250511.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, May 11, 2025, Vol. 29, No. 130
Headlines
720 EAST 2023-I: S&P Assigns BB- (sf) Rating on Class E-R Notes
A&D MORTGAGE 2025-NQM2: S&P Assigns Prelim 'B-' Rating on B-2 Certs
AMERICAN CREDIT 2025-2: S&P Assigns Prelim 'BB-' Rating on E Notes
ANCHORAGE CREDIT 6: Moody's Ups Rating on $30MM E Notes From Ba1
BALLYROCK CLO 23: S&P Assigns Prelim BB- (sf) Rating on D-R Notes
BAY 2025-LIVN: Fitch Assigns 'Bsf' Final Rating on Class HRR Certs
CBAM LTD 2017-4: Moody's Ups Rating on $45MM Class E Notes to Ba2
CBAMR LTD 2018-6: Moody's Gives Caa1 Rating to $250,000 F-R2 Notes
CF 2019-CF3: Fitch Lowers Rating on Two Tranches to 'B-sf'
CIFC FUNDING 2013-I: S&P Affirms B+ (sf) Rating on Class D-R Notes
CIT GROUP 1995-2: S&P Lowers Class B Certs Rating to 'D (sf)'
EFMT 2025-INV2: S&P Assigns B- (sf) Rating on Class B-2 Certs
EMPOWER CLO 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
EMPOWER CLO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
FLATIRON RR 30: Fitch Assigns 'BB-sf' Rating on Class E Notes
GCAT 2025-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs
GLS AUTO 2025-2: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes
GS MORTGAGE 2018-GS9: Fitch Lowers Rating on Two Tranches to 'B-sf'
GS MORTGAGE 2025-PJ4: Moody's Assigns B1 Rating to Cl. B-5 Certs
GS MORTGAGE 2025-RPL2: Fitch Gives 'Bsf' Rating on Class B-2 Certs
HARBORVIEW MORTGAGE 2007-3: Moody's Ups Rating on 2 Bonds to Caa2
HOMES 2025-NQM2: S&P Assigns B (sf) Rating on Class B-2 Certs
INVESCO US 2023-2: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Debt
JP MORGAN 2025-CCM2: Moody's Assigns B2 Rating to Cl. B-5 Certs
JPMBB 2014-C23: Fitch Lowers Rating on Two Tranches to 'Csf'
LCM XVIII: S&P Lowers Class E-R Notes Rating to 'B- (sf)'
MORGAN STANLEY 2013-ALTM: S&P Cuts Cl. E Notes Rating to 'D (sf)'
NAVESINK CLO 1: S&P Assigns BB- (sf) Rating on Class E-R Notes
NEW MOUNTAIN 4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
OAKTREE CLO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
OCP AEGIS 2025-41: S&P Assigns BB- (sf) Rating on Class E Notes
OCP CLO 2025-43: S&P Assigns Prelim BB- (sf) Rating on E Notes
PMT LOAN 2025-INV5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
SCULPTOR CLO XXXV: S&P Assigns BB- (sf) Rating on Class E Notes
SEQUOIA MORTGAGE 2025-5: Fitch Gives 'B(EXP)' Rating on B5 Certs
STRUCTURED ASSET 2008-5: Moody's Cuts Rating on Cl. A1 Certs to Ba2
SYMPHONY CLO 38: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
TELOS CLO 2013-4: S&P Lowers Class E-R Notes Rating to 'D (sf)'
TEXAS DEBT 2025-I: S&P Assigns B- (sf) Rating on Class F Notes
TRINITAS CLO XXXIV: S&P Assigns Prelim BB- (sf) Rating on E Notes
VERUS SECURITIZATION 2025-4: S&P Assigns Prelim B+(sf) on B-2 Notes
[] Moody's Hikes Ratings on 12 Bonds From 8 Scratch & Dent RMBS
[] Moody's Takes Action on 24 Bonds from 13 US RMBS Deals
[] Moody's Takes Action on 38 Bonds from 12 US RMBS Deals
[] Moody's Upgrades Ratings on 10 Bonds From 7 US RMBS Deals
[] Moody's Upgrades Ratings on 13 Bonds from 9 US RMBS Deals
[] Moody's Upgrades Ratings on 32 Bonds from 10 US RMBS Deals
[] Moody's Upgrades Ratings on 71 Bonds From 12 US RMBS Deals
[] Moody's Upgrades Ratings on 97 Bonds From 12 US RMBS Deals
[] S&P Places 46 CLO Ratings on Watch Negative
*********
720 EAST 2023-I: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt from 720 East CLO 2023-I
Ltd./720 East CLO 2023-I LLC, a CLO managed by Northwestern Mutual
Investment Management Co. LLC that was originally issued in March
2023. At the same time, S&P withdrew its ratings on the original
class A-1, A-2, B, C, D, and E debt following payment in full on
the April 29, 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 29, 2027.
-- The reinvestment period was extended to April 15, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to April 15, 2038.
-- No additional assets were purchased on the April 29, 2025,
refinancing date, and the target initial par amount remains at $500
million. There is no additional effective date or ramp-up period,
and the first payment date following the refinancing is July 15,
2025.
-- The required minimum overcollateralization ratios were
amended.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio provided, 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
720 East CLO 2023-I Ltd./720 East CLO 2023-I LLC
Class A-1-R, $320.00 million: AAA (sf)
Class A-2-R, $20.00 million: AAA (sf)
Class B-R, $40.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-R (deferrable), $25.00 million: BBB (sf)
Class E-R (deferrable), $25.00 million: BB- (sf)
Ratings Withdrawn
720 East CLO 2023-I Ltd./720 East CLO 2023-I LLC
Class A-1 to NR from AAA (sf)
Class A-2 to NR from AAA (sf)
Class B to NR from AA (sf)
Class C (deferrable) to NR from A (sf)
Class D (deferrable) to NR from BBB- (sf)
Class E (deferrable) to NR from BB- (sf)
Other Debt
720 East CLO 2023-I Ltd./720 East CLO 2023-I LLC
Subordinated notes, $44.40 million: NR
NR--Not rated.
A&D MORTGAGE 2025-NQM2: S&P Assigns Prelim 'B-' Rating on B-2 Certs
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S&P Global Ratings assigned its preliminary ratings to A&D Mortgage
Trust 2025-NQM2's mortgage-backed certificates.
The preliminary ratings are based on information as of May 6, 2025.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition and geographic
concentration;
-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;
-- The mortgage originator, A&D Mortgage LLC;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's U.S. economic outlook, which considers its current
projections for economic growth, unemployment rates, and interest
rates, as well as our view of housing fundamentals. S&P updates its
outlook as necessary when these projections change materially.
Preliminary Ratings Assigned(i)
A&D Mortgage Trust 2025-NQM2
Class A-1A, $251,947,000: AAA (sf)
Class A-1B, $42,667,000: AAA (sf)
Class A-1, $294,614,000: AAA (sf)
Class A-2, $30,507,000: AA (sf)
Class A-3, $37,120,000: A+ (sf)
Class M-1A, $18,986,000: BBB+ (sf)
Class M-1B, $14,080,000: BBB- (sf)
Class B-1, $14,507,000: BB- (sf)
Class B-2, $10,453,000: B- (sf)
Class B-3, $6,401,007: NR
Class A-IO-S, Notional(viii): NR
Class X, Notional(viii): NR
Class R, N/A: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address the payment of the cap carryover
amounts.
(viii)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 $426,668,007.
NR--Not rated.
AMERICAN CREDIT 2025-2: S&P Assigns Prelim 'BB-' Rating on E Notes
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S&P Global Ratings assigned its preliminary ratings to American
Credit Acceptance Receivables Trust 2025-2's automobile
receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of May 6, 2025.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 64.75%, 58.15%, 46.85%,
37.90%, and 34.06% credit support (hard credit enhancement and
haircut to excess spread) for the class A, B, C, D, and E notes,
respectively, based on stressed cash flow scenarios. These credit
support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and
1.20x coverage of S&P's expected cumulative net loss of 27.25% for
the class A, B, C, D, and E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.37x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on
the class A, B, C, D, and E notes, respectively, are within its
credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the series' subprime
automobile loans and any subsequent receivables that will be added
during the prefunding period, S&P's view of the collateral's credit
risk, and our updated macroeconomic forecast and forward-looking
view of the auto finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A., which do
not constrain the preliminary ratings.
-- S&P's operational risk assessment of American Credit Acceptance
LLC (ACA) as servicer, and its view of the company's underwriting
and backup servicing arrangement with Computershare Trust Co. N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
American Credit Acceptance Receivables Trust 2025-2
Class A, $193.20 million: AAA (sf)
Class B, $43.62 million: AA (sf)
Class C, $89.29 million: A (sf)
Class D, $73.89 million: BBB (sf)
Class E, $37.21 million: BB- (sf)
ANCHORAGE CREDIT 6: Moody's Ups Rating on $30MM E Notes From Ba1
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Moody's Ratings has upgraded the ratings on the following notes
issued by Anchorage Credit Funding 6, Ltd.:
US$37.5M Class C-R2 Mezzanine Secured Deferrable Fixed Rate Notes,
Upgraded to Aa1 (sf); previously on May 1, 2023 Upgraded to Aa3
(sf)
US$25M Class D-R2 Mezzanine Secured Deferrable Fixed Rate Notes,
Upgraded to Aa3 (sf); previously on May 1, 2023 Upgraded to A3
(sf)
US$30M Class E Junior Secured Deferrable Fixed Rate Notes,
Upgraded to Baa3 (sf); previously on May 1, 2023 Upgraded to Ba1
(sf)
Moody's have also affirmed the ratings on the following notes:
US$238M (Current outstanding amount US$155,978,696) Class A Senior
Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Jun 7,
2018 Assigned Aaa (sf)
US$69.5M Class B-R2 Senior Secured Fixed Rate Notes, Affirmed Aaa
(sf); previously on May 1, 2023 Upgraded to Aaa (sf)
Anchorage Credit Funding 6, Ltd., originally issued in June 2018
and partially refinanced in October 2020 and November 2021 is a
managed cashflow CBO. The portfolio is managed by Anchorage Capital
Group, L.L.C.. The transaction's reinvestment period ended in July
2023.
RATINGS RATIONALE
The rating upgrades on the Class C-R2, Class D-R2 and Class E notes
are primarily a result of the deleveraging of the Class A notes
following amortisation of the underlying portfolio since the
payment date in April 2024.
The affirmations on the ratings on the Class A and Class B-R2 notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CBO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A notes have paid down by approximately USD42.35 million
(17.8%) since the April 2024 payment date and USD167.9 million
(29.5%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased across the capital
structure. According to the trustee report dated March 2025 [1] the
Class A/B, Class C, Class D and Class E OC ratios are reported at
179.3%, 154.8%, 141.9% and 129.0% compared to March 2024 [2] levels
of 164.5%, 146.0%, 135.9% and 125.4%, respectively. Moody's notes
that on April 2025 payment date, a further USD11.9m has been paid
down to Class A notes.
In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements.
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 Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD425.45m
Defaulted Securities: USD7.45m
Diversity Score: 48
Weighted Average Rating Factor (WARF): 3057
Weighted Average Life (WAL): 3.85 years
Weighted Average Spread (WAS): 4.22%
Weighted Average Coupon (WAC): 6.03%
Weighted Average Recovery Rate (WARR): 32.0%
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 Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CBO 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.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
BALLYROCK CLO 23: S&P Assigns Prelim BB- (sf) Rating on D-R Notes
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S&P Global Ratings assigned its preliminary ratings to the
replacement class A1A-R loan and class A1A-R, A1B-R, A2-R, B-R,
C1-R, C2-R, and D-R debt from Ballyrock CLO 23 Ltd./ Ballyrock CLO
23 LLC, a CLO managed by Ballyrock Investment Advisors LLC that was
originally issued in February 2023.
The preliminary ratings are based on information as of May 6, 2025.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 9, 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 non-call period will be extended to April 25, 2027.
-- The reinvestment period will be extended to April 25, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to April 25,
2038.
-- The target initial par amount will remain at $450.00 million.
There will be no additional effective date or ramp-up period, and
the first payment date following the refinancing is July 25, 2025.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Ballyrock CLO 23 Ltd./Ballyrock CLO 23 LLC
Class A1A-R, $137.42 million: AAA (sf)
Class A1A-R Loan, $146.08 million: AAA (sf)
Class A1B-R, $9.00 million: AAA (sf)
Class A2-R, $49.50 million: AA (sf)
Class B-R (deferrable), $27.00 million: A (sf)
Class C1-R (deferrable), $22.50 million: BBB (sf)
Class C2-R (deferrable), $4.50 million: BBB- (sf)
Class D-R (deferrable), $15.75 million: BB- (sf)
Other Debt
Ballyrock CLO 23 Ltd./Ballyrock CLO 23 LLC
Subordinated notes, $41.00 million: Not rated
BAY 2025-LIVN: Fitch Assigns 'Bsf' Final Rating on Class HRR Certs
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Fitch Ratings has assigned final ratings and Rating Outlooks to BAY
2025-LIVN Mortgage Trust commercial mortgage pass-through
certificates.
- $218,000,000 class A 'AAAsf'; Outlook Stable;
- $38,500,000 class B 'AA-sf'; Outlook Stable;
- $30,500,000 class C 'A-sf'; Outlook Stable;
- $43,000,000 class D 'BBB-sf'; Outlook Stable;
- $65,500,000 class E 'BB-sf'; Outlook Stable;
- $12,600,000 class F 'B+sf'; Outlook Stable;
- $21,900,000a class HRR 'Bsf'; Outlook Stable;
(a) Horizontal risk retention interest representing at least 5.0%
of the estimated fair value of all classes.
Transaction Summary
The BAY 2025-LIVN Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, (BAY 2025-LIVN), represent the beneficial interests
in a trust that holds a five-year, fully extended, floating-rate,
interest-only mortgage loan with an original principal balance of
$430.0 million ($237,941 per unit). The loan is secured by the
borrower's fee simple interest in a portfolio of 75 multifamily
properties located across San Francisco and Oakland, CA, with a
total of 1,759 units all built prior to 1979 and thus subject to
San Francisco and Oakland's rent control ordinances.
Mortgage loan proceeds along with $132.6 million of sponsor equity
were used to acquire the portfolio for $540.5 million, pay closing
costs of $15.2 million, fund upfront reserves of $6.7 million and
fund $2.3 million of working capital needs. The sellers assembled
the portfolio from 2018 to 2021 and invested about $175.8 million
($99,930 per unit) into capital improvements and unit renovations
at the properties.
The loan has an initial term of two years followed by three
one-year extension options. The borrower was required to purchase
an interest rate cap with a notional amount equal to the full loan
amount and a strike rate based on the one-month Term SOFR. The bond
certificates follow a sequential-pay structure with no pro rata
pay. The initial 25% of the original loan balance ($107.5 million)
is freely prepayable with no spread maintenance premium. Voluntary
prepayments will be applied pro rata for the initial 25% of the
original loan balance and sequentially thereafter.
The loan was co-originated by German American Capital Corporation
and Wells Fargo Bank, National Association, which acted as mortgage
loan sellers and sponsors of the trust. Midland Loan Services A
Division of PNC Bank, N.A. is the master servicer with MF1 Loan
Services, LLC as special servicer. Computershare Trust Company,
N.A. acts as trustee and Deutsche Bank National Trust Company acts
as certificate administrator. Park Bridge Lender Services LLC will
act as operating advisor.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch estimates stressed net cash flow (NCF)
for the portfolio at $30.1 million. This is 11.8% lower than the
issuer's underwritten NCF. Fitch applied a 7.25% cap rate to derive
a Fitch value of about $414.8 million.
High Overall Fitch Leverage: The $430.0 million trust loan equates
to a debt of about $244,457 per unit with a Fitch debt service
coverage ratio (DSCR) of 0.85x, loan-to-value ratio (LTV) of 103.7%
and debt yield of 7.0%. The loan represents around 76.4% of the
appraised value of $562.6 million. The Fitch market LTV at 'Bsf'
(the lowest Fitch-rated non-investment grade tranche) is 94.3%. The
Fitch market LTV is based on a blend of the Fitch cap rate and the
portfolio's market cap rate of 5.94%.
Rent Controlled Units with Below-Market Rents: The portfolio
consists of units built before 1975, making them subject to rent
control ordinances in San Francisco and Oakland, which limit rent
increases for occupied units. About 62% of the units have rents
below market levels, with overall rents 28.8% lower than market
rates according to appraisal. The sponsor intends to continue
renovating vacated units and re-leasing them at market rates.
Institutional Sponsorship and Property Management: Acquisition
sponsor Pacific Coast Capital Partners (PCCP) is an established
investment manager for its global investors with offices in New
York, San Francisco, Atlanta and Los Angeles. PCCP's investment
management team comprises more than 140 originations, asset
management, loan servicing, accounting, reporting, investor
relations, compliance and administrative professionals, with a
diverse set of capabilities including acquisitions, underwriting,
asset management, workouts and distressed equity and debt
investing. The firm has raised, invested or managed $41.6 billion
of institutional capital across 1,246 investments since it was
founded in 1998.
