expected Rating
M2AD LT BBB-(EXP)sf Expected Rating
M2ADX LT BBB-(EXP)sf Expected Rating
M2BA LT BB-(EXP)sf Expected Rating
M2BAX LT BB-(EXP)sf Expected Rating
M2BB LT BB-(EXP)sf Expected Rating
M2BBX LT BB-(EXP)sf Expected Rating
M2BC LT BB-(EXP)sf Expected Rating
M2BCX LT BB-(EXP)sf Expected Rating
M2BD LT BB-(EXP)sf Expected Rating
M2BDX LT BB-(EXP)sf Expected Rating
AX LT NR(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
XS1 LT NR(EXP)sf Expected Rating
XS2 LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed notes issued
by Towd Point Mortgage Trust 2025-CES1 (TPMT 2025-CES1), as
indicated above. The transaction is expected to close on April 11,
2025. The notes are supported by 5,258 newly originated and
recently seasoned closed-end second lien (CES) loans with a total
balance of $444 million as of the cutoff date.
Spring EQ, LLC (Spring EQ), Rocket Mortgage (Rocket), and
Nationstar Mortgage LLC dba Mr. Cooper (Nationstar) originated
approximately 65%, 18%, and 17% of the loans, respectively.
Shellpoint Mortgage Servicing (SMS) and Nationstar will service the
loans. The servicers will not be advancing delinquent (DQ) monthly
payments of P&I.
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 10.3% above a long-term sustainable level, compared
with 11.1% on a national level as of 3Q24, down 0.5% qoq. Housing
affordability is at its worst levels in decades, driven by high
interest rates and elevated home prices. Home prices increased 3.8%
yoy nationally as of November 2024, despite modest regional
declines, but are still being supported by limited inventory.
Prime Credit Quality (Positive): The collateral consists of 5,258
loans, totaling $444 million, and seasoned approximately 11 months
in aggregate. The borrowers have a strong credit profile, a
weighted average (WA) model credit score of 734, a 38%
debt-to-income ratio (DTI) and a moderate sustainable loan-to-value
ratio (sLTV) of 79%. 100% of the loans were treated as full
documentation. Approximately 48.4% of the loans were originated
through a reviewed retail channel.
Limited Advancing Construct (Neutral): Shellpoint and Nationstar
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.
Closed-End Second Liens (Negative): The entirely of the collateral
pool comprises of CES mortgages.25.7% of the loans are seasoned
over two years as of the cut-off date. Fitch assumed no recovery
and 100% 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-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 do not receive principal
until the most senior classes are repaid in full. Losses are
allocated in reverse-sequential order. Furthermore, the provision
to reallocate principal to pay interest on the 'AAAsf' and
'AA-sf'rated notes prior to other principal distributions is highly
supportive of timely interest payments to those notes in the
absence of servicer advancing. Additionally, excess cashflow
resulting from difference between interest earned on mortgage
collateral and amount paid on the notes may be available to cover
realized losses and net WAC shortfalls on notes.
With respect to any loan that becomes DQ for 150 days or more under
the OTS methodology, the related servicer will review, and may
charge off, such loan with the approval of the asset manager, based
on an equity analysis review performed by the servicer, causing the
most subordinated class to be 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' and 'AA-sf'rated notes during loan
resolution by the servicers. In addition, 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 whereby the fixed
interest rate for classes A1, A2 and M1 will increase by 100 bps,
subject to the net WAC, after four years.
In addition, the structure includes a senior IO class certificate
(class AX), which represents a senior interest strip of 1.50% per
annum based off the IO balance of each mortgage loan, with such
interest strip entitlement being senior to the net interest amounts
paid to the notes and paid at the top of the waterfall. Notably,
the inclusion of this senior IO class reduces the collateral WAC
and effectively diminishes the excess spread. Considering that 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.
Separately, while Fitch has previously analyzed CES transactions
using an interest rate cut, this stress is not being applied for
this transaction. Due to the lack of evidence of interest rate
modifications being used as a loss mitigation tactic, the
application of the stress was overly punitive. If this re-emerges
as a common form of loss mitigation or if certain structures are
overly dependent on excess interest, Fitch may apply additional
sensitivities to test the structure.
