250928.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, September 28, 2025, Vol. 29, No. 270
Headlines
A&D MORTGAGE 2025-NQM4:S&P Assigns Prelim 'B-' Rating on B-2 Certs
ACADEMIC LOAN 2013-1: Fitch Affirms 'BBsf' Rating on Class A Notes
AMMC CLO 25: Fitch Assigns 'BB+(EXP) sf' Rating on Class E-R Notes
AMSR TRUST 2025-SFR2: DBRS Gives Prov. BB Rating on Class F1 Certs
APIDOS LOAN 2024-1: Fitch Assigns 'BB+sf' Rating on Class E-R Notes
APIDOS LOAN 2024-1: Moody's Assigns B3 Rating to $550,000 F-R Notes
ARES LXVI: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
BARCLAYS MORTGAGE 2025-NQM5: S&P Assigns B(sf) Rating on B-2 Notes
BARINGS CLO 2023-II: Fitch Rates Cl. E-R Notes 'BB+sf'
BARINGS CLO 2023-II: Moody's Gives B3 Rating to $250,000 F-R Notes
BARINGS CLO 2023-III: S&P Assigns Prelim 'BB-' Rating on E-R Notes
BARINGS CLO 2025-IV: Fitch Assigns 'BB-sf' Rating on Class E Notes
BASSWOOD PARK: S&P Assigns BB- (sf) Rating on Class E-R Notes
BBCMS MORTGAGE 2022-C15: Fitch Lowers Rating on 2 Tranches to 'Bsf'
BENCHMARK 2021-B27: Fitch Affirms 'Bsf' Rating on Two Tranches
BENEFIT STREET 43: S&P Assigns Prelim BB- (sf) Rating on E Notes
BENEFIT STREET IV: S&P Assigns BB- (sf) Rating on Cl. E-R5 Notes
BLUEMOUNTAIN CLO 2018-3: S&P Lowers F Notes Rating to 'CCC+ (sf)'
BMO 2025-5C12: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs
CARLYLE US 2023-3: Fitch Assigns BB-(EXP) Rating on Cl. E-R Notes
CARLYLE US 2025-4: Fitch Assigns 'BB-sf' Rating on Class E Notes
CARMAX SELECT 2025-B: S&P Assigns BB (sf) Rating on Class E Notes
CARVANA AUTO 2025-P3: S&P Assigns BB (sf) Rating on Class N Notes
CD 2017-CD6: DBRS Confirms B Rating on Class G-RR Certs
CEDAR CREST 2022-1: Fitch Affirms 'B-sf' Rating on Class F Notes
CIFC FUNDING 2019-II: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes
CITIGROUP 2017-P8: DBRS Cuts Ratings on 4 Classes to C
CITIGROUP 2018-C6: Fitch Lowers Rating on Class G-RR Certs to 'Bsf'
COMM 2016-CCRE28: Fitch Lowers Rating on Class D Debt to 'B-sf'
COOPR RESIDENTIAL 2025-CES3: Fitch Rates Class B-2 Debt 'Bsf'
CSAIL 2017-CX10: Fitch Lowers Rating on Two Tranches to 'BBsf'
DRYDEN 97: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
ELARA HGV 2025-A: Fitch Assigns 'BBsf' Final Rating on Cl. D Notes
ELARA HGV 2025-A: S&P Assigns BB- (sf) Rating on Class D Notes
FS RIALTO 2022-FL4: DBRS Confirms B(high) Rating on G Notes
HARBORVIEW MORTGAGE 2005-9: Moody's Ups Rating on 3 Bonds to Caa1
HAVN TRUST 2025-MOB: Fitch Assigns B-(EXP)sf Rating on Cl. F Certs
HOMES 2025-AFC3: S&P Assigns B (sf) Rating on Class B-2 Notes
ICG US CLO 2016-1: S&P Affirms B- (sf) Rating on Class D-RR Notes
JP MORGAN 2025-VIS3: S&P Assigns Prelim 'B-' Rating on B-2 Certs
KRR CLO 18: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
MADISON PARK LXXIII: Fitch Assigns 'BB+sf' Rating on Class E Notes
MADISON PARK LXXIII: Moody's Assigns B3 Rating to $250,000 F Notes
MARANON LOAN 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes
MARBLE POINT XIX: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
METAL 2017-1: Fitch Lowers Rating on Three Tranches to 'Csf'
MFA 2025-NQM4: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs
MIDOCEAN CREDIT II: S&P Affirms B- (sf) Rating on Class E-R Notes
MJX VENTURE II: Moody's Cuts Rating on $1.5MM Ser. H/E Notes to Ba3
MORGAN STANLEY 2018-H3: DBRS Cuts Class HRR Certs Rating to C
MORGAN STANLEY 2021-1: Fitch Assigns BB-sf Rating on Cl. E-R Notes
MORGAN STANLEY 2024-NSTB: DBRS Confirms B(high) Rating on G Certs
MOUNTAIN VIEW 2013-1: S&P Raises E-R Notes Rating to 'CCC- (sf)'
MOUNTAIN VIEW XVII: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
NATIXIS COMMERCIAL 2019-NEMA: DBRS Confirms BB Rating on X Certs
NEW RESIDENTIAL 2021-INV2: Moody's Ups Rating on B5 Certs from Ba1
NLT TRUST 2025-CES1: Fitch Gives 'B(EXP)' Rating on Class B-2 Notes
NYMT LOAN 2025-INV2: S&P Assigns Prelim B-(sf) Rating on B-2 Notes
ONE MAGNETITE XXI: S&P Affirms B- (sf) Rating on Class F-R Notes
PALMER SQUARE 2019-1: Fitch Assigns 'B-sf' Rating on Cl. F-R2 Notes
PALMER SQUARE 2022-1: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
PALMER SQUARE 2022-2: Moody's Ups Rating on $28MM D Notes from Ba1
PRET 2025-RPL4: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Debt
PRMI SECURITIZATION 2025-PHL1: DBRS Finalizes B Rating on B-2 Notes
PRMI SECURITIZATION 2025-PHL1: Fitch Rates B2 Notes 'Bsf'
RADIAN MORTGAGE 2024-J2: Moody's Ups Rating on B-4 Certs from Ba1
RCKT MORTGAGE 2025-CES9: Fitch Assigns B(EXP) Rating on 5 Tranches
SANTANDER 2025-NQM5: S&P Assigns Prelim B (sf) Rating on B-2 Notes
SARATOGA INVESTMENT: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
SEQUOIA MORTGAGE 2025-HYB1: Fitch Assigns B(EXP) Rating on B2 Certs
SERENITY-PEACE PARK: Fitch Assigns 'BB-sf' Final Rating on E Notes
SHR TRUST 2024-LXRY: DBRS Confirms BB(high) Rating on HRR Certs
SYCAMORE TREE 2023-4: S&P Assigns Prelim 'BB-' Rating on E-R Notes
SYMPHONY CLO 50: S&P Assigns Prelim BB- (sf) Rating on E Notes
SYMPHONY CLO XV: Moody's Cuts Rating on $25.5MM E-R2 Notes to B2
SYMPHONY CLO XXIV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
TOWD POINT 2025-FIX1: Fitch Assigns 'B-(EXP)' Rating on 5 Tranches
TOWD POINT 2025-HE2: DBRS Gives Prov. B(low) Rating on B2 Notes
TRICOLOR AUTO 2025-2: S&P Suspends Rating on Six Classes of Notes
TRUPS FINANCIALS 2025-2: Moody's Assigns Ba2 Rating to Cl. D Notes
UBS COMMERCIAL 2017-C4: Fitch Lowers Rating on Two Tranches to B-sf
UBS COMMERCIAL 2018-C15: Fitch Lowers Rating on F-RR Debt to 'B-sf'
US BANK 2025-2: DBRS Finalizes BB(high) Rating on E Notes
VENTURE 41: S&P Affirms BB- (sf) Rating on Class E Notes
VENTURE XXII CLO: Moody's Cuts Rating on $30MM Cl. E-R Notes to B2
WELLS FARGO 2016-LC25: DBRS Confirms B Rating on Class F Certs
WOODMONT 2021-8: S&P Assigns BB- (sf) Rating on Class E-R Notes
ZAYO ISSUER: Fitch Assigns 'BB-(EXP)' Rating on Class C Notes
[] DBRS Reviews 386 Classes From 32 US RMBS Transactions
[] DBRS Reviews 923 Classes From 22 US RMBS Transactions
[] Fitch Affirms 'BBsf' Rating on Six Tranches in Six MVW Trusts
[] Moody's Takes Rating Action on 7 Bonds from 5 US RMBS Deals
[] Moody's Upgrades Rating on 16 Bonds from 7 US RMBS Deals
[] S&P Takes Various Actions on 148 Classes From 30 Freddie Trusts
[] S&P Takes Various Actions on 225 Classes From 47 US CMBS Deals
*********
A&D MORTGAGE 2025-NQM4:S&P Assigns Prelim 'B-' Rating on B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to A&D Mortgage
Trust 2025-NQM4's mortgage-backed certificates.
The certificates are backed first- and second-lien, fixed- and
floating-rate, fully amortizing residential mortgage loans (some
with interest-only periods) to prime and nonprime borrowers. The
loans are secured by single-family residential properties, planned
unit developments, condominiums, two- to four-family residential
properties, mixed-use properties, manufactured housing, five- to
10-unit multifamily residences, and condotels. The pool consists of
1,296 loans, which are qualified mortgage (QM) safe harbor (average
prime offer rate [APOR]), QM rebuttable presumption (APOR),
non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans.
The preliminary ratings are based on information as of Sept. 23,
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 our current
projections for economic growth, unemployment rates, and interest
rates, as well as its 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-NQM4
Class A-1A, $265,382,000: AAA (sf)
Class A-1B, $43,541,000: AAA (sf)
Class A-1, $308,923,000: AAA (sf)
Class A-2, $33,744,000: AA- (sf)
Class A-3, $44,847,000: A- (sf)
Class M-1, $18,070,000: BBB- (sf)
Class B-1, $10,232,000: BB (sf)
Class B-2, $13,715,000: B- (sf)
Class B-3, $5,878,992: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, N/A: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
NR--Not rated.
N/A--Not applicable.
ACADEMIC LOAN 2013-1: Fitch Affirms 'BBsf' Rating on Class A Notes
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Fitch Ratings has affirmed the ratings on the outstanding notes of
Academic Loan Funding Trust (ALFT) 2011-1, ALFT 2012-1, and ALFT
2013-1. The Rating Outlooks for ALFT 2011-1 and 2012-1 remain
Stable. The Outlook for ALFT 2013-1 remains Negative.
Entity/Debt Rating Prior
----------- ------ -----
Academic Loan
Funding Trust 2011-1
A 003895AA7 LT AA+sf Affirmed AA+sf
Academic Loan
Funding Trust 2012-1
A-2 00400VAB3 LT AA+sf Affirmed AA+sf
Academic Loan
Funding Trust 2013-1
Class A Notes 00389VAA0 LT BBsf Affirmed BBsf
Transaction Summary
ALFT 2011-1: The class A notes pass all credit and maturity rating
stresses with sufficient credit enhancement (CE). Defaults have
been trending low recently, and Fitch revised the sustainable
constant default rate (sCDR) downwards to 5.0% from 8.0% in its
cash flow modeling assumptions. Fitch has affirmed the class A
notes at 'AA+sf' with a Stable Outlook.
ALFT 2012-1: The class A-2 notes pass all credit and maturity
rating stresses with sufficient CE. Fitch has affirmed the class A
notes at 'AA+sf' with a Stable Outlook.
ALFT 2013-1: The class A notes pass all maturity stresses but fail
credit stresses in the stable and increasing interest rate
scenarios in the 'AAAsf' through 'BBsf' rating categories. These
failures are due to higher interest rates eroding trust excess
spread in Fitch's cash flow modeling, leading to principal and
interest shortfalls in these scenarios. The notes failed the 'BBsf'
stable rate stresses during the last review, however, for the
current review the shortfall has extended to the increasing rating
stress scenario as well.
The Outlook remains Negative, reflecting the possibility for future
downgrades as the trust remains sensitive to additional changes in
excess spread.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises 100% Federal
Family Education Loan Program (FFELP) loans with guaranties
provided by eligible guarantors and reinsurance provided by the
U.S. Department of Education (ED) for at least 97% of principal and
accrued interest. The U.S. sovereign is currently rated
'AA+'/Stable Outlook by Fitch.
Collateral Performance:
ALFT 2011-1: Based on transaction-specific performance to date,
Fitch assumes a cumulative default rate of 30.00% under the base
case scenario and a 82.50% default rate under the 'AA' credit
stress, with an effective default rate of 95.94% after applying the
default timing curve, as per criteria. Fitch revised its
sustainable constant default rate (sCDR) to 5.0% from 8.0% and
maintained its sustainable constant prepayment rate (sCPR;
voluntary and involuntary prepayments) at 11.0% in cash flow
modelling. Fitch applies the standard default timing curve in its
credit stress cash flow analysis. The claim reject rate is assumed
to be 0.25% in the base case and 1.65% in the 'AA' case based on
historical servicer data.
The trailing twelve-month (TTM) levels of deferment, forbearance
and income-based repayment (IBR) are 3.58% (3.86% at July 2024),
9.57% (12.94%) and 23.23% (21.12%), respectively. These are used as
the starting point in cash flow modelling. Subsequent declines or
increases are modeled as per criteria. Both the 31-60 days past due
(DPD) and 91-120 DPD increased to 5.56% and 1.34% from 3.59% and
1.24%, respectively, in the prior review. The borrower benefit is
assumed to be 0.0%, based on information provided by the sponsor.
ALFT 2012-1: Based on transaction-specific performance to date,
Fitch assumes a cumulative default rate of 38.00% under the base
case scenario and a 100.0% default rate under the 'AA' credit
stress, with an effective default rate of 98.02% after applying the
default timing curve, as per criteria. Fitch maintained its sCDR
and sCPR of 6.0% and 12.0%, respectively, in cash flow modelling.
Fitch applies the standard default timing curve in its credit
stress cash flow analysis. The claim reject rate is assumed to be
0.25% in the base case and 1.65% in the 'AA' case based on
historical servicer data.
The trailing twelve-month (TTM) levels of deferment, forbearance
and income-based repayment (IBR) are 4.58% (4.95% at June 2024),
10.97% (12.15%) and 34.45% (33.036%), respectively. These are used
as the starting point in cash flow modelling. Subsequent declines
or increases are modeled as per criteria. Both the 31-60 days past
due (DPD) and the 91-120 DPD improved from 12 months prior to 2.07%
(3.17%) and 0.61% (1.70%), respectively. The borrower benefit is
assumed to be 0.22%, based on information provided by the sponsor.
ALFT 2013-1: Based on transaction-specific performance to date,
Fitch assumes a cumulative default rate of 62.75% under the base
case scenario and a 100.0% default rate under the 'AA' credit
stress, with an effective default rate of 96.96% after applying the
default timing curve, as per criteria. Fitch maintained its sCDR
and sCPR at 10.0% and 13.0%, respectively, in cash flow modelling.
Fitch applies the standard default timing curve in its credit
stress cash flow analysis. The claim reject rate is assumed to be
0.25% in the base case and 1.65% in the 'AA' case based on
historical servicer data.
The trailing twelve-month (TTM) levels of deferment, forbearance
and income-based repayment (IBR) are 5.80% (5.14% at June 2024),
12.23% (16.04%) and 25.59% (25.67%), respectively. These are used
as the starting point in cash flow modelling. Subsequent declines
or increases are modeled as per criteria. The 31-60 days past due
(DPD) improved to 3.46% from 4.44% at the prior review. The 91-120
DPD also significantly improved to 2.48% from increased from
September 2022 and are currently 4.24% for 31 DPD and 3.63% for 91
DPD compared to 5.29% and 1.83% for 31 DPD and 91 DPD,
respectively. The borrower benefit is assumed to be 0.0%, based on
information provided by the sponsor.
Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. For transactions that were
modeled for this review, Fitch applies its standard basis and
interest rate stresses as per criteria.
Payment Structure:
ALFT 2011-1: Credit enhancement (CE) is provided by excess spread
and overcollateralization (OC). As of the August 2025 distribution
date, the reported total parity ratio (including the reserve) is
111.9%. Liquidity support is provided by a reserve account sized at
its floor of $250,000.
ALFT 2012-1: CE is provided by excess spread and OC. As of the
August 2025 distribution date, the reported total parity ratio
(including the reserve) is 103.6%. Liquidity support is provided by
a reserve account sized at its floor of $1,250,000. The transaction
will release excess cash as long as 104.0% total parity is
maintained.
ALFT 2013-1: CE is provided by excess spread and OC. As of the
August 2025 distribution date, the reported total parity ratio
(including the reserve) is 104.0%. Liquidity support is provided by
a reserve account sized at its floor of $250,000.
Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC for ALFT 2011-1; Great Lakes Education Loan
Services Inc. (Nelnet subsidiary) and Pennsylvania Higher Education
Assistance Agency (PHEAA) for ALFT 2012-1 and ALFT 2013-1,
respectively. Fitch believes the servicers to be adequate, due to
their extensive track record as the largest servicers of FFELP
loans.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
'AA+sf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating given the strong
linkage to the U.S. sovereign, by nature of the reinsurance
provided by the Department of Education. Aside from the U.S.
sovereign rating, defaults, basis risk and loan extension risk
account for the majority of the risk embedded in FFELP student loan
transactions. This section provides insight into the model-implied
sensitivities the transaction faces when one assumption is
modified, while holding others equal.
Fitch conducts credit and maturity stress sensitivity analysis by
increasing or decreasing key assumptions by 25% and 50% over the
base case. The credit stress sensitivity is viewed by stressing
both the base case default rate and the basis spread. The maturity
stress sensitivity is viewed by stressing remaining term, IBR usage
and prepayments. The results below should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
ALFT 2011-1
Credit Stress Sensitivity
- Default increase 25%: class A 'AA+sf';
- Default increase 50%: class A 'AA+sf';
- Basis Spread increase 0.25%: class A 'AA+sf';
- Basis Spread increase 0.50%: class A 'AA+sf'.
Maturity Stress Sensitivity
- CPR decrease 25%: class A 'AA+sf';
- CPR decrease 50%: class A 'AA+sf';
- IBR usage increase 25%: class A 'AA+sf';
- IBR usage increase 50%: class A 'AA+sf';
- Remaining term increase 25%: class A 'AA+sf';
- Remaining term increase 50%: class A 'AA+sf'.
ALFT 2012-1
Credit Stress Sensitivity
- Default increase 25%: class A 'AA+sf';
- Default increase 50%: class A 'AA+sf';
- Basis Spread increase 0.25%: class A 'AA+sf';
- Basis Spread increase 0.50%: class A 'AA+sf'.
Maturity Stress Sensitivity
- CPR decrease 25%: class A 'AA+sf';
- CPR decrease 50%: class A 'AA+sf';
- IBR usage increase 25%: class A 'AA+sf';
- IBR usage increase 50%: class A 'AA+sf';
- Remaining term increase 25%: class A 'AA+sf';
- Remaining term increase 50%: class A 'AAsf'.
ALFT 2013-1
Credit Stress Sensitivity
- Default increase 25%: class A 'Bsf';
- Default increase 50%: class A 'Bsf';
- Basis Spread increase 0.25%: class A 'Bsf';
- Basis Spread increase 0.50%: class A 'CCCsf'.
Maturity Stress Sensitivity
- CPR decrease 25%: class A 'AA+sf';
- CPR decrease 50%: class A 'AA+sf';
- IBR usage increase 25%: class A 'AA+sf';
- IBR usage increase 50%: class A 'AA+sf';
- Remaining term increase 25%: class A 'AAsf';
- Remaining term increase 50%: class A 'Asf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
ALFT 2011-1
No upgrade credit or maturity stress sensitivity is provided for
the notes, as the class A notes are at their highest achievable
ratings.
ALFT 2012-1
No upgrade credit or maturity stress sensitivity is provided for
the notes, as the class A-2 notes are at their highest achievable
ratings.
ALFT 2013-1
Credit Stress Sensitivity
- Default decrease 25%: class A 'BBsf';
- Basis Spread decrease 0.25%: class A 'BBsf'.