Veritas Investments, founded in 2007, is a real estate management
company that specializes in operating mixed-use multifamily and
retail properties in San Francisco. The firm's current portfolio
comprises 200 buildings and 5,000 units largely concentrated in the
San Francisco and Bay area region.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
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/BBB-sf/BB-sf/B+sf/Bsf;
- 10% NCF Decline: AAsf/A-sf/BBB-sf/BBsf/Bsf/B-sf/CCC+sf.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet 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/BBB-sf/BB-sf/B+sf/Bsf;
- 10% NCF Increase: AAAsf/AAsf/A+sf/BBBsf/BBsf/BB-sf/BB-sf.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by PricewaterhouseCoopers LLP. The third-party due
diligence described in Form 15E focused on a comparison and
re-computation of certain characteristics with respect to the
mortgage loan. Fitch considered this information in its analysis
and it did not have an effect on Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CBAM LTD 2017-4: Moody's Ups Rating on $45MM Class E Notes to Ba2
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Moody's Ratings has upgraded the ratings on the following notes
issued by CBAM 2017-4, Ltd.:
US$55,000,000 Class C Deferrable Floating Rate Notes, Upgraded to
Aaa (sf); previously on Oct 23, 2024 Upgraded to Aa1 (sf)
US$65,000,000 Class D Deferrable Floating Rate Notes, Upgraded to
A3 (sf); previously on Oct 23, 2024 Upgraded to Baa2 (sf)
US$45,000,000 Class E Deferrable Floating Rate Notes, Upgraded to
Ba2 (sf); previously on Oct 23, 2024 Affirmed Ba3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$640,000,000 (Current outstanding amount US$134,357,939) Class A
Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 23, 2024
Affirmed Aaa (sf)
US$54,473,684 Class B-1 Floating Rate Notes, Affirmed Aaa (sf);
previously on Oct 23, 2024 Upgraded to Aaa (sf)
US$60,526,316 Class B-2 Floating Rate Notes, Affirmed Aaa (sf);
previously on Oct 23, 2024 Upgraded to Aaa (sf)
CBAM 2017-4, Ltd., issued in December 2017, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured US loans. The portfolio is managed by CBAM CLO
Management LLC. The transaction's reinvestment period ended in
January 2023.
RATINGS RATIONALE
The rating upgrades on the Class C, D and E notes are primarily a
result of the significant deleveraging of the Class A notes
following amortisation of the underlying portfolio since the last
rating action in October 2024.
The affirmations on the ratings on the Class A, B-1 and B-2 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 have paid down by approximately USD140.7 million
(22.0%) since the last rating action in October 2024 and USD505.6
million (79.0%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased across the capital
structure. According to the trustee report dated April 2025 [1] the
Class A/B, Class C, Class D and Class E OC ratios are reported at
167.81%, 142.46%, 120.88% and 109.41% compared to October 2024 [2]
levels of 144.17%, 128.95%, 114.65% and 106.47%, respectively.
Moody's notes that the April 2025 principal payments are not
reflected in the reported OC ratios.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD460.9 million
Defaulted Securities: USD3.2 million
Diversity Score: 52
Weighted Average Rating Factor (WARF): 3218
Weighted Average Life (WAL): 3.1 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.2%
Weighted Average Recovery Rate (WARR): 47.3%
Par haircut in OC tests and interest diversion test: None
The default probability derives from the credit quality of the
collateral pool and Moody's 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 Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, using the methodology "Moody's Approach to
Assessing Counterparty Risks in Structured Finance" published in
October 2024. Moody's concluded the ratings of the notes are not
constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. 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
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
CBAMR LTD 2018-6: Moody's Gives Caa1 Rating to $250,000 F-R2 Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes issued and one class of loans incurred by CBAMR
2018-6, Ltd. (the Issuer):
US$400,950,000 Class A-L Loans maturing 2038, Assigned Aaa (sf)
US$199,050,000 Class A-R2 Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$250,000 Class F-R2 Junior Secured Deferrable Floating Rate Notes
due 2038, Assigned Caa1 (sf)
The notes and loans listed are referred to herein, collectively, as
the Rated Debt.
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 debt is collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
93.0% of the portfolio must consist of first lien senior secured
loans and up to 7.0% of the portfolio may consist of second lien
loans, unsecured loans and permitted debt securities.
CBAM CLO 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 Rated Debt, 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 of
the reinvestment period and non-call period; extensions of the
stated maturity; changes to certain collateral quality tests;
changes to the overcollateralization test levels; and changes to
the base matrix and modifiers.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
For modeling purposes, Moody's used the following base-case
assumptions:
Portfolio par: $1,000,000,000
Diversity Score: 85
Weighted Average Rating Factor (WARF): 2778
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 5.00%
Weighted Average Recovery Rate (WARR): 45.00%
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 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.
CF 2019-CF3: Fitch Lowers Rating on Two Tranches to 'B-sf'
----------------------------------------------------------
Fitch Ratings has downgraded nine and affirmed six classes of CF
2019-CF3 Mortgage Trust (CF 2019-CF3), commercial mortgage
pass-through certificates, series 2019-CF3. Following their
downgrades, classes A-S, B, C, D, E, X-B and X-D were assigned
Negative Rating Outlooks.
Entity/Debt Rating Prior
----------- ------ -----
CF 2019-CF3
A-2 12529TAU7 LT AAAsf Affirmed AAAsf
A-3 12529TAW3 LT AAAsf Affirmed AAAsf
A-4 12529TAX1 LT AAAsf Affirmed AAAsf
A-S 12529TAY9 LT AAsf Downgrade AAAsf
A-SB 12529TAV5 LT AAAsf Affirmed AAAsf
B 12529TBB8 LT Asf Downgrade AA-sf
C 12529TBC6 LT BBB-sf Downgrade A-sf
D 12529TAC7 LT BB-sf Downgrade BBB-sf
E 12529TAE3 LT B-sf Downgrade BB-sf
F-RR 12529TAG8 LT CCCsf Downgrade B-sf
G-RR 12529TAJ2 LT CCsf Downgrade CCCsf
H-RR 12529TAL7 LT CCsf Affirmed CCsf
X-A 12529TAZ6 LT AAAsf Affirmed AAAsf
X-B 12529TBA0 LT Asf Downgrade AA-sf
X-D 12529TAA1 LT B-sf Downgrade BB-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
loss is 6.8%, up from 5.7% at Fitch's prior rating action. Eight
loans (19.8%) were flagged as Fitch Loans of Concern (FLOCs),
including three loans (10.3%) in special servicing. The downgrades
reflect higher pool loss expectations, driven primarily by DC Mixed
Use Portfolio VI (4.4%) and the specially serviced 225 Bush (3.8%)
loan.
The Negative Outlooks reflect the potential for downgrades if the
valuations continue to deteriorate or if the resolution is
prolonged with respect to specially serviced loans, most notably
225 Bush, if loan performance of DC Mixed Use Portfolio VI fails to
stabilize, if expected losses on the other larger FLOCs
materialize, or if additional loans experience performance
declines. Office loans comprise 35% of the pool.
Largest Increases in Loss Expectations: The largest increase in
loss since the prior rating action and largest contributor to
overall pool loss expectations is DC Mixed Use Portfolio VI, which
is secured by seven mixed-use properties throughout downtown
Washington, D.C. and suburban Virginia. The properties contain
80.0% retail space, 15.0% of office space and 5.0% of multifamily
space. No tenant comprises more than 12.5% of NRA. DSCR declined
from 1.35x at YE 2021 to 1.27x at YE 2022 and 0.78x at September
2023, but has shown signs of improvement to 1.76x as of YTD March
2024.
Occupancy has remained unchanged at 92% since YE 2022. The loan is
currently 30 days delinquent as of March 2025, and it has been
delinquent since October 2024. Fitch's 'Bsf' rating case loss of
36.2% (prior to concentration adjustments) is based on YE 2022 NOI,
a 9% cap rate and reflects the loan's delinquent status.
The second largest increase in loss since the prior rating action
and second largest contributor to overall pool loss expectations is
225 Bush, which is secured by a 579,987-sf office property located
in San Francisco, CA. The loan transferred to special servicing in
November 2024 due to maturity default; the loan did not repay at
its Nov. 6, 2024, maturity date and as of the March 2025 remittance
is categorized as non-performing matured. Occupancy has been
declining since issuance and the sponsor has been unable to
backfill increasing vacancies. According to the servicer, the
sponsor is not interested in retaining the property or executing a
loan modification.
The largest tenant at issuance, Twitch (14.5% of NRA), vacated upon
its lease expiration in August 2021. In addition, tenant Knotel
(4.6% of NRA) and several other smaller tenants vacated upon lease
expiration, causing occupancy to decline to 40% as of June 2024
compared to 47% at December 2023, 55% at December 2022 and 97.8% at
issuance. According to Costar, as of 1Q25, the submarket vacancy
and asking rents were reported at 30.5% $50.85 psf, respectively;
these metrics have significantly worsened from 8.1% and $75.29,
respectively, at the time of issuance.
The updated Fitch NCF of $10.6 million is 11% below Fitch's NCF at
the prior review and 54% below Fitch's issuance NCF of $23.2
million. The Fitch NCF reflects leases in place according to the
June 2024 rent roll and assumes Fitch's view of sustainable,
long-term performance. It includes a lease up of vacant office
spaces grossed up to a discounted rate below in-place rents and a
sustainable long-term occupancy assumption of 70%, which is in line
with the submarket.
Fitch's analysis incorporated a higher stressed capitalization rate
of 9%, up from 8.75% at the prior rating action and 7.75% at
issuance, to factor increased office sector and submarket
performance concerns, resulting in a Fitch-stressed valuation
decline that is approximately 80% below the issuance appraisal. The
Fitch value/sf is in line with recent comparable sales in the
market for similar quality assets. Fitch's 'Bsf' ratings case loss
of 40.1% (prior to concentration add-ons) reflects its updated
valuation of the asset and considers the potential for a loan
disposition by the special servicer given that a loan modification
is considered unlikely.
The third largest contributor to overall pool loss expectations is
Gold Brooklyn Multifamily Portfolio (3.3%), which is secured by six
buildings containing 47 residential units and four retail spaces in
Brooklyn, NY. The loan transferred to special servicing in June
2020 due to payment default. It then transferred to new special
servicer in April 2023. The borrower filed for Chapter 11
Bankruptcy in July 2024, resulting in a stay of the foreclosure
proceedings. The assets were approximately 96% occupied at YE 2020.
Fitch's 'Bsf' rating case loss of 31% (prior to concentration
adjustments) is based on stress to most recent available appraisal
and accounts for the location of the properties, resulting in a
Fitch value of approximately $455 psf.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not expected due
increasing credit enhancement (CE) and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur;
- Downgrades to the 'AAsf' and 'Asf' rated classes, which have
Negative Outlooks, could occur with prolonged workouts or with
further performance deterioration with respect to DC Mixed Use
Portfolio VI and 225 Bush, if performance of the other FLOCs
deteriorates further or if more loans than expected default at or
prior to maturity;
- Downgrades for classes rated in the 'BBBsf', 'BBsf' and 'Bsf'
categories are likely with additional deterioration in performance
of the FLOCs, if additional loans or with greater certainty of
losses on the specially serviced loans or other FLOCs;
- Downgrades to the 'CCCsf' and 'CCsf' rated classes would occur
should additional loans transfer to special servicing and/or
default, or as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to the 'AAsf' and 'Asf' rated classes may be possible
with significantly increased CE from paydowns and/or defeasance,
coupled with stable to improved pool-level loss expectations and
improved performance or valuations on the FLOCs, particularly DC
Mixed Use Portfolio VI and 225 Bush;
- Upgrades to the 'BBBsf' category rated class would be limited
based on sensitivity to concentrations or the potential for future
concentration and would only occur sustained improved performance
of the FLOCs;
- Upgrades to 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and would only occur
if the performance of the remaining pool is stable and there is
sufficient CE to the classes;
- Upgrades to the distressed 'CCCsf' and 'CCsf' rated classes are
not expected, but possible with better-than-expected recoveries on
specially serviced loans.
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.
CIFC FUNDING 2013-I: S&P Affirms B+ (sf) Rating on Class D-R Notes
------------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2-R, B-R, and
C-R debt from CIFC Funding 2013-I Ltd., a broadly syndicated CLO
managed by CIFC VS Management LLC. S&P also removed its ratings on
the class A-2-R and B-R debt from CreditWatch, where it had placed
them with positive implications on March 14, 2025. At the same
time, S&P affirmed its ratings on the class A-1-R2 and D-R debt
from the same transaction.
The rating actions follow the placement of the class A-2-R and C-R
debt on CreditWatch with positive implications on March 14, 2025,
and its review of the transaction's performance, based on data from
the March 2025 trustee report.
The transaction has paid down $158.7 million to the class A-1-R2
debt since our August 2021 rating actions. The paydowns improved
the reported overcollateralization (O/C) ratios:
-- The class A (A-1-R2 and A-2-R) ratio improved to 149.30% from
130.98% as per the July 2020 trustee report that S&P used for its
August 2020 rating actions.
-- The class B-R O/C ratio improved to 126.00% from 118.44%.
-- The class C-R O/C ratio improved to 113.12% from 111.01%.
-- The class D-R O/C ratio, however, declined slightly to 105.81%
from 106.01%.
All classes, except class D-R, experienced an improvement in O/C
ratios, attributed to the reduced balance of the most senior notes.
The class D-R O/C's slight decline is likely because the paydowns
were not sufficient to offset any par losses that the CLO might
have incurred since our last rating action.
S&P said, "In addition to the paydowns, the CLO's credit quality
also improved since our last review. We observed that the 'CCC'
collateral obligations have decreased in absolute terms, to $19.40
million from $48.73 million reported in the July 2020 trustee
report. This decrease now represents a lower relative exposure,
with 'CCC' obligations accounting for 7.00% of the portfolio,
compared to 9.80% at the time of our last review.
"The upgrades reflect the improved credit support available to the
class A-2-R, B-R, and C-R debt. The affirmations reflect adequate
credit support at the current rating levels, though any further
deterioration beyond our expectations in the credit support
available to the class D-R debt might result in a rating change.
"Our cash flow analysis indicates the potential for a higher rating
for the class B-R and C-R debt. However, we believe that their
subordinated position may result in a greater likelihood of rating
migration compared to more senior classes, in the event of
portfolio volatility. In addition, our rating actions also reflect
our consideration of the credit enhancement available for these
classes under additional sensitivity analyses that considered the
CLO's exposures to assets in the CCC/CCC- category and to those
that have a low market value.
"Nevertheless, for class D-R, the cash flow results indicate a
one-notch lower rating. However, we expect that the continued
paydowns of the class A-1-R2 debt are likely to improve the credit
support and ameliorate the current marginal cash flow failure of
the class D-R debt. In addition, because the transaction,
currently, has decreased exposure to 'CCC'-rated collateral
obligations, we believe it is not currently exposed to any
unexpected large risks that would impair the notes at their current
rating level. In line with this, we affirmed the rating on the
class D-R notes.
"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 Positive
CIFC Funding 2013-I Ltd.
Class A-2-R to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class B-R to 'AA (sf)' from 'A (sf)/Watch Pos'
Rating Raised
CIFC Funding 2013-I Ltd.
Class C-R to 'BBB+ (sf)' from 'BBB- (sf)'
Ratings Affirmed
CIFC Funding 2013-I Ltd.
Class A-1-R2: AAA (sf)
Class D-R: B+ (sf)
CIT GROUP 1995-2: S&P Lowers Class B Certs Rating to 'D (sf)'
-------------------------------------------------------------
S&P Global Ratings completed its review of its rating on the class
B certificates from CIT Group Securitization Corp. II's Series
1995-2, which is a U.S. ABS transaction backed by manufactured
housing loans. S&P lowered its rating on the class to 'D (sf)' from
'CC (sf)' and subsequently withdrew it following the transaction's
failure to make timely interest payments for 12 consecutive
months.
EFMT 2025-INV2: S&P Assigns B- (sf) Rating on Class B-2 Certs
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to EFMT 2025-INV2's
mortgage pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate fully amortizing residential
mortgage loans (some with an interest-only period), secured
primarily by single-family residential properties, including
townhomes, planned-unit developments, condominiums, two- to
four-family units, condotels, mixed use, five- to 10-unit
multifamily residential properties, and manufactured housing to
prime and nonprime borrowers. The pool consists of 1,248 ATR-exempt
residential mortgage loans backed by 1,314 properties, including 17
cross-collateralized loans backed by 83 properties.
The ratings reflect:
-- The pool's collateral composition;
-- The credit enhancement provided for this transaction;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The mortgage aggregator, Ellington Financial Inc., and the
originators;
-- 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, which is updated if
necessary, when these projections change materially."
Ratings Assigned(i)
EFMT 2025-INV2
Class A-1, $218,538,000: AAA (sf)
Class A-2, $31,985,000: AA- (sf)
Class A-3, $44,088,000: A- (sf)
Class M-1, $19,883,000: BBB- (sf)
Class B-1, $14,523,000: BB- (sf)
Class B-2, $9,855,000: B- (sf)
Class B-3, $6,916,076: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, N/A: NR
(i)The ratings address the ultimate payment of interest and
principal.
(ii)Notional amount equals the loans' aggregate stated principal
balance as of the cutoff date.
NR--Not rated.
N/A--Not applicable.
EMPOWER CLO 2023-1: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-L loans and class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from
Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC, a CLO managed by
Empower Capital Management LLC that was originally issued in April
2023. At the same time, S&P withdrew its ratings on the original
class A, B, C, D, and E debt following payment in full on the May
7, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement debt was issued at a lower spread over
three-month CME term SOFR than the original debt.
-- The original class D debt was replaced by two new classes of
debt, D-1-R and D-2-R, which are sequential in payment.
-- The reinvestment period was extended to April 25, 2030.
-- The non-call period was extended to April 25, 2027.
-- The legal final maturity dates (for the replacement debt and
the subordinated notes) was extended to April 25, 2038.