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 41.7%, 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 83.3% 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 only 24 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 69bps.
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.
TRIMARAN CAVU 2022-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
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S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1-R, D-2-R, and E-R replacement debt and the new class X-R debt
from Trimaran CAVU 2022-2 Ltd./Trimaran CAVU 2022-2 LLC, a CLO
originally issued in December 2022 that is managed by Trimaran
Advisors LLC. At the same time, S&P withdrew its ratings on the
original class A, B-1, B-2, C, D, and E debt following payment in
full on the March 27, 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 March 27, 2027.
-- The reinvestment period was extended to April 20, 2030.
-- The legal final maturity date (for the replacement debt and the
existing subordinated notes) was extended to March 27, 2038.
-- The target initial par amount was increased to $475,000,000.
-- There is no additional effective date or ramp-up period, and
the first payment date following the refinancing is July 20, 2025.
-- Class X-R debt was issued on the refinancing date and is
expected to be paid down using interest proceeds during the first
four payment dates in equal installments of $250,000, beginning on
the July 2025 payment date and ending April 2026.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- No additional subordinated notes were issued on the refinancing
date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"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
Trimaran CAVU 2022-2 Ltd./ Trimaran CAVU 2022-2 LLC
Class X-R, $1.00 million: AAA (sf)
Class A-R, $289.75 million: AAA (sf)
Class B-R, $71.25 million: AA (sf)
Class C-R (deferrable), $28.50 million: A (sf)
Class D-1-R (deferrable), $24.95 million: BBB- (sf)
Class D-2-R (deferrable), $6.65 million: BBB- (sf)
Class E-R (deferrable), $15.90 million: BB- (sf)
Ratings Withdrawn
Trimaran CAVU 2022-2 Ltd./ Trimaran CAVU 2022-2 LLC
Class A to NR from 'AAA (sf)'
Class B-1 to NR from 'AA (sf)'
Class B-2 to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Trimaran CAVU 2022-2 Ltd./ Trimaran CAVU 2022-2 LLC
Subordinated notes, $43.00 million: NR
NR--Not rated.
TRTX 2025-FL6: Fitch Assigns 'B-sf' Final Rating on Class G Notes
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
TRTX 2025-FL6 Issuer, Ltd.
- $616,000,000a class A 'AAAsf'; Outlook Stable;
- $134,750,000a class A-S 'AAAsf'; Outlook Stable;
- $83,875,000a class B 'AA-sf'; Outlook Stable;
- $66,000,0000a class C 'A-sf'; Outlook Stable;
- $39,875,000,000a class D 'BBBsf'; Outlook Stable;
- $22,000,000b class E 'BBB-sf'; Outlook Stable;
- $42,625,000b class F 'BB-sf'; Outlook Stable;
- $27,500,000b class G 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
- $67,375,000b Preferred Shares.
(a) Privately placed and pursuant to Rule 144A.
(b) Horizontal risk retention interest, estimated to be 8.625% of
the notional amount of the notes.
The approximate collateral interest balance as of the cutoff date
is $1,100,000 and does not include future funding. The total
collateral interest balance includes the expected principal balance
of delayed close collateral interests.
The ratings are based on information provided by the issuer as of
March 28, 2025.
Transaction Summary
The trust's primary assets are 20 loans secured by 85 commercial
properties with an aggregate principal balance of $1,100,000,000,
including one delayed-close loan totaling $69.2 million as of the
cutoff date. The loans were contributed to the trust by TRTX
2025-FL6 Issuer, Ltd.
Situs Asset Management LLC is the servicer, and Situs Holdings, LLC
is the special servicer. Wilmington Trust, National Association is
the trustee and Computershare Trust Company, National Association
is the note administrator. The notes will follow a sequential
paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch Ratings performed detailed cash flow
analysis for 20 loans in the pool (100.0% by balance) and asset
summary reviews of all the loans in the pool. Fitch's aggregate net
cash flow (NCF), including the prorated trust portion of any pari
passu loan, is $74.7million, which represents a 7.6% decline from
the issuer's aggregate underwritten net cash flow NCF of $80.8
million.