Maturity Stress Sensitivity
- CPR increase 25%: class A 'AA+sf';
- IBR usage decrease 25%: class A 'AA+sf';
- Remaining term decrease 25%: class A 'AA+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
AMMC CLO 25: Fitch Assigns 'BB+(EXP) sf' Rating on Class E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
AMMC CLO 25, Limited.
Entity/Debt Rating
----------- ------
AMMC CLO 25,
Limited - 2025
X LT NR(EXP)sf Expected Rating
A-1-R2 LT NR(EXP)sf Expected Rating
A-2-R2 LT AAA(EXP)sf Expected Rating
B-R2 LT AA+(EXP)sf Expected Rating
C-R2 LT A+(EXP)sf Expected Rating
D-1-R2 LT BBB-(EXP)sf Expected Rating
D-2-R2 LT BBB-(EXP)sf Expected Rating
E-R2 LT BB+(EXP)sf Expected Rating
F LT NR(EXP)sf Expected Rating
Subordinated Notes LT NR(EXP)sf Expected Rating
Transaction Summary
AMMC CLO 25, Limited (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is being managed by
American Money Management Corporation. 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: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 97.42%
first-lien senior secured loans and has a weighted average recovery
assumption of 74.07%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting to
the indicative portfolio to reflect permissible concentration
limits and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2,
and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and
between less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'Asf'
for class D-1-R2, and 'A-sf' for class D-2-R2 and 'BBB+sf' for
class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for AMMC CLO 25,
Limited. In cases where Fitch does not provide ESG relevance scores
in connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
AMSR TRUST 2025-SFR2: DBRS Gives Prov. BB Rating on Class F1 Certs
------------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Single-Family Rental Pass-Through Certificates (the Certificates)
to be issued by AMSR 2025-SFR2 Trust:
-- $227.9 million Class A at (P) AAA (sf)
-- $45.3 million Class B at (P) AA (low) (sf)
-- $25.1 million Class C at (P) A (low) (sf)
-- $34.1 million Class D at (P) BBB (sf)
-- $13.2 million Class E1 at (P) BBB (sf)
-- $16.2 million Class E2 at (P) BBB (low) (sf)
-- $30.5 million Class F1 at (P) BB (sf)
-- $9.4 million Class F2 at (P) BB (low) (sf)
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The (P) AAA (sf) credit rating on the Class A certificates reflects
47.85% of credit enhancement provided by subordinate certificates.
The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (sf), (P) BBB
(low) (sf), (P) BB (sf) and (P) BB (low) (sf) credit ratings
reflect 37.47%, 31.72%, 23.92%, 20.91%, 17.20%, 10.22%, and 8.06%
respectively, of credit enhancement.
The AMSR 2025-SFR2 certificates are supported by income streams and
values from 1,563 rental properties. The properties are distributed
across 15 states and 35 MSAs in the United States. Morningstar DBRS
maps an MSA based on the ZIP code provided in the data tape, which
may result in different MSA stratifications than those provided in
offering documents. As measured by BPO value, 48.0% of the
portfolio is concentrated in three states: Tennessee (21.2%),
Alabama (13.5%), and Missouri (13.3%). The average BPO value is
$300,668. The average age of the properties is roughly 26 years as
of the cut-off date. The majority of the properties have three or
more bedrooms. The certificates represent a beneficial ownership in
an approximately five-year, fixed-rate, interest-only loan with an
initial aggregate principal balance of approximately $437.1
million.
Morningstar DBRS assigned the provisional credit ratings for each
class of certificates by performing a quantitative and qualitative
collateral, structural, and legal analysis. This analysis uses
Morningstar DBRS' single-family rental subordination analytical
tool and is based on Morningstar DBRS' published criteria. (For
more details, see https://dbrs.morningstar.com). Morningstar DBRS
developed property-level stresses for the analysis of single-family
rental assets. Morningstar DBRS assigned the provisional credit
ratings to each class based on the level of stresses each class can
withstand and whether such stresses are commensurate with the
applicable credit rating level. Morningstar DBRS' analysis includes
estimated base-case NCFs by evaluating the gross rent, concession,
vacancy, operating expenses, and capital expenditure (capex) data.
The Morningstar DBRS NCF analysis resulted in a minimum DSCR of
higher than 1.0 times (x). (For more details, see the Morningstar
DBRS' Analysis section of the related presale report.)
Furthermore, Morningstar DBRS reviewed the third-party participants
in the transaction, including the property manager, servicer, and
special servicer. These transaction parties are acceptable to
Morningstar DBRS.
Notes: All figures are in U.S. dollars unless otherwise noted.
APIDOS LOAN 2024-1: Fitch Assigns 'BB+sf' Rating on Class E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Apidos
Loan Fund 2024-1 Ltd reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Apidos Loan
Fund 2024-1 Ltd
X-R LT NRsf New Rating
A-1-R LT NRsf New Rating
A-2 037986AC0 LT PIFsf Paid In Full AAAsf
A-2-R LT AAAsf New Rating
B 037986AE6 LT PIFsf Paid In Full AA+sf
B-R LT AAsf New Rating
C 037986AG1 LT PIFsf Paid In Full A+sf
C-R LT Asf New Rating
D 037986AJ5 LT PIFsf Paid In Full BBB+sf
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E 037985AA6 LT PIFsf Paid In Full BB+sf
E-R LT BB+sf New Rating
F-R LT NRsf New Rating
Transaction Summary
Apidos Loan Fund 2024-1 Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by CVC Credit
Partners, LLC that originally closed in May 2024. Net proceeds from
the issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $550 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 96.84% first
lien senior secured loans and has a weighted average recovery
assumption of 72.54%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 40% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R,
between less than 'B-sf' and 'BB+sf' for class D-2-R, and between
less than 'B-sf' and 'BB-sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Apidos Loan Fund
2024-1 Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
APIDOS LOAN 2024-1: Moody's Assigns B3 Rating to $550,000 F-R Notes
-------------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of CLO
refinancing notes (the Refinancing Notes) issued by Apidos Loan
Fund 2024-1, Ltd. (the Issuer):
US$5,000,000 Class X-R Senior Secured Floating Rate Notes due 2038,
Definitive Rating Assigned Aaa (sf)
US$341,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2038, Definitive Rating Assigned Aaa (sf)
US$550,000 Class F-R Mezzanine Deferrable Floating Rate Notes due
2038, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of first lien senior secured
loans and up to 10.0% of the portfolio may consist of second lien
loans, unsecured loans, first lien last out loans and permitted
non-loan assets, collectively.
CVC Credit Partners, LLC (the Manager) will continue to direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing Notes, the other six
classes of secured notes and additional subordinated notes, a
variety of other changes to transaction features will occur in
connection with the refinancing. These include: extension of the
reinvestment period; extensions of the stated maturity and non-call
period; changes to certain collateral quality tests; changes to the
overcollateralization test levels; and changes to the base matrix
and modifiers.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodologies
and could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par: $550,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3125
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 7.00%
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 Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
ARES LXVI: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXVI
CLO Ltd. reset.
Entity/Debt Rating Prior
----------- ------ -----
Ares LXVI CLO Ltd.
A-1-R2 LT NRsf New Rating
A-2-R2 LT AAAsf New Rating
B-R 04019RAW1 LT PIFsf Paid In Full AAsf
B-R2 LT AAsf New Rating
C-R 04019RAY7 LT PIFsf Paid In Full Asf
C-R2 LT Asf New Rating
D-1R2 LT BBB-sf New Rating
D-2R2 LT BBB-sf New Rating
D-R 04019RBA8 LT PIFsf Paid In Full BBB-sf
E-R 04019TAE7 LT PIFsf Paid In Full BB-sf
E-R2 LT BB-sf New Rating
X-R2 LT NRsf New Rating
Transaction Summary
Ares LXVI CLO Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Ares CLO Management
LLC that originally closed in 2022. This is the second refinancing
of the notes where all existing notes will be refinanced in whole.
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: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 24.43 and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 96.45% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.09% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1R2,
between less than 'B-sf' and 'BB+sf' for class D-2R2, and between
less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2,
'A+sf' for class D-1R2, 'A-sf' for class D-2R2, and 'BBB+sf' for
class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Ares LXVI CLO Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
BARCLAYS MORTGAGE 2025-NQM5: S&P Assigns B(sf) Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Barclays Mortgage Loan
Trust 2025-NQM5's mortgage-backed securities.
The note issuance is an RMBS transaction backed first- and
second-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods) to
prime and nonprime borrowers. The loans are secured by
single-family residential properties, townhouses, planned-unit
developments, condominiums, two- to four-family residential
properties, and a condotel. The pool consists of 658 loans, which
are qualified mortgage (QM)/non-higher priced mortgage loan (HPML)
(average prime offer rate [APOR]), QM/HPML (APOR),
non-QM/ability-to-repay (ATR) compliant, and ATR-exempt.
The ratings reflect S&P"s view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty (R&W) framework, and
geographic concentration;
-- The mortgage aggregator and originators; and
-- S&P's U.S. economic outlook, which considers its current
projections for U.S. economic growth, unemployment rates, and
interest rates, as well as our view of housing fundamentals. S&P's
outlook is updated, if necessary, when these projections change
materially.
Ratings Assigned(i)
Barclays Mortgage Loan Trust 2025-NQM5
Class A-1, $240,559,000: AAA (sf)
Class A-2, $13,755,000: AA (sf)
Class A-3, $42,904,000: A (sf)
Class M-1, $14,902,000: BBB- (sf)
Class B-1, $5,896,000: BB (sf)
Class B-2, $6,222,000: B (sf)
Class B-3, $3,276,000: NR
Class SA, $50,848: NR
Class XS-1, Notional(ii): NR
Class XS-2, Notional(ii): NR
Class PT-1, $327,564,848: NR
Class PT-2, $278,430,121: NR
Class R, not applicable: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address payment of the net WAC shortfall
amounts.
(ii)On any payment date, the class XS-1 and XS-2 notes will have a
notional amount equal to approximately 10% and 90%, respectively,
of the aggregate stated mortgage loans' principal balance as of the
first day of the related due period and will not be entitled to
principal payments.
NR--Not rated.
BARINGS CLO 2023-II: Fitch Rates Cl. E-R Notes 'BB+sf'
------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Barings CLO Ltd. 2023-II reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Barings CLO Ltd.
2023-II
A-1 06763FAA8 LT PIFsf Paid In Full AAAsf
A-1-R LT AAAsf New Rating AAA(EXP)sf
A-2 06763FAB6 LT PIFsf Paid In Full AAAsf
A-2-R LT AAAsf New Rating AAA(EXP)sf
B-1 06763FAC4 LT PIFsf Paid In Full AAsf
B-2 06763FAF7 LT PIFsf Paid In Full AAsf
B-R LT AA+sf New Rating AA+(EXP)sf
C 06763FAD2 LT PIFsf Paid In Full Asf
C-R LT A+sf New Rating A+(EXP)sf
D 06763FAE0 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBBsf New Rating BBB-(EXP)sf
D-2-R LT BBB-sf New Rating BBB-(EXP)sf
E 06763GAA6 LT PIFsf Paid In Full BB-sf
E-R LT BB+sf New Rating BB+(EXP)sf
F-R LT NRsf New Rating NR(EXP)sf
Transaction Summary
Barings CLO Ltd. 2023-II (the issuer), a reset transaction that
originally closed in 2023, is an arbitrage cash flow collateralized
loan obligation (CLO) that is managed by Barings LLC. Net proceeds
from the issuance of the secured and subordinated notes will
provide financing on a portfolio of approximately $500 million of
primarily first lien senior secured leveraged loans.
The final rating assigned to the class D-1R notes is one notch
higher than the expected rating communicated in the presale report.
The rating change from 'BBB-(EXP)sf' to 'BBBsf' for the class D-1R
notes is driven by the lower cost of funding on the senior and
deferrable tranches compared to the cost of funding used during the
EXP rating analysis.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 99.8% first
lien senior secured loans and has a weighted average recovery
assumption of 76.82%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 38.5% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with that of other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings. The WAL used for the transaction stress portfolio
is 12 months less than the WAL covenant to account for structural
and reinvestment conditions after the reinvestment period. In
Fitch's opinion, these conditions would reduce the effective risk
horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'Asf' and 'AAAsf' for class A-1-R, between
'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf'
for class B-R, between 'B+sf' and 'A-sf' for class C-R, between
less than 'B-sf' and 'BB+sf' for class D-1R, between less than
'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and
'BB-sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-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, 'AA+sf' for class C-R, 'A+sf'
for class D-1R, 'Asf' for class D-2R, and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
ESG DISCLOSURES
Fitch does not provide ESG relevance scores for Barings CLO LTD.
2023-II.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
BARINGS CLO 2023-II: Moody's Gives B3 Rating to $250,000 F-R Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of CLO
refinancing notes (the Refinancing Notes) issued by Barings CLO
Ltd. 2023-II (the Issuer):
US$307,500,000 Class A-1R Senior Secured Floating Rate Notes due
2037, Definitive Rating Assigned Aaa (sf)
US$250,000 Class F-R Secured Deferrable Mezzanine Floating Rate
Notes due 2038, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
96.0% of the portfolio must consist of first lien senior secured
loans and up to 4.0% of the portfolio may consist of second lien
loans, unsecured loans and bonds.
Barings LLC (the Manager) will continue to direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's extended five year reinvestment
period. Thereafter, subject to certain restrictions, the Manager
may reinvest unscheduled principal payments and proceeds from sales
of credit risk assets.
In addition to the issuance of the Refinancing Notes, the six other
classes of secured notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; and 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 methodologies
and could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3125
Weighted Average Spread (WAS): 2.90%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.
BARINGS CLO 2023-III: S&P Assigns Prelim 'BB-' Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, A-R-L, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and
E-R debt and proposed new class X debt from Barings CLO Ltd.
2023-III/Barings CLO 2023-III LLC, a CLO managed by Barings LLC
that was originally issued in September 2023.
The preliminary ratings are based on information as of Sept. 19,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Sept. 29, 2025, refinancing date, the proceeds from the
replacement and proposed new debt will be used to redeem the
existing debt. S&P said, "At that time, we expect to withdraw our
ratings on the existing class A, B, C, D, and E debt and assign
ratings to the replacement class A-R, A-R-L, B-R, C-1-R, C-2-R,
D-1-R, D-2-R, and E-R and proposed new class X debt. However, if
the refinancing doesn't occur, we may affirm our ratings on the
existing debt and withdraw our preliminary ratings on the
replacement and proposed new debt."
The replacement and proposed new 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 lower spreads
than the existing debt.
-- The non-call period will be extended to Sept. 29, 2027.
-- The reinvestment period will be extended to Oct. 15, 2030.
-- The legal final maturity date for the replacement debt and the
existing subordinated notes will be extended to Oct. 15, 2038.
-- No additional assets will be purchased on the refinancing date
and the target initial par amount will remain at $500 million.
There will be no additional effective date or ramp-up period, and
the first payment date following the refinancing will be in Jan.
15, 2026.
-- New class X debt will be issued on the refinancing date and is
expected to be paid down using interest proceeds during the first
10 payment dates in equal installments of $500,000, beginning on
the second payment date.
-- 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
Barings CLO Ltd. 2023-III/Barings CLO 2023-III LLC
Class X, $5.0 million: AAA (sf)
Class A-R, $35.0 million: AAA (sf)
Class A-R-L, $275.0 million: AAA (sf)
Class B-R, $70.0 million: AA (sf)
Class C-1-R (deferrable), $30.0 million: A (sf)
Class C-2-R (deferrable), $7.5 million: A (sf)
Class D-1-R (deferrable), $22.5 million: BBB- (sf)
Class D-2-R (deferrable), $5.0 million: BBB- (sf)
Class E-R (deferrable), $15.0 million: BB- (sf)
Other Debt
Barings CLO Ltd. 2023-III/Barings CLO 2023-III LLC
Subordinated notes, $51.0 million: NR
NR--Not rated.
BARINGS CLO 2025-IV: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Barings
CLO Ltd. 2025-IV.
Entity/Debt Rating Prior
----------- ------ -----
Barings CLO
Ltd. 2025-IV
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 LT NRsf New Rating NR(EXP)sf
Transaction Summary
Barings CLO Ltd. 2025-IV (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Barings 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: 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 22.54 and will be managed to a WARF covenant from a
Fitch test matrix. 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: The indicative portfolio consists of 96.63%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.62% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 44.5% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: 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, between less than 'B-sf' and
'BB+sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-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, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Barings CLO Ltd.
2025-IV. In cases where Fitch does not provide ESG relevance scores
in connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
BASSWOOD PARK: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, B-R, C-R, D-R, and E-R debt from Basswood Park CLO
Ltd./Basswood Park CLO LLC, a CLO managed by Blackstone CLO
Management LLC that was originally issued in April 2021. 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 Sept. 19, 2025,
refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to March 19, 2026.
-- No additional assets were purchased on the Sept. 19, 2025
refinancing date, and the target initial par amount remains the
same. There was no additional effective date or ramp-up period, and
the first payment date following the refinancing is Oct. 20, 2025.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-R, $282.375 million: Three-month CME term SOFR + 1.03%
-- Class B-R, $59.625 million: Three-month CME term SOFR + 1.50%
-- Class C-R (deferrable), $27.000 million: Three-month CME term
SOFR + 1.70%
-- Class D-R (deferrable), $27.000 million: Three-month CME term
SOFR + 2.65%
-- Class E-R (deferrable), $16.650 million: Three-month CME term
SOFR + 5.25%
Previous debt
-- Class A, $282.375 million: Three-month CME term SOFR + 1.00% +
CSA(i)
-- Class B, $59.625 million: Three-month CME term SOFR + 1.40% +
CSA(i)
-- Class C (deferrable), $27.000 million: Three-month CME term
SOFR + 1.65% + CSA(i)
-- Class D (deferrable), $27.000 million: Three-month CME term
SOFR + 2.65% + CSA(i)
-- Class E (deferrable), $16.650 million: Three-month CME term
SOFR + 6.15% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Basswood Park CLO Ltd./Basswood Park CLO LLC
Class A-R, $282.375 million: AAA (sf)
Class B-R, $59.625 million: AA (sf)
Class C-R (deferrable), $27.00 million: A (sf)
Class D-R (deferrable), $27.00 million: BBB- (sf)
Class E-R (deferrable), $16.65 million: BB- (sf)
Ratings Withdrawn
Basswood Park CLO Ltd./Basswood Park CLO LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Basswood Park CLO Ltd./Basswood Park CLO LLC
Subordinated notes, $44.60 million: NR
NR--Not rated.
BBCMS MORTGAGE 2022-C15: Fitch Lowers Rating on 2 Tranches to 'Bsf'
-------------------------------------------------------------------
Fitch Ratings has downgraded five and affirmed 12 classes of BBCMS
Mortgage Trust 2022-C15 commercial mortgage pass-through
certificates, series 2022-C15. A Negative Rating Outlook was
assigned to classes D, E and X-D following their downgrades. The
Outlooks for classes A-S, B, C and X-B were revised to Negative
from Stable.