-- The target initial par amount remains at $500 million. There is
no additional effective date or ramp-up period, and the first
payment date following the refinancing is July 25, 2025.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- No additional subordinated notes were issued on the refinancing
date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC
Class A-L loans(i), $50.00 million: AAA (sf)
Class A-R(i), $265.00 million: AAA (sf)
Class B-R, $65.0 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1-R (deferrable), $25.00 million: BBB (sf)
Class D-2-R (deferrable), $7.50 million: BBB- (sf)
Class E-R (deferrable), $16.25 million: BB- (sf)
Ratings Withdrawn
Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC
Subordinated notes, $45.0 million: NR
(i)No class A-R debt may be converted into class A-L loans, and no
class A-L loans may be converted into class A-R debt.
NR--Not rated.
EMPOWER CLO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
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S&P Global Ratings assigned its preliminary ratings to the
replacement class A-L loans and class A-R, B-R, C-R, D-1-R, D-2-R,
and E-R debt from Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC, a
CLO managed by Empower Capital Management LLC that was originally
issued in April 2023.
The preliminary ratings are based on information as of May 1, 2025.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 7, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original class A, B, C, D, and E debt and assign ratings to the
replacement class A-L loans and class A-R, B-R, C-R, D-1-R, D-2-R,
and E-R debt. However, if the refinancing doesn't occur, we may
affirm our ratings on the original debt and withdraw our
preliminary ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement debt is expected to be issued at a lower spread
over three-month CME term SOFR than the original debt.
-- The original class D debt is being replaced by two new classes
of debt, D-1-R and D-2-R, which are sequential in payment.
-- The reinvestment period will be extended to April 25, 2030.
-- The non-call period will be extended to April 25, 2027.
-- The legal final maturity dates (for the replacement debt and
the subordinated notes) will be extended to April 25, 2038.
-- The target initial par amount will remain at $400 million.
-- There will be no additional effective date or ramp-up period,
and the first payment date following the refinancing is July 25,
2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
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
Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC
Class A-L loans(i), $50.00 million: AAA (sf)
Class A-R(i), $265.00 million: AAA (sf)
Class B-R, $65.0 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1-R (deferrable), $25.00 million: BBB (sf)
Class D-2-R (deferrable), $7.50 million: BBB- (sf)
Class E-R (deferrable), $16.25 million: BB- (sf)
Other Debt
Empower CLO 2023-1 Ltd./Empower CLO 2023-1 LLC
Subordinated notes, $45.0 million: NR
(i)No class A-R debt may be converted into class A-L loans, and no
class A-L loans may be converted into class A-R debt.
NR--Not rated.
FLATIRON RR 30: Fitch Assigns 'BB-sf' Rating on Class E Notes
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Fitch Ratings has assigned ratings and Rating Outlooks to Flatiron
RR CLO 30 Ltd.
Entity/Debt Rating Prior
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Flatiron RR
CLO 30 Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
Transaction Summary
Flatiron RR CLO 30 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Flatiron RR 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
98.36% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.78% versus a
minimum covenant, in accordance with the initial expected matrix
point of 75.3%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 4.9-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'B+sf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and
'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for
class D-1, and '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.
Date of Relevant Committee
25 April 2025
ESG Considerations
Fitch does not provide ESG relevance scores for Flatiron RR CLO 30
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.
GCAT 2025-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs
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S&P Global Ratings assigned its ratings to GCAT 2025-NQM1 Trust's
mortgage pass-through certificates.
The certificate issuance is an RMBS securitization backed by
first-lien and fixed- and adjustable-rate residential mortgage
loans, some with interest-only periods. The pool is primarily
ability-to-repay (ATR) exempt (42.12% by balance), and
non-qualified mortgage (non-QM) loans (37.92% by balance). In
addition, 18.26% of the mortgage loans (by balance) are QM/safe
harbor, and 1.69% of the mortgage loans (by balance) are
QM/higher-priced mortgage loans. The asset pool is composed of 764
mortgage loans with a principal balance of approximately $438.181
million as of the cutoff date.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, geographic concentration, and representation and
warranty framework;
-- The mortgage aggregator, Blue River Mortgage V LLC, and the
mortgage originators; and
-- S&P's economic outlook that considers its current projections
for U.S. economic growth, unemployment rates, and interest rates,
as well as its view of housing fundamentals, and is updated, if
necessary, when these projections change materially.
Ratings Assigned(i)
GCAT 2025-NQM1 Trust
Class A-1, $347,039,000: AAA (sf)
Class A-2, $18,623,000: AA (sf)
Class A-3, $42,503,000: A (sf)
Class M-1, $14,022,000: BBB- (sf)
Class B-1, $5,696,000: BB (sf)
Class B-2, $6,354,000: B (sf)
Class B-3, $3,943,975: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, not applicable: NR
(i)The ratings address our expectation for the ultimate payment of
interest and principal.
(ii)The notional amount equals the aggregate stated principal
balance of the loans.
NR--Not rated.
GLS AUTO 2025-2: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes
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S&P Global Ratings assigned its preliminary ratings to GLS Auto
Receivables Issuer Trust 2025-2's automobile receivables-backed
notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of May 5, 2025.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 56.17%, 47.49%, 37.06%,
28.33%, and 24.37% of credit support (hard credit enhancement and
haircut to excess spread) for the class A (classes A-1, A-2, and
A-3, collectively), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of S&P's 17.50%
expected cumulative net loss (ECNL) for the class A, B, C, D, and E
notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
are within its credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the series' subprime
automobile loans, including the representation in the transaction
documents that all contracts in the pool have made at least one
payment, S&P's view of the collateral's credit risk, and its
updated U.S. macroeconomic forecast and forward-looking view of the
auto finance sector.
-- The series' bank accounts at UMB Bank N.A., which do not
constrain the preliminary ratings.
-- S&P's operational risk assessment of Global Lending Services
LLC (GLS) as servicer, and its view of the company's underwriting
and backup servicing arrangement with UMB Bank N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance (ESG) credit factors that are
in line with its sector benchmark.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
GLS Auto Receivables Issuer Trust 2025-2
Class A-1, $115.10 million: A-1+ (sf)
Class A-2, $218.20 million: AAA (sf)
Class A-3, $122.66 million: AAA (sf)
Class B, $141.04 million: AA (sf)
Class C, $131.38 million: A (sf)
Class D, $125.58 million: BBB (sf)
Class E, $63.28 million: BB (sf)
GS MORTGAGE 2018-GS9: Fitch Lowers Rating on Two Tranches to 'B-sf'
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Fitch Ratings has downgraded four and affirmed eight classes of GS
Mortgage Securities Trust 2018-GS9. In addition, the Rating
Outlooks were revised to Negative from Stable for five affirmed
classes. Fitch assigned Negative Outlooks to two classes following
their downgrades.
Fitch downgraded six and affirmed nine classes of GS Mortgage
Securities Trust 2018-GS10. The Outlooks are Negative for four of
the affirmed classes. Fitch assigned Negative Outlooks to four
classes following their downgrades.
Entity/Debt Rating Prior
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GSMS 2018-GS10
A-2 36250SAB5 LT AAAsf Affirmed AAAsf
A-3 36250SAC3 LT AAAsf Affirmed AAAsf
A-4 36250SAD1 LT AAAsf Affirmed AAAsf
A-5 36250SAE9 LT AAAsf Affirmed AAAsf
A-AB 36250SAF6 LT AAAsf Affirmed AAAsf
A-S 36250SAJ8 LT AAAsf Affirmed AAAsf
B 36250SAK5 LT AA-sf Affirmed AA-sf
C 36250SAL3 LT BBB-sf Downgrade A-sf
D 36250SAM1 LT BBsf Downgrade BBBsf
E 36250SAR0 LT B-sf Downgrade BBB-sf
F 36250SAT6 LT CCCsf Downgrade B-sf
G-RR 36250SAV1 LT CCsf Downgrade CCCsf
X-A 36250SAG4 LT AAAsf Affirmed AAAsf
X-B 36250SAH2 LT AA-sf Affirmed AA-sf
X-D 36250SAP4 LT B-sf Downgrade BBB-sf
GSMS 2018-GS9
A-3 36255NAS4 LT AAAsf Affirmed AAAsf
A-4 36255NAT2 LT AAAsf Affirmed AAAsf
A-AB 36255NAU9 LT AAAsf Affirmed AAAsf
A-S 36255NAX3 LT AAAsf Affirmed AAAsf
B 36255NAY1 LT AA-sf Affirmed AA-sf
C 36255NAZ8 LT A-sf Affirmed A-sf
D 36255NAA3 LT B-sf Downgrade BBB-sf
E 36255NAE5 LT CCCsf Downgrade Bsf
F-RR 36255NAG0 LT CCsf Downgrade CCCsf
X-A 36255NAV7 LT AAAsf Affirmed AAAsf
X-B 36255NAW5 LT AA-sf Affirmed AA-sf
X-D 36255NAC9 LT B-sf Downgrade BBB-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case
loss has increased since Fitch's prior rating action to 6.6% from
4.6% in GSMS 2018-GS9 and 6.9% from 5.3% in GSMS 2018-GS10. The
GSMS 2018-GS9 transaction has six Fitch Loans of Concern (FLOCs;
17.5% of the pool), including three loans (14.7%) in special
servicing. The GSMS 2018-GS10 transaction has nine FLOCs (36.4%),
including two loans (10.6%) in special servicing.
GSMS 2018-GS9: The downgrades reflect higher pool loss expectations
since the prior rating action, driven primarily by the delinquency
status of the specially serviced 90 Fifth Avenue (FLOC; 4.1%),
where the borrower failed to remit property tax payments. The loan
transferred to special servicing in March 2024, and subsequently
became over 90 days delinquent in October 2024. In addition, the
downgrades reflect higher loss expectations on the specially
serviced Pin Oak North Medical Office (FLOC; 6.4%) due to a lower
updated appraised value.
The Negative Outlooks incorporate an additional sensitivity
scenario on the 90 Fifth Avenue loan that considers a heightened
loss given default to account for refinance risk. The Negative
Outlooks also reflect possible downgrades should loss expectations
on the specially serviced loans increase further due to lack of
performance stabilization, updated lower valuations and/or with
extended resolution times. Additionally, the Negative Outlooks
reflect the pool's concentration of office loans, comprising 29% of
the pool.
GSMS 2018-GS10: The downgrades reflect higher pool loss
expectations since the prior rating action driven primarily by the
delinquency status of the specially serviced and second largest
loan, 1000 Wilshire loan (FLOC; 8.3%), as the loan transferred to
special servicing in March 2025 due to loan maturity default, and
subsequently became a non-performing matured balloon loan in April
2025. In addition, the downgrades reflect higher loss expectations
on the specially serviced GSK North American HQ (9.5%) also due to
a lower updated appraised value.
The Negative Outlooks incorporate an additional sensitivity
scenario on the 5500 Hellyer Avenue FLOC that considers a
heightened probability of default, to reflect the elevated risk
with the largest tenant going dark in April 2025. The Negative
Outlooks reflect possible downgrades should loss expectations on
the specially serviced loans increase further due to prolonged
workouts, lack of leasing momentum to re-tenant the dark GSK North
American HQ property and/or further performance deterioration for
1000 Wilshire. Additionally, the Negative Outlooks reflect the
pool's high concentration of office loans, comprising 34.6% of the
pool, including 18.9% of which are office FLOCs.
Largest Increases in Loss Expectations: The largest increase in
loss since the prior rating action and the second largest
contributor to overall pool loss expectations in GSMS 2018-GS9 is
the 90 Fifth Avenue, which is secured by a 139,886-sf office and
retail property located adjacent to the Fifth Avenue and West 14th
Street subway stop, north of Union Square in Manhattan. The loan
transferred to special servicing in March 2024 due to the
borrower's failure to remit property tax payments. According to the
servicer, foreclosure and receivership was filed in February 2025.
Occupancy was 91% as of September 2024, unchanged from YE 2023,
compared with 100% at YE 2022 and YE 2021, and 92% at issuance. The
property has a major tenant concentration with the largest tenant,
Urban Compass (72.1% NRA through May 2025), which has served as the
headquarters for the company. Additional tenants include Hash Map
Lab (9.0%; May 2025), Republic First Bancorp (7.5%; July 2034) and
Commerce Bank, NA (2.8%; November 2027). According to the servicer,
a leasing update was requested for the Urban Compass and Hash Map
Lab spaces, but not provided, as of April 2025. However, media
reports indicate that the Urban Compass is in the process of
vacating and relocating to another location.
As Urban Compass failed to renew its lease 24 months prior to lease
expiration, which was by May 2023, a cash flow sweep commenced;
excess cash will be applied towards re-tenanting costs for the
Urban Compass space. As of April 2025, the balance of the cash flow
sweep account was $7.2 million. The servicer-reported September
2024 NOI DSCR was 1.61x, compared with 2.04x at YE 2023, compared
with 1.80x at YE 2022, 1.89x at YE 2021 and 1.82x at YE 2020.
Fitch's 'Bsf' rating case loss of 31.3% (prior to concentration
add-ons) reflects an 8.25% cap rate and a 10% stress to the YE 2023
NOI. Fitch also included an additional sensitivity scenario in its
analysis to account for elevated refinance risk where the
loan-level 'Bsf' sensitivity case loss increases to 50% (prior to
concentration add-ons); this scenario contributed to the Negative
Outlooks.
The second largest increase in loss since the prior rating action
and the largest contributor to overall pool loss expectations in
GSMS 2018-GS9 is the Pin Oak North Medical Office loan, secured by
three office properties totaling 352,050-sf located in Bellaire,
TX. The loan transferred to special servicing in October 2023 and
the borrower has indicated their intention to transition the
property back to the lender. According to the servicer, a receiver
has been appointed and is working to stabilize the asset and market
the property for sale.
Occupancy was 72% as of September 2024, compared with 76% at YE
2023, 70% at June 2022, 77% at YE 2021, 87% at YE 2020, and 90% at
YE 2019. The largest tenants include The Frost National Bank (7.1%
NRA; through November 2028) and Methodist Primary Care Group (6.0%
NRA; through July 2025).
The servicer-reported NOI DSCR has fallen to 0.21x as of September
2024, compared with 0.92x at YE 2023, 1.69x at YE 2021 and 2.15x at
YE 2020. The loan began amortizing in January 2021.
Fitch's 'Bsf' rating case loss of 40.8% (prior to concentration
add-ons) factors the most recent October 2024 appraisal value of
$42.9 million, which has declined by 45.3% from the appraisal value
at issuance, reflecting the declining occupancy at the property
since issuance.
The largest increase in loss since the prior rating action and the
second largest contributor to overall pool loss expectations in
GSMS 2018-G10 is the 1000 Wilshire loan, which is secured by a
477,774-sf office property located in downtown Los Angeles, CA.
This loan transferred to special servicing as the borrower failed
to pay off the loan by the March 2025 loan maturity. The loan
subsequently was reported as a non-performing matured balloon loan,
as of the April 2025 reporting. The largest tenants include Wedbush
Securities (21.0%; December 2025), Buchalter Nemer (18.3%, August
2034) and Open Bank (6.3%; January 2030).
As of March 2024, the collateral was 75% occupied with a March 2024
NOI DSCR of 2.66x, compared with YE 2023 occupancy of 75% and NOI
DSCR of 2.69x. The loan is full-term, interest-only.
Fitch's 'Bsf' rating case loss of 20.7% (prior to concentration
add-ons) reflects an 8.5% cap rate and a Fitch sustainable cash
flow of approximately $7.3 million, which accounts for rental
revenue, reimbursements, and operating expenses per the YE 2023
financials.
The second largest increase in loss since the prior rating action
and the largest contributor to overall pool loss expectations in
GSMS 2018-G10 is the GSK North American HQ loan, which is secured
by a 207,779-sf suburban office property located in the Navy Yards
district of Philadelphia, PA, approximately five miles east of
Philadelphia International Airport. The loan transferred to special
servicing in November 2022 for imminent maturity default. According
to the servicer, foreclosure and receivership has been filed and a
receiver is in place, with a foreclosure sale which occurred in
June 2024.
The property was built to suit for British pharmaceutical company
GlaxoSmithKline (GSK) in 2013 at a total cost of $80 million. GSK
leased the entire building on a triple-net basis through September
2028 with two five-year extension options and no termination
options. However, GSK vacated in August 2022 and downsized to
another location in Philadelphia. In addition, the borrower
requested to consent to a lease termination with the tenant. Fitch
has reached out to the servicer for any updates on subleasing of
the dark GSK space, however, the servicer has noted that no further
leasing updates are available, as of April 2025. The
servicer-reported September 2024 NOI DSCR of 1.90x, compared with
2.28x at YE 2023 NOI, 2.38x at YE 2021, and 2.38x at YE 2020.
Fitch's 'Bsf' rating case loss of 23.8% (prior to concentration
add-ons) factors the most recent January 2025 appraisal value of
$72.5 million, which has declined by 45.3% from the appraisal value
at issuance, reflecting the dark tenancy at the property since
issuance.
Change in Credit Enhancement (CE): As of the March 2025
distribution date, the pool's aggregate balance for GSMS 2018-GS9
has been reduced by 6.8% to $826.5 million from $887.1 million at
issuance. Six loans (4.9% of pool) are defeased.
As of the March 2025 distribution date, the pool's aggregate
balance for GSMS 2018-GS10 has been reduced by 2.5% to $851.6
million from $873.8 million at issuance. Two loans (0.8%) have been
defeased.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not expected due
to their position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls occur or
are expected to occur.
- Downgrades to junior 'AAAsf' rated classes with Negative Outlooks
are possible with continued performance deterioration of the FLOCs,
increased expected losses and limited to no improvement in class
CE, or if interest shortfalls occur.
- Downgrades to 'AAsf' and 'Asf' category rated classes could occur
should performance of the FLOCs, most notably 90 Fifth Avenue and
Pin Oak North Medical Office in GSMS 2018-GS9 and 1000 Wilshire,
GSK North American HQ, and 5500 Hellyer Avenue in GSMS 2018-GS10,
deteriorate further or if more loans than expected default at or
prior to maturity.