Higher Fitch Leverage: The pool has higher leverage than recent
multiborrower transactions rated by Fitch. The pool's Fitch
loan-to-value ratio (LTV) of 137.2% is between the 2025 YTD and
2024 five-year multiborrower transaction averages of 137.1% and
140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.8%
is stronger than both the 2025 YTD and 2024 averages of 6.5% and
6.5%, respectively.
Higher Loan Concentration: The pool is less concentrated than 2024
transactions but more concentrated than recently rated 2025 Fitch
transactions. The 10 largest loans represent 68.1% of the pool,
which is less concentrated than the 2024 YTD five-year
multiborrower average of 70.5% and but more concentrated than the
2025 YTD average of 57.8%. 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
19.1, which was lower than the 2025 YTD five-year multiborrower
average of 21.8 but higher than the 2024 average of 16.9. Fitch
views diversity as a key mitigant to idiosyncratic risk. Fitch
raises the overall loss for pools with effective loan counts below
40.
Property Type Concentration: The transaction is modestly
concentrated overall. The pool's effective property type count of
2.4 is higher than the 2025 YTD count of 2.3 and 2024 average of
1.7. The largest property type concentration is multifamily (60.8%
of the pool), which is lower than the 2025 YTD and 2024 multifamily
averages of 71.3% and 78.4%, respectively, for five-year
multiborrower transactions rated by Fitch. The second largest
property type concentration is office (14.9% of the pool), which is
a significantly higher concentration than recent transactions. The
YTD 2025 and 2024 averages for office property type were 0.8% and
1.4%, respectively. This category includes two loans in the top 10
loans: 575 Fifth Ave. (6.9% of the pool balance) and 888 Broadway
(5.0% of the pool balance).
Overall, three office properties in the pool comprise 14.9% of the
pool balance. The third largest property type concentration is
hotel (14.3% of the pool), which is higher than the YTD 2025 and
2024 averages of 5.9% and 5.6%, respectively.
Shorter-Duration Loans: Loans with five-year terms constitute 88.1%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default than 10-year loans,
all else being equal. This is mainly attributable to the shorter
window of exposure to potentially adverse economic conditions.
Fitch considered its loan performance regression in its analysis of
the pool.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The list below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than
'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The list 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'/'Bsf'.
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 Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis, and it did not
affect 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.
UNITED AUTO 2022-1: S&P Affirms BB (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings raised its ratings on two classes of notes and
affirmed its ratings on two other classes of notes from United Auto
Credit Securitization Trust 2022-1 and 2023-1. These are ABS
transactions backed by subprime retail auto loan receivables
originated and serviced by United Auto Credit Corp.
The rating actions reflect:
-- Each transaction's collateral performance to date and its
expectations regarding future collateral performance;
-- S&P's revised cumulative net loss (CNL) expectations for each
transaction, and the transactions' structures and credit
enhancement levels; and
-- Other credit factors, including credit stability, payment
priorities under various scenarios, and sector- and issuer-specific
analyses, including S&P's most recent macroeconomic outlook that
incorporates baseline forecasts for U.S. GDP and unemployment.
-- Considering all these factors, S&P believes the notes'
creditworthiness is consistent with the raised and affirmed
ratings.
-- The UACST 2022-1 and 2023-1 transactions are performing worse
than S&P's prior or original CNL expectations. Cumulative gross
losses for these series are higher, which, coupled with lower
cumulative recoveries, are resulting in elevated CNLs. Given the
series' relative weaker performances and prevailing adverse
economic headwinds, S&P revised and raised its expected CNLs for
these series.
Table 1
Collateral performance (%)(i)
Pool 60+ day Current Current Current
Series Month factor delinq. Extensions CGL CRR CNL
2022-1 37 12.09 6.75 2.02 32.34 22.55 25.05
2023-1 26 29.84 5.55 2.75 30.77 27.84 22.21
(i)As of the March 2025 distribution date.
Delinq.--Delinquencies.
CGL--Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
Table 2
CNL expectations (%)
Original Prior Current
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.(ii)
2022-1 20.50 24.50 27.50
2023-1 22.25 25.50 29.25
(i)As of March 2024.
(ii)As of March 2025.
CNL exp.--Cumulative net loss expectations.
Each transaction has a sequential principal payment structure in
which the notes are paid principal by seniority. It also has credit
enhancement in the form of a non-amortizing reserve account,
overcollateralization, subordination for the senior tranches, and
excess spread.