Fitch has also affirmed 16 classes of BBCMS Mortgage Trust 2022-C18
commercial mortgage pass-through certificates, series 2022-C18. The
Outlooks for classes F-RR, G-RR and H-RR remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
BBCMS 2022-C18
A-1 054975AA5 LT AAAsf Affirmed AAAsf
A-2 054975AB3 LT AAAsf Affirmed AAAsf
A-3 054975AC1 LT AAAsf Affirmed AAAsf
A-4 054975AD9 LT AAAsf Affirmed AAAsf
A-5 054975AE7 LT AAAsf Affirmed AAAsf
A-S 054975AJ6 LT AAAsf Affirmed AAAsf
A-SB 054975AF4 LT AAAsf Affirmed AAAsf
B 054975AK3 LT AA-sf Affirmed AA-sf
C 054975AL1 LT A-sf Affirmed A-sf
D 054975AP2 LT BBBsf Affirmed BBBsf
E-RR 054975AR8 LT BBB-sf Affirmed BBB-sf
F-RR 054975AT4 LT BB+sf Affirmed BB+sf
G-RR 054975AV9 LT BB-sf Affirmed BB-sf
H-RR 054975AX5 LT B-sf Affirmed B-sf
X-A 054975AG2 LT AAAsf Affirmed AAAsf
X-D 054975AM9 LT BBBsf Affirmed BBBsf
BBCMS 2022-C15
A-1 05552FAW7 LT AAAsf Affirmed AAAsf
A-2 05552FAX5 LT AAAsf Affirmed AAAsf
A-3 05552FAY3 LT AAAsf Affirmed AAAsf
A-4 05552FAZ0 LT AAAsf Affirmed AAAsf
A-5 05552FBA4 LT AAAsf Affirmed AAAsf
A-S 05552FBE6 LT AAAsf Affirmed AAAsf
A-SB 05552FBB2 LT AAAsf Affirmed AAAsf
B 05552FBF3 LT AA-sf Affirmed AA-sf
C 05552FBG1 LT A-sf Affirmed A-sf
D 05552FAE7 LT BBsf Downgrade BBBsf
E 05552FAG2 LT Bsf Downgrade BB-sf
F 05552FAJ6 LT CCCsf Downgrade B-sf
G-RR 05552FAL1 LT CCCsf Affirmed CCCsf
X-A 05552FBC0 LT AAAsf Affirmed AAAsf
X-B 05552FBD8 LT AA-sf Affirmed AA-sf
X-D 05552FAA5 LT Bsf Downgrade BB-sf
X-F 05552FAC1 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
loss for BBCMS 2022-C15 increased to 7.2% from 6.2% at Fitch's
prior rating action. Deal-level 'Bsf' rating case loss for BBCMS
2022-C18 is 4.9% compared to 4.7% at the prior rating action.
The BBCMS 2022-C15 transaction includes eight Fitch Loans of
Concern (FLOCs; 17.6% of the pool), four of which are specially
serviced (9.4%). The BBCMS 2022-C18 transaction has six FLOCs
(11.4%), including two specially serviced loans (5.6%).
BBCMS 2022-C15: The downgrades reflect increased pool loss
expectations since the prior rating action, driven primarily by
higher expected losses on two of the specially serviced loans,
Salina Meadows Office Park (2.4%), which has an updated lower
appraisal valuation, and 1100 & 820 First Street NE (2.1%).
The Negative Outlooks for BBCMS 2022-C15 reflect the potential for
downgrades should recovery expectations on the specially serviced
loans decline beyond expectations and/or with continued performance
deterioration and lack of stabilization on the FLOCs, particularly
Moonwater Office Portfolio (3.9%), Autumn Lake (2.9%) and NYC MFRT
Portfolio (1.5%) loans. Additionally, the pool has a high office
concentration of 41.8%.
BBCMS 2022-C18: The affirmations in BBCMS 2022-C18 reflect
generally stable performance and loss expectations since the prior
rating action. The Negative Outlooks reflect the potential for
downgrades should performance of the specially serviced loans and
FLOCs continue to deteriorate and/or with a prolonged workout of
the specially serviced Wyndham National Hotel Portfolio (2.6%).
Largest Contributors to Loss: The largest contributor to overall
loss expectations in BBCMS 2022-C15 is the specially serviced
Salina Meadows Office Park loan, which is secured by a 240,475-sf
suburban office property located in Syracuse, NY. The loan
transferred to special servicing in June 2023 due to a payment
default. A receiver was appointed in November 2023, and the special
servicer is currently pursuing foreclosure.
The property was 49% occupied as of the March 2025 rent roll; major
tenants include Parsons Engineering (8.3% of NRA, tenant is
month-to-month as lease expired in December 2024), CorVel
Healthcare Corp. (6.1%, September 2028), and NCR Corporation (5.4%,
December 2026). The servicer-reported YE 2024 NOI debt service
coverage ratio (DSCR) was 0.40x.
Fitch's 'Bsf' rating case loss of approximately 87% (prior to a
concentration adjustment) considers the most recent appraisal
valuation, reflecting a stressed value of $31 psf. The updated
appraisal value is approximately 82% below the appraisal value from
issuance. Fitch's 'Bsf' rating case loss for this loan at the prior
rating action was 59%.
The second largest contributor to overall loss expectations in
BBCMS 2022-C15 is the specially serviced 1100 and 820 First Street
NE (2.1%) loan, which is secured by a portfolio of two office
buildings totaling 655,071 sf, located in downtown Washington, D.C.
The loan transferred to special servicing in June 2025 for
delinquent payments. The servicer reported that the borrower has
been unresponsive, and local counsel has been engaged to enforce
remedies.
The largest in-place tenants include Turner Broadcasting (16.8% of
total NRA; expires December 2031 with a termination option in
December 2026) and GSA (13.5%; expires in March and June 2026).
According to the servicer, Accenture, the second largest tenant at
the 820 First Street NE building at issuance, has renewed its lease
through May 2028 but downsized to 2.2% of the total NRA from 10% at
issuance. The YE 2024 occupancy was reported to be 84%. However,
Costar reports that there are several vacant spaces in each
building on the market for direct lease, including 186,000 sf at
the 1100 First Street NE building (53% of NRA) and 87,000 sf at the
820 First Street NE building (26.5% of NRA). The NOI DSCR as of YE
2024 was 2.41x compared to 3.18x at YE 2023.
Fitch's 'Bsf' rating case loss of 33.9% (prior to a concentration
adjustment) is based on a 9% cap rate and a 10% stress to the YE
2024 NOI. In addition, Fitch's loss expectation factors in an
elevated probability of default due to the loan's specially
serviced status.
The third largest contributor to overall loss expectations in BBCMS
2022-C15 is the Moonwater Office Portfolio (3.9%) loan, which is
secured by a 611,320-sf, six-property suburban office portfolio
located in Las Vegas, NV. The portfolio's major tenants include
Nevada Power Company, Inc. (47.8% of portfolio NRA, leased through
January 2029) and WeWork (16.7%, October 2034).
Former major tenant Coin Cloud (previously 12.4% of NRA) filed for
Chapter 11 bankruptcy and vacated the property. According to the
servicer commentary, a cash sweep equal to one year's payable rent
by Coin Cloud has been collected.
The second largest tenant in occupancy at the property, WeWork
(16.7% of NRA), exited Chapter 11 bankruptcy in June 2024. The
WeWork lease at the 6543 South Las Vegas Boulevard property is not
currently on the lease rejection list. The servicer-reported NOI
DSCR was reported to be 1.69x at YE 2024, down from 1.82x at YE
2023. The loan reported $2.6 million ($4.3 psf) of reserves as of
August 2025. Fitch requested additional performance information
including a recent rent roll but this was not provided.
Fitch's 'Bsf' case loss of 16.9% (prior to a concentration
adjustment) is based on a 10.0% cap rate and Fitch issuance NCF,
and factors in an increased probability of default due to the
deterioration in performance and limited information provided.
The largest contributor to overall loss expectations in BBCMS
2022-C18 is the Spartan Retail Portfolio (8.1%) loan, which is
secured by a 14-property, 844,888-sf anchored retail portfolio
located across the U.S. The largest geographic concentrations
include 47.2% of NRA in Spartanburg, SC, 18.1% in Columbia, SC, and
14.7% in Pensacola, FL. The servicer-reported NOI DSCR for YE 2024
was 1.04x, compared with 0.95x for YE 2023.
Fitch's 'Bsf' case loss of 10.3% (prior to a concentration
adjustment) is based on a 9.25% cap rate and 7.5% stress to the
YE2024 NOI.
The second largest contributor to overall loss expectations in
BBCMS 2022-C18 is the Wyndham National Hotel Portfolio (2.7%) loan,
which is secured by a 44-property portfolio totaling 3,729 keys
comprised of limited-service hotels located across 23 states: 27
Travelodges, 14 Baymont Inn & Suites, two Super 8s, and one Days
Inn. The loan transferred to special servicing in April 2024 due to
various defaults, including but not limited to failure to comply
with cash management. The borrower, Vukota Capital Management Ltd.,
filed for Chapter 11 bankruptcy in June 2024 and the case is
ongoing.
The most recently available portfolio occupancy was 51.0% as of
June 2024 and the servicer-reported NOI DSCR was 1.44x for the same
period compared to 58% and 1.84x, respectively, at YE 2023.
Fitch's 'Bsf' rating case loss of 29.7% (prior to a concentration
adjustment) is based on a 13.5% cap rate and Fitch issuance net
cash flow (NCF), and factors the loan's delinquent status.
Minimal Increase in CE: As of the September 2025 distribution date,
the aggregate balances of the BBCMS 2022-C15 and BBCMS 2022-C18
transactions have been paid down by 1.2% and 0.8%, respectively,
since issuance. Interest shortfalls totaling $1.45MM are impacting
the non-rated risk retention classes H-RR, RRC and RRI in the BBCMS
2015-C15 transaction, and interest shortfalls totaling $97,957 are
impacting the non-rated risk retention classes J-RR in the BBCMS
2022-C18 transaction.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the senior 'AAAsf' rated classes are not expected due
to the position in the capital structure and expected continued
amortization and loan repayments but may occur if deal-level losses
increase significantly or interest shortfalls occur or are expected
to occur.
Downgrades to the junior 'AAAsf' and 'AAsf' category rated classes
in BBCMS 2022-C15 are possible with continued performance
deterioration of the specially serviced loans and FLOCs,
particularly Salina Meadows Office Park, 1100 and 820 First Street
NE, VVF loan, Moonwater Office Portfolio and NYC MFRT Portfolio. In
BBCMS 2022-C18, downgrades may occur if property performance and/or
an updated valuation for the specially serviced Wyndham National
Portfolio declines.
Downgrades to classes rated in the and 'Asf' and 'BBBsf' categories
in both transactions could occur if deal-level losses increase
significantly from outsized losses on larger FLOCs and/or more
loans than expected experience performance deterioration and/or
default at or prior to maturity.
Downgrades to the 'BBsf' and 'Bsf' categories are possible with
further loan performance deterioration of FLOCs, additional
transfers to special servicing, and/or with greater certainty of
losses on the specially serviced loans and/or FLOC.
Downgrades to classes with distressed ratings would occur should
additionally loans transfer to special servicing or default, 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' category may be
possible with significantly increased CE, coupled with stable to
improved pool-level loss expectations and performance on the
FLOCs.
Upgrades to the 'BBBsf' and 'BBsf' 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 could occur
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 distressed classes 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.
BENCHMARK 2021-B27: Fitch Affirms 'Bsf' Rating on Two Tranches
--------------------------------------------------------------
Fitch Ratings has affirmed 18 classes within the Benchmark 2021-B27
Mortgage Trust (BMARK 2021-B27). The Rating Outlooks for classes E,
F, G, X-D, X-F, and X-G remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
Benchmark 2021-B27
A-2 08163HAB4 LT AAAsf Affirmed AAAsf
A-3 08163HAC2 LT AAAsf Affirmed AAAsf
A-4 08163HAD0 LT AAAsf Affirmed AAAsf
A-5 08163HAE8 LT AAAsf Affirmed AAAsf
A-AB 08163HAF5 LT AAAsf Affirmed AAAsf
A-S 08163HAH1 LT AAAsf Affirmed AAAsf
B 08163HAJ7 LT AA-sf Affirmed AA-sf
C 08163HAK4 LT A-sf Affirmed A-sf
D 08163HAU2 LT BBBsf Affirmed BBBsf
E 08163HAW8 LT BBB-sf Affirmed BBB-sf
F 08163HAY4 LT BB+sf Affirmed BB+sf
G 08163HBA5 LT Bsf Affirmed Bsf
J-RR 08163HBC1 LT CCCsf Affirmed CCCsf
X-A 08163HAG3 LT AAAsf Affirmed AAAsf
X-B 08163HAL2 LT A-sf Affirmed A-sf
X-D 08163HAN8 LT BBB-sf Affirmed BBB-sf
X-F 08163HAQ1 LT BB+sf Affirmed BB+sf
X-G 08163HAS7 LT Bsf Affirmed Bsf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
losses have increased slightly to 6.1% from 5.7% at Fitch's prior
rating action. Twelve loans (22.8% of the pool) are considered
Fitch Loans of Concern (FLOCs), including three specially serviced
loans (11.2%).
The increased pool loss expectations are primarily driven by
continued underperformance of the specially serviced Colonnade
Corporate Center (5.5%) and Chase Tower (2.6%) loans, as well as
the Fisker Corporate Headquarters (2.8%) FLOC.
The Negative Outlooks reflect the potential for future downgrades
should performance of the FLOCs continue to decline or if updated
valuations of the specially serviced loans decline beyond
expectations. Additionally, the pool has an elevated office
concentration of 47.7%.
Largest Contributors to Loss: The Fisker Corporate Headquarters
loan (2.8% of the pool), secured by a 78,540-sf office building
located in Manhattan Beach, CA., is the largest contributor to
overall pool loss expectations and largest increase in loss since
the prior rating action. The property served as the headquarters
for Fisker Group until the company vacated in May 2024 and declared
bankruptcy in June 2024. As of March 2025, the property remains
vacant. The loan is current and a cash trap has been activated.
There is a reserve balance of $374,185.
Fitch's 'Bsf' rating case loss of 40.7% (prior to concentration
add-ons), up from 17.3% at the prior rating action, is based on an
updated dark value analysis that considers submarket rents and
occupancy at comparable properties, reflecting a Fitch-stressed
value of approximately $295 psf.
The second-largest contributor to overall pool loss expectations is
the Chase Tower loan (2.8%), which is secured by a 284,310-sf
office building built in 1968 and located in the central business
district (CBD) of Charleston, WV. The loan transferred to special
servicing in November 2023 per the borrower's request. The borrower
consented to the appointment of a receiver in January 2025 and the
lender is evaluating resolution options and pursing rights and
remedies. The loan is cash managed.
Occupancy at the multi-tenanted property has fallen to 77% as of
April 2025. The largest tenant, Steptoe and Johnson PLLC (24% NRA),
recently renewed through February 2033. An updated appraisal value
under review by the servicer was not available to Fitch. Fitch's
'Bsf' rating case loss of 38.4% (prior to concentration add-ons) is
based on a 10.25% cap rate and the YE 2024 NOI.
The third-largest contributor to overall pool loss expectations is
Colonnade Corporate Center loan (5.5%), which is secured by three,
six-story office buildings totaling 419,650 sf in Birmingham, AL.
As of the March 2025 rent roll, the property was 78% occupied, down
from 92% at issuance, with the largest tenant, RxBenefits (22.8%
NRA), rolling in 2028.
The loan was transferred to special servicing in March 2025 due to
imminent monetary default. Discussions with the borrower have
primarily focused on funding tenant improvements related to leasing
activity and potentially modifying the loan to increase reserve
funds.
Fitch's 'Bsf' rating case loss of 12.7% (prior to concentration
add-ons) is based on a 10% cap rate and a 15% stress to the YE 2024
NOI.
The third specially serviced loan, Culver City Fee, is secured by a
112,000-sf parcel ground-leased to an unaffiliated Chevrolet
dealership in Los Angeles, CA. Collateral includes the land and an
accommodation mortgage on the leasehold, with no leasehold debt and
a full sponsor guarantee for ground rent. The ground lease expires
May 31, 2120. The loan transferred to special servicing in February
2025 due to payment default. The special servicer has declined the
borrower's request for a short-term forbearance. After a title
search revealed an unapproved subordinate mortgage, the special
servicer sought a receiver while exploring rights and remedies. The
YE 2024 NOI DSCR was 2.56x and occupancy was 100%.
Fitch's 'Bsf' rating case loss of 3% (prior to concentration
add-ons) is based on a 9.25% cap rate and the YE 2024 NOI,
considering the property's strong location due to the density and
lack of developable land in the immediate area,
Marginal Change to Credit Enhancement (CE): As of the August 2025
remittance reporting, the pool's aggregate balance has been paid
down by 2. 7% to $1.06 billion from $1.1 billion at issuance.
Cumulative interest shortfalls totaling $78,100 are currently
impacting the risk retention class K-RR and VRR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to 'AAAsf' rated classes are not expected, but could
occur if deal-level expected losses increase significantly or if
interest shortfalls occur or are expected to occur;
- Downgrades to classes rated in the 'AAsf' and 'Asf' categories
could occur if deal-level losses increase significantly from
outsized losses on larger FLOCs, particularly Fisker Corporate
Headquarters, or if loans in special servicing, Chase Tower and
Colonnade Corporate Center, have extended workout timelines and
continued value erosion;
- Downgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf'
categories, particularly those with Negative Outlooks, are possible
with higher-than-expected losses from continued underperformance of
the FLOCs and/or lack of resolution progress and increasing
exposures on the specially serviced loans;
- Further downgrades to 'CCCsf' 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 classes rated in the 'AAsf' and 'Asf' categories may
be possible with significantly increased CE from paydowns and/or
defeasance, coupled with stable-to-improved pool-level loss
expectations and improved performance on the FLOCs;
- Upgrades to classes rated in the 'BBBsf' category would be
limited based on the sensitivity to concentrations or the potential
for future concentrations. Classes would not be upgraded above
'Asf' if there were likelihood of interest shortfalls;
- Upgrades to classes rated in the 'Bsf' rated classes are not
likely until the later years in the transaction and only if the
performance of the remaining pool is stable and/or there is
sufficient CE;
- Upgrades to distressed ratings are not expected but would be
possible with better than expected recoveries on specially serviced
loans or significantly improved performance from 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.
BENEFIT STREET 43: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Benefit
Street Partners CLO 43 Ltd./Benefit Street Partners CLO 43 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 BSP CLO Management LLC, a subsidiary
of Franklin Resources Inc. (operating as Franklin Templeton
Investments).
The preliminary ratings are based on information as of Sept. 17,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Benefit Street Partners CLO 43 Ltd./
Benefit Street Partners CLO 43 LLC
Class A, $384.00 million: AAA (sf)
Class B, $72.00 million: AA (sf)
Class C (deferrable), $36.00 million: A (sf)
Class D-1 (deferrable), $36.00 million: BBB- (sf)
Class D-2 (deferrable), $6.00 million: BBB- (sf)
Class E (deferrable), $18.00 million: BB- (sf)
Other Debt
Benefit Street Partners CLO 43 Ltd./
Benefit Street Partners CLO 43 LLC
Subordinated notes, $54.15 million: NR
NR--Not rated.
BENEFIT STREET IV: S&P Assigns BB- (sf) Rating on Cl. E-R5 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R5, B-R5, C-R5, D-1T-R5, D-1F-R5, D-2-R5, and
E-R5 debt from Benefit Street Partners CLO IV Ltd./Benefit Street
Partners CLO IV LLC, a CLO managed by BSP CLO Management LLC, a
subsidiary of Franklin Templeton Investments, that was originally
issued in May 2014.
The preliminary ratings are based on information as of Sept. 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Sept. 24, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the existing debt. S&P
said, "At that time, we expect to withdraw our ratings on the
existing class X-R4, A-R4, B-R4, C-R4, D-1A-R4, D-1B-R4, D-2-R4,
and E-R4 debt and assign ratings to the replacement class A-R5,
B-R5, C-R5, D-1T-R5, D-1F-R5, D-2-R5, and E-R5 debt. However, if
the refinancing doesn't occur, we may affirm our ratings on the
existing debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-R5, B-R5, C-R5, D-1T-R5, D-2-R5, and
E-R5 debt is expected to be issued at a lower spread over
three-month CME term SOFR than the existing debt.
-- The replacement class A-R5, B-R5, C-R5, D-1T-R5, D-2-R5, and
E-R5 debt is expected to be issued at a floating spread, replacing
the current floating spread.
-- The replacement class D-1F-R5 debt is expected to be issued at
a fixed coupon, replacing the current fixed coupon.
-- The non-call period will be extended to Sept. 24, 2027.
-- The reinvestment period will be extended to Oct. 20, 2030.
-- The legal final maturity date for the replacement debt and the
existing subordinated notes will be extended to Oct. 20, 2038.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
-- Of the identified underlying collateral obligations, 99.83%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
-- Of the identified underlying collateral obligations, 91.98%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"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
Benefit Street Partners CLO IV Ltd./
Benefit Street Partners CLO IV LLC
Class A-R5, $352.000 million: AAA (sf)
Class B-R5, $66.000 million: AA (sf)
Class C-R5 (deferrable), $33.000 million: A (sf)
Class D-1T-R5 (deferrable), $23.000 million: BBB- (sf)
Class D-1F-R5 (deferrable), $10.000 million: BBB- (sf)
Class D-2-R5 (deferrable), $4.125 million: BBB- (sf)
Class E-R5 (deferrable), $17.875 million: BB- (sf)
Other Debt
Benefit Street Partners CLO IV Ltd./
Benefit Street Partners CLO IV LLC
Subordinated notes(i), $90.130 million: NR
(i)Includes additional $23.65 million in subordinated notes
expected to be issued on the refinancing date.