- Downgrades to the 'BBBsf', 'BBsf', 'Bsf' category rated classes
are likely with higher-than-expected losses from continued
underperformance of the FLOCs, particularly the aforementioned
FLOCs with deteriorating performance and with greater certainty of
losses on the specially serviced loans or other FLOCs.
- Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should
additional loans transfer to special servicing and/or default, or
as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to 'AAsf' and 'Asf' category rated classes are possible
with significantly increased CE from paydowns, coupled with
improved pool-level loss expectations and performance stabilization
of FLOCs, including 90 Fifth Avenue and Pin Oak North Medical
Office in GSMS 2018-GS9 and 1000 Wilshire, GSK North American HQ,
and 5500 Hellyer Avenue in GSMS 2018-GS10.
- Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls;
- Upgrades to 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable, recoveries on the
FLOCs are better than expected and there is sufficient CE to the
classes;
- Upgrades to 'CCCsf' and 'CCsf' are not likely, but may be
possible with better than expected recoveries on specially serviced
loans and/or significantly higher values on FLOCs.
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.
GS MORTGAGE 2025-PJ4: Moody's Assigns B1 Rating to Cl. B-5 Certs
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Moody's Ratings has assigned definitive ratings to 60 classes of
residential mortgage-backed securities (RMBS) issued by GS
Mortgage-Backed Securities Trust 2025-PJ4, and sponsored by Goldman
Sachs Mortgage Company (GSMC).
The securities are backed by a pool of prime jumbo (90.7% by
balance) and GSE-eligible (9.3% by balance) residential mortgages
aggregated by GSMC, including loans aggregated by MAXEX Clearing
LLC (MAXEX; 3.8% by loan balance) and originated and serviced by
multiple entities.
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2025-PJ4
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 A1 (sf)
Cl. B-2A, Definitive Rating Assigned A1 (sf)
Cl. B-X-2*, Definitive Rating Assigned A1 (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)
*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 April 14,
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
0.29%, in a baseline scenario-median is 0.12% and reaches 4.50% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
GS MORTGAGE 2025-RPL2: 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-RPL2 (GSMBS
2025-RPL2) as follows:
Entity/Debt Rating
----------- ------
GSMBS 2025-RPL2
A-1 LT AAAsf New Rating
A-2 LT AAsf New Rating
A-3 LT AAsf New Rating
A-4 LT Asf New Rating
A-5 LT BBBsf New Rating
B LT NRsf New Rating
B-1 LT BBsf New Rating
B-2 LT Bsf New Rating
B-3 LT NRsf New Rating
B-4 LT NRsf New Rating
B-5 LT NRsf New Rating
M-1 LT Asf New Rating
M-2 LT BBBsf New Rating
PT LT NRsf New Rating
R LT NRsf New Rating
RETAINED LT NRsf New Rating
SA LT NRsf New Rating
X LT NRsf New Rating
Transaction Summary
The notes are supported by 3,041 seasoned performing and
reperforming loans with a total balance of approximately $547
million as of the cutoff date.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 11.7% above a long-term sustainable level versus
11.1% on a national level as of 3Q24, down 0.5% since last quarter,
based on Fitch's updated view on sustainable home prices. Housing
affordability is the worst it has been in decades driven by both
high interest rates and elevated home prices. Home prices have
increased 3.8% YoY nationally as of November 2024 despite modest
regional declines, but are still being supported by limited
inventory.
RPL Credit Quality (Negative): The collateral consists of 3,041
seasoned performing and re-performing first lien loans. As of the
cutoff date, the pool was 95.4% current. Approximately 38.7% of the
loans were treated as having clean payment histories for the past
two years or more (clean current) or have been clean since
origination if seasoned less than two years. Additionally, 68.3% of
loans have a prior modification. The borrowers have a weak credit
profile (668 FICO and 45% DTI) and moderate leverage (60.3% 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
pay down the bonds 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, provide for
timely payments of interest to the 'AAAsf' rated class.
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 42.6% 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'.
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, Fitch 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 a 100% LS
over-ride;
- 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.
In total, these adjustments increased the 'AAAsf' loss by
approximately 75bps.
ESG Considerations
GSMBS 2025-RPL2 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to 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.
HARBORVIEW MORTGAGE 2007-3: Moody's Ups Rating on 2 Bonds to Caa2
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of two bonds from
HarborView Mortgage Loan Trust 2007-3, backed by Option ARM
mortgages.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: HarborView Mortgage Loan Trust 2007-3
Cl. 1A-1A, Upgraded to Caa2 (sf); previously on Dec 5, 2010
Downgraded to Ca (sf)
Cl. 2A-1B, Upgraded to Caa2 (sf); previously on Dec 5, 2010
Downgraded to C (sf)
RATINGS RATIONALE
The upgrades 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 class in this deal because
its expected loss remains commensurate with its current rating,
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.
HOMES 2025-NQM2: S&P Assigns B (sf) Rating on Class B-2 Certs
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to HOMES 2025-NQM2 Trust's
series 2025-NQM2 mortgage pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans. The transaction includes some loans
with interest-only features that are secured by single-family
residences, townhouses, planned-unit developments, condominiums,
condotels, two- to four-family homes, and manufactured housing
properties to prime and nonprime borrowers. The pool has 731 loans,
comprising qualified mortgage (QM) safe harbor (average prime offer
rate; APOR), QM rebuttable presumption (APOR), ability-to-repay
(ATR) exempt loans and non-QM/ATR-compliant loans.
S&P said, "After we assigned preliminary ratings on April 30, 2025,
the sponsor provided updated loan balances on multiple loans in the
pool and updated the payment status on two loans. After analyzing
the updated data, final coupons and updated structure, we assigned
ratings for all classes that are unchanged from the preliminary
ratings we assigned." The ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement;
-- The transaction's associated structural mechanics;
-- The transaction's representation and warranty framework;
-- The mortgage aggregator and mortgage originators;
-- The pool's geographic concentration; and
-- S&P said, "Our U.S. economic outlook, which considers our
current projections for economic growth, unemployment rates, and
interest rates, as well as our view of housing fundamentals. We
update our outlook as necessary when these projections change
materially."
Ratings Assigned(i)
HOMES 2025-NQM2 Trust
Class A-1, $257,368,000: AAA (sf)
Class A-1A, $220,758,000: AAA (sf)
Class A-1B, $36,610,000: AAA (sf)
Class A-2, $25,993,000: AA (sf)
Class A-3, $39,355,000: A (sf)
Class M-1, $15,926,000: BBB (sf)
Class B-1, $11,715,000: BB(sf)
Class B-2, $9,702,000: B (sf)
Class B-3, $6,585,133: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, not applicable: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the loans' aggregate unpaid
principal balance.
NR--Not rated.
INVESCO US 2023-2: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
the Invesco U.S. CLO 2023-2, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Invesco U.S.
CLO 2023-2, Ltd.
A-1-R LT NR(EXP)sf Expected Rating
A-2-R LT AAA(EXP)sf Expected Rating
B-R LT AA(EXP)sf Expected Rating
C-R LT A(EXP)sf Expected Rating
D-1-R LT BBB-(EXP)sf Expected Rating
D-2-R LT BBB-(EXP)sf Expected Rating
E-R LT BB-(EXP)sf Expected Rating
Transaction Summary
Invesco U.S. CLO 2023-2, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that is managed by
Invesco CLO Equity Fund 3 L.P. Net proceeds from the issuance of
the secured notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+/B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 22.66, versus a maximum covenant, in
accordance with the initial expected matrix point of 24. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
98.23% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.78% versus a
minimum covenant, in accordance with the initial expected matrix
point of 68.6%.
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 11.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R,
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
Upgrade scenarios are not applicable to the class A-2-R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf'
for class D-1-R, 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 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 Invesco U.S. CLO
2023-2, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
JP MORGAN 2025-CCM2: Moody's Assigns B2 Rating to Cl. B-5 Certs
---------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 32 classes of
residential mortgage-backed securities (RMBS) issued by J.P. Morgan
Mortgage Trust 2025-CCM2 (JPMMT 2025-CCM2), and sponsored by
JPMorgan Chase Bank, N.A. (JPMCB)
The securities are backed by a pool of prime jumbo (79.4% by
balance) and GSE-eligible (20.6% by balance) residential mortgages
aggregated by JPMMAC, originated by CrossCountry Mortgage, LLC and
serviced by JPMorgan Chase Bank, N.A. (JPMCB).
The complete rating actions are as follows:
Issuer: JPMMT 2025-CCM2
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-3-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-4-A, Definitive Rating Assigned Aaa (sf)
Cl. A-4-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-5-A, Definitive Rating Assigned Aaa (sf)
Cl. A-5-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-6-A, Definitive Rating Assigned Aaa (sf)
Cl. A-6-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-7-A, Definitive Rating Assigned Aaa (sf)
Cl. A-7-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-8-A, Definitive Rating Assigned Aaa (sf)
Cl. A-8-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-A, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-5*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.35%, in a baseline scenario-median is 0.15% and reaches 5.44% 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.
JPMBB 2014-C23: Fitch Lowers Rating on Two Tranches to 'Csf'
------------------------------------------------------------
Fitch Ratings has downgraded nine classes and affirmed three
classes of JPMBB Commercial Mortgage Securities Trust 2014-C23
(JPMBB 2014-C23). Classes B, C and EC were assigned Negative Rating
Outlooks after their downgrades.
Fitch has also affirmed six classes of JPMBB Commercial Mortgage
Securities Trust 2014-C18 (JPMBB 2014-C18). The Outlooks on
affirmed classes B, C, and EC remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
JPMBB 2014-C18
B 46641JBB1 LT BBBsf Affirmed BBBsf
C 46641JBC9 LT BBsf Affirmed BBsf
D 46641JAE6 LT CCCsf Affirmed CCCsf
E 46641JAG1 LT CCsf Affirmed CCsf
EC 46641JBD7 LT BBsf Affirmed BBsf
F 46641JAJ5 LT Csf Affirmed Csf
JPMBB 2014-C23
A-5 46643ABE2 LT AAAsf Affirmed AAAsf
A-S 46643ABJ1 LT AAAsf Affirmed AAAsf
B 46643ABK8 LT Asf Downgrade AAsf
C 46643ABL6 LT BBBsf Downgrade Asf
D 46643AAG8 LT CCCsf Downgrade Bsf
E 46643AAJ2 LT CCsf Downgrade CCCsf
EC 46643ABM4 LT BBBsf Downgrade Asf
F 46643AAL7 LT Csf Downgrade CCsf
X-A 46643ABG7 LT AAAsf Affirmed AAAsf
X-B 46643ABH5 LT CCCsf Downgrade Bsf
X-C 46643AAA1 LT CCsf Downgrade CCCsf
X-D 46643AAC7 LT Csf Downgrade CCsf
KEY RATING DRIVERS
Pool Concentration; Adverse Selection: The rating actions reflect
the distressed condition or poor performance of the remaining
collateral, reduced collateral quality, challenging conditions in
the office market, concentration in non-trophy regional malls, and
the possibility of extended loan workouts that could negatively
affect recoveries upon disposition. The Negative Outlooks indicate
the possibility of further downgrades if recovery expectations for
the specially serviced loans/assets worsen due to ongoing
performance declines, prolonged workouts, or increasing loan
exposures.
Both of these transactions are concentrated with eight or fewer
loans/assets remaining. Fitch Loans of Concerns (FLOCs) comprise
all five loans in JPMBB 2014-C18 including three loans in special
servicing (68.2%); and six loans (84%) in JPMBB 2014-C23 including
five loans in special servicing (59.7%). Due to these factors,
Fitch conducted a look-through analysis to determine the loans'
expected recoveries and losses to assess the outstanding classes'
ratings relative to credit enhancement (CE).
Largest Contributors to Loss Expectations: The JPMBB 2014-C18
transaction has five loans remaining in the pool. The largest three
loans account for 89% of the pool and include two regional mall
loans, Miami International Mall (56.8% of the pool) and Meadows
Mall (21.3%), and Rosedale Commons (10.6%).
The largest contributor to loss in JPMBB 2014-C18 is the Miami
International Mall, which is secured by the 306,855-sf collateral
portion of a 1.1 million-sf regional mall located approximately 12
miles northwest of downtown Miami. Non-collateral anchors include
Macy's, JCPenney, Kohl's, and a vacant Seritage-owned Sears space
that closed in November 2018. Major collateral tenants include H&M
(7.4% of NRA; January 2025), Old Navy (5.5%; January 2025) and
Forever 21 (4.2%; January 2026).
The loan defaulted at maturity in February 2024 and subsequently
transferred to special servicing. A forbearance agreement extended
the loan term through February 2025 with one additional 12-month
extension option; the servicer has reported that the sponsor has
exercised the additional option extending the maturity to February
2026. The sponsor contributed $2 million to principal paydown at
the first extension and an additional $3 million paydown with the
most recent extension option. The loan remains subject to a reduced
default interest rate of 3.5%, up from 2.5% for the 12 months of
forbearance. A full cash sweep will remain in place during the
forbearance period, with excess cash evenly distributed to a
reserve account and to amortize the loan.
Property occupancy improved to 94% as of September 2024, up from
79% at YE 2022, 83% at YE 2020, 99% at YE 2019 and 94% at issuance.
YE 2023 NOI DSCR was 2.42x, in-line with YE 2022 and YE 2021.
Fitch's 'Bsf' rating case loss (prior to concentration adjustments)
current loss of approximately 17% reflects a discount to the most
recent reported appraisal value that is 60% below the issuance
appraisal.
The second largest contributor to loss in JPMBB 2014-C18 is the
Meadows Mall, which is secured by the 308,190-sf collateral portion
of a 945,043-sf regional mall located in Las Vegas, NV. The largest
in-line tenants include Forever 21 (5.5% of NRA; January 2024;
location remains open per the mall website), Victoria's Secret
(3.9% of NRA; January 2028), Shoe Palace (3.97%; June 2026 and
January 2029), and Rainbow (2.5%; January 2029). Meadows Mall
primarily serves the local community rather than tourists.
The loan transferred to special servicing in October 2020 due to
monetary default and extended its maturity to July 2026. Occupancy
as of third quarter 2024 was 83.5%, compared to 89% at YE 2023,
87.8% on 3/2022, 86% at 3/2018 and 96% at issuance. NOI DSCR 1.04x
(YTD 9/24), 1.06x (2023), 1.00x (2022), 1.42x (2018) and 1.47x
(2016). Fitch's 'Bsf' rating case loss (prior to concentration
adjustments) of 28% reflects a discount to the most recent reported
appraisal value that is 52% below the issuance appraisal.
Additional specially serviced loans in JPMBB 2014-C18 include
Geneva Shopping Center (6.48%) and One Thorn Run Center (4.89%).
Geneva Shopping Center is a 186,275-sf retail property located in
Geneva, NY. The majority of the property remains vacant with an
occupancy of 45%. One Thorn Run Center is a 102,041-sf Class-B
office building located in Moon Township, PA. The loan transferred
to special servicing in 2022 due to declines in collateral
performance. The current occupancy is 55%. Both loans have updated
appraisal values that received additional stresses.
The JPMBB 2014-C23 transaction has eight loans remaining in the
pool with the largest three loans accounting for 64.2% of the
pool.
The largest contributor to loss expectations in the JPMBB 2014-C23
transaction is the 17 State Street loan (27.4%), which is secured
by a 560,210-sf Class-A office building located in New York, NY.
The property is located across the street from Battery Park in the
Financial District of Manhattan. The loan reached maturity in
August 2024, and an agreement was finalized in January 2025,
extending the loan term to January 2027. There is also an option to
extend it for an additional year until 2028, contingent upon the
property's performance. Fitch's 'Bsf' rating case loss (prior to
concentration adjustments) of 16% is based on a haircut to the most
recent appraisal value and reflects a stressed value of
approximately $270 psf.
The next largest contributor to loss expectations in the JPMBB
2014-C23 transaction is the Stevens Center Business Park loan
(12.8%), which is secured by a 468,373-sf office complex comprised
of four single-tenant and two multitenant buildings located in
Richland, WA in the Tri-Cities Research District. As of October
2024, occupancy was 95%, which is an improvement from 90% in March
2024.The loan transferred to special servicing in October 2024 due
to balloon payment and maturity default. The servicer and borrower
are currently in discussions of a resolution. Fitch's 'Bsf' rating
case loss (prior to concentration adjustments) of 21% reflects is
based on a haircut to the appraisal value reflecting a stressed
value of approximately $80 psf.
The JPMBB 2014-C23 transaction also has exposure to the Columbus
Square Portfolio loan (25.3%). A loan modification was executed in
March 2024 with terms that include an extension of the loan's
maturity date to August 2027 (from August 2024) and the
implementation of a cash trap to hyper-amortize the loan through
the extended maturity.
Columbus Square is an approximately 536,888-sf mixed-use property
located on Manhattan's Upper West side, anchored by Whole Foods
(about 24% of the NRA), a private school (9.3%) and TJ Maxx (8.2%).
Several major retailers have vacated over the years; however, the
sponsor has been able to backfill the space, and the property is
currently 99.1% occupied. Fitch's 'Bsf' rating case loss (prior to
concentration adjustments) of 5.3% reflects the YE 2023 NOI with a
7.5% haircut and 9% cap rate.
Changes in Credit Enhancement: As of the March 2025 distribution
date, the aggregate balance for JPMBB 2014-C18 has been reduced by
82.4% to $168.6 million from $957.6 million at issuance. The
aggregate balance for JPMBB 2014-C23 has been reduced by 72.6% to
$371.9 million from $1.35 billion at issuance.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to classes rated in the 'AAAsf' and 'AAsf' categories
with Negative Outlooks in JPMBB 2014-C23 could occur if the
Columbus Square Portfolio loan does not pay off at its extended
maturity and/or loss expectations increase significantly on larger
specially serviced loans including 17 State Street, Stevens Center
Business Park and Beverly Connection.