As of the March 2025 distribution date, each transaction is at its
specified reserve targets. However, both transactions are below
their respective overcollateralization required levels. Both series
were previously at their respective overcollateralization targets,
but excess spread was insufficient within the last few months to
cover net losses, resulting in a decline in the required
overcollateralization amount. Nevertheless, hard credit enhancement
(without credit to excess spread) has increased as the series'
pools have amortized.
The affirmed and raised ratings reflect our view that the total
credit support as a percentage of the amortizing pool balance,
compared with our expected remaining losses, is commensurate with
each rating.
Table 3
Hard credit support (%)(i)
Total hard Current total hard
credit support credit support
Series Class at issuance(ii) (% of current)(ii)
2022-1 E 8.50 26.38
2023-1 C 36.00 89.24
2023-1 D 24.50 50.70
2023-1 E 17.00 25.57
(i)As of the March 2025 distribution date.
(ii)Calculated as a percentage of the total pool balance, which
consists of a reserve account, overcollateralization, and, if
applicable, subordination. Excludes excess spread, which can also
provide additional enhancement.
S&P said, "We analyzed the current hard credit enhancement,
compared to the remaining expected CNLs, for those classes where
hard credit enhancement alone--without credit to the stressed
excess spread--was sufficient, in our view, to raise or affirm the
ratings on the notes. For other classes, we incorporated a cash
flow analysis to assess the loss coverage level, giving credit to
stressed excess spread. Our various cash flow scenarios included
forward-looking assumptions on recoveries, timing of losses, and
voluntary absolute prepayment speeds that, we believe, are
appropriate, given each transaction's performance to date and our
current economic outlook.
"We also conducted sensitivity analyses to determine the impact
that a moderate ('BBB') stress scenario would have on our ratings
if losses began to trend higher than our revised base-case loss
expectation.
"In our view, the results demonstrated that all the classes have
adequate credit enhancement at their respective raised and affirmed
rating levels. This is based on our analysis as of the collection
period ending February 2025 (the March 2025 distribution date).
"We will continue to monitor the performance of all outstanding
transactions to ensure that the credit enhancement remains
sufficient, in our view, to cover our CNL expectations under our
stress scenarios for each of the rated classes."
RATINGS RAISED
United Auto Credit Securitization Trust 2023-1
Rating
Class To From
C AAA (sf) AA- (sf)
D A+ (sf) BBB (sf)
RATINGS AFFIRMED
United Auto Credit Securitization Trust
Series Class Rating
2022-1 E BB (sf)
2023-1 E BB (sf)
VENTURE XXVIII CLO: Moody's Cuts Rating on Series B/E Notes to Ba3
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by MJX Venture Management II LLC and collateralized by
Venture XXVIII CLO, Limited:
US$657,895 Series B/Class C-1 Notes due 2030, Upgraded to Aaa (sf);
previously on July 18, 2017 Assigned Aa3 (sf)
US$1,150,000 Series B/Class C-F Notes due 2030, Upgraded to Aaa
(sf); previously on July 18, 2017 Assigned Aa3 (sf)
Moody's have also downgraded the rating on the following notes:
US$1,395,000 Series B/Class E Notes due 2030, Downgraded to Ba3
(sf); previously on October 30, 2020 Confirmed at Ba1 (sf)
The Series B/Class C-1 Notes, the Series B/Class C-F Notes and the
Series B/Class E Notes, together with the other notes issued by the
Issuer (the "Rated Notes"), are collateralized primarily by 5% of
certain rated notes (the "Underlying CLO Notes") issued by Venture
XXVIII CLO, Limited (the "Underlying CLO"). The Rated Notes were
originally issued in July 2017 in order to comply with the
retention requirements of the US Risk Retention Rules.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating actions on the Series B/Class C-1 Notes and the
Series B/Class C-F Notes are primarily a result of deleveraging of
the Underlying CLO's senior notes and an improvement in the credit
profiles of the related Underlying CLO Notes collateralizing the
Series B/Class C-1 Notes and Series B/Class C-F Notes since
February 2024. Based on the trustee's February 2025 report, the OC
ratios for the Underlying CLO Class A/B, Class C, and Class D notes
are reported at 156.10%, 131.01% and 114.79%[1], respectively,
versus February 2024 levels of 131.57%, 119.97% and 111.34%[2],
respectively.