NR--Not rated.
BLUEMOUNTAIN CLO 2018-3: S&P Lowers F Notes Rating to 'CCC+ (sf)'
-----------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-R and C debt
from BlueMountain CLO 2018-3 Ltd. S&P also lowered its ratings on
the class E and F debt and removed the ratings from CreditWatch
where they were placed with negative implications in August 2025.
At the same time, S&P affirmed its ratings on the class A-1R, A-2R,
and D debt from the same transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the July 31, 2025, trustee 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. The transaction is experiencing opposing rating
movements because it experienced both principal paydowns (which
increased the senior credit support) and faced principal losses
(which decreased the junior credit support).
The CLO exited its reinvestment period in October 2023 and
underwent a partial refinancing on the class A-1R, A-1B, and B-R
debt in March 2024. Since the March 2024 rating action, the
transaction has paid down approximately $172.55 million or 47.8% of
the class A-1R debt. Following are the changes in the reported
overcollateralization (O/C) ratios since the January 2024 trustee
report, which S&P used for its previous rating actions:
-- The class A/B O/C ratio improved to 140.19% from 127.97%.
-- The class C O/C ratio improved to 124.30% from 118.57%.
-- The class D O/C ratio improved to 111.64%from 110.45%.
-- The class E O/C ratio declined to 105.38% from 106.21%.
The upgrades on the class B-R and C debt reflect the improved
credit support available to the debt at prior rating levels.
While the senior O/C ratios experienced a positive movement due to
the lower balances of the senior notes, the junior O/C ratio
declined due to a combination of par losses and increases in O/C
haircuts attributed to excess 'CCC' bucket and defaults. The class
F debt is not supported by an O/C test.
S&P said, "In addition, the collateral portfolio's credit quality
has deteriorated since our last rating actions. Since our March
2024 rating actions, the absolute level of collateral obligations
rated in the 'CCC' category decreased marginally to $39.48 million
from $40.12 million. However, the relative exposure percentage of
the 'CCC' balance has increased to 9.89% from 6.94%, primarily due
to the amortization of the CLO. Since the exposure is beyond the
maximum allowable limit, the trustee, as per the transaction
documents, haircuts the excess amount for the purpose of
calculating the O/Cs. During this period, defaulted obligations
declined to $4.17 million from $7.84 million."
The lowered ratings for the class E and F debt reflect the decrease
in their credit support levels at their respective prior ratings.
S&P said, "On a standalone basis, the results of the cash flow
analysis indicated a lower rating on the class F debt than the one
reflected by the rating actions. However, our action reflects
application of our 'CCC' ratings definitions and consideration of
the tranche's current credit enhancement and the portfolio's
exposure to 'CCC' and 'CCC-' obligors. However, any increase in
defaults and/or further portfolio credit quality deterioration
could lead to potential negative rating action.
"The affirmed ratings reflect our view that the credit support
available is commensurate with the current rating level.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, as well as on 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
BlueMountain CLO 2018-3 Ltd.
Class B-R to 'AA+ (sf)' from 'AA (sf)'
Class C to 'A+ (sf)' from 'A (sf)'
Ratings Lowered And Removed From CreditWatch
BlueMountain CLO 2018-3 Ltd.
Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg'
Class F to 'CCC+ (sf)' from 'B- (sf)/Watch Neg'
Ratings Affirmed
BlueMountain CLO 2018-3 Ltd.
Class A-1R: AAA (sf)
Class A-2R: AAA (sf
Class D: BBB- (sf)
NR--Not rated.
BMO 2025-5C12: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Ratings Outlooks to
BMO 2025-5C12 Mortgage Trust Commercial Mortgage Pass-Through
Certificates.
- $1,076,000a class A-1 'AAAsf(EXP)'; Outlook Stable;
- $200,000,000ab class A-2 'AAAsf(EXP)'; Outlook Stable;
- $245,672,000ab class A-3 'AAAsf(EXP)'; Outlook Stable;
- $446,748,000c class X-A 'AAAsf(EXP)'; Outlook Stable;
- $62,226,000a class A-S 'AAAsf(EXP)'; Outlook Stable;
- $32,708,000a class B 'AA-sf(EXP)'; Outlook Stable;
- $24,731,000a class C 'A-sf(EXP)'; Outlook Stable;
- $119,665,000c class X-B 'A-sf(EXP)'; Outlook Stable;
- $14,359,000ad class D 'BBBsf(EXP)'; Outlook Stable;
- $6,383,000ad class E 'BBB-sf(EXP)'; Outlook Stable;
- $20,742,000cd class X-D 'BBB-sf(EXP)'; Outlook Stable;
- $13,562,000ad class F 'BB-sf(EXP)'; Outlook Stable;
- $13,562,000cd class X-F 'BB-sf(EXP)'; Outlook Stable.
- $7,977,000ade class G-RR 'B-sf(EXP)'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $29,518,000ade class J-RR.
(a) The certificate balances and notional amounts of these classes
include the vertical risk retention (VRR) interest, which is
expected to be approximately 2.40% of the certificate balance or
notional amount, as applicable, of each class of certificates as of
the closing date.
(b) The initial certificate balances of classes A-2 and A-3 are
unknown and expected to be $445,672,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-2 balance range is $0 to $200,000,000, and the expected
class A-3 balance range is $245,672,000 to $445,672,000. Fitch's
certificate balances for classes A-2 and A-3 are assumed at the
midpoint of the aggregate range.
(c) Notional amount and interest only.
(d) Privately placed and pursuant to Rule 144A.
(e) Class G-RR and J-RR certificates, excluding the portion
included in the VRR interest, comprise the transaction's horizontal
risk retention interest.
The expected ratings are based on information provided by the
issuer as of Sept. 15, 2025.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 45 loans secured by 168
commercial properties, with an aggregate principal balance of
$636,212,000 as of the cutoff date. The loans were contributed to
the trust by Bank of Montreal, Citi Real Estate Funding Inc.,
Argentic Real Estate Finance 2 LLC, UBS AG, German American Capital
Corporation, Starwood Mortgage Capital LLC, BSPRT CMBS Finance,
LLC, KeyBank National Association, Greystone Commercial Mortgage
Capital LLC, and Natixis Real Estate Capital LLC.
The master servicer is expected to be Midland Loan Services, a
Division of PNC Bank, National Association and the special servicer
is expected to be Argentic Services Company LP. The trustee and
certificate administrator are expected to be Computershare Trust
Company, National Association. The certificates are expected to
follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 29 loans
totaling 86.7% of the pool by balance. Fitch's resulting net cash
flow (NCF) of $57.4 million represents a 13.1% decline from the
issuer's underwritten NCF of $66.1 million.
Fitch Leverage: The transaction has slightly higher Fitch leverage
compared to recent five-year multiborrower transactions rated by
Fitch. The pool's Fitch weighted-average (WA) trust loan-to-value
(LTV) ratio of 103.2% is higher than the multiborrower five-year
averages of 100.2% and 95.2%, respectively. The pool's Fitch NCF
debt yield (DY) of 9.1% is worse than both the 2025 YTD and 2024
averages of 9.7% and 10.2%, respectively.
Investment-Grade Credit Opinion Loans: Three loans representing
7.3% of the pool balance received an investment-grade credit
opinion. 180 Water (4.2%) received a standalone credit opinion of
'AA-sf*'. Vertex HQ (1.6% of pool) received a standalone credit
opinion of 'A-sf*'. ILPT 2025 Portfolio (1.5% of pool) received a
standalone credit opinion of 'A-sf*'. The pool's total credit
opinion percentage of 7.3% is below the YTD 2025 average of 11.6%
and the 2024 average of 12.6%. The pool's Fitch LTV and DY,
excluding credit opinion loans, are 106.2% and 8.9%, respectively.
Higher Geographic Concentration: The pool has a higher geographic
concentration than recently rated Fitch transactions. The pool's
effective MSA count of 4.1 is worse than the YTD 2025 and 2024
averages of 8.9 and 9.8, respectively. The largest three MSAs
represent 57.0% of the pool, with 48.1% of the pool located in the
New York- Newark-Jersey City MSA, followed by the Houston-The
Woodlands-Sugar Land, TX MSA (5.0% of pool) and Dallas- Fort
Worth-Arlington, TX (4.0% of pool). Pools with a greater
concentration by geographic region are at a greater risk of losses,
all else equal. Fitch, therefore, raises overall losses for pools
with effective geographic counts below 15 MSAs.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The list below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/
below 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The list below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by 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 loans. Fitch considered this information in its analysis
and it did not have an effect on Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CARLYLE US 2023-3: Fitch Assigns BB-(EXP) Rating on Cl. E-R Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Carlyle US CLO 2023-3, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Carlyle US
CLO 2023-3, Ltd
A-1-R LT AAA(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
Carlyle US CLO 2023-3, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Carlyle CLO
Management L.L.C. The transaction originally closed in August 2023
and was rated by Fitch. 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: The average credit quality of the indicative
portfolio is 'B', consistent with recent CLOs. The weighted average
rating factor (WARF) of the indicative portfolio is 23.93 and will
be managed to a WARF covenant from a Fitch test matrix. 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: The indicative portfolio consists of 95.69% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.96% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 45% of the portfolio balance in aggregate while the top five
obligors can represent up to 10% 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: 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: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1-R notes,
between 'BBB+sf' and 'AA+sf' for class A-2-R notes, between 'BB+sf'
and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for
class C-R notes, between less than 'B-sf' and 'BB+sf' for class
D-1-R notes, between less than 'B-sf' and 'BB+sf' for class D-2-R
notes, and between less than 'B-sf' and 'B+sf' for class E-R
notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R and 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 notes, 'AA+sf' for class C-R
notes, 'Asf' for class D-1-R notes, 'A-sf' for class D-2-R notes,
and 'BBB+sf' for class E-R notes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Carlyle US CLO
2023-3, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CARLYLE US 2025-4: Fitch Assigns 'BB-sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle
US CLO 2025-4, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Carlyle US
CLO 2025-4, 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
Carlyle US CLO 2025-4, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Carlyle CLO Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $600 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 24.05 and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 97.5%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.24% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: 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 'Bsf' 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, 'AAsf' for class C, 'Asf' for
class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Carlyle US CLO
2025-4, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CARMAX SELECT 2025-B: S&P Assigns BB (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to CarMax Select
Receivables Trust 2025-B's automobile receivables-backed notes.
The note issuance is an ABS securitization backed by nonprime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 33.78%, 28.66%, 22.23%,
16.78%, and 14.67% 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 our
stressed cash flow scenarios. These credit support levels provide
at least 3.70x, 3.12x, 2.39x, 1.78x, and 1.51x coverage of our
expected cumulative net loss of 9.00% for the class A, B, C, D, and
E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.78x S&P's expected loss level), all else being equal, its 'A-1+
(sf)' and '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 S&P's 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 for the assigned ratings.
-- The collateral characteristics of the series' pool of nonprime
automobile loans, 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 Wilmington Trust N.A., which do
not constrain the ratings.
-- S&P's operational risk assessment of CarMax Business Services
LLC as servicer.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
CarMax Select Receivables Trust 2025-B
Class A-1 $203.80 million: A-1+ (sf)
Class A-2 $303.16 million: AAA (sf)
Class A-3 $177.04 million: AAA (sf)
Class B $60.92 million: AA (sf)
Class C $71.54 million: A (sf)
Class D $68.77 million: BBB (sf)
Class E(i) $14.77 million: BB (sf)
(i)The class E notes are not being offered and are anticipated to
be either privately placed or retained by the depositor or another
affiliate of CarMax Business Services LLC.
CARVANA AUTO 2025-P3: S&P Assigns BB (sf) Rating on Class N Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Carvana Auto Receivables
Trust 2025-P3's automobile asset-backed notes.
The note issuance is an ABS securitization backed by prime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of 16.93%, 13.96%, 10.17%, 6.31%, and 6.74%
credit support (hard credit enhancement and haircut to excess
spread) for the class A (A-1, A-2, A-3, and A-4, collectively), B,
C, D, and N notes, respectively, based on stressed cash flow
scenarios. These credit support levels provide over 5.00x, 4.00x,
3.33x, 2.00x, and 1.60x coverage of S&P's expected cumulative net
loss (ECNL) of 2.75% for the class A, B, C, D, and N notes,
respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(2.00x 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 N notes, respectively, are within its
credit stability limits.
-- The timely interest and principal payments by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
ratings.
-- The collateral characteristics of the series' prime automobile
loans, S&P's view of the credit risk of the collateral, and its
updated macroeconomic forecast and forward-looking view of the auto
finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A. (Wells
Fargo), which do not constrain the ratings.
-- S&P's operational risk assessment of Bridgecrest Credit Co. LLC
(Bridgecrest) as servicer, as well as the backup servicing
agreement with Vervent Inc. (Vervent).
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
Carvana Auto Receivables Trust 2025-P3(i)
Class A-1, $112.00 million: A-1+ (sf)
Class A-2, $321.83 million: AAA (sf)
Class A-3, $321.83 million: AAA (sf)
Class A-4, $160.91 million: AAA (sf)
Class B, $34.40 million: AA (sf)
Class C, $35.41 million: A+ (sf)
Class D, $25.29 million: BBB (sf)
Class N(ii), $29.80 million: BB (sf)
(i)Class XS notes (unrated) will be issued at closing and may be
retained or sold in one or more private placements.
(ii)The class N notes will be paid to the extent funds are
available after the overcollateralization target is achieved, and
they will not provide any enhancement to the senior classes.
CD 2017-CD6: DBRS Confirms B Rating on Class G-RR Certs
-------------------------------------------------------
DBRS Limited confirmed all credit ratings on the classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-CD6
issued by CD 2017-CD6 Mortgage Trust as follows:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class X-D at A (high) (sf)
-- Class D at A (sf)
-- Class E-RR at BBB (sf)
-- Class F-RR at BB (low) (sf)
-- Class G-RR at B (sf)
Morningstar DBRS changed the trends on Classes E-RR, F-RR, and G-RR
to Stable from Negative. The trends on all remaining Classes are
Stable.
The credit rating confirmations and Stable trends reflect
Morningstar DBRS' current outlook for the transaction. During the
prior credit rating action in October 2024, Morningstar DBRS
changed the trends on Classes E-RR, F-RR, and G-RR to negative,
primarily because of concerns related to the pool's largest loan,
Headquarters Plaza (Prospectus ID#1; 9.0% of the pool), which is
secured by a mixed-use property in Morristown, New Jersey, and the
specially serviced loan Cleveland East (Prospectus ID#32; 1.34% of
the pool), which is secured by two suburban office properties in
Mayfield Heights and Highland Hills, Ohio. Since that time, the
space occupied by the former largest tenant at Headquarters Plaza
was successfully backfilled by the borrower with the property's NCF
continuing to trend upward. In addition, an updated appraisal was
made available for the properties backing the Cleveland East loan
which reflects an as-is value that remains in line with Morningstar
DBRS' expectations. These factors form Morningstar DBRS' primary
rationale for the trend changes to Stable from Negative on Classes
E-RR, F-RR and G-RR.
According to the most recent financial reporting, the transaction
continues to exhibit healthy credit metrics as evidenced by the
weighted-average (WA) debt service coverage ratio (DSCR) of 2.03
times (x) and WA loan-to-value (LTV) ratio of 54.2%. The pool
composition is diversified by property type, with loans
representing 25.1%, 17.7%, 16.6%, and 14.1% of the pool
collateralized by office, retail, lodging, and mixed-use
properties, respectively. Where applicable, Morningstar DBRS
increased the probability of default (POD) penalties and/or applied
stressed LTV ratios for six loans exhibiting increased credit
risk.
Since Morningstar DBRS' previous credit rating action, two loans,
Burbank Office Portfolio (Prospectus ID#3; 5.3% of the pool) and
Hampton Inn Majestic Chicago (Prospectus ID#20; 1.9% of the pool),
have been repaid. As of the August 2025 remittance, 52 of the
original 58 loans remain in the pool, reflecting a collateral
reduction of 21.2% since issuance. There are 10 loans, representing
22.5% of the pool, on the servicer's watchlist, the majority of
which are being monitored for upcoming loan maturities, upcoming
tenant rollover and/or low DSCR triggers. Nine loans, representing
11.9% of the pool, have fully defeased and there is one loan in
special servicing.
The pool's only specially serviced loan, Cleveland East,
transferred to the special servicer in May 2025 for imminent
monetary default after the borrower was unable to meet the terms of
the maturity extension option. According to the May 2025 rent roll,
the consolidated occupancy rate across all four buildings was
38.7%, down from 92.0% at issuance. Likewise, the YE2024 net cash
flow (NCF) was reported at approximately $1.0 million, nearly 78.0%
lower than the issuance figure of $4.3 million (a DSCR of 1.55x).
The collateral was re-appraised in September 2024 for $24.1
million, a decline of 47.5% from the August 2022 value of $45.9
million and a 59.8% decline from the issuance value of $60.0
million. For this review, Morningstar DBRS analyzed the loan with a
liquidation scenario based on 25.0% haircut to the most recent
appraised value, resulting in an implied loss of $6.7 million and a
loss severity of 60.0%.
The largest loan in the pool, Headquarters Plaza, is secured by a
mixed-use property comprising three office towers totaling 562,242
square feet (sf), in addition to 167,274 sf of ground-floor retail
space, and a 256-key Hyatt Regency hotel. As of June 2025, the
office and retail components were 87.2% occupied, relatively in
line with the YE2024 and issuance figures of 87.7% and 91.8%. The
former largest tenant, Riker Danzig Sherer, previously occupying
9.1% of the net rentable area (NRA), vacated the property upon
lease expiration in July 2025; however, the entire space has been
backfilled by KPMG. The tenant's expected move-in date is in Fall
2026. According to the YE2024 financial reporting, the properties
generated $12.0 million NCF (a DSCR of 1.82x), above the YE2023
figure of $9.5 million (a DSCR of 1.44x) but 22.4% below the
issuance figure of $14.7 million (a DSCR of 2.23x). Morningstar
DBRS expects cash flow to continue to trend upward given KPMG is
expected to take possession of its space within the next 12 months.
Per Reis, the Morristown/Morris Township submarket reported a Q2
2025 vacancy rate of 19.3%, which has remained consistent since the
onset of the COVID-19 pandemic. While market fundamentals remain
weak, there has been positive leasing momentum at the property and
occupancy has remained stable since issuance with minimal tenant
rollover (less than 9.0% of the NRA) expected prior to YE2026.
Ports America Group Inc. (12,698 sf), Transportation Equipment
Network (7,227 sf), and Avison Young (5,135 sf) have all signed
leases at the property in recent months. Given the historical cash
flow volatility, combined with soft submarket fundamentals,
Morningstar DBRS evaluated this loan with a stressed LTV, which
resulted in an expected loss (EL) that was approximately three
times the pool average.
The largest loan on the servicer's watchlist, Lightstone Portfolio
(Prospectus ID#6; 4.4% of the pool), which is secured by a
portfolio of seven hotels totaling 778 keys located across
Louisiana, Arkansas, and Floria is being monitored for performance
related concerns. The loan previously transferred to special
servicing in May 2020 for payment default and has since returned to
the master servicer. According to the most recent March 2025
financial reporting, the YE2024 NCF was reported at $3.9 million
(DSCR of 0.96x), which is above the YE2023 figure of $2.9 million
(DSCR of 0.71x) but significantly below the issuance figure of $8.6
million (DSCR of 2.13x). As of March 2025, the portfolio reported
an occupancy, Average Daily Rate, and Revenue per Available Room of
66.0%, $121.30, and $81.20, respectively. At issuance, these
figures were reported at 77.8%, $116.80, and $91.50, respectively.
In February 2022, the portfolio was appraised for $79.9 million,
which is 24.3% less than the issuance appraised value of $105.5
million. Considering the secondary and tertiary location of the
properties and declining operating performance, Morningstar DBRS
believes that the value of the portfolio has likely further
declined from the most recently appraised value. As such,
Morningstar DBRS analyzed this loan with a stressed LTV, resulting
in an EL that was greater than two times the pool average.