Downgrades to classes rated in the 'BBBsf' and 'BBsf' categories
and distressed rated classes will occur with higher expected losses
from specially serviced loans and/or as losses become realized or
more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'Asf' categories are
not anticipated but may be possible with significantly
better-than-expected recoveries on specially serviced loans upon
disposition. Upgrades to 'BBBsf' and 'BBsf' category and distressed
rated classes are not anticipated given the adverse selection for
each transaction and concentration of defaulted loans.
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.
LCM XVIII: S&P Lowers Class E-R Notes Rating to 'B- (sf)'
---------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-R and C-R debt
from LCM XVIII L.P., a US broadly syndicated CLO managed by LCM
Asset Management LLC, and removed them from CreditWatch, where S&P
had placed them with positive implications in March 2025. At the
same time, S&P lowered its rating on the class E-R debt and removed
the rating from CreditWatch, where S&P had placed it with negative
implications in March 2025. S&P also affirmed its ratings on the
class A-1-R and D-R debt from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from both March and April 2025 monthly
trustee reports, as well as the recently published April 21, 2025,
payment report.
Although the same portfolio backs all the tranches, there can be
circumstances such as this one where the ratings on the tranches
may move in opposite directions due to support changes in the
portfolio. This transaction is experiencing opposing rating
movements because it experienced principal paydowns (which
increased the senior credit support) and faced par losses, an
increase in defaults, and portfolio credit quality deterioration
(which decreased the junior credit support).
Prior to the April 21 paydown of $43.13 million, the transaction
paid down $272.086 million to the class A-1-R debt since S&P's Aug.
14, 2020, rating actions. The reported overcollateralization (O/C)
ratios changed as per the April 11, 2025, monthly trustee report
(prior to the April 21 paydown) from the June 10, 2020, monthly
trustee report, which S&P used for its previous rating actions:
-- The class B O/C ratio improved to 159.73% from 127.84%.
-- The class C O/C ratio improved to 131.25% from 117.77%.
-- The class D O/C ratio improved to 114.02% from 110.41%.
-- The class E O/C ratio decreased to 104.09% from 105.61% and is
below the minimum requirement of 104.19%. However, if this ratio is
recalculated after the recent April 21, 2025, paydown, the result
is likely to be higher than the trigger. But it would still be less
than the level at the time of the last rating action.
Continued paydowns and a lower senior note outstanding balance
improved the credit support for the senior classes, resulting in
the upgrades. The affirmed ratings reflect adequate credit support
at the current rating levels, though any further deterioration in
the credit support available to the notes could bring about further
changes in the ratings.
On a standalone basis, the results of the cash flow analysis
indicated a higher rating on the class B-R and C-R debt. However,
S&P's rating actions reflect the credit enhancement available for
these classes under additional sensitivity analyses that considered
exposure to both CCC assets along with assets trading at low market
values.
The O/C for class E-R, the most junior class, has not benefitted
from the paydowns in a similar manner, and its decline since the
last rating action is likely due to par losses that the CLO looks
to have incurred. In addition, the portfolio's credit quality has
deteriorated, as indicated by a higher S&P Global Ratings weighted
average rating factor, primarily due to an increase in obligors
rated 'B-' and below.
The lowered rating of the class E-R debt reflects the failing cash
flows at the previous rating level and the deteriorated credit
support. S&P said, "Although the cash flow results indicated a
lower rating, we believe that the class E-R debt does not meet our
definition for 'CC' or 'CCC' risk at this time and its current
credit enhancement level, which, in our opinion, can withstand a
steady-state scenario without being dependent on favorable
conditions to meet its financial commitments."
However, any increase in defaults or par losses in future could
lead to negative rating actions on the class E-R debt.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, and recoveries upon default, under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
Ratings Raised And Removed From CreditWatch Positive
LCM XVIII L.P.
Class B-R to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class C-R to 'AA (sf)' from 'A (sf)/Watch Pos'
Rating Lowered And Removed From CreditWatch Negative
LCM XVIII L.P.
Class E-R to 'B- (sf)' from 'B+ (sf)/Watch Neg'
Ratings Affirmed
LCM XVIII L.P.
Class A-1-R: AAA (sf)
Class D-R: BBB- (sf)
Other Debt
LCM XVIII L.P.
Class A-2-R: NR
Class L.P. certified notes: NR
NR--Not rated.
MORGAN STANLEY 2013-ALTM: S&P Cuts Cl. E Notes Rating to 'D (sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on six classes of commercial
mortgage pass-through certificates from Morgan Stanley Capital I
Trust 2013-ALTM, a U.S. CMBS transaction backed by a 12-year
fixed-rate partially amortizing mortgage loan, which is secured by
a portion of Altamonte Mall, a regional mall in Altamonte Springs,
Fla.
Rating Actions
The downgrades on classes A-2, B, C, D, and E primarily reflect:
-- S&P said, "Our revised expected-case valuation for the mall
property, which is 21.1% lower than the value we derived in our
last published review in June 2023, primarily driven by an increase
in the S&P Global Ratings capitalization rate. Our revised value is
in the range of the updated brokers' opinions of value (BOVs) that
the prior special servicer received."
-- That the loan, which has a reported nonperforming matured
balloon payment status, transferred to special servicing on Jan.
29, 2025, because of imminent maturity default. S&P said, "Despite
amortizing down 4.5% since our last review and 14.3% since
issuance, the borrower, a joint venture of Brookfield Properties
Retail Group ('BB-/Stable') and New York State Common Retirement
Fund, was unable to pay the loan off by its maturity date in
February 2025. Based on the property's current reported
performance, which remains below pre-pandemic levels, and our
expectation of a significant decline in the market value from the
issuance-appraised value, we believe that it will continue to face
challenges in refinancing the loan in full unless the borrower
contributes capital."
-- The downgrade on class D to 'CCC (sf)' also reflects S&P's
qualitative consideration that its repayment is dependent upon
favorable business, financial, and economic conditions and that the
class is vulnerable to default.
-- S&P said, "Additionally, the downgrade on class E to 'D (sf)'
reflects accumulated interest shortfalls that we believe will
remain outstanding for a prolonged period. According to the April
7, 2025, trustee remittance report, class E incurred monthly
shortfalls of $14,796 due primarily to special servicing fees. The
accumulated interest shortfalls, totaling $29,631, have been
outstanding for three consecutive months. Based on our current
analysis, we assessed that the class will likely incur principal
losses upon the eventual resolution of the specially serviced
loan."
-- The downgrade on the class X-A interest-only (IO) certificates
reflects S&P's criteria for rating IO securities, in which the
rating on the IO securities would not be higher than that of the
lowest-rated reference class. The notional amount of the class X-A
certificates references classes A-1 (repaid in full) and A-2.
S&P said, "We will continue to monitor the performance of the mall
property and loan, as well as the strategy and timing of any
potential workout. If we receive information that differs
materially from our expectations, such as reported negative changes
in the performance beyond what we already considered, or if the
potential workout strategy negatively affects the transaction's
recovery and liquidity, we may revisit our analysis and take
additional rating actions as we determine appropriate."
Property-Level Analysis
The collateral property consists of a portion (641,199 sq. ft.) of
Altamonte Mall, a two-story enclosed 1.2 million-sq.-ft. regional
mall built in 1974 in Altamonte Springs, Fla., about 12 miles north
of Orlando. Anchors include Dillard's (noncollateral, 160,625 sq.
ft.), Macy's (noncollateral, 151,321 sq. ft.), and J.C. Penney
(collateral, 158,658 sq. ft.). The mall also includes a 207,944 sq.
ft. noncollateral vacant anchor box formerly occupied by Sears.
S&P said, "In our June 2023 review, we noted that though operating
performance was stabilizing at the property, it was still well
below the pre-pandemic levels. Assuming an occupancy rate of 96.2%,
an S&P Global Ratings gross rent of $30.99 per sq. ft., and an
operating expense ratio of 36.3%, we arrived at an S&P Global
Ratings long-term sustainable net cash flow (NCF) of $12.1 million.
Using our S&P Global Ratings capitalization rate of 7.50%, we
derived an S&P Global Ratings expected-case value of $162.0
million."
According to the prior special servicer, the former Sears space is
still vacant. In addition, Forever XXI (4.0% of net rentable area
[NRA]) has filed for chapter 11 bankruptcy protection in March 2025
and announced that it will close all its U.S. stores.
The servicer-reported NCF and occupancy levels remained relatively
stable since S&P's last review.
According to the Jan. 31, 2025, rent roll, the collateral was 93.0%
leased after adjusting for known tenant movements. The five largest
collateral tenants at the property comprise 45.0% of the
collateral's NRA:
-- JCPenney (24.3% of NRA; 1.7% of gross rent as calculated by S&P
Global Ratings; January 2029 lease expiration).
-- AMC Theatres (11.4%; 10.6%; December 2028).
-- Barnes & Noble Booksellers (4.0%; 2.3%; January 2035).
-- H&M (3.0%; pays percentage rent; December 2025).
-- Shoe Carnival (2.3%; 1.9%; January 2028).
-- The mall faces a manageable tenant rollover in the next three
years: 2025 (12.6% of NRA, 14.1% of gross rent, as calculated by
S&P Global Ratings), 2026 (7.2%, 8.4%), and 2027 (10.6%, 20.7%).
According to the December 2024 tenant sales provided by the prior
special servicer, the property's in-line tenant sales was about
$392 per sq. ft. and occupancy cost was approximately 13.7%, as
calculated by S&P Global Ratings.
S&P said, "In our current analysis, using a 93.0% occupancy rate, a
$33.46-per-sq.-ft. S&P Global Ratings gross rent, a 35.8% operating
expense ratio, and higher tenant improvement costs assumptions, we
derived an S&P Global Ratings NCF of $12.1 million, the same as our
last review. Utilizing an S&P Global Ratings capitalization rate of
9.50% (up 200 basis points from our last review to reflect our
observed higher market risk premium required for nondominant class
B malls in the current environment), we arrived at an S&P Global
Ratings expected-case value of $127.9 million, which is 21.1% below
our last review value and a 53.5% decline from the
issuance-appraised value of $275.0 million. Our revised
expected-case value is in the range of recent BOVs obtained by the
prior special servicer. This yielded an S&P Global Ratings
loan-to-value ratio of 107.3% on the current trust balance."
Table 1
Servicer-reported collateral performance
Nine months ending Sept. 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 96.9 97.1 96.8
Net cash flow (mil. $) 10.8 14.0 14.3
Debt service coverage (x) 1.62 1.58 1.61
Appraisal value (mil. $)(ii) 275.0 275.0 275.0
(i)Reporting period.
(ii)At issuance, as of January 2013.
Table 6
S&P Global Ratings' key assumptions
Last
Current published
Review review At issuance
(May 2025) (i) (June 2023)(i) (March 2013)(i)
Trust balance (mil. $) 137.2 143.7 160.0
Occupancy rate (%) 93.0 96.2 93.5
Net cash flow (mil. $) 12.1 12.1 14.7
Capitalization rate (%) 9.50 7.50 7.00
Value (mil. $) 127.9 162.0 209.6
Value per sq. ft. ($) 201 254 329
Loan-to-value ratio (%) (ii) 107.3 88.7 76.3
(i)Review period.
(ii)Based on the trust balance at the time of review.
Transaction Summary
As of the April 7, 2025, trustee remittance report, the trust
balance was $137.2 million, down from $143.7 million at the time of
our June 2023 review and $160.0 million at issuance. The loan was
IO through February 2018, and then amortizes on a 30-year schedule,
pays an annual interest rate of 3.72%, and matured Feb. 1, 2025.
The trust has not incurred any principal losses to date. The loan,
which has reportedly been paid through March 2025, was transferred
to the prior special servicer, Situs Holdings LLC (Situs), in
January 2025 due to imminent maturity default. According to Situs,
it was negotiating a potential modification and extension of the
loan with the borrower. However, Situs was replaced by CWCapital
Asset Management LLC in April 2025.
According to the transaction documents, the borrower is permitted
to incur mezzanine debt if, among other factors, the aggregate LTV
ratio is equal to or less than 55.0% and the combined debt service
coverage is equal to or greater than 1.89x. To S&P's knowledge, the
borrower has not incurred any subordinate debt to date.
Ratings Lowered
Morgan Stanley Capital I Trust 2013-ALTM
Class A-2 to 'A (sf)' from 'AAA (sf)'
Class B to 'BB+ (sf)' from 'A (sf)'
Class C to 'B+ (sf)' from 'BBB (sf)'
Class D to 'CCC (sf)' from 'BB (sf)'
Class E to 'D (sf)' from 'BB- (sf)'
Class X-A to 'A (sf)' from 'AAA (sf)'
NAVESINK CLO 1: S&P Assigns BB- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1R, A-JR, B-R, C-R, D-1R, D-JR, and E-R debt from Navesink CLO 1
Ltd./Navesink CLO 1 LLC, a CLO managed by ZAIS Leveraged Loan
Master Manager LLC that was originally issued in June 2023. At the
same time, S&P withdrew its ratings on the original class A-1, A-J,
B-1, B-F, C-1, C-F, D-1, D-J, and E debt following payment in full
on the May 7, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to May 7, 2026.
-- No additional assets were purchased on the May 7, 2025,
refinancing date, and the target initial par amount remains the
same. There is no additional effective date or ramp-up period, and
the first payment date following the refinancing is July 25, 2026.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1R, $210.00 million: Three-month CME term SOFR + 1.68%
-- Class A-JR, $17.50 million: Three-month CME term SOFR + 1.83%
-- Class B-R, $38.50 million: Three-month CME term SOFR + 2.15%
-- Class C-R (deferrable), $21.00 million: Three-month CME term
SOFR + 2.60%
-- Class D-1R (deferrable), $14.00 million: Three-month CME term
SOFR + 3.90%
-- Class D-JR (deferrable), $3.50 million: Three-month CME term
SOFR + 5.60%
-- Class E-R (deferrable), $12.25 million: Three-month CME term
SOFR + 8.00%
Original debt
-- Class A-1, $210.00 million: Three-month CME term SOFR + 2.32%
-- Class A-J, $17.50 million: Three-month CME term SOFR + 2.75%
-- Class B-1, $33.50 million: Three-month CME term SOFR + 3.20%
-- Class B-F, $5.00 million: 7.00%
-- Class C-1 (deferrable), $18.00 million: Three-month CME term
SOFR + 4.15%
-- Class C-F (deferrable), $3.00 million: 7.80%
-- Class D-1 (deferrable), $14.00 million: Three-month CME term
SOFR + 6.26%
-- Class D-J (deferrable), $3.50 million: Three-month CME term
SOFR + 7.40%
-- Class E (deferrable), $12.25 million: Three-month CME term SOFR
+ 8.50%
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
Navesink CLO 1 Ltd./Navesink CLO 1 LLC
Class A-1R, $210.00 million: AAA (sf)
Class A-JR, $17.50 million: AAA (sf)
Class B-R, $38.50 million: AA (sf)
Class C-R (deferrable), $21.00 million: A (sf)
Class D-1R (deferrable), $14.00 million: BBB+ (sf)
Class D-JR (deferrable), $3.50 million: BBB- (sf)
Class E-R (deferrable), $12.25 million: BB- (sf)
Ratings Withdrawn
Navesink CLO 1 Ltd./Navesink CLO 1 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-J to NR from 'AAA (sf)'
Class B-1 to NR from 'AA (sf)'
Class B-F to NR from 'AA (sf)'
Class C-1 to NR from 'A (sf)'
Class C-F to NR from 'A (sf)'
Class D-1 to NR from 'BBB+ (sf)'
Class D-J to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Navesink CLO 1 Ltd./Navesink CLO 1 LLC
Subordinated notes, $28.875 million: NR
NR--Not rated.
NEW MOUNTAIN 4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the New
Mountain CLO 4 Ltd reset transaction.
Entity/Debt Rating
----------- ------
New Mountain
CLO 4 Ltd
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
A-L-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1-R LT BBBsf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
New Mountain CLO 4 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. The original transaction
closed in April 2023. This marks the first refinancing where the
existing secured notes will be fully refinanced on May 1, 2025. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $400 million
of primarily first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.61, versus a maximum covenant, in accordance with
the initial expected matrix point of 25.5. 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
99.63% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 76.21% versus a
minimum covenant, in accordance with the initial expected matrix
point of 74%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between
'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf'
for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between
less than 'B-sf' and 'BB+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
Upgrade scenarios are not applicable to the class A-1-R and class
A-2-R notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf'
for class D-1-R, 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 assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for New Mountain CLO 4
Ltd. In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
DRAFT individual basis.
OAKTREE CLO 2023-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R loans and class A-R, B-R, C-R, D-1-R, D-2-R,
and E-R debt from Oaktree CLO 2023-1 Ltd./Oaktree CLO 2023-1 LLC, a
CLO managed by Oaktree Capital Management L.P. that was originally
issued in March 2023.
The preliminary ratings are based on information as of April 30,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 1, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original class A-1, A-2, B, C, D, and E debt and assign ratings to
the replacement class A-R loans and class A-R, B-R, C-R, D-1-R,
D-2-R, and E-R 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 non-call period will be extended just over two years to
April 15, 2027.
-- The reinvestment period will be extended two years to April 15,
2030.
-- The stated maturity date for the replacement debt and the
existing subordinated notes will be extended two years to April 15,
2038.
-- No additional assets will be purchased on the May 1, 2025,
refinancing date, and the target initial par amount will remain at
$400.00 million.