The downgrade rating action on the Series B/Class E Notes reflects
the specific risks to the Underlying CLO's Class E notes posed by
par loss and credit deterioration observed in the Underlying CLO
portfolio. Based on the trustee's February 2025 report, the OC
ratio for the Underlying CLO Class E notes is reported at
103.53%[3] versus February 2024 level of 104.71%[4]. Furthermore,
Moody's calculated weighted average rating factor (WARF) of the
Underlying CLO has been deteriorating and the current level is
3050, compared to 2483 in February 2024.
No actions were taken on the Series B/Class A-1 Notes, Series
B/Class A-2 Notes, Series B/Class B-1 Notes, Series B/Class B-F
Notes, and Series B/Class D Notes because their expected losses
remain commensurate with their current ratings, after taking into
account the Underlying 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 for the Underlying CLO:
Performing par and principal proceeds balance: $299,211,385
Defaulted par: $3,930,228
Diversity Score: 58
Weighted Average Rating Factor (WARF): 3050
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.68%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.07%
Weighted Average Life (WAL): 2.8 years
Par haircut in OC tests and interest diversion test: 2.21%
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 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 Underlying CLO will also affect the
performance of the Rated Notes.
[] Moody's Upgrades Ratings of 26 Bonds From 3 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 26 bonds from three US
residential mortgage-backed transactions (RMBS), backed by prime
jumbo and agency eligible mortgage loans.
A comprehensive review of all credit ratings for the respective
transactions(s) has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: GCAT 2024-INV2 Trust
Cl. A-15, Upgraded to Aaa (sf); previously on Jun 6, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. A-16, Upgraded to Aaa (sf); previously on Jun 6, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jun 6, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-16*, Upgraded to Aaa (sf); previously on Jun 6, 2024
Definitive Rating Assigned Aa1 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Jun 6, 2024 Definitive
Rating Assigned A2 (sf)
Cl. B-2-A, Upgraded to A1 (sf); previously on Jun 6, 2024
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Jun 6, 2024 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 6, 2024
Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Jun 6, 2024 Definitive
Rating Assigned B2 (sf)
Cl. B-X-2*, Upgraded to A1 (sf); previously on Jun 6, 2024
Definitive Rating Assigned A2 (sf)
Issuer: Mello Mortgage Capital Acceptance 2021-MTG1
Cl. B2, Upgraded to A1 (sf); previously on Mar 22, 2021 Definitive
Rating Assigned A2 (sf)
Cl. B2A, Upgraded to A1 (sf); previously on Mar 22, 2021 Definitive
Rating Assigned A2 (sf)
Cl. B3, Upgraded to Baa1 (sf); previously on Mar 22, 2021
Definitive Rating Assigned Baa2 (sf)
Cl. B4, Upgraded to Baa3 (sf); previously on Mar 22, 2021
Definitive Rating Assigned Ba1 (sf)
Cl. B5, Upgraded to Ba1 (sf); previously on Mar 22, 2021 Definitive
Rating Assigned Ba2 (sf)
Cl. BX2*, Upgraded to A1 (sf); previously on Mar 22, 2021
Definitive Rating Assigned A2 (sf)
Issuer: Oceanview Mortgage Trust 2022-1
Cl. A-19, Upgraded to Aaa (sf); previously on Oct 20, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Upgraded to Aaa (sf); previously on Oct 20, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Upgraded to Aaa (sf); previously on Oct 20, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO20*, Upgraded to Aaa (sf); previously on Oct 20, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO21*, Upgraded to Aaa (sf); previously on Oct 20, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. A-IO22*, Upgraded to Aaa (sf); previously on Oct 20, 2022
Definitive Rating Assigned Aa1 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Jun 14, 2024 Upgraded
to A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 20, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Jun 14, 2024 Upgraded
to Ba2 (sf)
Cl. B-5, Upgraded to B1 (sf); previously on Oct 20, 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, the recent performance,
analysis of the transaction structures, and Moody's updated loss
expectations on the underlying pools.