Morningstar DBRS continues to have concerns with the Tustin Center
I & II (Prospectus ID#10; 3.8% of the pool) and Corporate Woods
Portfolio (Prospectus ID#16: 2.6% of the pool) loans, both of which
have exposure to upcoming lease rollovers, weakening office
submarket fundamentals, and/or have experienced sustained
performance declines since issuance. The Tustin Center I & II loan
is secured by a portfolio of two Class A, LEED Gold certified
office buildings in Santa Ana, California. As of June 2025, the
property was 79.0% occupied, down from 98.8% at issuance while the
YE2024 NCF of $2.6 million is down nearly 36% compared with the
issuance NCF of $4.1 million. The Corporate Woods Portfolio loan is
secured by 16 office buildings totaling 2.0 million sf in the
Overland Park suburb of Kansas City. According to the March 2025
rent roll, occupancy has significantly declined to 69.3% from 93.0%
at issuance. Morningstar DBRS evaluated both loans with a stressed
LTV and/or POD penalty resulting in an EL that was greater than two
times the pool average for the Tustin Center I & II loan and four
times greater than the pool average for the Corporate Woods
Portfolio loan.
There are two Morningstar DBRS shadow-rated loans remaining in the
pool: Moffet Place Building 4 (Prospectus ID#15; 2.9% of the pool)
and Colorado Center (Prospectus ID#23; 2.4% of the pool). With this
review, Morningstar DBRS confirms that the performance of those
loans remains consistent with investment-grade characteristics,
given the loan's strong credit metrics, experienced sponsorship and
the underlying collateral's historically stable performance.
Notes: All figures are in U.S. dollars unless otherwise noted.
CEDAR CREST 2022-1: Fitch Affirms 'B-sf' Rating on Class F Notes
----------------------------------------------------------------
Fitch Ratings has affirmed the ratings on seven classes of notes of
Cedar Crest 2022-1 LLC (Cedar Crest 2022-1) and revised the
Outlooks on classes C, D, E and F notes to Stable from Negative.
The Outlook remains Stable for all other rated tranches.
Entity/Debt Rating Prior
----------- ------ -----
Cedar Crest 2022-1 LLC
A-FL 15018VAA7 LT AAAsf Affirmed AAAsf
A-FX 15018VAC3 LT AAAsf Affirmed AAAsf
B 15018VAE9 LT AAsf Affirmed AAsf
C 15018VAG4 LT Asf Affirmed Asf
D 15018VAJ8 LT BBB-sf Affirmed BBB-sf
E 15018VAL3 LT BB-sf Affirmed BB-sf
F 15018VAN9 LT B-sf Affirmed B-sf
Transaction Summary
Cedar Crest 2022-1 is an arbitrage middle-market (MM)
collateralized loan obligation (CLO) managed by Eldridge Structured
Credit Advisers, LLC(formerly Panagram Structured Asset Management,
LLC). Cedar Crest 2022-1 closed in November 2022 and will exit its
reinvestment period in October 2026. This transaction is secured
primarily by first-lien, senior secured leveraged loans.
KEY RATING DRIVERS
Improved Credit Quality and Recovery Rates: The Outlook revisions
are driven by active portfolio repositioning that improved
portfolio credit quality and increased the weighted average
recovery rate (WARR) since the last review in October 2024,
resulting in stronger breakeven default rate (BEDR) cushions at the
current ratings.
The portfolio has experienced approximately 30% turnover since the
last review, with a substantial portion due to the removal of 'CCC'
and lower-rated assets via credit risk sales or paydowns. As a
result, the Fitch 'CCC' bucket declined to 11% from 21% (excluding
non-rated issuers), with over two‑thirds of the removed 'CCC'
assets having Fitch‑specific recovery rates below 20%. According
to August 2025 trustee report, Fitch calculated a weighted average
rating factor (WARF) of 30.9 (B/B-), down from 32.3 at the last
review, while the WARR rose to 67.5% from 63.1%.
The portfolio has no defaulted assets and consists of 60 obligors.
The 10 largest obligors represent 32.5% of the portfolio. Exposure
to assets with a Negative Outlook and to those on Fitch's Watchlist
is 3.84% and 11.1%, respectively, down from 14.89% and 21.4% at the
last review.
Updated Fitch Stressed Portfolio Analysis: Fitch conducted an
updated cash flow analysis based on newly run Fitch Stressed
Portfolio (FSP) since the CLO is still in its reinvestment period.
The FSP analysis adjusts the current portfolio from the latest
trustee report to create an updated FSP, accounting for permissible
concentration and collateral quality test (CQT) limits. The WAS,
Fitch WARR and Fitch WARF were stressed to the covenanted levels of
the Fitch test matrix. Fixed rate asset exposure was also analyzed
at 15.0% and the FSP's weighted average life (WAL) was extended to
six years.
Because this portfolio is more concentrated than typical CLOs and
Fitch applied an obligor concentration uplift stress to five
obligors, Fitch also adjusted the standard rating recovery-rate
assumptions interpolated from the WARR test value in its criteria
by a 96.6% multiplier.
The ratings are in line with their respective model-implied ratings
(MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating
Criteria. The Stable Outlooks reflect Fitch's expectation that the
secured notes have sufficient levels of CE to withstand potential
deterioration in the credit quality of the underlying portfolio in
stress scenarios commensurate with their ratings.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing and the
notes' credit enhancement do not compensate for the higher loss
expectation than initially assumed.
- A 25% increase of the mean default rate across all ratings, along
with a 25% decrease of the recovery rate at all rating levels for
the current portfolio, would lead to downgrades of up to one rating
category, based on MIRs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades may occur in the event of better-than-expected portfolio
credit quality and transaction performance.
- Except for the 'AAAsf' rated notes, which are at the highest
level on Fitch's scale and cannot be upgraded, a 25% reduction of
the mean default rate across all ratings, along with a 25% increase
of the recovery rate at all rating levels for the current
portfolio, would lead to upgrades of up to five notches, based on
the MIRs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Cedar Crest 2022-1
LLC.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CIFC FUNDING 2019-II: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CIFC
Funding 2019-II, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
CIFC Funding
2019-II, Ltd
A-1R2 LT NRsf New Rating
A-2R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1R2 LT BBB-sf New Rating
D-2R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
CIFC Funding 2019-II, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by CIFC Asset
Management LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: 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 23.7, and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 95.42%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.42% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: 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: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2,
and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and
between less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf'
for class D-1-R2, and 'A-sf' for class D-2-R2 and 'BBB+sf' for
class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for CIFC Funding
2019-II, 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.
CITIGROUP 2017-P8: DBRS Cuts Ratings on 4 Classes to C
------------------------------------------------------
DBRS Limited downgraded its credit ratings on 11 classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-P8
issued by Citigroup Commercial Mortgage Trust 2017-P8 as follows:
-- Class C to BB (high) (sf) from BBB (low) (sf)
-- Class V-3AC to BB (high) (sf) from BBB (low) (sf)
-- Class V-2C to BB (high) (sf) from BBB (low) (sf)
-- Class X-D to CCC (sf) from B (high) (sf)
-- Class D to CCC (sf) from B (sf)
-- Class V-2D to CCC (sf) from B (sf)
-- Class V-3D to CCC (sf) from B (sf)
-- Class E to C (sf) from B (low) (sf)
-- Class F to C (sf) from CCC (sf)
-- Class X-E to C (sf) from B (sf)
-- Class X-F to C (sf) from CCC (sf)
Morningstar DBRS also confirmed the following credit ratings:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class X-A at AA (sf)
-- Class A-S at AA (low) (sf)
-- Class V-2A at AA (low) (sf)
-- Class X-B at A (sf)
-- Class B at A (low) (sf)
-- Class V-2B at A (low) (sf)
In addition, Morningstar DBRS changed the trends on Classes A-S, B,
C, X-A, X-B, V-2A, V-2B, V-3AC, and V-2C to Negative from Stable.
Classes D, E, F, X-D, X-E, X-F, V-2D, and V-3D have credit ratings
that typically do not carry a trend in commercial mortgage-backed
securities (CMBS) transactions. The trends on all remaining classes
are Stable.
At the prior credit rating action in September 2024, Morningstar
DBRS downgraded its credit ratings on Classes A-S, B, C, D, E, F,
X-A, X-B, X-D, X-E, X-F, V2A, V2B, V3AC, V2C, V2D, and V3D to
reflect the increased loss projections for two of the three loans
in special servicing at that time, the Bank of America Plaza
(Prospectus ID#5, 4.1% of the pool) and Grant Building (Prospectus
ID#9, 3.5% of the pool) loans, both secured by office collateral in
challenged submarkets of Detroit and Pittsburgh, respectively.
Since then, the underlying collateral for both loans was
reappraised with the updated appraisal value estimates evidencing
significant value declines from issuance. In the analysis for this
review, the loans were analyzed with liquidation scenarios,
resulting in a total projected loss of $57.9 million, up from $34.7
million at the prior credit rating action. The combined losses
would fully erode the Class F and G certificate balances, and
partially erode the Class E certificate balance, reducing the
credit enhancement for the junior bonds, supporting the credit
rating downgrades and Negative trends with this review.
Aside from the specially serviced loans, Morningstar DBRS remains
concerned with several loans backed by office collateral in the top
10. The largest of these includes the largest loan in the pool, 225
& 233 Park Avenue South (Prospectus ID#1, 5.9% of the pool), an
office property in the Gramercy submarket of Manhattan, and the
largest loan on the servicer's watchlist, Corporate Woods Portfolio
(Prospectus ID#4, 4.2% of the pool), an office property in suburban
Kansas City. Both loans exhibited precipitous declines in occupancy
and cash flow with notable tenant rollover prior to year-end (YE)
2026. Morningstar DBRS analyzed those, and seven other loans backed
by office collateral, with stressed loan-to-value ratios (LTVs) and
increased probability of default (POD) adjustments, resulting in a
weighted-average (WA) expected loss (EL) that was approximately
double the pool average, further supporting the Negative trends.
As of the August 2025 remittance, 52 of the original 53 loans
remain in the pool, with an aggregate balance of $963.8 million,
representing a collateral reduction of 6.7% since issuance. There
are currently eight loans, representing 15.4% of the current pool
balance, on the servicer's watchlist, primarily being monitored for
low occupancy and debt service coverage ratio (DSCR) figures. As
previously mentioned, three loans, representing 11.8% of the
current pool balance, are in special servicing. The pool benefits
from seven loans, representing 9.1% of the current pool balance,
being secured by fully defeased collateral. Excluding defeasance,
the pool is primarily concentrated by office and retail properties,
representing 32.6% and 29.4% of the pool balance, respectively.
The primary driver of Morningstar DBRS' increased liquidated loss
projections is the Bank of America Plaza loan, which is secured by
a 438,996-square-foot (sf) Class A office property in Troy,
Michigan, approximately 20 miles northwest of the Detroit central
business district. The loan transferred to special servicing in
August 2024 for imminent default after the departure of the former
largest tenant, Bank of America (previously 35.2% of net rentable
area (NRA)), in January 2023. As of the March 2025 reporting, the
property was 58.9% occupied. Cash management has been in place
since Bank of America's departure, having accrued a balance of $7.2
million as of the August 2025 reporting. The property was
re-appraised in December 2024 for $24.9 million, a 68.5% decline
from the issuance appraised value of $79.2 million, implying an LTV
of 168.0% on the current trust balance. As a result, Morningstar
DBRS applied a conservative haircut to the December 2024 appraised
value, resulting in a total loss of $26.6 million and a loss
severity of 64.0%.
The other driver of Morningstar DBRS' increased liquidated loss
projections is the Grant Building loan (Prospectus ID#9, 3.5% of
the current pool balance), which is secured by a Class A office
building in Pittsburgh that transferred to special servicing in
September 2023 for imminent default. The loan is more than 90 days
delinquent and a receiver was appointed in March 2024 to oversee
foreclosure proceedings. The property was re-appraised as of April
2025 for $17.5 million, which implies an LTV of 203.2% on the
current trust balance and represents a decline of 25.5% from the
April 2024 appraised value of $23.5 million, and 69.9% from the
issuance appraised value of $58.1 million. As a result of ongoing
payment delinquency, soft submarket fundamentals, and continued
value decline, Morningstar DBRS analyzed the loan with a
liquidation scenario by applying a large haircut to the April 2025
appraised value, resulting in a total loss of $31.3 million and a
loss severity of 88.0%.
The performance metrics for the largest loan in the pool, 225 & 233
Park Avenue South, declined substantially year over year, stemming
in large part from the early departure of the former largest tenant
Meta Platforms Inc. (Meta) (previously 39.0% of NRA in March 2024
and the departure of STV Engineering (previously 19.7% of NRA) upon
lease expiration in May 2024. As of the YE2024 servicer reporting,
the property's occupancy rate and DSCR declined to 39.6% and 0.37
times (x), respectively. This compares with the September 2023
servicer-reported occupancy rate and DSCR figures of 98.6% and
3.83x, respectively. The loan was modified in July 2025 and
recently returned to the master servicer after a year and a half
long stint with the special servicer; the terms of which include a
new mezzanine loan to fund $15.0 million in capital expenditures
and $20.0 million of operating expenses/debt service shortfall
reserves and a loan term extension option to June 2028 subject to
performance hurdles. Morningstar DBRS expects further cash flow
volatility with the upcoming lease expiration and planned departure
for the current largest tenant Buzzfeed Inc. (28.7% of NRA, lease
expiration in May 2026), some of which will likely be mitigated by
Monday.com, which is subleasing the majority of Buzzfeed Inc.'s
footprint and has extended its sublease term to November 30, 2026,
to facilitate the negotiation of a direct lease for 138,611 sf
(20.5% of NRA) at the subject. Given the significant decline in
occupancy with further declines expected when the Buzzfeed Inc.
lease expires, Morningstar DBRS considered a stressed value
analysis which includes an increased LTV and an elevated POD
adjustment that resulted in an EL that was approximately 20.0%
higher than the pool average.
At issuance, Morningstar DBRS assigned investment-grade shadow
credit ratings to three loans in General Motors Building
(Prospectus ID#2, 5.4% of the pool), The Grove at Shrewsbury
(Prospectus ID#7, 4.3% of the pool), and Lakeside Shopping Center
(Prospectus ID#13, 3.3% of the pool). With this review, Morningstar
DBRS confirms that the performance of these loans remains
consistent with investment-grade loan characteristics.
Notes: All figures are in U.S. dollars unless otherwise noted.
CITIGROUP 2018-C6: Fitch Lowers Rating on Class G-RR Certs to 'Bsf'
-------------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed 10 classes of
Citigroup Commercial Mortgage Trust 2018-C6 Commercial Mortgage
Pass-Through Certificates, series 2018-C6 (CGCMT 2018-C6). Fitch
has assigned Negative Rating Outlooks to three classes following
their downgrades and has revised the Outlook for four classes to
Negative from Stable. The Outlooks remain Negative on two other
classes.
Entity/Debt Rating Prior
----------- ------ -----
CGCMT 2018-C6
A-2 17327GAW4 LT AAAsf Affirmed AAAsf
A-3 17327GAX2 LT AAAsf Affirmed AAAsf
A-4 17327GAY0 LT AAAsf Affirmed AAAsf
A-AB 17327GAZ7 LT AAAsf Affirmed AAAsf
A-S 17327GBA1 LT AAAsf Affirmed AAAsf
B 17327GBB9 LT AA-sf Affirmed AA-sf
C 17327GBC7 LT A-sf Affirmed A-sf
D 17327GAA2 LT BBB-sf Affirmed BBB-sf
E-RR 17327GAC8 LT BBsf Downgrade BBB-sf
F-RR 17327GAE4 LT B+sf Downgrade BBsf
G-RR 17327GAG9 LT Bsf Downgrade BB-sf
J-RR 17327GAJ3 LT CCCsf Downgrade B-sf
X-A 17327GAU8 LT AAAsf Affirmed AAAsf
X-B 17327GAQ7 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
loss has increased since Fitch's prior rating action to 5.9% from
5.4%. The transaction has nine Fitch Loans of Concern (FLOCs; 38.7%
of the pool), including two loans (8.3%) in special servicing.
The downgrades reflect increased pool loss expectations since
Fitch's prior rating action, driven by office FLOCs, including
Cambridge Corporate Center (6.2%), Dumbo Heights Portfolio (9.3%),
Riverside Office Center (2.0%) and Liberty Portfolio (7.7%).
Additionally, since the prior rating action, the previously
specially serviced 2 Executive Campus office loan was disposed of
in December 2024 with higher losses than expected; the loan
realized a loss of 78% of its original balance ($5.3 million),
eroding credit enhancement (CE) to the junior classes.
The Negative Outlooks reflect potential further downgrades with
continued underperformance of the aforementioned office FLOCs, and
incorporates an additional sensitivity scenario on Cambridge
Corporate Center and Riverside Office Center, considering their
heightened probability of default given low occupancy and/or
significant rollover, resulting in a deal-level 'Bsf' sensitivity
case loss of 7.0%. Additionally, the pool has a high office
concentration of 42.6%.
FLOCs; Largest Loss Contributors: The largest contributor to
overall loss expectations and the largest increase in loss since
the prior rating action is the Cambridge Corporate Center loan,
which is secured by a 349,823-sf office property located in
Charlotte, NC. Major tenants at the property include General Motors
(27.2% of the NRA through July 2027), Duke Energy (9.3%; June 2026)
and City of Charlotte (7.2%; June 2031).
Per the July 2025 rent roll, the property was 56.5% occupied, up
from 50% in June 2024, but down from 74% at YE 2022. American
Airlines signed a lease at the property in June 2024, occupying
10.4% of the NRA through June 2038. According to servicer
commentary, an undisclosed tenant will lease 8.7% of the NRA
starting November 2025, lifting occupancy to approximately 65%.
Occupancy has been depressed since the former largest tenant, Red
Ventures (27.8% of the NRA) vacated in December 2022 ahead of its
July 2026 expiration. Red Ventures paid a lease termination fee of
$2.96 million, which was above its annual rent of $2.6 million. The
space is still being marketed. As of September 2025, reserve
balances total $4.3 million.
Fitch's 'Bsf' rating case loss of 27.8% (prior to concentration
add-ons) reflects a 10% cap rate to the YE 2024 NOI that factors
the recent positive leasing momentum. Fitch also ran an additional
sensitivity scenario to account for a heighted probability of
default as NOI DSCR remains below 1.0x, where loan-level 'Bsf'
sensitivity case loss increases to 38.5% (prior to concentration
add-ons), which contributed to the Negative Outlooks.
The second largest contributor to overall loss expectations is the
Liberty Portfolio loan, secured by a two-property office portfolio
totaling 805,746-sf located in Tempe and Scottsdale, AZ. YE 2024
portfolio occupancy and NOI DSCR was 97% and 1.77x, respectively.
However, the largest tenant, Centene (43.8% of the portfolio NRA),
is not fully occupying its space and cash management has been
activated.
Additionally, Carvana (16.8%) vacated at lease expiration in 2024.
Availability across the portfolio now exceeds 50%; for comparable
assets, CoStar (as of May 2025) reports weighted average vacancy of
22.3% and availability of 24.6% in the submarket.
Fitch's 'Bsf' rating case loss of 17.4% (prior to concentration
adjustments) reflects a 10% cap rate and 40% stress to the YE 2024
NOI to account for the lower physical occupancy of the portfolio
and soft market conditions.
The third largest contributor to overall loss expectations since
the prior rating action is the DUMBO Heights Portfolio loan,
secured by a four-property office portfolio totaling 753,074-sf
located in Brooklyn, NY.
The loan transferred to special serving ahead of its scheduled
September 2023 maturity date. The loan was modified in May 2024,
extending the maturity to September 2025 with two, one-year
extension options subject to certain provisions including a
coverage test, additional equity contributions and cash sweep. The
loan returned to the master servicer in August 2024 and remains
current. As of August 2025, the borrower has not indicated whether
they intend to pay off the loan or exercise their extension
option.
Major tenants include Etsy (29.9% of the NRA through July 2039),
WeWork (7.5%; November 2031) and 2U NYC (11.4%; May 2030). The
portfolio was 85% occupied as of YE 2024, compared to 93% at YE
2022, 88% at YE 2021, 94% at YE 2020 and 96% at YE 2019.