-- There will be no additional effective date or ramp-up period,
and the first payment date following the refinancing is July 15,
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.
"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
Oaktree CLO 2023-1 Ltd./Oaktree CLO 2023-1 LLC
Class A-R-L loan, $221.50 million: AAA (sf)
Class A-R, $34.50 million: AAA (sf)
Class B-R, $48.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $22.00 million: BBB- (sf)
Class D-2-R (deferrable), $6.00 million: BBB- (sf)
Class E-R (deferrable), $12.00 million: BB- (sf)
Other Debt
Oaktree CLO 2023-1 Ltd./Oaktree CLO 2023-1 LLC
Subordinated notes, $38.11 million: NR
NR--Not rated.
OCP AEGIS 2025-41: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its 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 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
Aegis CLO 2025-41 Ltd./OCP Aegis CLO 2025-41 LLC
Class A, $280.0 million: AAA (sf)
Class B-1, $34.0 million: AA+ (sf)
Class B-2, $10.0 million: AA+ (sf)
Class C (deferrable), $20.0 million: A+ (sf)
Class D-1 (deferrable), $16.0 million: BBB+ (sf)
Class D-2 (deferrable), $4.0 million: BBB- (sf)
Class E (deferrable), $12.0 million: BB- (sf)
Subordinated notes, $31.9 million: Not rated
OCP CLO 2025-43: S&P Assigns Prelim BB- (sf) Rating on E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP CLO
2025-43 Ltd./OCP CLO 2025-43 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and consists primarily of broadly syndicated
speculative-grade (rated 'BB+' and lower) senior secured term
loans. The transaction is managed by Onex Credit Partners LLC, a
subsidiary of Onex Corp.
The preliminary ratings are based on information as of May 5, 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
OCP CLO 2025-43 Ltd./OCP CLO 2025-43 LLC
Class A-1, $330.00 million: AAA (sf)
Class A-2, $11.00 million: AAA (sf)
Class B, $77.00 million: AA (sf)
Class C (deferrable), $33.00 million: A (sf)
Class D-1 (deferrable), $33.00 million: BBB- (sf)
Class D-2 (deferrable), $2.75 million: BBB- (sf)
Class E (deferrable), $19.25 million: BB- (sf)
Subordinated notes, $48.50 million: NR
NR--Not rated.
PMT LOAN 2025-INV5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 62 classes of
residential mortgage-backed securities (RMBS) to be issued by PMT
Loan Trust 2025-INV5, and sponsored by PennyMac Corp.
The securities are backed by a pool of GSE-eligible residential
mortgages originated and serviced by PennyMac Corp.
The complete rating actions are as follows:
Issuer: PMT Loan Trust 2025-INV5
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P) Aaa (sf)
Cl. A-20, Assigned (P)Aaa (sf)
Cl. A-21, Assigned (P)Aaa (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. A-25, Assigned (P)Aaa (sf)
Cl. A-26, Assigned (P)Aaa (sf)
Cl. A-27, Assigned (P)Aaa (sf)
Cl. A-28, Assigned (P)Aa1 (sf)
Cl. A-29, Assigned (P)Aa1 (sf)
Cl. A-30, Assigned (P)Aa1 (sf)
Cl. A-31, Assigned (P)Aa1 (sf)
Cl. A-32, Assigned (P)Aa1 (sf)
Cl. A-33, Assigned (P)Aa1 (sf)
Cl. A-X1*, Assigned (P)Aa1 (sf)
Cl. A-X2*, Assigned (P)Aaa (sf)
Cl. A-X3*, Assigned (P)Aaa (sf)
Cl. A-X6*, Assigned (P)Aaa (sf)
Cl. A-X7*, Assigned (P)Aaa (sf)
Cl. A-X8*, Assigned (P)Aaa (sf)
Cl. A-X9*, Assigned (P)Aaa (sf)
Cl. A-X11*, Assigned (P)Aaa (sf)
Cl. A-X12*, Assigned (P)Aaa (sf)
Cl. A-X14*, Assigned (P)Aaa (sf)
Cl. A-X15*, Assigned (P)Aaa (sf)
Cl. A-X18*, Assigned (P)Aaa (sf)
Cl. A-X19*, Assigned (P)Aaa (sf)
Cl. A-X21*, Assigned (P)Aaa (sf)
Cl. A-X22*, Assigned (P)Aaa (sf)
Cl. A-X24*, Assigned (P)Aaa (sf)
Cl. A-X25*, Assigned (P)Aaa (sf)
Cl. A-X26*, Assigned (P)Aaa (sf)
Cl. A-X27*, Assigned (P)Aaa (sf)
Cl. A-X30*, Assigned (P)Aa1 (sf)
Cl. A-X31*, Assigned (P)Aa1 (sf)
Cl. A-X32*, Assigned (P)Aa1 (sf)
Cl. A-X33*, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
Cl. B-5, Assigned (P)B3 (sf)
Cl. A-1A Loans, Assigned (P)Aaa (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.80%, in a baseline scenario-median is 0.47% and reaches 8.85% 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.
SCULPTOR CLO XXXV: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sculptor CLO XXXV
Ltd./Sculptor CLO XXXV LLC's fixed- and 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 Sculptor CLO
Advisors 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
Sculptor CLO XXXV Ltd./Sculptor CLO XXXV LLC
Class A-1, $252.0 million: AAA (sf)
Class A-2, $8.0 million: AAA (sf)
Class B-1, $24.0 million: AA (sf)
Class B-2, $20.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1A (deferrable), $14.0 million: BBB (sf)
Class D-1B (deferrable), $5.0 million: BBB (sf)
Class D-2 (deferrable), $8.0 million: BBB- (sf)
Class E (deferrable), $13.0 million: BB- (sf)
Subordinated notes, $40.0 million: NR
NR--Not rated.
SEQUOIA MORTGAGE 2025-5: Fitch Gives 'B(EXP)' Rating on B5 Certs
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed certificates to be issued by Sequoia Mortgage Trust
2025-5 (SEMT 2025-5).
Entity/Debt Rating
----------- ------
SEMT 2025-5
A1 LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A4 LT AAA(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A9 LT AAA(EXP)sf Expected Rating
A10 LT AAA(EXP)sf Expected Rating
A11 LT AAA(EXP)sf Expected Rating
A12 LT AAA(EXP)sf Expected Rating
A13 LT AAA(EXP)sf Expected Rating
A14 LT AAA(EXP)sf Expected Rating
A15 LT AAA(EXP)sf Expected Rating
A16 LT AAA(EXP)sf Expected Rating
A17 LT AAA(EXP)sf Expected Rating
A18 LT AAA(EXP)sf Expected Rating
A19 LT AAA(EXP)sf Expected Rating
A20 LT AAA(EXP)sf Expected Rating
A21 LT AAA(EXP)sf Expected Rating
A22 LT AAA(EXP)sf Expected Rating
A23 LT AAA(EXP)sf Expected Rating
A24 LT AAA(EXP)sf Expected Rating
A25 LT AAA(EXP)sf Expected Rating
AIO1 LT AAA(EXP)sf Expected Rating
AIO2 LT AAA(EXP)sf Expected Rating
AIO3 LT AAA(EXP)sf Expected Rating
AIO4 LT AAA(EXP)sf Expected Rating
AIO5 LT AAA(EXP)sf Expected Rating
AIO6 LT AAA(EXP)sf Expected Rating
AIO7 LT AAA(EXP)sf Expected Rating
AIO8 LT AAA(EXP)sf Expected Rating
AIO9 LT AAA(EXP)sf Expected Rating
AIO10 LT AAA(EXP)sf Expected Rating
AIO11 LT AAA(EXP)sf Expected Rating
AIO12 LT AAA(EXP)sf Expected Rating
AIO13 LT AAA(EXP)sf Expected Rating
AIO14 LT AAA(EXP)sf Expected Rating
AIO15 LT AAA(EXP)sf Expected Rating
AIO16 LT AAA(EXP)sf Expected Rating
AIO17 LT AAA(EXP)sf Expected Rating
AIO18 LT AAA(EXP)sf Expected Rating
AIO19 LT AAA(EXP)sf Expected Rating
AIO20 LT AAA(EXP)sf Expected Rating
AIO21 LT AAA(EXP)sf Expected Rating
AIO22 LT AAA(EXP)sf Expected Rating
AIO23 LT AAA(EXP)sf Expected Rating
AIO24 LT AAA(EXP)sf Expected Rating
AIO25 LT AAA(EXP)sf Expected Rating
AIO26 LT AAA(EXP)sf Expected Rating
B1 LT AA(EXP)sf Expected Rating
B1A LT AA(EXP)sf Expected Rating
B1X LT AA(EXP)sf Expected Rating
B2 LT A(EXP)sf Expected Rating
B2A LT A(EXP)sf Expected Rating
B2X LT A(EXP)sf Expected Rating
B3 LT BBB(EXP)sf Expected Rating
B4 LT BB(EXP)sf Expected Rating
B5 LT B(EXP)sf Expected Rating
B6 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 526 loans with a total balance of
approximately $648.8 million as of the cutoff date. The pool
consists of prime jumbo fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. from various mortgage originators.
Distributions of principal and interest (P&I) and loss allocations
are based on a senior-subordinate, shifting-interest structure.
KEY RATING DRIVERS
High-Quality Mortgage Pool (Positive): The collateral consists of
526 loans totaling approximately $648.8 million and seasoned at
about three months in aggregate, as determined by Fitch. The
borrowers have a strong credit profile, with a weighted average
(WA) Fitch model FICO score of 780 and a 35.9% debt-to-income ratio
(DTI). The borrowers also have moderate leverage, with an 77.4%
sustainable loan-to-value ratio (sLTV) and a 69.0% mark-to-market
combined loan-to-value ratio (cLTV).
Overall, 93.8% of the pool loans are for a primary residence, while
6.2% are loans for second homes; 71.9% of the loans were originated
through a retail channel. Additionally, 100.0% of the loans are
designated as safe-harbor APOR qualified mortgage (SHQM) loans.
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.3% above a long-term sustainable
level (versus 11.1% on a national level as of 3Q24, down 0.5% since
the prior quarter). Housing affordability is the worst it has been
in decades, driven by both high interest rates and elevated home
prices. Home prices increased 3.8% yoy nationally as of November
2024, despite modest regional declines, but are still being
supported by limited inventory.
Shifting-Interest Structure with Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure, whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years.
The lockout feature helps maintain subordination for a longer
period should losses occur later in the life of the transaction.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained.
After the credit support depletion date, principal will be
distributed sequentially, first to the super-senior classes (A-9,
A-12 and A-18) concurrently on a pro-rata basis, and then to the
senior-support A-21 certificate.
SEMT 2025-5 will feature the servicing administrator (RRAC),
following initial reductions in the class A-IO-S strip and
servicing administrator fees, obligated to advance delinquent P&I
to the trust until deemed nonrecoverable. Full advancing of P&I is
a common structural feature across prime transactions in providing
liquidity to the certificates, and absent the full advancing, bonds
can be vulnerable to missed payments during periods of adverse
performance.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 41.7% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs compared to the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national 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 the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class, excluding those assigned ratings of 'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, and Consolidated Analytics. The
third-party due diligence described in Form 15E focused on credit,
compliance, and property valuation. Fitch considered this
information in its analysis and, as a result, Fitch made the
following adjustment to its analysis: a 5% reduction in its loss
analysis. This adjustment resulted in a 21bp reduction to the
'AAAsf' expected loss.
ESG Considerations
SEMT 2025-5 has an ESG Relevance Score of '4[+]' for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in SEMT 2025-5 and includes strong R&W and transaction due
diligence as well as a strong aggregator, which resulted in a
reduction in the expected losses. This has a positive impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
STRUCTURED ASSET 2008-5: Moody's Cuts Rating on Cl. A1 Certs to Ba2
-------------------------------------------------------------------
Moody's Ratings has downgraded the ratings of two bonds issued by
two repackaged deals. These deals are backed by RMBS bonds whose
principal and interest payments are guaranteed by Fannie Mae.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Structured Asset Securities Corporation Trust 2008-4
Cl. A1, Downgraded to Baa1 (sf); previously on Jul 26, 2012
Downgraded to A1 (sf)
Issuer: Structured Asset Securities Corporation Trust 2008-5
Cl. A1, Downgraded to Ba2 (sf); previously on Jul 26, 2012
Downgraded to Ba1 (sf)
RATING RATIONALE
The downgrades are a result of interest shortfall outstanding for
an extended period due to extraordinary expenses incurred and a
lack of adequate structural mechanisms to prevent future interest
shortfalls should the deals incur any additional extraordinary
expenses.
Class A1 issued by SASCO 2008-4 has current reported unpaid
interest shortfall of $8,642.74 due to extraordinary expenses,
which has been outstanding for 35 months.
Class A1 issued by SASCO 2008-5 has current reported unpaid
interest shortfalls of $31,500.66 due to extraordinary expenses,
which has been outstanding for 131 months.
Moody's analysis considered the size and length of the past and
present shortfalls and expected speed of recovery of such
shortfalls for the affected notes.
Principal Methodology
The principal methodology used in these ratings was "Repackaged
Securities" published in June 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.
SYMPHONY CLO 38: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to replacement
class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt, issuer
loans, and new class X-R debt from Symphony CLO 38 Ltd./Symphony
CLO 38 LLC, a CLO originally issued in March 2023 that is managed
by Symphony Alternative Asset Management LLC, a subsidiary of
Nuveen Asset Management LLC.
The preliminary ratings are based on information as of May 7, 2025.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the May 14, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class X-R, A-1-R, A-2-R, B-R, C-R, D-1-R,
D-2-R, and E-R debt and issuer loans are expected to be issued at a
lower spread over three-month LIBOR than the original debt.
-- Target par was increased by $3.50 million to $453.50 million.
-- The reinvestment period will be extended 1.84 years.
-- The stated maturity will be extended 2.25 years.
-- The replacement class A debt, made up of one loan tranche and
two note tranches, is expected to be issued to replace the current
class A debt of two loan tranches and one note tranche.
-- A single class B-R note is expected to be issued to replace the
current class B-1 and B-2 debt tranches, while a single class C-R
note is expected to be issued to replace the current class C-1 and
C-2 debt tranches.
-- The replacement class D-1-R and D-2-R debt is expected to be
issued to replace the current class D debt.
-- New class X debt will be issued in connection with this
refinancing. These notes are expected to be paid down using
interest proceeds over the course of 10 payment dates beginning
with the payment date in October 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
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Symphony CLO 38 Ltd./Symphony CLO 38 LLC
Class X-R, $4.500 million: AAA (sf)
Class A-1-R, $247.500 million: AAA (sf)
Issuer loans, 36.000 million: AAA (sf)
Class A-2-R, $9.000 million: AAA (sf)
Class B-R, $49.500 million: AA (sf)
Class C-R (deferrable), $27.000 million: A (sf)
Class D-1-R (deferrable), $22.375 million: BBB (sf)
Class D-2-R (deferrable), $8.000 million: BBB- (sf)
Class E-R (deferrable), $14.625 million: BB- (sf)
Other Debt
Symphony CLO 38 Ltd./Symphony CLO 38 LLC
Subordinated notes, $40.882 million: not rated
TELOS CLO 2013-4: S&P Lowers Class E-R Notes Rating to 'D (sf)'
---------------------------------------------------------------
S&P Global Ratings lowered the ratings on the class E-R notes from
Telos CLO 2013-4 Ltd. and Telos CLO 2014-5 Ltd., U.S. cash flow CLO
transactions backed by broadly syndicated corporate loans, to 'D
(sf)' from 'CC (sf)'.
The rating actions follow S&P's review of the transactions' final
distributions, which occurred on Feb. 26, 2025, for Telos CLO
2013-4 Ltd. and on March 14, 2025, for Telos CLO 2014-5 Ltd.
According to the notices provided by the trustee and the final
distribution note valuation reports, despite the liquidation of all
the collateral obligations and other assets and the distribution of
all available funds following such liquidation, the Telos CLO
2013-4 Ltd. class E-R noteholders were paid their full accrued
interest amount and only a portion of the remaining outstanding
principal balance. Similarly, the Telos CLO 2014-5 Ltd. class E-R
noteholders were paid only a portion of the remaining outstanding
principal balance. The notices also specify that all class E-R
noteholders for both transactions agreed to receive a reduced
redemption price.
S&P said, "Therefore, following our review of these final
distributions, we lowered the ratings on the class E-R notes from
each transaction to 'D (sf)' as a reflection of the rated balances
not being fully repaid."
TEXAS DEBT 2025-I: S&P Assigns B- (sf) Rating on Class F Notes
--------------------------------------------------------------
S&P Global Ratings assigned credit ratings to Texas Debt Capital
Euro CLO 2025-I DAC's class A and B loans and class A to F European
cash flow CLO notes. The issuer also issued unrated subordinated
notes.
The ratings 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 excess spread and
overcollateralization.
-- The collateral manager's experienced team, which can affect the
performance of the rated notes and loans 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 2,837.71
Default rate dispersion 519.71
Weighted-average life (years) 4.64
Weighted-average life including reinvestment (years) 4.71
Obligor diversity measure 178.52
Industry diversity measure 21.76
Regional diversity measure 1.21
Transaction key metrics
Portfolio weighted-average rating
derived from S&P's CDO evaluator B
'CCC' category rated assets (%) 1.00
Target 'AAA' weighted-average recovery (%) 36.78
Actual weighted-average spread (net of floors; %) 3.84
Target weighted-average coupon (%) 4.92
Under the transaction documents, the rated notes and loans will pay
quarterly interest unless a frequency switch event occurs.
Following this, the notes and loans will switch to semiannual
payments.