The transactions Moody's reviewed continue to display strong
collateral performance, with no cumulative losses and a small
number of loans in delinquency. In addition, enhancement levels for
most tranches have grown significantly, as the pools amortized. The
credit enhancement for each tranche upgraded has grown by, on
average, 20.2% since closing.
No actions were taken on the other rated classes in this these
deals because their expected losses 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 11 Bonds From 5 US RMBS Deals
------------------------------------------------------------
Moody's Ratings, on March 28, 2025, upgraded the ratings of 11
bonds from five US residential mortgage-backed transactions (RMBS),
backed by Alt-A mortgages issued by Residential Asset
Securitization Trust.
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: Residential Asset Securitization Trust 2006-A15
Cl. A-10, Upgraded to Caa2 (sf); previously on Jan 11, 2018
Downgraded to Ca (sf)
Issuer: Residential Asset Securitization Trust 2006-A7CB
Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Nov 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-2*, Upgraded to Caa2 (sf); previously on Nov 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-3, Upgraded to Caa2 (sf); previously on Nov 12, 2010
Downgraded to Caa3 (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Nov 12, 2010
Downgraded to Caa3 (sf)
Issuer: Residential Asset Securitization Trust 2006-A9CB
Cl. A-5, Upgraded to Caa3 (sf); previously on Nov 12, 2010
Downgraded to Ca (sf)
Cl. A-8, Upgraded to Caa3 (sf); previously on Nov 12, 2010
Downgraded to Ca (sf)
Cl. A-X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017
Confirmed at Ca (sf)
Issuer: Residential Asset Securitization Trust 2007-A1
Cl. A-1, Upgraded to Ca (sf); previously on Jul 5, 2018 Downgraded
to C (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 5, 2018
Downgraded to C (sf)
Issuer: Residential Asset Securitization Trust 2007-A5
Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Jan 11, 2018
Downgraded to Caa3 (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 expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No action was taken on the other rated classes in these deals
because their expected losses 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 "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 22 Bonds From 9 US RMBS Deals
------------------------------------------------------------
Moody's Ratings, on March 27, 2025, upgraded the ratings of 22
bonds from nine US residential mortgage-backed transactions (RMBS),
backed by Alt-A, Jumbo, 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: Citigroup Mortgage Loan Trust 2006-AR1
Cl. III-A1, Upgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-6
Cl. M-1, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded
to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2006-IM1
Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded
to Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-70CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. A-2*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. A-5, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed
at Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-75CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. A-2*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed
at Caa2 (sf)
Cl. X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed
at Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-77T1
Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-83CB
Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Caa3 (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed
at Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-15CB
Cl. A-1, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. PO, Upgraded to Caa3 (sf); previously on Sep 19, 2016 Confirmed
at Ca (sf)
Cl. X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-9T1
Cl. A-2, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to 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 expectations 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 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 "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 23 Bonds from 10 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 23 bonds from ten 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: Morgan Stanley Mortgage Loan Trust 2005-11AR
Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa3 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 26, 2010
Downgraded to Caa3 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2005-9AR
Cl. 1-A, Upgraded to Caa1 (sf); previously on Apr 26, 2010
Downgraded to Ca (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2006-1AR
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-X*, Upgraded to Caa2 (sf); previously on Feb 13, 2019
Upgraded to Caa3 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2006-3AR
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-3, Upgraded to Caa1 (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-X*, Upgraded to Caa2 (sf); previously on Feb 13, 2019
Upgraded to Caa3 (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2006-5AR
Cl. A, Upgraded to Caa2 (sf); previously on Aug 12, 2010 Downgraded
to Caa3 (sf)
Cl. A-X*, Upgraded to Caa2 (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
Issuer: MortgageIT Mortgage Loan Trust, Mortgage Loan Pass-Through
Certificates, Series 2006-1
Cl. 1-A1, Upgraded to Caa2 (sf); previously on Oct 20, 2010
Downgraded to Ca (sf)
Cl. 1-A2, Upgraded to Caa2 (sf); previously on Dec 9, 2010
Downgraded to Ca (sf)
Cl. 2-A1A, Upgraded to Caa1 (sf); previously on Aug 25, 2015
Confirmed at Caa3 (sf)
Cl. 2-A1B, Upgraded to Caa3 (sf); previously on Dec 9, 2010
Downgraded to C (sf)
Issuer: Natixis Real Estate Capital Trust 2007-HE2
Cl. A-1, Upgraded to Caa3 (sf); previously on Aug 2, 2010
Downgraded to Ca (sf)
Issuer: Wachovia Mortgage Loan Trust 2005-WMC1
Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 16, 2018 Upgraded
to Caa2 (sf)
Issuer: Wachovia Mortgage Loan Trust, Series 2006-ALT1
Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 5, 2010
Downgraded to Caa3 (sf)
Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 5, 2010
Downgraded to Caa3 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Nov 5, 2010
Downgraded to Caa3 (sf)
Issuer: Wachovia Mortgage Loan Trust, Series 2006-AMN1
Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 5, 2010
Downgraded to Caa3 (sf)
Cl. A-2, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Upgraded
to Caa3 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Upgraded
to Caa3 (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 expectations 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 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 31 Bonds From 9 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 31 bonds from nine US
residential mortgage-backed transactions (RMBS), backed by Alt-A,
option ARM, 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: Alliance Securities Corp., Mortgage Backed Pass-Through
Certificates, Series 2007-OA1.
Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to Ca (sf)
Issuer: American Home Mortgage Assets Trust 2006-3
Cl. I-A-1, Upgraded to Caa1 (sf); previously on Dec 22, 2010
Downgraded to Caa3 (sf)
Cl. I-A-2-1, Upgraded to Ca (sf); previously on Dec 22, 2010
Downgraded to C (sf)
Cl. I-A-2-2, Upgraded to Ca (sf); previously on Dec 22, 2010
Downgraded to C (sf)
Cl. II-A-1-1, Upgraded to Caa2 (sf); previously on Dec 22, 2010
Downgraded to Caa3 (sf)
Cl. II-A-1-2, Upgraded to Caa2 (sf); previously on Dec 22, 2010
Downgraded to Caa3 (sf)
Cl. III-A-1-1, Upgraded to Caa1 (sf); previously on Dec 22, 2010
Downgraded to Caa3 (sf)
Cl. III-A-1-2, Upgraded to Caa1 (sf); previously on Dec 22, 2010
Downgraded to Caa3 (sf)
Issuer: Carrington Mortgage Loan Trust, Series 2006-NC3
Cl. A-4, Upgraded to Caa1 (sf); previously on Nov 20, 2018 Upgraded
to Caa2 (sf)
Issuer: HarborView Mortgage Loan Trust 2004-3
Cl. B-1, Upgraded to Caa1 (sf); previously on Mar 22, 2011
Downgraded to Ca (sf)
Cl. B-2, Upgraded to Caa3 (sf); previously on Mar 22, 2011
Downgraded to C (sf)
Issuer: HarborView Mortgage Loan Trust 2005-8
Cl. 1-A1A, Upgraded to Caa2 (sf); previously on Dec 5, 2010
Downgraded to Ca (sf)
Cl. 1-A2A, Upgraded to Caa1 (sf); previously on Aug 20, 2015
Confirmed at Caa3 (sf)
Cl. 1-A2B, Upgraded to Caa3 (sf); previously on Dec 5, 2010
Downgraded to C (sf)
Cl. 1-X*, Upgraded to Caa2 (sf); previously on Dec 20, 2017
Upgraded to Caa3 (sf)
Issuer: HarborView Mortgage Loan Trust 2005-10
Cl. 1-A1A, Upgraded to Caa1 (sf); previously on Dec 5, 2010
Downgraded to Caa3 (sf)
Cl. 2-A1A, Upgraded to Caa1 (sf); previously on Dec 5, 2010
Downgraded to Caa3 (sf)
Cl. 2-A1B, Upgraded to Caa1 (sf); previously on Dec 5, 2010
Downgraded to C (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Upgraded
to Caa3 (sf)
Issuer: HarborView Mortgage Loan Trust 2006-SB1
Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 5, 2010
Downgraded to Caa3 (sf)
Issuer: Wells Fargo Alternative Loan 2007-PA01 Trust
Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 1, 2010
Downgraded to Caa3 (sf)
Cl. A-2*, Upgraded to Caa2 (sf); previously on Sep 1, 2010
Downgraded to Caa3 (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Sep 1, 2010
Downgraded to Caa3 (sf)
Cl. A-5, Upgraded to Caa1 (sf); previously on Nov 27, 2013
Downgraded to Caa3 (sf)
Cl. A-8, Upgraded to Caa2 (sf); previously on Sep 1, 2010
Downgraded to Caa3 (sf)
Cl. A-9, Upgraded to Caa2 (sf); previously on Sep 1, 2010
Downgraded to Caa3 (sf)
Cl. A-12*, Upgraded to Caa2 (sf); previously on Oct 27, 2017
Confirmed at Caa3 (sf)
Cl. A-13*, Upgraded to Caa2 (sf); previously on Sep 1, 2010
Downgraded to Caa3 (sf)
Cl. A-PO, Upgraded to Caa2 (sf); previously on Sep 1, 2010
Downgraded to Caa3 (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2007-1
Trust
Cl. A-2, Upgraded to Caa1 (sf); previously on Jun 3, 2010
Downgraded to Caa3 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Jun 3, 2010
Downgraded to 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 expectations 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 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 45 Bonds From 15 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 45 bonds from 15 US
residential mortgage-backed transactions (RMBS), backed by subprime
mortgages and resecuritized 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: Citigroup Mortgage Loan Trust 2007-AMC2
Cl. A-1, Upgraded to Ba1 (sf); previously on Oct 25, 2024 Upgraded
to Ba3 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. A-3A, Upgraded to Caa1 (sf); previously on Jun 28, 2012
Downgraded to Ca (sf)
Cl. A-3B, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Confirmed at Ca (sf)
Cl. A-3C, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Confirmed at Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR2
Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 4, 2015
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR3
Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 11, 2012
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-HE1