Fitch's 'Bsf' case loss of 3.7% (prior to a concentration
adjustment) reflects an 8.75% cap rate and 10% stress to the YE
2024 NOI.
The Riverside Office Center FLOC is secured by a 187,434-sf office
property located in Southfield, MI. The loan was flagged as a FLOC
due to declining cash flows driven by lower occupancy.
Major tenants include Dentemax (11.7% of the NRA through October
2029) and David Christensen (8.6%; January 2033). Since the prior
rating action, Bullseye Telecom (10.7%) vacated upon its scheduled
September 2024 lease expiration. As of Q2 2025, the property was
69% occupied, down from 77% at YE 2024, 79% at YE 2023 and 89% at
YE 2022. The servicer-reported NOI DSCR was 0.97x as of Q2 2025,
compared to 0.91x at YE 2024, and 1.47x at YE 2023.
Fitch's 'Bsf' rating case loss of 13.5% (prior to concentration
add-ons) reflects a 10% cap rate and a 15% stress to the YE 2024
NOI to account for the decline in occupancy. Fitch also ran an
additional sensitivity scenario to account for a heighted
probability of default as NOI DSCR remains below 1.0x, where
loan-level 'Bsf' sensitivity case loss increases to 33.1% (prior to
concentration add-ons), which contributed to the Negative
Outlooks.
Credit Enhancement (CE): As of the September 2025 distribution
date, the pool's aggregate principal balance has been reduced by
7.3% to $682.6 million from $736.4 million at issuance. Fourteen
loans (55.7% of the pool) are full-term, interest-only and the
remaining 19 loans (44.3%) are amortizing. There are three loans
(3.3%) that are fully defeased. The pool has $5.3 million in
realized losses, affecting the non-rated class, from the
disposition of the 2 Executive Campus loan in December 2024.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not likely 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 the junior 'AAAsf' rated classes and the 'AAsf' and
'Asf' rated categories, which have Negative Outlooks, are possible
without performance stabilization of the FLOCs or if more loans
than expected default at or prior to maturity, particularly the
office FLOCs, including Liberty Portfolio, Cambridge Corporate
Center, Dumbo Heights Portfolio, 3101 North Central and Riverside
Office Center, and limited to no improvement in these classes' CE,
or if interest shortfalls occur on 'AAAsf' rated classes.
- Downgrades to classes in the 'BBBsf', 'BBsf' and 'Bsf' rated
categories are likely with higher-than-expected losses from
continued underperformance of the FLOCs, particularly the
aforementioned office FLOCs with deteriorating performance and/or
with greater certainty of losses on the specially serviced loans or
other FLOCs.
- Downgrades to 'CCCsf' rated classes would occur should additional
loans transfer to special servicing and/or default, or as losses
are realized and/or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE from paydowns and/or
defeasance, coupled with improved deal-level loss expectations and
sustained performance improvement and stabilization on the FLOCs,
particularly the office FLOCs, Liberty Portfolio, Cambridge
Corporate Center, Dumbo Heights Portfolio, 3101 North Central and
Riverside Office Center.
- Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
- Upgrades to the 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable, recoveries and/or
valuations on the FLOCs are better than expected and there is
sufficient CE to the classes.
- Upgrades to 'CCCsf' rated classes are not likely but are possible
with better-than-expected recoveries on specially serviced loans or
significantly higher recoveries 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.
COMM 2016-CCRE28: Fitch Lowers Rating on Class D Debt to 'B-sf'
---------------------------------------------------------------
Fitch Ratings has downgraded seven and affirmed six classes of
Deutsche Bank Securities, Inc.'s COMM 2016-CCRE28 Mortgage Trust
(COMM 2016-CCRE28). The Rating Outlook for class B remains
Negative. Following their downgrades, classes C and D were assigned
Negative Rating Outlooks.
Entity/Debt Rating Prior
----------- ------ -----
COMM 2016-CCRE28
A-3 12593YBD4 LT PIFsf Paid In Full AAAsf
A-4 12593YBE2 LT AAAsf Affirmed AAAsf
A-HR 12593YBF9 LT AAAsf Affirmed AAAsf
A-M 12593YBK8 LT AAAsf Affirmed AAAsf
A-SB 12593YBC6 LT PIFsf Paid In Full AAAsf
B 12593YBL6 LT AA-sf Affirmed AA-sf
C 12593YBM4 LT BBB-sf Downgrade A-sf
D 12593YBN2 LT B-sf Downgrade BBsf
E 12593YAL7 LT CCCsf Downgrade BB-sf
F 12593YAN3 LT CCsf Downgrade CCCsf
G 12593YAQ6 LT Csf Downgrade CCsf
X-A 12593YBH5 LT AAAsf Affirmed AAAsf
X-C 12593YAC7 LT CCCsf Downgrade BB-sf
X-D 12593YAE3 LT CCsf Downgrade CCCsf
X-HR 12593YBJ1 LT AAAsf Affirmed AAAsf
XP-A 12593YBG7 LT PIFsf Paid In Full AAAsf
KEY RATING DRIVERS
Increase in 'Bsf' Loss Expectations: The downgrades reflect higher
pool loss expectations since Fitch's prior rating action, driven by
increased losses on three specially serviced office and mixed-use
loans (27.9% of the pool), including a lower appraisal for 1155
Market Street (8.1%) and continued underperformance at Promenade
Gateway (10.1%) and 32 Avenue of the Americas (9.7%), which both
recently transferred to special servicing. The deal-level 'Bsf'
rating case loss has increased to 17.8% from 8.7% at Fitch's prior
rating action. Fitch identified 13 loans (70.6%) as Fitch Loans of
Concern (FLOCs), including the three (27.9%) loans in special
servicing.
Given the high percentage of FLOCs and upcoming maturity
concentration, whereby 92.6% of the pool matures by November 2026,
Fitch performed a recovery and liquidation analysis that grouped
the remaining loans based on their status and collateral quality
and then ranked them by their perceived likelihood of repayment or
loss expectation.
The Negative Outlooks on classes B, C, and D reflect the pool's
high office concentration (40.8%) and their reliance for repayment
on FLOCs with refinance concerns. Downgrades are possible with
further performance deterioration of the FLOCs, recovery prospects
for the specially serviced loans worsen, and/or additional loans
transfer to special servicing or default at or prior to maturity.
In addition to the specially serviced loans, a higher probability
of default was also assigned to these FLOCs, including Equitable
City Center (8.6), Netflix HQ 2 (8.4%), Phoenix Center (4.4%),
19925 Stevens Creek (4.3%), Hall Office Park - A2 (3.8%), 888
Prospect (3.0%), Indiana Business Center (1.6%), Washington Park
Plaza (0.7%), and Walgreens - Philadelphia (0.6%), reflecting
refinance concerns, which also contributed to the Negative
Outlooks.
Largest Contributor to Loss Expectations: The largest contributor
to overall loss expectations and the largest increase in loss since
the prior review is the 1155 Market Street loan (8.1%), secured by
a 103,487-sf office property located in downtown San Francisco, CA.
The loan transferred to special servicing in March 2024 after its
sole tenant, the City and County of San Francisco, vacated in May
2024. A proposed five-year lease extension through January 2028 was
rejected by the municipality, leaving the collateral 100% vacant. A
receiver was appointed in June 2024, and a leasing broker has been
engaged to market the building. The special servicer is
simultaneously evaluating rights and remedies and has initiated
forbearance proceedings.
Fitch's loss expectations of 96% (prior to concentration add-ons)
considers the most recent appraisal value, which is approximately
91% below the issuance appraisal value, equating to a recovery
value of $55 psf.
The second-largest contributor to overall loss expectations is the
Promenade Gateway loan (10.1%), which is secured by a 132,443-sf
mixed-use (multifamily and office) property comprised of 105,301 sf
of retail/commercial space and 32 multifamily units located in
Santa Monica, CA. AMC Theaters (21.4% of the NRA) vacated in
October 2024 and WeWork (13.7% of NRA) vacated at YE 2023, causing
occupancy to decline to 64.6% as of March 2025 from 95% at YE 2022.
The loan has transferred to special servicing in September 2025 for
imminent monetary default.
The servicer-reported net operating income (NOI) debt service
coverage ratio (DSCR) has dropped to 1.75x as of YE 2024, down from
2.08x as of YE 2022. Approximately 6.3% of the commercial space is
due to expire in 2025, coinciding with the loan's maturity date in
December 2025.
Fitch's 'Bsf' rating case loss of 21.6% (prior to concentration
adjustments) reflects a 9% cap rate and 15% stress to the YE 2024
NOI and factors an increased probability of default to account for
the loan's heightened maturity default concerns.
The third-largest contributor to loss expectations is the 32 Avenue
of the Americas loan (9.7%), secured by a 1.2 million-sf office
property/data center in New York, NY. This FLOC was flagged due to
sustained performance declines and the loan was transferred to
special servicing in August 2025, due to imminent maturity default.
Occupancy has fallen to 57% as of 2Q25, in line with YE 2024, but a
decline from 60.5% at YE 2023, and remains lower than YE 2020
occupancy of 89%. Due to the occupancy declines, NOI DSCR has
fallen to 1.22x compared to 1.09x at YE 2024 and 1.15x as of YE
2023 and 2.00x at issuance.
In addition to the decline in occupancy, the property's operating
expenses have increased. Compared to issuance levels, real estate
taxes have risen 55% and general and administrative expenses have
increased 115%, contributing to a 38% increase in total operating
expenses. Overall, YE 2024 NOI has declined 5.1% YoY and remains
45.6% below the originator's underwritten NOI at issuance.
Fitch's 'Bsf' rating case loss of 20% (prior to concentration
adjustments) reflects a 9.5% cap rate and 10% stress to the YE 2024
NOI and factors an increased probability of default due to the
loan's heightened default concerns. The loan matures in November
2025.
The fourth-largest contributor to loss expectations is the Netflix
HQ 2 (8.4% of the pool) loan, which is secured by 147,459-sf single
tenant office building located in Los Gatos, CA. The property is
100% leased to Netflix through November 2025, with two five-year
renewal options. The property is situated in a campus of suburban
office buildings known as the Grove Campus and serves as part of
the tenant's new global headquarters. The loan was identified as a
FLOC due to Netflix extending the term of their lease through
December 2027. While the borrower has indicated to the master
servicer that it plans to repay the loan at maturity, the short
lease extension introduces potential refinance uncertainty.
Fitch's 'Bsf' rating case loss of 11% (prior to concentration
adjustments) includes a 9.5% cap rate, 10% stress to the YE 2024
NOI and an increased probability of default to account for the
loan's heightened maturity default concerns.
Increasing Credit Enhancement (CE): As of the September 2025
distribution date, the pool's aggregate balance has been reduced by
42.3% to $592.8 million from $1.03 billion at issuance. There are
four loans that are fully defeased comprising 7.5% of the pool.
Loans scheduled to mature between October 2025 and November 2026
represent 92.6% of the pool. Cumulative interest shortfalls of $2.3
million are currently impacting classes E, F, G, and the non-rated
classes H and J. Realized losses of $9.27 million are impacting the
non-rated class J.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to 'AAAsf' rated classes are not likely due to
increasing CE and expected payoff from performing loans but may
occur if deal-level losses increase significantly and/or interest
shortfalls affect these classes.
Downgrades to 'AAsf' rated classes that have Negative Outlooks
could occur with an increase in pool-level losses from further
performance deterioration of FLOCs, namely Equitable City Center,
Netflix HQ 2, Phoenix Center, 19925 Stevens Creek, and Hall Office
Park A2, and further value degradation of specially serviced loans,
1155 Market Street, Promenade Gateway, and 32 Avenue of the
Americas.
Downgrades to 'BBBsf' and 'Bsf' rated classes are likely with
higher-than-expected losses from continued underperformance of the
FLOCs, particularly the loans with deteriorating performance and
with greater certainty of losses on the specially serviced loans,
or with prolonged workouts of the loans in special servicing.
Downgrades to distressed classes are possible should additionally
loans transfer to special servicing and as losses are realized or
become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' categories may be possible
with significantly increased CE from paydowns and/or defeasance,
coupled with stable to improved pool-level loss expectations and
improved performance on the FLOCs, including Equitable City Center,
Netflix HQ 2, Phoenix Center, 19925 Stevens Creek, and Hall Office
Park A2. Classes would not be upgraded above 'AA+sf' if there is a
likelihood for interest shortfalls.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration.
Upgrades to the 'Bsf' category rated classes could occur 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 distressed classes are not likely but may be possible
with better-than-expected recoveries on specially serviced loans
and/or significantly higher values on FLOCs, particularly the 1155
Market Street loan or loans with refinance concerns.
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.
COOPR RESIDENTIAL 2025-CES3: Fitch Rates Class B-2 Debt 'Bsf'
-------------------------------------------------------------
Fitch Ratings has assigned final ratings to COOPR Residential
Mortgage Trust 2025-CES3.
Entity/Debt Rating Prior
----------- ------ -----
COOPR 2025-CES3
A-1 LT AAAsf New Rating AAA(EXP)sf
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
M-1 LT BBBsf New Rating BBB(EXP)sf
B-1 LT BBsf New Rating BB(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
Transaction Summary
The certificates are supported by 7,919 primarily closed-end second
lien (CES) loans with a total balance of approximately $560 million
as of the cutoff date.
Nationstar Mortgage LLC, d/b/a Mr. Cooper (Nationstar), originated
100% of the loans and will be the primary servicer for all the
loans.
Distributions of principal and interest (P&I) and loss allocations
are based on a traditional senior-subordinate, sequential
structure. In addition, excess cash flow can be used to repay
losses or net weighted average coupon (WAC) shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): As a result of its
updated view on sustainable home prices, Fitch views the home price
values of this pool as 10.7% above a long-term sustainable level
(versus 10.5% on a national level as of 1Q25). Affordability is the
worst it has been in decades, driven by both high interest rates
and elevated home prices. Home prices increased 3.0% yoy nationally
as of May 2025, despite modest regional declines, but are still
being supported by limited inventory.
Prime Credit Quality (Positive): The collateral consists of 7,919
loans totaling approximately $560 million and seasoned at about
four months in aggregate, as calculated by Fitch. The borrowers
have a strong credit profile, including a WA Fitch model FICO score
of 737, a debt-to-income ratio (DTI) of 37% and moderate leverage,
with a sustainable loan-to-value ratio (sLTV) of 73%.
All the loans are of a primary residence, cashout refinance loans
and originated through a retail channel. In addition, roughly 98.4%
of the loans were treated as full documentation.
Second Lien Collateral (Negative): All loans were originated by
Nationstar as CES, with nine loans (0.1% of pool) subsequently
moved to a first lien position after the senior lien was paid down.
Fitch assumed no recovery and 100% loss severity (LS), based on the
historical behavior of second lien loans in economic stress
scenarios. Fitch assumes second lien loans default at a rate
comparable to first lien loans; after controlling for credit
attributes, no additional penalty was applied to Fitch's
probability of default (PD) assumption.
Sequential Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure in which the subordinate
classes do not receive principal until the most senior classes are
repaid in full. Losses are allocated in reverse-sequential order.
Furthermore, the provision to reallocate principal to pay interest
on the 'AAAsf' rated certificates prior to other principal
distributions is highly supportive of timely interest payments to
those certificates in the absence of servicer advancing.
Monthly excess cash flow will be applied first to repay any current
and previously allocated cumulative applied realized loss amounts
and then to repay any unpaid net WAC shortfalls. The structure
includes a step-up coupon feature whereby the fixed interest rate
for the senior classes increases by 100 basis points (bps), subject
to the net WAC, after the 48th payment date.
180-Day Charge-Off Feature (Positive): The class XS majority
noteholder has the ability, but not the obligation, to instruct the
servicer to write off the balance of a loan at 180 days delinquent
(DQ), based on the Mortgage Bankers Association (MBA) delinquency
method. To the extent the servicer expects meaningful recovery in
any liquidation scenario, the class XS majority noteholder may
direct the servicer to continue to monitor the loan and not charge
it off.
While the 180-day charge-off feature will result in losses being
incurred sooner, there is a larger amount of excess interest to
protect against them. This compares favorably with a delayed
liquidation scenario, where losses occur later in the life of a
transaction and less excess is available to cover them. If a loan
is not charged off due to a presumed recovery, this will provide
added benefit to the transaction, above Fitch's expectations.
In addition, recoveries realized after the writedown at 180 days DQ
(excluding forbearance mortgage or loss mitigation loans) will be
passed on to bondholders as principal.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0%, in addition to the model-projected 41.9% at 'AAAsf'. 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 rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated classes excluding those being assigned ratings of
'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics. A third-party due diligence
review was completed on 27.9% of the loans in this transaction. The
scope, as described in Form 15E, focused on credit, regulatory
compliance and property valuation reviews, consistent with Fitch
criteria for new originations. All reviewed loans received a final
overall grade of 'A' or 'B' and indicate sound origination
practices consistent with non-agency prime RMBS.
Fitch considered this information in its analysis and, as a result,
the due diligence performed on the pool received a model credit
which reduced the 'AAAsf' loss expectation by 18 bps.
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.
CSAIL 2017-CX10: Fitch Lowers Rating on Two Tranches to 'BBsf'
--------------------------------------------------------------
Fitch Ratings has downgraded 10 and affirmed seven classes of CSAIL
2017-CX10 Commercial Mortgage Trust pass-through certificates,
series 2017-CX10. Following the downgrade to classes B, C, V1-B,
and X-B, these classes were assigned a Negative Rating Outlook. The
Outlooks for classes A-S, X-A, and V1-A remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
CSAIL 2017-CX10
A-3 12595JAE4 LT AAAsf Affirmed AAAsf
A-4 12595JAG9 LT AAAsf Affirmed AAAsf
A-5 12595JAJ3 LT AAAsf Affirmed AAAsf
A-S 12595JAS3 LT AAAsf Affirmed AAAsf
A-SB 12595JAL8 LT AAAsf Affirmed AAAsf
B 12595JAU8 LT BBBsf Downgrade Asf
C 12595JAW4 LT BBsf Downgrade BBBsf
D 12595JBA1 LT CCCsf Downgrade BBsf
E 12595JBC7 LT CCsf Downgrade CCCsf
F 12595JBE3 LT Csf Downgrade CCsf
V1-A 12595JBL7 LT AAAsf Affirmed AAAsf
V1-B 12595JBN3 LT BBsf Downgrade BBBsf
V1-D 12595JBQ6 LT CCCsf Downgrade BBsf
V1-E 12595JBS2 LT CCsf Downgrade CCCsf
X-A 12595JAN4 LT AAAsf Affirmed AAAsf
X-B 12595JAQ7 LT BBBsf Downgrade Asf
X-E 12595JAY0 LT CCsf Downgrade CCCsf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Fitch's current ratings
incorporate a 'Bsf' rating case loss of 9.9%, up from 5.8% at the
prior rating action. Eight loans are classified as Fitch Loans of
Concern (FLOCs; 38.2% of the pool), including three loans (14.9%)
in special servicing.
The downgrades reflect increased pool loss expectations since
Fitch's last rating action, primarily driven by higher losses
attributed to office FLOCs, specifically One California Plaza (7.6%
of the pool), 379 West Broadway (6.4%), 600 Vine (5%), and 701 East
22nd Street (2.3%).
The Negative Outlooks reflect the high office concentration in the
pool of 47.4% and the potential for additional downgrades should
the office FLOCs experience further performance declines and/or
extended specially serviced loan workouts lead to further value
declines.
The largest increase in loss expectations since the prior rating
action is the specially serviced 701 East 22nd Street, secured by a
174,098-sf four-story suburban office building located in Lombard,
IL. The loan transferred to the special servicer in November 2024
after not paying off at loan maturity. Occupancy declined to 54% as
of December 2024 from 88% at December 2023. A receiver has recently
been appointed.
Fitch's 'Bsf' rating case loss of 76.5% (prior to concentration
adjustments) reflects a discount to the most recent appraisal value
reflecting a stressed value of $25 psf.
The largest contributor to overall loss expectations is the
specially serviced 600 Vine loan, secured by a 578,893-sf office
property located in Cincinnati, OH. The loan transferred to special
servicing in June 2023 for imminent default due to continued
year-over-year performance declines.