Rationale
S&P said, "The portfolio is well-diversified, primarily comprising
broadly syndicated speculative-grade senior secured term loans and
senior secured bonds. Therefore, we have conducted our credit and
cash flow analysis by applying our criteria for corporate cash flow
CDOs.
"In our cash flow analysis, we used the EUR400 million target par
amount, the covenanted weighted-average spread (3.80%), the
covenanted weighted-average coupon (4.50%), and the actual
weighted-average recovery rate at all rating levels. 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 Jan. 15, 2030, the
collateral manager may substitute assets in the portfolio for so
long as our CDO Monitor test is maintained or improved in relation
to the initial ratings on the notes and loans. 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 it
compares that with the current portfolio's default potential plus
par losses to date.
"Under our structured finance sovereign risk criteria, we consider
that 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 current counterparty criteria.
"The transaction's legal structure and framework is bankruptcy
remote, in line with our legal criteria.
"The operational risk associated with key transaction parties (such
as the collateral manager) that provide an essential service to the
issuer is in line with our operational risk criteria.
"Following our analysis of the credit, cash flow, counterparty,
operational, and legal risks, we believe our ratings are
commensurate with the available credit enhancement for the class A
and B loans and class A to F notes.
"Our credit and cash flow analysis indicates that the available
credit enhancement for the class B loan and class B to F notes
could withstand stresses commensurate with the same or higher
ratings than those we have assigned. However, as the CLO is still
in its reinvestment phase, during which the transaction's credit
risk profile could deteriorate, we have capped our ratings assigned
to these notes and loan.
"In addition to our standard analysis, to provide an indication of
how rising pressures among speculative-grade corporates could
affect our ratings on European CLO transactions, we have also
included the sensitivity of the ratings on the class A and B loans
and class A to E notes based on four hypothetical scenarios."
Environmental, social, and governance
S&P said, "We regard the exposure to environmental, social, and
governance (ESG) credit factors in the transaction as being broadly
in line with our benchmark for the sector. Primarily due to the
diversity of the assets within CLOs, the exposure to environmental
credit factors is viewed as below average, social credit factors
are below average, and governance credit factors are average.
"For this transaction, the documents prohibit assets from being
related to certain activities. Accordingly, since the exclusion of
assets from these industries 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."
Ratings
Amount Credit
Class Rating* (mil. EUR) Interest rate§ enhancement
(%)
A AAA (sf) 181.00 3mE +1.18% 38.00
A Loan AAA (sf) 67.00 3mE +1.18% 38.00
B AA (sf) 21.50 3mE +1.70% 27.00
B Loan AA (sf) 22.50 3mE +1.70% 27.00
C A (sf) 24.00 3mE +2.15% 21.00
D BBB- (sf) 28.00 3mE +3.00% 14.00
E BB- (sf) 19.00 3mE +5.15% 9.25
F B- (sf) 11.00 3mE +8.21% 6.50
Sub NR 31.50 N/A N/A
*The ratings assigned to the class A and B loans and class A and B
notes address timely interest and ultimate principal payments. The
ratings assigned to the class C to F 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.
NR--Not rated.
N/A--Not applicable.
3mE--Three-month Euro Interbank Offered Rate.
TRINITAS CLO XXXIV: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Trinitas CLO
XXXIV Ltd./Trinitas CLO XXXIV 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 Trinitas Capital Management LLC.
The preliminary ratings are based on information as of May 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
Trinitas CLO XXXIV Ltd./Trinitas CLO XXXIV LLC
Class A-L loans, $142.00 million: AAA (sf)
Class A, $106.00 million: AAA (sf)
Class B, $56.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $22.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $37.60 million: Not rated
VERUS SECURITIZATION 2025-4: S&P Assigns Prelim B+(sf) on B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2025-4's mortgage-backed notes.
The note issuance is an RMBS transaction backed by primarily newly
originated first- and second-lien, fixed- and adjustable-rate
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and non-prime borrowers. The
loans are secured by single-family residences, planned-unit
developments, two- to four-family residential properties,
condominiums, condotels, townhouses, mixed-use properties,
manufactured homes and five- to 10-unit multifamily residences. The
pool has 1,014 loans backed by 1,017 properties, which are
qualified mortgage (QM)/non-higher-priced mortgage loans (safe
harbor), QM rebuttable presumption loans, non-QM/ability-to-repay
(ATR)-compliant loans, and ATR-exempt loans. Of the 1,014 loans,
one loan is a cross-collateralized loan backed by four properties.
The preliminary ratings are based on information as of May 6, 2025.
Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, and geographic
concentration;
-- The mortgage aggregator, Invictus Capital Partners;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's outlook that considers our current projections for U.S.
economic growth, unemployment rates, and interest rates, as well as
its view of housing fundamentals. S&P's outlook is updated, if
necessary, when these projections change materially.
Preliminary Ratings Assigned(i)
Verus Securitization Trust 2025-4
Class A-1, $381,270,000: AAA (sf)
Class A-2, $30,046,000: AA (sf)
Class A-3, $51,026,000: A (sf)
Class M-1, $19,426,000: BBB (sf)
Class B-1, $16,059,000: BB (sf)
Class B-2, $9,843,000: B+ (sf)
Class B-3, $10,360,869: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, not applicable: NR
(i)The preliminary 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 to the aggregate stated
principal balance of the mortgage loans as of the first day of the
related due period.
NR--Not rated.
[] Moody's Hikes Ratings on 12 Bonds From 8 Scratch & Dent RMBS
---------------------------------------------------------------
Moody's Ratings, on May 6, 2025, upgraded the ratings of 12 from
eight US residential mortgage-backed transactions (RMBS), backed by
Scratch and Dent mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities Trust 2007-2
Cl. A-3, Upgraded to Aaa (sf); previously on Jul 8, 2024 Upgraded
to Aa1 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on May 20, 2011 Downgraded
to C (sf)
Issuer: GMACM Mortgage Loan Trust 2003-GH2
Cl. B, Upgraded to Caa2 (sf); previously on Jun 11, 2014 Downgraded
to Caa3 (sf)
Cl. M-1, Upgraded to Aaa (sf); previously on Jul 9, 2024 Upgraded
to Aa3 (sf)
Issuer: GMACM Mortgage Loan Trust 2004-GH1
Cl. B, Upgraded to Caa3 (sf); previously on Aug 28, 2018 Downgraded
to C (sf)
Cl. M-2, Upgraded to A1 (sf); previously on Jul 9, 2024 Upgraded to
A3 (sf)
Issuer: RAAC Series 2005-RP3 Trust
Cl. M-3, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded
to C (sf)
Issuer: RAAC Series 2007-RP2 Trust
Cl. M-1, Upgraded to Caa3 (sf); previously on May 4, 2009
Downgraded to C (sf)
Issuer: Structured Asset Securities Corporation 2006-GEL1
Cl. M3, Upgraded to Ca (sf); previously on Mar 5, 2009 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corporation 2006-GEL4
Cl. M1, Upgraded to Aaa (sf); previously on Jul 8, 2024 Upgraded to
A1 (sf)
Cl. M2, Upgraded to Ca (sf); previously on Mar 5, 2009 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corporation 2007-GEL2
Cl. A3, Upgraded to Aa2 (sf); previously on Jul 8, 2024 Upgraded to
A1 (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.
The rest of the rating upgrades, for bonds that have not or are not
expected to take a loss, are a result of the improving performance
of the related pools, or an increase in credit enhancement
available to the bonds. Credit enhancement grew by 11% on average
for these bonds upgraded over the past 12 months.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Takes Action on 24 Bonds from 13 US RMBS Deals
---------------------------------------------------------
Moody's Ratings has upgraded the ratings of 23 bonds and downgraded
the rating of one bond from 13 US residential mortgage-backed
transactions (RMBS), backed by scratch and dent mortgages issued by
multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-D
Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 7, 2011
Downgraded to Ca (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-B
Cl. M-3, Upgraded to Aa2 (sf); previously on Jul 10, 2024 Upgraded
to Ba1 (sf)
Cl. M-4, Upgraded to Ca (sf); previously on Jun 18, 2009 Downgraded
to C (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-C
Cl. 1-A3, Downgraded to Caa1 (sf); previously on Oct 5, 2018
Upgraded to B2 (sf)
Cl. 1-A4, Upgraded to Ca (sf); previously on May 31, 2011
Downgraded to C (sf)
Cl. 1-A5, Upgraded to Caa1 (sf); previously on May 31, 2011
Downgraded to Caa3 (sf)
Cl. 2-A3, Upgraded to Caa1 (sf); previously on May 31, 2011
Downgraded to Caa3 (sf)
Cl. 2-A4, Upgraded to Caa1 (sf); previously on Sep 23, 2013
Downgraded to Caa3 (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust 2007-A
Cl. 1-A4, Upgraded to Caa2 (sf); previously on May 31, 2011
Downgraded to C (sf)
Cl. 1-A5, Upgraded to Caa1 (sf); previously on May 31, 2011
Downgraded to Caa3 (sf)
Cl. 2-A, Upgraded to Caa1 (sf); previously on May 31, 2011
Downgraded to Caa3 (sf)
Issuer: Bayview Financial Mortgage Pass-Through Trust, Series
2004-A
Cl. B-1, Upgraded to Aa2 (sf); previously on Mar 7, 2022 Upgraded
to Baa2 (sf)
Cl. B-2, Upgraded to Caa1 (sf); previously on Jul 7, 2011
Downgraded to C (sf)
Cl. M-4, Upgraded to Aaa (sf); previously on Jul 10, 2024 Upgraded
to Aa2 (sf)
Issuer: C-BASS 2003-RP1 Trust
Cl. M-1, Upgraded to Caa1 (sf); previously on Aug 22, 2012
Downgraded to Caa2 (sf)
Cl. M-2, Upgraded to Caa2 (sf); previously on May 20, 2011
Downgraded to C (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2007-RP1
Cl. A, Upgraded to B2 (sf); previously on Apr 24, 2009 Downgraded
to Caa3 (sf)
Issuer: CSFB Mortgage Pass-Through Certificates, Series 2004-CF2
Cl. I-B, Upgraded to Caa3 (sf); previously on May 19, 2011
Downgraded to Ca (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2007-SEA1
Cl. 2-A-1, Upgraded to A3 (sf); previously on Jul 10, 2024 Upgraded
to Ba1 (sf)
Cl. 2-M-1, Upgraded to Ca (sf); previously on Apr 24, 2009
Downgraded to C (sf)
Issuer: GSAMP Trust 2003-SEA2
Cl. B-2, Upgraded to Caa3 (sf); previously on May 19, 2011
Downgraded to Ca (sf)
Issuer: GSAMP Trust 2006-SD1
Cl. M-2, Upgraded to Ca (sf); previously on May 4, 2009 Downgraded
to C (sf)
Issuer: GSAMP Trust 2006-SD3
Cl. A, Upgraded to B1 (sf); previously on May 4, 2009 Downgraded to
Caa2 (sf)
Issuer: GSRPM Mortgage Loan Trust 2007-1
Cl. A, Upgraded to Caa1 (sf); previously on Nov 21, 2012 Downgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools, and Moody's revised loss-given-default
expectation for each bond. The rating upgrades are a result of the
improving performance of the related pools, and/or an increase in
credit enhancement available to the bonds. The rating downgrade of
Class 1-A3 from Bayview Financial Mortgage Pass-Through Trust
2006-C is the result of outstanding credit interest shortfalls that
are unlikely to be recouped.
Moody's analysis also considered the existence of historical
interest shortfalls for some of the bonds. While most shortfalls
have since been recouped, the size and length of the past
shortfalls, as well as the potential for recurrence, were analyzed
as part of the upgrades.
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.
Moody's analysis also reflects the potential for collateral
volatility given the number of deal-level and macro factors that
can impact collateral performance, the potential impact of any
collateral volatility on the model output, and the ultimate size or
any incurred and projected loss.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodologies
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Takes Action on 38 Bonds from 12 US RMBS Deals
---------------------------------------------------------
Moody's Ratings has upgraded the ratings of 37 bonds and downgraded
the rating of one bond from 12 US residential mortgage-backed
transactions (RMBS), backed by Alt-A, prime 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: Centex Home Equity Loan Trust 2005-A
Cl. M-6, Upgraded to Caa1 (sf); previously on May 5, 2010
Downgraded to C (sf)
Cl. M-7, Upgraded to Caa3 (sf); previously on May 5, 2010
Downgraded to C (sf)
Issuer: Citigroup Mortgage Loan Trust 2006-HE3
Cl. A-1, Upgraded to Aaa (sf); previously on Jul 30, 2024 Upgraded
to Aa1 (sf)
Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Confirmed at Ca (sf)
Cl. A-2D, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Confirmed at Ca (sf)
Issuer: CSAB MORTGAGE-BACKED TRUST 2006-3
Cl. A-1-A, Upgraded to Caa1 (sf); previously on Nov 19, 2010
Downgraded to Ca (sf)
Cl. A-1-B-1, Upgraded to Caa1 (sf); previously on Nov 19, 2010
Downgraded to Ca (sf)
Cl. A-1-B-2, Upgraded to Caa1 (sf); previously on Nov 19, 2010
Downgraded to Ca (sf)
Cl. A-1-C, Upgraded to Caa3 (sf); previously on Nov 19, 2010
Downgraded to C (sf)
Cl. A-7, Upgraded to Ca (sf); previously on Nov 19, 2010 Downgraded
to C (sf)
Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-4
Cl. M-6, Upgraded to Aaa (sf); previously on Apr 25, 2023 Upgraded
to Baa1 (sf)
Cl. M-7, Upgraded to Ca (sf); previously on Mar 19, 2009 Downgraded
to C (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-5
Cl. IV-B-1, Upgraded to Caa3 (sf); previously on Jul 20, 2018
Downgraded to Ca (sf)
Issuer: Deutsche Alt-B Securities Mortgage Loan Trust, Series
2006-AB4
Cl. A-1A, Upgraded to Caa1 (sf); previously on Sep 8, 2010
Downgraded to Ca (sf)
Cl. A-1B-1, Upgraded to Caa1 (sf); previously on Sep 8, 2010
Downgraded to Ca (sf)
Cl. A-3A-1, Upgraded to Caa3 (sf); previously on Sep 8, 2010
Downgraded to Ca (sf)
Cl. A-4A, Currently Rated A1 (sf); previously on Mar 21, 2022
Upgraded to A1 (sf)
Cl. A-4A, Underlying Rating: Upgraded to Caa1 (sf); previously on
Sep 8, 2010 Downgraded to Ca (sf)
Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook
stable on Jul, 2024)
Cl. A-5, Currently Rated A1 (sf); previously on Mar 21, 2022
Upgraded to A1 (sf)
Cl. A-5, Underlying Rating: Upgraded to Caa1 (sf); previously on
Sep 8, 2010 Downgraded to Ca (sf)
Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook
stable on Jul, 2024)
Cl. A-6A-1, Upgraded to Caa3 (sf); previously on Feb 7, 2014
Downgraded to Ca (sf)
Cl. A-6A-2, Upgraded to Caa3 (sf); previously on Feb 7, 2014
Downgraded to Ca (sf)
Issuer: Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series
2006-AB3
Cl. A-1, Upgraded to Caa1 (sf); previously on Feb 7, 2014
Downgraded to Ca (sf)
Cl. A-4, Currently Rated A1 (sf); previously on Mar 21, 2022
Upgraded to A1 (sf)
Cl. A-4, Underlying Rating: Upgraded to Caa1 (sf); previously on
Sep 16, 2010 Downgraded to Ca (sf)
Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook
stable on Jul, 2024)
Cl. A-5A, Currently Rated A1 (sf); previously on Mar 21, 2022
Upgraded to A1 (sf)
Cl. A-5A, Underlying Rating: Upgraded to Caa1 (sf); previously on
Sep 16, 2010 Downgraded to Ca (sf)
Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook
stable on Jul, 2024)
Cl. A-5B, Upgraded to Caa3 (sf); previously on Sep 16, 2010
Downgraded to Ca (sf)
Cl. A-8, Upgraded to Caa3 (sf); previously on Sep 16, 2010
Downgraded to Ca (sf)
Issuer: IMC Home Equity Loan Trust 1997-5
B, Upgraded to Ca (sf); previously on Mar 9, 2011 Downgraded to C
(sf)
M-1, Downgraded to Caa1 (sf); previously on Mar 9, 2011 Downgraded
to B1 (sf)
M-2, Upgraded to Caa1 (sf); previously on Mar 9, 2011 Downgraded to
Ca (sf)
Issuer: IMC Home Equity Loan Trust 1998-3
A-7, Currently Rated A1 (sf); previously on Mar 21, 2022 Upgraded
to A1 (sf)
A-7, Underlying Rating: Upgraded to Caa1 (sf); previously on Mar 9,
2011 Downgraded to Caa3 (sf)
Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook
stable on Jul, 2024)
A-8, Currently Rated A1 (sf); previously on Mar 21, 2022 Upgraded
to A1 (sf)
A-8, Underlying Rating: Upgraded to B1 (sf); previously on Mar 9,
2011 Downgraded to Caa2 (sf)
Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook
stable on Jul, 2024)
Issuer: Long Beach Mortgage Loan Trust 2006-1
Cl. I-A, Upgraded to Aaa (sf); previously on Apr 24, 2023 Upgraded
to Aa3 (sf)
Cl. II-A3, Upgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. II-A4, Upgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Issuer: Mastr Asset Backed Securities Trust 2007-NCW
Cl. A-1, Currently Rated A1 (sf); previously on Mar 21, 2022
Upgraded to A1 (sf)
Cl. A-1, Underlying Rating: Upgraded to Caa1 (sf); previously on
May 5, 2010 Downgraded to Caa2 (sf)
Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook
stable on Jul, 2024)
Cl. A-2, Currently Rated A1 (sf); previously on Mar 21, 2022
Upgraded to A1 (sf)
Cl. A-2, Underlying Rating: Upgraded to Caa1 (sf); previously on
May 5, 2010 Downgraded to Ca (sf)
Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook
stable on Jul, 2024)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-NC2
Cl. M-5, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded
to Caa2 (sf)
Cl. M-6, Upgraded to Caa1 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
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.