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 8, 2010
Downgraded to Caa3 (sf)
Cl. A-2B, Upgraded to Caa3 (sf); previously on Apr 19, 2013
Downgraded to Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-HE2
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 8, 2010
Downgraded to Caa3 (sf)
Cl. A-2B, Upgraded to Caa3 (sf); previously on Jan 9, 2013
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 8, 2010
Confirmed at Ca (sf)
Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 8, 2010
Confirmed at Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC1
Cl. A-3, Upgraded to Caa1 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-NC3
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 8, 2010
Downgraded to Caa3 (sf)
Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM3
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Jul 8, 2010 Confirmed
at Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 8, 2010 Confirmed
at Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-WM4
Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 12, 2010
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on Jul 12, 2010
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 12, 2010
Confirmed at Ca (sf)
Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 12, 2010
Confirmed at Ca (sf)
Cl. A-2D, Upgraded to Caa3 (sf); previously on Jul 12, 2010
Confirmed at Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR2
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Cl. A-2, Upgraded to Caa2 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR3
Cl. A-1, Upgraded to Caa1 (sf); previously on Jan 16, 2015
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on May 23, 2012
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa2 (sf); previously on Jul 12, 2010
Confirmed at Ca (sf)
Cl. A-2C, Upgraded to Caa2 (sf); previously on Jul 12, 2010
Confirmed at Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR4
Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 4, 2012
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on Oct 4, 2012
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa2 (sf); previously on Jul 8, 2010
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa2 (sf); previously on Jul 8, 2010
Confirmed at Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-BR5
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 12, 2010
Downgraded to Caa3 (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on Sep 11, 2012
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa1 (sf); previously on Jul 12, 2010
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa1 (sf); previously on Jul 12, 2010
Confirmed at Ca (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2007-HE1
Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 12, 2010
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa2 (sf); previously on Jul 12, 2010
Downgraded to Ca (sf)
Issuer: Citigroup Mortgage Loan Trust Inc., Resecuritization Trust
Certificates, Series 2009-6
Cl. 13A2, Upgraded to Caa1 (sf); previously on Jun 4, 2019 Affirmed
Ca (sf)
Cl. 18A2, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed
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
on the bonds.
Some of the bonds experiencing a rating change have either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations 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 rating all deals except Citigroup
Mortgage Loan Trust Inc., Resecuritization Trust Certificates,
Series 2009-6 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.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
TCR subscribers have free access to our on-line news archive.
Point your Web browser to http://TCRresources.bankrupt.com/and use
the e-mail address to which your TCR is delivered to login.
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S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA.
Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon,
Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.
Copyright 2025. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
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