Occupancy declined to 52.3% as of June 2025 when the largest
tenant, FirstGroup America (10.6% of NRA), vacated before the March
2024 lease expiration and Cole + Russell Architects (5.1%) vacated
at the April 2025 lease expiration. The next largest tenants
include Rendigs, Fry, Kiely & Dennis (4.5%, July 2027) and Wood,
Herron & Evans, L.L.P. (3.9%; February 2035). A receiver has been
appointed and the property is being marketed for sale.
Fitch's 'Bsf' rating case loss of 48.6% (prior to concentration
add-ons) reflects a discount to the most recent appraisal value
reflecting a stressed value of $44 psf.
The second largest contributor to overall loss expectations is the
379 West Broadway loan, secured by a 69,392-sf office property
located in the SoHo neighborhood of Manhattan. The property is 100%
occupied by three tenants including WeWork (87.6%; April 2029),
Celine (6.2%; June 2029) and Ralph Lauren (6.2%; January 2027). The
servicer-reported June 2025 net operating income (NOI) was 0.56x
compared to 1.04x at YE 2024, 1.93x at YE 2023, 1.98x at YE 2022,
1.88x at YE 2021, and 1.69x at YE 2020. The decline in NOI can be
attributed to WeWork having a base rent of 100% of their NOI.
Fitch's 'Bsf' rating case loss of 37.4% (prior to concentration
add-ons) reflects an 8.50% cap rate and a 20% stress to the YE 2024
NOI, as well as a higher probability of default to address the
large WeWork exposure.
The third largest contributor to overall loss expectations is the
specially serviced One California Plaza, secured by a 1,047,062-sf,
42-story, LEED Platinum office building built in 1985 and located
in Los Angeles, CA. The loan transferred to special servicing in
September 2024 for imminent maturity default before the loan
matured in November 2024.
According to the servicer, the property is 62.8% occupied, a
decline from 73% at September 2024 due to the second largest
tenant, Skadden, Arps, Slate, Meagher & Flom LLP (10% of NRA),
vacating at the November 2024 lease expiration. The
servicer-reported June 2024 DSCR was 1.55x compared to 1.48x at YE
2023, 1.40x at YE 2022, 1.48x at YE 2021, and 1.89x at YE 2019.
According to Costar and as of September 2025, the downtown Los
Angeles office submarket reported a vacancy of 27.5%.
Fitch's 'Bsf' rating case loss of 19.8% (prior to concentration
add-ons) reflects a discount to the most recent appraisal value,
reflecting a stressed value of $104 psf.
Increased Credit Enhancement: As of the August 2025 distribution
date, the pool's aggregate balance has been paid down by 23% to
$657.3 million from $855.3 million at issuance. The pool has
experienced no realized losses since issuance. Four loans (7.8%)
have been defeased. The deal has interest shortfalls of
approximately $1.54 million that is currently affecting the
non-rated class NR.
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
high CE and expected continued amortization and loan repayments and
dispositions, but may occur if deal-level losses increase
significantly and/or interest shortfalls occur or are expected to
occur.
Downgrades to the junior 'AAAsf rated classes, which have Negative
Outlooks, could occur if deal-level losses increase significantly
from outsized losses on larger office FLOCs and/or more loans than
expected experience performance deterioration and/or default at or
prior to maturity. These FLOCs include One California Plaza, 379
West Broadway, 600 Vine, 300 Montgomery, and 701 East 22nd Street.
Downgrades to the 'BBBsf' and 'BBsf' categories are possible with
higher-than-expected losses from continued underperformance of the
FLOCs, in particular office loans with deteriorating performance or
with greater certainty of losses on FLOCs.
Downgrades to the distressed classes would occur as losses are
realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'BBBsf' category may be possible
with significantly increased credit enhancement from paydowns
and/or defeasance, coupled with stable-to-improved pool-level loss
expectations and improved performance on the FLOCs, including One
California Plaza, 379 West Broadway, 600 Vine, 300 Montgomery, and
701 East 22nd Street.
Upgrades to the class rated in the 'BBsf' category 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 distressed ratings are unlikely, but possible with
better-than-expected recoveries on specially serviced loans and/or
significantly improved performance of the 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.
DRYDEN 97: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 97
CLO, Ltd. Reset.
Entity/Debt Rating
----------- ------
Dryden 97 CLO,
Ltd. Reset
A-1-R LT NRsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
X-R LT NRsf New Rating
Transaction Summary
Dryden 97 CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by PGIM,
Inc.. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $497 (excluding defaults) million of primarily first
lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
The weighted average rating factor (WARF) of the indicative
portfolio is 21.75 and will be managed to a WARF covenant from a
Fitch test matrix. 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: The indicative portfolio consists of 95.16%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.1% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1, 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-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1, 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.
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.
ELARA HGV 2025-A: Fitch Assigns 'BBsf' Final Rating on Cl. D Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Outlooks to Elara HGV
Timeshare Issuer 2025-A LLC (2025-A) notes.
Entity/Debt Rating Prior
----------- ------ -----
Elara HGV Timeshare
Issuer 2025-A, LLC
A LT AAAsf New Rating AAA(EXP)sf
B LT A-sf New Rating A-(EXP)sf
C LT BBB-sf New Rating BBB-(EXP)sf
D LT BBsf New Rating BB(EXP)sf
Transaction Summary
The notes will be backed by timeshare loans from a single timeshare
site in Las Vegas, NV, LV Tower 52 Vacation Suites, a vacation
ownership resort operating as Elara (a Hilton Grand Vacations
resort). The loans were originated by LV Tower 52, LLC (LV Tower)
under a sales and marketing agreement with Hilton Resorts
Corporation (HRC).
HRC is a subsidiary of Hilton Grand Vacations, Inc. (HGV). As
detailed in the sales and marketing agreement, HRC and Grand
Vacation Services, LLC (GVS) provide rebranding, marketing and
sales, as well as complete operational management and servicing of
the loans. This is LV Tower's seventh term securitization, having
issued transactions since 2014.
KEY RATING DRIVERS
Borrower Risk — Strong Collateral: The 2025-A pool has a weighted
average (WA) FICO score of 754, up from 744 in 2023-A. The WA
seasoning is 17 months, in line with 2023-A. Overall, Fitch
considers the credit quality of the current pool to be slightly
stronger. However, the concentration of large original balance
loans (greater than $100,000) is 33.1%, up from 13.7% in 2023-A,
and the share of upgraded loans is 82.8%, up from 62.5% in 2023-A.
Forward-Looking Approach on CGD Proxy — Weakening Performance:
The outstanding ABS transactions and the Elara managed portfolio
have experienced elevated defaults since 2016. However, the default
growth rates for the 2016-2021 vintages have slowed slightly in
recent periods. The more recent 2022-2025 vintages are tracking
generally in line with earlier weaker vintages. Fitch's initial
rating case cumulative gross default (CGD) proxy for 2025-A is
17.0%, in line with that for 2023-A.
Single Timeshare Site: The loans are associated with a single
resort, Elara, in Las Vegas. However, the owners have the same
usage and exchange rights as other HRC timeshare owners and are
club members within HRC's system. As such, the risk associated with
a single-site property is mitigated.
Structural Analysis — Adequate CE: Initial hard credit
enhancement (CE) is 51.30%, 21.90%, 8.90% and 3.00% for class A, B,
C and D notes, respectively, down from 54.15%, 25.80%, 11.15% and
7.25%, respectively, in 2023-A. Soft CE is provided by excess
spread and is 8.42% per annum, up from 6.85% in the prior deal.
Available CE is sufficient to support stressed multiples of 3.50x,
2.25x, 1.58x and 1.25x at the 'AAAsf', 'A-sf', 'BBB-sf' and 'BBsf'
rating levels for class A, B, C and D notes, respectively.
Originator Seller/Servicer — Quality of Origination/Servicing: LV
Tower and HRC have demonstrated sufficient abilities as originator
and servicer of timeshare loans, respectively. This is evidenced by
the historical delinquency and default performance of HRC's managed
portfolio and previous transactions.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults could produce
CGD levels higher than the rating case and would likely result in
declines of CE and remaining default coverage levels available to
the notes. Additionally, unanticipated increases in prepayment
activity could also result in a decline in coverage. Declining
default coverage may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.
Hence, Fitch conducts sensitivity analysis by stressing both a
transaction's initial rating case CGD and prepayment assumptions
and examining the rating implications on all classes of issued
notes. The CGD sensitivity stresses the CGD proxy to the level
necessary to reduce each rating by one full category, to
non-investment grade, 'BBsf' and to 'CCCsf' based on the break-even
default coverage provided by the CE structure.
Fitch also considers prepayment sensitivity of 1.5x and 2.0x
increases to the prepayment assumptions, as well as increases of
1.5x and 2.0x to the rating case CGD proxy, which represent
moderate and severe stresses, respectively. These analyses are
intended to provide an indication of the rating sensitivity of
notes to unexpected deterioration of a trust's performance.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CGD is 20% less than the projected
proxy, the expected ratings would be maintained for the class A
note at a stronger rating multiple. For class B, C and D notes the
multiples would increase, resulting in potential upgrades of three,
two and three notches, respectively.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with due diligence information from KPMG LLP.
The due diligence information was provided on Form ABS Due
Diligence-15E and focused on a comparison and re-computation of
certain characteristics with respect to 100 sample loans. Fitch
considered this information in its analysis, and the findings did
not have an impact on the analysis.
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.
ELARA HGV 2025-A: S&P Assigns BB- (sf) Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Elara HGV Timeshare
Issuer 2025-A's timeshare loan-backed notes.
The note issuance is an ABS transaction backed by vacation
ownership interest (timeshare) loans.
The ratings reflect S&P's view of:
-- The ratings reflect S&P's view of the transaction's credit
enhancement and the servicer's ability and experience, among other
factors.
-- The credit enhancement available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread.
-- The transaction's ability, on average, to withstand break-even
default levels of 56.90%, 36.90%, 29.50%, and 23.10% for the class
A, B, C, and D notes, respectively, based on S&P's various stressed
cash flow scenarios. These levels are higher than 3.35x, 2.28x,
1.82x, and 1.43x of its expected cumulative gross defaults of
17.00% for the class A, B, C, and D notes, respectively.
-- The transaction's ability to make interest and principal
payments according to the terms of the transaction documents on or
before the legal final maturity date under our rating stresses, and
its performance under the credit stability and sensitivity
scenarios at the respective rating levels.
-- The collateral characteristics of the series' timeshare loans,
our view of the credit risk of the collateral, and S&P's updated
macroeconomic forecast and forward-looking view of the timeshare
sector.
-- The series' bank accounts at Wells Fargo Bank N.A. and Bank of
America N.A. and the reserve account, all of which do not constrain
the ratings.
-- S&P's operational risk assessment of Grand Vacation Services
LLC as servicer, and its views of the company's servicing ability
and experience in the timeshare market.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors.
-- The transaction's payment and legal structures.
Ratings Assigned
Elara HGV Timeshare Issuer 2025-A
Class A, $116.79 million: AAA (sf)
Class B, $69.09 million: A- (sf)
Class C, $30.55 million: BBB- (sf)
Class D, $13.86 million: BB- (sf)
FS RIALTO 2022-FL4: DBRS Confirms B(high) Rating on G Notes
-----------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of notes
issued by FS Rialto 2022-FL4 Issuer, LLC as follows:
-- Class A Notes at AAA (sf)
-- Class A-S Notes at AAA (sf)
-- Class B Notes at AA (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at A (low) (sf)
-- Class E Notes at BBB (high) (sf)
-- Class F Notes at BB (high) (sf)
-- Class G Notes at B (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the increased credit
enhancement to the bonds as a result of successful loan repayment
as there has been a collateral reduction of 36.1% since issuance.
Additionally, the transaction benefits from a favorable collateral
composition as the trust continues to be primarily secured by
multifamily collateral (16 loans, representing 85.8% of the current
trust balance). Historically, loans secured by multifamily
properties have exhibited lower default rates and the ability to
retain and increase asset value. In conjunction with this press
release, Morningstar DBRS published a Surveillance Performance
Update report with in-depth analysis and credit metrics for the
transaction and with business plan updates on select loans. For
access to this report, please click on the link under Related
Documents below or contact us at info-dbrs@morningstar.com.
The initial collateral pool consisted of 23 floating-rate mortgage
loans secured by 36 mostly transitional properties with a cut-off
balance totaling $1.1 billion. Most loans were in a period of
transition with plans to stabilize performance and improve the
underlying assets' values. The transaction was structured with a
Reinvestment Period that expired with the April 2024 Payment Date.
As of the August 2025 remittance, the outstanding transaction
balance was $691.9 million with 20 loans secured by 44 properties.
Of the original 23 loans from transaction closing, 13 loans,
representing 76.1% of the current pool balance, remain in the
trust. Since September 2024, six loans with a former cumulative
trust balance of $210.7 million have been successfully paid in
full. Beyond the multifamily concentration noted above, two loans,
representing 8.1% of the current trust balance, are secured by
office properties and two loans, representing 6.0% of the current
trust balance, are secured by hotel properties.
Leverage across the pool has increased as of the August 2025
reporting when compared with issuance metrics, as the current
weighted-average (WA) as-is appraised loan-to-value ratio (LTV) was
73.5%, with a current WA stabilized LTV of 61.9%. In comparison,
these figures were 65.6% and 60.1%, respectively, at issuance.
Morningstar DBRS recognizes that select property values may be
inflated as the majority of the individual property appraisals were
completed in 2021 or 2022 and may not fully reflect the effects of
the current interest rate and capitalization rate (cap rate)
environment. In the analysis for this review, Morningstar DBRS
applied upward LTV adjustments across 19 loans, representing 95.8%
of the current trust balance, generally reflective of higher cap
rate assumptions as compared with the implied cap rates based on
the appraisals.
Through August 2025, the lender had advanced cumulative loan future
funding of $110.2 million to 17 of the outstanding individual
borrowers to aid in property stabilization efforts. The largest
advance has been made to the borrower of the Ashcroft Portfolio
loan ($22.4 million), which is secured by a portfolio of five
garden-style multifamily properties totaling 1,688 units throughout
Georgia and Texas. The borrower used the advanced funds to fund the
significant capital expenditure (capex) project across the
portfolio, which was budgeted at $30.9 million at loan closing.
Through Q1 2025, a total of 1,049 units across the portfolio had
received upgrades. As of June 2025, the portfolio was 91.4%
occupied with an average rental rate of $1,359 per unit, which
excludes monthly amenity rent. The loan matures in June 2027, and
$6.4 million of future funding remains available to the borrower
for further capex.
An additional $32.0 million of future loan funding allocated to
nine individual borrowers remains available. The largest portion of
available funds ($14.8 million) is allocated to the borrower of the
Buckhead Centre loan, which is secured by a two-building, Class B
office property in Atlanta. The amount of available funding remains
unchanged from the previous year, as the borrower's business plan
to complete a $16.0 million capex and leasing plan to convert the
building into Class A office product is behind schedule. As of June
2025, the property was 51.8% occupied, relatively unchanged from
the August 2024 occupancy rate of 51.6%, and the property generated
negative net cash flow (NCF) according to the financials provided
by the collateral manager for the trailing 12 months ended June 30,
2025. In its current analysis, Morningstar DBRS applied increased
as-is and as-stabilized LTV adjustments as well as an increased
probability of default penalty to the loan, resulting in a loan
expected loss (EL) approximately two times above the EL for the
pool.
As of August 2025, two loans, Arboreta Apartments (Prospectus
ID#31; 1.8% of the current trust balance) and NYC Midtown West
Multifamily Portfolio (Prospectus ID#29; 0.7% of the current trust
balance), were delinquent as the loans matured in May 2025 and June
2025, respectively. According to the collateral manager, each
borrower has requested a loan modification and maturity extension
with discussions currently ongoing. In the analysis for this
review, Morningstar DBRS applied increased LTV and probability of
default adjustments to each loan to reflect the increased execution
risk as both borrowers have not been able to execute the respective
loan exit strategies to date. The resulting EL for the Arboreta
Apartments loan is 1.5 times greater than the EL for the pool while
the EL for the NYC Midtown West Multifamily Portfolio loan is
similar to the EL for the pool.
One loan, Nob Hill (Prospectus ID#18; 6.6% of the current trust
balance), is specially serviced; however, according to the
collateral manager, the loan is expected to be returned to the
master servicer in the near term as a corrected loan. The
collateral is a garden-style multifamily property totaling 1,326
units in Houston. The loan was originally transferred to special
servicing in June 2024 for delinquency and was ultimately modified
in April 2025. Terms of the modification allow the borrower to
enter the property into the Texas Housing Finance Corporation (HFC)
program to obtain a full real estate tax exemption in exchange for
providing a portion of units as affordable. Additionally, monthly
interest payments between January 2025 and December 2025 will be
deferred until loan maturity in January 2026. The lender also
advanced $3.0 million to cover outstanding mechanics' liens, loan
modification costs, and costs related to the HFC program. The
borrower will have to satisfy two separate event-of-default tests
in October 2025 and April 2026 (if the available one-year maturity
extension is exercised), which are subject to occupancy and net
operating income benchmarks. In return for the modification, the
sponsor was required to provide the lender a profit participation
in two other owned properties securitized in the trust, North
Arkansas Portfolio (Prospectus ID#12; 6.1% of the current trust
balance) and West Hill Portfolio (Prospectus ID#27; 2.9% of the
current trust balance).
The borrower's original business plan was to use $5.4 million of
working capital at loan closing and $23.9 million of additional
loan future funding to finance a significant capex program across
the property, which included 729 unit upgrades and improvements to
the property exteriors, common areas, and amenities. In 2024, the
sponsor paused the unit renovation program after 300 units were
completed to focus on tenant evictions and reducing collection
loss. According to the April 30, 2025, documents provided by the
collateral manager, property performance remained depressed with an
occupancy rate of 74.4%, an average rental rate of $1,055 per unit,
and a trailing 12-month NCF of $1.2 million, which equated to a
1.3% debt yield and 0.38 times (x) debt service coverage ratio
(DSCR) based on the currently funded A note of $90.4 million. In
its current analysis, Morningstar DBRS applied stressed as-is and
as-stabilized LTV figures as well as an increased probability of
default adjustment to the loan, which resulted in a loan EL
approximately two times greater than the EL for the pool.
There are 11 loans on the servicer's watchlist, representing 62.1%
of the current trust balance, which have primarily been flagged for
below-breakeven DSCRs and upcoming maturity dates. The largest loan
on the servicer's watchlist, The Beach Place Apartments (Prospectus
ID#2; 10.6% of the current trust balance), is secured by a
multifamily property in Sunny Isles Beach, Florida. The loan was
added to the servicer's watchlist for a low YE2024 DSCR of 0.73x;
however, the loan also has an upcoming December 2025 maturity date.
The borrower's business plan at closing was to use $3.2 million of
loan future funding to upgrade 177 of the 308 units and to complete
amenity and property exterior upgrades. The loan is fully funded at
$76.8 million and, according to the July 2025 rent roll, the
property was 93.7% occupied with an average rental rate of $2,409
per unit. As of the trailing 12-month period ended June 30, 2025,
the property achieved NCF of $4.8 million, equating to a 1.07x DSCR
and 6.5% debt yield. The borrower has one available 12-month
extension option remaining if it is unable to exit the loan at
maturity in December 2025.
As a result of lagging business plans and loan exit strategies, the
borrowers of 17 loans, representing 88.2% of the current trust
balance, have received loan modifications. Terms for the
modifications vary from loan to loan; however, common terms include
waiving property performance tests to exercise maturity extensions,
loan interest deferrals, and the waiver or modification of
replacement interest rate cap agreement terms. The transaction
faces elevated near-term maturity risk as 10 loans, representing
51.4% of the current trust balance, will mature by YE2025. Only one
loan, Belaire Tower Apartments (Prospectus ID#17; 5.4% of the
current trust balance), does not have an available extension
option. According to the most recent financial reporting for the
loan, the borrower has achieved property stabilization, and it
appears likely that the loan will be paid in full at maturity.
Regarding loans that are unable to pay in full at the respective
maturity dates, Morningstar DBRS expects the borrowers and lenders
to agree to loan modifications if borrowers request to exercise
available extension options and property performance tests are not
met. Morningstar DBRS expects loan modification agreements to
require fresh equity deposits from borrowers.