The rating downgrade is the result of outstanding credit interest
shortfalls that are unlikely to be recouped. The downgraded bond
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 often only after the
overcollateralization has built to a pre-specified target amount.
In transactions where overcollateralization has already been
reduced or depleted due to poor performance, any such missed
interest payments to these bonds is unlikely to be repaid. 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 these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 10 Bonds From 7 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of ten bonds from seven US
residential mortgage-backed transactions (RMBS), backed by 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 ABS Capital I Inc. Trust 2005-HE3
Cl. M-6, Upgraded to Ca (sf); previously on Mar 12, 2013 Affirmed C
(sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE4
Cl. M-4, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded
to C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE7
Cl. M-3, Upgraded to Ca (sf); previously on Jul 15, 2010 Downgraded
to C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2
Cl. M-5, Upgraded to Caa2 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC4
Cl. B-1, Upgraded to Ca (sf); previously on Mar 12, 2013 Affirmed C
(sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5
Cl. M-6, Upgraded to Caa1 (sf); previously on Apr 10, 2017 Upgraded
to Caa3 (sf)
Issuer: Specialty Underwriting and Residential Finance Series
2006-BC4
Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 18, 2010
Downgraded to Caa3 (sf)
Cl. A-2B, Upgraded to Caa1 (sf); previously on Jul 17, 2014
Downgraded to C (sf)
Cl. A-2C, Upgraded to Ca (sf); previously on Jun 18, 2010
Downgraded to C (sf)
Cl. A-2D, Upgraded to Ca (sf); previously on Jun 18, 2010
Downgraded to C (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
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 Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 13 Bonds from 9 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 13 bonds from nine US
residential mortgage-backed transactions (RMBS), backed by Second
Liens and Scratch & Dent 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: ACE Securities Corp. Home Equity Loan Trust, Series
2006-SD1
Cl. M-1, Upgraded to Caa1 (sf); previously on Jul 18, 2012
Downgraded to Caa2 (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-SL4
Cl. A-1, Upgraded to Caa2 (sf); previously on Nov 10, 2010
Downgraded to C (sf)
Cl. A-2, Upgraded to Ca (sf); previously on Nov 10, 2010 Downgraded
to C (sf)
Cl. A-3, Upgraded to Ca (sf); previously on Nov 10, 2010 Downgraded
to C (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2004-SD3
Cl. B, Upgraded to Caa1 (sf); previously on May 20, 2011 Downgraded
to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2005-4
Cl. M-4, Upgraded to Caa2 (sf); previously on Jan 29, 2019 Upgraded
to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2006-1
Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded
to Caa3 (sf)
Issuer: Bear Stearns Asset-Backed Securities Trust 2004-SD1
Cl. M-3, Upgraded to Caa2 (sf); previously on May 20, 2011
Downgraded to Caa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FFA
Cl. A1, Upgraded to Caa2 (sf); previously on Oct 20, 2010
Downgraded to C (sf)
Cl. A2, Upgraded to Caa2 (sf); previously on Oct 20, 2010
Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FFB
Cl. A1, Upgraded to Caa3 (sf); previously on Oct 20, 2010
Downgraded to C (sf)
Issuer: GMACM Home Equity Loan Trust 2007-HE3
Cl. II-A-1, Upgraded to Caa1 (sf); previously on May 21, 2010
Downgraded to Caa2 (sf)
Cl. II-A-2, Upgraded to Caa1 (sf); previously on May 21, 2010
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's 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 these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 32 Bonds from 10 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 32 bonds from 10 US
residential mortgage-backed transactions (RMBS), backed by 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: Merrill Lynch Mortgage Investors Trust Series 2006-HE6
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on Nov 7, 2012
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa3 (sf); previously on Jul 19, 2010
Confirmed at Ca (sf)
Cl. A-2C, Upgraded to Caa3 (sf); previously on Jul 19, 2010
Confirmed at Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2007-HE2
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on Jul 19, 2010
Downgraded to Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2007-HE3
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 19, 2010
Downgraded to Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Jul 19, 2010
Confirmed at Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 19, 2010
Confirmed at Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Jul 19, 2010
Confirmed at Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust, Series 2007-HE1
Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 19, 2010
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa2 (sf); previously on Jul 19, 2010
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE4
Cl. A-3, Upgraded to Caa1 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE5
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Cl. A-2c, Upgraded to Caa2 (sf); previously on Dec 4, 2015
Downgraded to Ca (sf)
Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE6
Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Cl. A-2b, Upgraded to Caa1 (sf); previously on Feb 11, 2014
Downgraded to Ca (sf)
Cl. A-2fpt, Upgraded to Caa1 (sf); previously on Feb 11, 2014
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE7
Cl. A-1, Upgraded to Caa2 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Cl. A-2b, Upgraded to Caa1 (sf); previously on Oct 27, 2014
Downgraded to Ca (sf)
Cl. A-2c, Upgraded to Caa3 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Cl. A-2d, Upgraded to Caa3 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Cl. A-2fpt, Upgraded to Caa1 (sf); previously on Oct 27, 2014
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-WMC2
Cl. A-1, Upgraded to Caa1 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Cl. A-2b, Upgraded to Caa1 (sf); previously on Jul 15, 2010
Confirmed at Ca (sf)
Cl. A-2c, Upgraded to Caa2 (sf); previously on Jul 15, 2010
Confirmed at Ca (sf)
Cl. A-2d, Upgraded to Caa2 (sf); previously on Jul 15, 2010
Confirmed at Ca (sf)
Cl. A-2fpt, Upgraded to Caa1 (sf); previously on Jul 15, 2010
Confirmed at Ca (sf)
Issuer: Morgan Stanley IXIS Real Estate Capital Trust 2006-1
Cl. A-3, Upgraded to Caa3 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Jul 15, 2010
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's 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 Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 71 Bonds From 12 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 71 bonds from 12 US
residential mortgage-backed transactions (RMBS), backed by Alt-A
and prime jumbo 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: CHL Mortgage Pass-Through Trust 2006-11
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Nov 9, 2016
Confirmed at Caa2 (sf)
Cl. X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed
at Caa2 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2006-12
Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed
at Caa3 (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed
at Caa3 (sf)
Cl. X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed
at Caa3 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2006-17
Cl. A-2, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed
at Caa3 (sf)
Cl. A-8, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed
at Caa3 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2007-10
Cl. A-19, Upgraded to Caa2 (sf); previously on Nov 9, 2016
Confirmed at Ca (sf)
Issuer: CHL Mortgage Pass-Through Trust 2007-13
Cl. A-7, Upgraded to Caa1 (sf); previously on Nov 9, 2016 Confirmed
at Caa2 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2007-14
Cl. A-1, Upgraded to Caa2 (sf); previously on Nov 9, 2016 Confirmed
at Caa3 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2007-2
Cl. A-18, Upgraded to Caa1 (sf); previously on Nov 9, 2016
Confirmed at Caa2 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2007-3
Cl. A-23, Upgraded to Caa1 (sf); previously on Nov 9, 2016
Confirmed at Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-24CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-5, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-6*, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-7, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-8, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-9, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-11, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-12, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-13, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-14*, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-15, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-16, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-19, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-20*, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-22, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-23, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-26CB
Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. A-12, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. A-13*, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. A-15, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. A-17, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. A-18, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. A-20, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. A-21*, Upgraded to Caa3 (sf); previously on Sep 19, 2016
Confirmed at Ca (sf)
Cl. PO, Upgraded to Caa2 (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
2006-27CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa3 (sf)
Cl. A-2*, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Caa3 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa3 (sf)
Cl. A-7, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa3 (sf)
Cl. A-12, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. A-13*, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Caa3 (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-31CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-2*, Upgraded to Caa1 (sf); previously on Oct 27, 2017
Confirmed at Ca (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-6*, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-7, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-8, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-9, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-10, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-11, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-12*, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-15, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-16, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-19, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-21, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-22*, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
*Reflects Interest-Only Classes.
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's 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 97 Bonds From 12 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 97 bonds from 12 US
residential mortgage-backed transactions (RMBS), backed by
subprime, option ARM, and Alt-A mortgages issued by multiple
issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2006-ABC1
Cl. A-3, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-16CB
Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-5, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-7, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-9, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Downgraded
to Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-18CB
Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-2*, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-6, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-7, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-10, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-11, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-12, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-13*, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-14*, Upgraded to Caa2 (sf); previously on Oct 27, 2017
Confirmed at Ca (sf)
Cl. A-15*, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-19CB
Cl. A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-2*, Upgraded to Caa2 (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)
Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-6, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-8, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-9, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-10*, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-11, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-12, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-13*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-14, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-15, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-16, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-17, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-18*, Upgraded to Caa1 (sf); previously on Oct 27, 2017
Confirmed at Ca (sf)
Cl. A-19, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-20, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-21, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-22, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-23, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-24, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-26, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-27, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-28, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-29*, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-32, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-33, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-21CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
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)
Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-5, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-6*, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-7, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-8, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-25CB
Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-5, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-6, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-8, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-9, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-10, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-11*, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-34
Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-6, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. PO, Upgraded to Caa3 (sf); previously on Oct 6, 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
2006-36T2
Cl. 1-A-7, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-46
Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-3*, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. PO, Upgraded to Caa3 (sf); previously on Oct 6, 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-OA11
Cl. A-1B, Upgraded to Caa1 (sf); previously on Sep 27, 2016
Upgraded to Caa3 (sf)
Cl. A-1C, Upgraded to Caa3 (sf); previously on Sep 27, 2016
Upgraded to Ca (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded
to Caa3 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded
to Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA12
Cl. A-1B, Upgraded to Caa2 (sf); previously on Sep 22, 2016
Confirmed at Ca (sf)
Cl. A-1C, Upgraded to Ca (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. A-2, Upgraded to Caa2 (sf); previously on Sep 22, 2016
Confirmed at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA21
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 22, 2016
Confirmed at 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.
[] S&P Places 46 CLO Ratings on Watch Negative
----------------------------------------------
S&P Global Ratings placed 46 ratings from 34 broadly syndicated CLO
transactions on CreditWatch with negative implications.
These CreditWatch placements are based on their recent performance
and not on any ongoing tariff or economic uncertainty. S&P may
place ratings on CreditWatch to reflect its opinion that there is
at least a one-in-two likelihood of a rating change. Such
CreditWatch placement does not mean a rating change is inevitable.
Nineteen of these transactions are reinvesting, while 15 are in
their amortizing phase.
The negative CreditWatch placements are primarily due to a decline
of the credit support for these classes at their current rating
levels, which is reflected in a drop in their overcollateralization
(OC) ratios and weakened cash flow results. S&P notes that though
the trustee-reported OC ratios of reinvesting CLOs could be above
their minimum required level, these have declined since the
respective transactions went effective.
While the decline in the OC of reinvesting CLOs is likely due to
par losses, the weakened cash flow results of these reinvesting
CLOs are likely due to a combination of par losses and decreases in
key metrics of the underlying collateral, such as recovery rates
and spreads.
The amortizing CLOs could have additional issues--such as increased
concentration, higher exposure to 'CCC' rated collateral, etc.--as
the portfolio decreases following paydowns.
Though there are five classes with 'BBB- (sf)' ratings that are
part of the actions, nearly all the negative CreditWatch placements
affect classes in the junior part of the capital structure: 32 in
the 'BB' category, eight in the 'B' category, and one in the 'CCC'
category.
S&P intends to resolve these CreditWatch placements within 90 days,
following a committee review.
S&P will continue to monitor the transactions we rate and take
rating actions, including CreditWatch placements, as it deems
appropriate.
Ratings list
Rating
Issuer
Class CUSIP To From
Ares LIV CLO Ltd.
E 04017XAA8 BB- (sf)/Watch Neg BB- (sf)
BCRED BSL CLO 2022-1 Ltd.
E 05553YAQ8 BB- (sf)/Watch Neg BB- (sf)
BlueMountain CLO 2014-2 Ltd.
E-R2 09626FAJ0 BB- (sf)/Watch Neg BB- (sf)
BlueMountain CLO 2014-2 Ltd.
F-R2 09626FAL5 B- (sf)/Watch Neg B- (sf)
BlueMountain CLO 2018-2 Ltd.
E 09629WAA9 BB- (sf)/Watch Neg BB- (sf)
Cathedral Lake VIII Ltd.
D-J 14919GAL9 BBB- (sf)/Watch Neg BBB- (sf)
Cathedral Lake VIII Ltd.
E 14919KAA4 BB- (sf)/Watch Neg BB- (sf)
CBAM 2021-14 Ltd.
E 12511HAA7 BB- (sf)/Watch Neg BB- (sf)
Columbia Cent CLO 30 Ltd.
E 19736VAA0 BB- (sf)/Watch Neg BB- (sf)
Dryden 55 CLO Ltd.
E 26245QAA0 BB- (sf)/Watch Neg BB- (sf)
Dryden 55 CLO Ltd.
F 26245QAC6 B- (sf)/Watch Neg B- (sf)
Dryden 75 CLO, Ltd.
E-R2 26252KAJ4 BB- (sf)/Watch Neg BB- (sf)
Dryden 77 CLO Ltd.
E-R 26252YAE5 BB- (sf)/Watch Neg BB- (sf)
Guggenheim CLO 2019-1 Ltd.
D-1-R 40171GAL7 BB+ (sf)/Watch Neg BB+ (sf)
Guggenheim CLO 2019-1 Ltd.
D-2-R 40171GAN3 BB- (sf)/Watch Neg BB- (sf)
HPS Loan Management 2013-2 Ltd.
D-R 44330FAA3 BB- (sf)/Watch Neg BB- (sf)
HPS Loan Management 2013-2 Ltd.
E-R 44330FAC9 CCC+ (sf)/Watch Neg CCC+ (sf)
HPS Loan Management 3-2014 Ltd.
D-R 40436YAA3 B+ (sf)/Watch Neg B+ (sf)
HPS Loan Management 3-2014 Ltd.
E-R 40436YAC9 B- (sf)/Watch Neg B- (sf)
ICG US CLO 2016-1 Ltd.
CR-R 44931NAW1 BBB- (sf)/Watch Neg BBB- (sf)
ICG US CLO 2016-1 Ltd.
DR-R 44931KAJ6 B (sf)/Watch Neg B (sf)
KKR CLO 16 Ltd.
D-R2 48251DAG1 BB- (sf)/Watch Neg BB- (sf)
LCM 29 Ltd.
E-R 50201LAE5 BB- (sf)/Watch Neg BB- (sf)
LCM 32 Ltd.
E 50202BAA4 BB- (sf)/Watch Neg BB- (sf)
MidOcean Credit CLO VI
E-RR 59802WAG0 BB- (sf)/Watch Neg BB- (sf)
MidOcean Credit CLO X
D-2-RR 59803ABS0 BBB- (sf)/Watch Neg BBB- (sf)
MidOcean Credit CLO X
E-R 59803BAL4 BB- (sf)/Watch Neg BB- (sf)
Octagon 53 Ltd.
D 67592RAG8 BBB- (sf)/Watch Neg BBB- (sf)
Octagon 53 Ltd.
E 67592UAA4 BB- (sf)/Watch Neg BB- (sf)
Octagon 57 Ltd.
E 67592YAA6 BB- (sf)/Watch Neg BB- (sf)
Octagon Investment Partners 50 Ltd.
D-R 67592MAU8 BBB- (sf)/Watch Neg BBB- (sf)
Octagon Investment Partners 50 Ltd.
E-R 67592NAE2 BB- (sf)/Watch Neg BB- (sf)
Octagon Investment Partners XXII Ltd.
E-RR 67574QAL1 BB- (sf)/Watch Neg BB- (sf)
Octagon Investment Partners XXII Ltd.
F-RR 67574QAN7 B- (sf)/Watch Neg B- (sf)
OFSI BSL IX Ltd.
E 67112NAA1 BB- (sf)/Watch Neg BB- (sf)
PPM CLO 2 Ltd.
E-R 69377RAE0 BB- (sf)/Watch Neg BB- (sf)
Romark WM-R Ltd.
E 77587CAC6 B+ (sf)/Watch Neg B+ (sf)
Romark WM-R Ltd.
F 77587CAE2 B- (sf)/Watch Neg B- (sf)
Signal Peak CLO 4 Ltd.
E-R 82667GAA4 BB- (sf)/Watch Neg BB- (sf)
Symphony CLO XXVI Ltd.
E-R 87167VAA5 BB- (sf)/Watch Neg BB- (sf)
TICP CLO XII Ltd.
E-R 87250GAE8 BB- (sf)/Watch Neg BB- (sf)
Tralee CLO VI Ltd.
E 89289EAQ7 BB- (sf)/Watch Neg BB- (sf)
Voya CLO 2019-4 Ltd.
E-R 92917UAE2 BB- (sf)/Watch Neg BB- (sf)
Voya CLO 2020-1 Ltd.
E-R 92918GAE2 BB- (sf)/Watch Neg BB- (sf)
Wellfleet CLO 2020-2 Ltd.
E-R 94950BAE8 BB- (sf)/Watch Neg BB- (sf)
Wind River 2019-2 CLO Ltd.
E-R 97314FAA1 BB- (sf)/Watch Neg BB- (sf)
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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
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
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herein is obtained from sources believed to be reliable, but is
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or $2,350 for twelve months, delivered via e-mail. Additional
e-mail subscriptions for members of the same firm for the term
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Peter A. Chapman at 215-945-7000.
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