Notes: All figures are in U.S. dollars unless otherwise noted.
HARBORVIEW MORTGAGE 2005-9: Moody's Ups Rating on 3 Bonds to Caa1
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of nine bonds issued by
HarborView Mortgage Loan Trust 2005-9. The collateral backing this
deal consists of Option ARM mortgages.
A comprehensive review of all credit ratings for the respective
issuer has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: HarborView Mortgage Loan Trust 2005-9
Cl. 1-PO, Upgraded to Baa2 (sf); previously on Sep 12, 2018
Upgraded to Ba3 (sf)
Cl. 2-PO, Upgraded to Baa2 (sf); previously on Sep 12, 2018
Upgraded to Ba3 (sf)
Cl. 3-PO, Upgraded to Baa2 (sf); previously on Sep 12, 2018
Upgraded to Ba3 (sf)
Cl. B-1, Upgraded to Ba2 (sf); previously on Nov 5, 2024 Downgraded
to B1 (sf)
Cl. B-3, Upgraded to Caa1 (sf); previously on Sep 12, 2018 Upgraded
to Ca (sf)
Cl. B-4, Upgraded to Caa1 (sf); previously on Dec 7, 2010
Downgraded to C (sf)
Cl. B-5, Upgraded to Caa1 (sf); previously on Dec 7, 2010
Downgraded to C (sf)
Cl. B-6, Upgraded to Caa2 (sf); previously on Dec 7, 2010
Downgraded to C (sf)
Cl. B-7, Upgraded to Caa3 (sf); previously on Dec 7, 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.
The upgrade to Class B-1 reflects the improved performance of the
collateral pools over the past 12 months. The upgrades for the
three principal-only bonds reflect the size of their current
balances, as well as their payment and loss priority relative to
the senior bonds.
The rest 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 this deal
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
HAVN TRUST 2025-MOB: Fitch Assigns B-(EXP)sf Rating on Cl. F Certs
------------------------------------------------------------------
Fitch Ratings has assigned the following expected ratings and
Ratings Outlooks to HAVN Trust 2025-MOB, commercial mortgage
pass-through certificates:
- $117,135,000 class A; 'AAA(EXP)sf'; Outlook Stable;
- $22,800,000 class B; 'AA-(EXP)sf'; Outlook Stable;
- $17,860,000 class C; 'A-(EXP)sf'; Outlook Stable;
- $25,270,000 class D; 'BBB-(EXP)sf'; Outlook Stable;
- $38,570,000 class E; 'BB-(EXP)sf'; Outlook Stable;
- $42,750,000 class F; 'B-(EXP)sf'; Outlook Stable;
The following class is not expected to be rated by Fitch:
- $13,915,000a class RR.
(a) Class RR represents a non-offered vertical risk retention
interest totaling approximately 5.0% of the fair value of the
offered certificates.
Transaction Summary
The certificates represent the beneficial ownership interest in a
trust that will hold a $278.3 million, two-year, floating-rate,
interest-only mortgage loan with three one-year extension options.
The mortgage will be secured by the borrower's leasehold or fee
simple interest, as applicable, in a portfolio of 22 medical office
properties totaling 1.4 million sf located across 13 states within
15 MSAs.
The sponsor is a joint venture between Welltower, Inc. and Wafra.
The properties were acquired in separate transactions from 2006 to
2014.
Mortgage loan proceeds and a mezzanine loan of $48.7 million will
be used to refinance existing debt of $298.9 million, fund upfront
reserves, and pay closing costs. The certificates will follow a
pro-rata paydown for the initial 20% of the loan amount and a
standard senior sequential paydown thereafter. To the extent no
mortgage loan event of default (EOD) is continuing, voluntary
prepayments will be applied pro rata and pari passu between the
mortgage loan components. The transaction is scheduled to close on
Oct. 2, 2025.
The loan is expected to be originated by Morgan Stanley Bank, N.A.
In addition, AREP HCFIII Haven Mezzanine Lender, LLC is expected to
originate the mezzanine loan. KeyBank National Association is
expected to be the servicer, with Trimont LLC as the special
servicer. Deutsche Bank National Trust Company is expected to act
as the trustee and backup advancing agent. Computershare Trust
Company, National Association is expected to act as the certificate
administrator.
KEY RATING DRIVERS
Net Cash Flow: Fitch Ratings estimates stressed net cash flow
(NCF) for the portfolio at $23.8 million. This is 13.6% lower than
the issuer's NCF. Fitch applied a 9.25% cap rate to derive a Fitch
value of approximately $256.9 million.
High Fitch Leverage: The $278.3 million senior loan equates to debt
of approximately $198 psf with a Fitch stressed loan-to-value (LTV)
ratio and debt yield of 108.3% and 8.5%, respectively. The loan
represents approximately 66.1% of the appraised value of $420.8
million. Fitch increased the LTV hurdles by 5.0% to reflect the
higher in-place leverage.
Geographic and Tenant Diversity: The portfolio exhibits strong
geographic diversity, with 22 properties located across 13 states
and 15 MSAs. The three largest state concentrations are Tennessee
(22.7% of NRA; four properties), New Jersey (16.0% of NRA; one
property), and Texas (14.7% of NRA; four properties). The three
largest MSAs are Philadelphia, PA (16.0% of NRA; 10.1% of ALA),
Kileen, TX (14.7% of NRA; 14.9% of ALA), and Knoxville (10.1% of
NRA; 12.0% of ALA). The portfolio also exhibits tenant diversity,
as it features 129 distinct tenants, with no tenant accounting for
more than 10.7% of NRA.
Creditworthy Tenancy: Approximately 37.1% of portfolio NRA is
leased to investment-grade or creditworthy tenants or to tenants
with an investment-grade or creditworthy parent company that
provides a guaranty of the lease. On average, the portfolio's
creditworthy tenancy has a weighted average (WA) lease term of 18.3
years, with a WA of 3.3 years remaining.
Institutional Sponsorship: Welltower Inc. is a large cap
diversified healthcare real estate investment trust with a
portfolio of 26 million sf in over 1500+ seniors and wellness
housing communities in the U.S., the U.K., and Canada. The firm
has owned and managed the portfolio's 22 assets for on average 10
years. Wafra is a global alternative asset manager with
approximately $28 billion of assets under management that invests
across a wide range of asset classes, including alternative and
traditional real estate, strategic partnerships, real assets and
infrastructure.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/
'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf''/BBsf'/'Bsf'/'NRsf'/.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/
'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BBsf''/Bsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence - 15E ("Form 15E ")
as prepared by Ernst and Young 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.
HOMES 2025-AFC3: S&P Assigns B (sf) Rating on Class B-2 Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to HOMES 2025-AFC3 Trust's
series 2025-AFC3 mortgage-backed notes.
The note issuance is an RMBS securitization backed by a pool of
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods) to
both prime and nonprime borrowers. The loans are primarily secured
by single-family residential properties, townhomes, planned unit
developments, condominiums, and two- to four-family residential
properties. The pool consists of 964 loans, which are qualified
mortgage (QM) safe harbor (average prime offer rate [APOR]),
non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty (R&W) framework, and
geographic concentration;
-- The mortgage originator, AmWest Funding Corp.;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P said, "Our U.S. economic outlook, which considers our
current projections for U.S. economic growth, unemployment rates,
and interest rates, as well as our view of housing fundamentals,
and is updated, if necessary, when these projections change
materially."
Ratings Assigned(i)
HOMES 2025-AFC3 Trust
Class A-1A, $256,193,000: AAA (sf)
Class A-1B, $39,843,000: AAA (sf)
Class A-1, $296,036,000: AAA (sf)
Class A-2, $36,058,000: AA (sf)
Class A-3, $41,039,000: A (sf)
Class M-1, $10,559,000: BBB (sf)
Class B-1, $6,773,000: BB (sf)
Class B-2, $3,984,000: B (sf)
Class B-3, $3,985,211: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, N/A: NR
(i)The ratings address the ultimate payment of interest and
principal.
(ii)The notional amount is initially $398,434,211 and will equal
the aggregate stated principal balance of the mortgage loans as of
the first day of the related due period.
NR--Not rated.
N/A--Not applicable.
ICG US CLO 2016-1: S&P Affirms B- (sf) Rating on Class D-RR Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement A-1-R3
loans and class A-1-R3, A-2-R3, and B-R3 debt from ICG US CLO
2016-1 Ltd./ICG US CLO 2016-1 LLC, a CLO managed by ICG Debt
Advisors that was refinanced in 2021 (the class A-1-R3 notes and
A-1-R3 loans are pro-rata). At the same time, S&P withdrew its
ratings on the previous class A-1-RR, A-2-RR, and B-RR debt
following payment in full on the Sept. 23, 2025, refinancing date.
S&P also affirmed its rating on the class C-RR, D-RR, and X-RR
debt, which were not refinanced.
The replacement debt was issued via a conformed indenture, which
outlines the terms of the replacement debt. According to the
conformed indenture and the credit agreement for the class A-1-R3
loans:
-- Class A-1-R3 notes cannot be converted into class A-1-R3
loans.
-- The non-call period was extended to Sept. 23, 2026.
-- No additional assets were purchased on the Sept. 23, 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 Oct. 25, 2025.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-1-R3 debt, $155.00 million: Three-month CME term SOFR +
1.00%
-- Class A-1-R3 loans, $77.56 million: Three-month CME term SOFR +
1.00%
-- Class A-2-R3 debt (deferrable), $58.00 million: Three-month CME
term SOFR + 1.60%
-- Class B-R3 debt (deferrable), $24.00 million: Three-month CME
term SOFR + 1.95%
Previous debt
-- Class A-1-RR debt, $232.56 million: Three-month CME term SOFR +
1.51161%
-- Class A-2-RR debt (deferrable), $58.00 million: Three-month CME
term SOFR + 2.11161%
-- Class B-RR debt (deferrable), $24.00 million: Three-month CME
term SOFR + 2.71161%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the existing D-RR class. We believe the
payment of principal or interest on the class D-RR debt does not
currently depend on favorable business, financial, or economic
conditions. Given the overall credit quality of the portfolio and
the passing coverage tests, we affirmed our rating on the class
D-RR debt. However, any further credit deterioration or lack of
improvement could lead to potential negative rating actions in the
future.
"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
ICG US CLO 2016-1 Ltd./ICG US CLO 2016-1 LLC
Class A-1-R3, $155.00 million: AAA (sf)
Class A-1-R3 loans, $77.56 million: AAA (sf)
Class A-2-R3, $58.00 million: AA (sf)
Class B-R3 (deferrable), $24.00 million: A (sf)
Ratings Withdrawn
ICG US CLO 2016-1 Ltd./ICG US CLO 2016-1 LLC
Class A-1-RR to NR from 'AAA (sf)'
Class A-2-RR to NR from 'AA (sf)'
Class B-RR to NR from 'A (sf)'
Rating Affirmed
ICG US CLO 2016-1 Ltd./ICG US CLO 2016-1 LLC
Class C-RR (deferrable): BB+ (sf)
Class D-RR (deferrable): B- (sf)
Class X-RR: AAA (sf)
Other Debt
ICG US CLO 2016-1 Ltd./ICG US CLO 2016-1 LLC
Subordinated notes, $44.75 million: NR
NR--Not rated.
JP MORGAN 2025-VIS3: S&P Assigns Prelim 'B-' Rating on B-2 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2025-VIS3's mortgage-backed certificates.
The certificate issuance is an RMBS securitization backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans, including loans with initial
interest-only periods, to prime and nonprime borrowers. The loans
are secured by single-family residential properties, townhomes,
planned-unit developments, condominiums, two- to four-family
residential, and five-to-10 multifamily properties. The pool
consists of 1,406 ATR-exempt business-purpose investment property
loans that are all ATR-exempt.
The preliminary ratings are based on information as of Sept. 24,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator and reviewed originators; and
-- S&P's U.S. economic outlook, which considers its 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)
J.P. Morgan Mortgage Trust 2025-DSC3
Class A-1A, $212,712,000: AAA (sf)
Class A-1B, $37,615,000: AAA (sf)
Class A-1, $250,327,000: AAA (sf)
Class A-2, $30,656,000: AA- (sf)
Class A-3, $44,762,000: A- (sf)
Class M-1, $21,064,000: BBB- (sf)
Class B-1, $14,670,000: BB- (sf)
Class B-2, $9,780,000: B- (sf)
Class B-3, $4,890,440: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(iii): NR
(i)The preliminary ratings address the ultimate payment of interest
and principal, and do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the aggregate stated principal
balance of the mortgage loans serviced by Newrez LLC (dba
Shellpoint Mortgage Servicing) and Selene Finance L.P., as of the
cutoff date.
(iii)The notional amount equals the aggregate stated principal
balance of loans in the pool as of the cutoff date.
NR--Not rated.
KRR CLO 18: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the KKR
CLO 18 Ltd. reset transaction.
Entity/Debt Rating
----------- ------
KKR CLO 18 Ltd._
Reset 2025
A-1-R2 LT AAAsf New Rating
A-2-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
KKR CLO 18 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by KKR Financial
Advisors II, LLC, originally closed in July 2017. The existing
secured notes will be redeemed in full on Sept. 15, 2025 (the
second refinancing date). Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $342 million of primarily first lien
senior secured leveraged loans, excluding defaulted obligations.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B/B-', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 27.63 and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 93.93%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.4% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 40% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction is currently outside the
reinvestment period, but can still reinvest with unscheduled
principal payments and sale proceeds of credit risk obligations.
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: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1-R2, between
'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BBB-sf' and 'A+sf'
for class B-R2, between 'BB-sf' and 'BBB+sf' for class C-R2, and
between less than 'B-sf' and 'BB+sf' for class D-R2 and between
less than 'B-sf' and 'BB-sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R2 and class
A-2-R2 notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, and
'A-sf' for class D-R2 and 'BBB+sf' for class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for KKR CLO 18 Ltd._
Reset 2025.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
MADISON PARK LXXIII: Fitch Assigns 'BB+sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Madison
Park Funding LXXIII, Ltd.
Entity/Debt Rating
----------- ------
Madison Park Funding
LXXIII, Ltd.
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BB+sf New Rating
F LT NRsf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Madison Park Funding LXXIII, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
UBS Asset Management (Americas) LLC. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $600 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 96.09% first
lien senior secured loans and has a weighted average recovery
assumption of 73.41%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'BB-sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Madison Park
Funding LXXIII, Ltd. In cases where Fitch does not provide ESG
relevance scores in connection with the credit rating of a
transaction, program, instrument or issuer, Fitch will disclose any
ESG factor that is a key rating driver in the key rating drivers
section of the relevant rating action commentary.
MADISON PARK LXXIII: Moody's Assigns B3 Rating to $250,000 F Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Madison Park Funding LXXIII, Ltd. (the Issuer or Madison Park
Funding LXXIII):
US$384,000,000 Class A-1 Floating Rate Senior Notes due 2038,
Assigned Aaa (sf)
US$250,000 Class F Deferrable Floating Rate Junior Notes due 2038,
Assigned B3 (sf)
The notes listed above are referred to herein, collectively, as the
Rated Notes.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Madison Park Funding LXXIII is a managed cash flow CLO. The issued
notes will be collateralized primarily by broadly syndicated senior
secured corporate loans. At least 90.0% of the portfolio must
consist of first lien senior secured loans and up to 10.0% of the
portfolio may consist of non-senior secured loans. The portfolio is
approximately 40% ramped as of the closing date.
UBS Asset Management (Americas) LLC (the Manager) will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued six other classes
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 3081
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 6.00%
Weighted Average Recovery Rate (WARR): 45.50%
Weighted Average Life (WAL): 8.09 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
MARANON LOAN 2025-1: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Maranon Loan Funding
2025-1 Ltd./Maranon Loan Funding 2025-1 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by Eldridge Credit Advisers 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
Maranon Loan Funding 2025-1 Ltd./Maranon Loan Funding 2025-1 LLC
Class A-1, $275.50 million: AAA (sf)
Class A-2, $0.95 million: AAA (sf)
Class A-2-L, $18.05 million: AAA (sf)
Class B, $19.50 million: AA (sf)
Class B-L, $9.00 million: AA (sf)
Class C (deferrable), $38.00 million: A (sf)
Class D-1 (deferrable), $28.50 million: BBB (sf)
Class D-2 (deferrable), $9.50 million: BBB- (sf)
Class E (deferrable), $19.00 million: BB- (sf)
Subordinated notes, $52.67 million: NR
NR--Not rated.
MARBLE POINT XIX: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Marble
Point CLO XIX Ltd reset transaction.
Entity/Debt Rating
----------- ------
Marble Point
CLO XIX Ltd.
X-R2 LT NRsf New Rating
A-R2 LT NRsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1R2 LT BBB-sf New Rating
D-2R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Marble Point CLO XIX Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by Marble
Point CLO Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: 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 22.79 and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 96.97% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.42% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 42% of the portfolio balance in aggregate while the top five
obligors can represent up to 9.25% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with that of other
recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The (weighted average life) WAL used for the transaction stress
portfolio and matrices analysis is 12 months less than the WAL
covenant to account for structural and reinvestment conditions
after the reinvestment period. In Fitch's opinion, these conditions
would reduce the effective risk horizon of the portfolio during
stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf'
and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf'
for class D-1R2, between less than 'B-sf' and 'BB+sf' for class
D-2R2, and between less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf'
for class D-1R2, 'A-sf' for class D-2R2, and 'BBB+sf' for class
E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch 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 Marble Point CLO
XIX 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.
METAL 2017-1: Fitch Lowers Rating on Three Tranches to 'Csf'
------------------------------------------------------------
Fitch Ratings has downgraded the METAL 2017-1 Limited (METAL)
series A, B, C-1, and C-2 notes.
Entity/Debt Rating Prior
----------- ------ -----
METAL 2017-1 Limited
A 59111RAA0 LT CCsf Downgrade CCCsf
B 59111RAB8 LT Csf Downgrade CCsf
C-1 59111RAC6 LT Csf Downgrade CCsf
C-2 59111RAD4 LT Csf Downgrade CCsf
Transaction Summary
The ratings reflect current transaction performance, Fitch's cash
flow projections, and its expectation for the structures to
withstand rating-specific stresses under Fitch's criteria and cash
flow modeling. Lease terms, lessee credit quality and performance,
and Fitch's assumptions and stresses all inform its modeled cash
flows and coverage levels.
METAL continues to increase in leverage since its last review,
driven by a decreasing pool value and size, ongoing lessee
delinquencies, and large outstanding note balances. Loan to values
(LTVs) have continued to increase YoY, as aircraft sell for less or
depreciate faster than the allocable note balances are being
repaid. Over the last twelve months the A note balance paid down
approximately $5 million, the B note paid interest only, and the
C-1 and C-2 notes capitalized an additional $4 million of interest.
As of October 2024, all notes in the transaction are past ARD.
The downgrades reflect increased LTVs, inconsistent pay down on the
A note and no principal payment on the subordinated notes,
continued lessee delinquencies, and concentrations in respect to
lessees, asset count, and geographic location.
Aircraft Collateral and Asset Value
Aircraft ABS transaction servicers are reporting continued strong
demand for aircraft, particularly those with maintenance green time
remaining. In addition, appraiser market values are currently
higher than base values for many aircraft types, which has not
occurred for several years. Fitch is also seeing continued strong
aircraft sale proceeds. Engines with maintenance green time
remaining are particularly in demand.
Macro Risks
Fitch recently revised its sector outlook for aircraft ABS to
'deteriorating' from 'neutral'. This change reflects expectations
for a slowdown in global air travel growth, consistent with its
forecast for weaker global GDP growth in 2025 and 2026. Global air
travel is highly correlated to global GDP. Fitch also expects
increased divergence in performance across several categories
including domestic versus international travel, geographic
footprint, lessee credit strength, and aircraft type and age.
Some domestic markets have contracted through May 2025, and there
is significant uncertainty about how trade relations and conflicts
will be resolved. Conclusive resolutions to tariff conflicts, for
example, may prompt Fitch to reevaluate its sector outlook.
Despite an anticipated slowdown in the growth rate of air travel,
Fitch expects aircraft values will remain supported by the ongoing
under-supply of aircraft. This is driven by continued impediments
to the construction and delivery of new aircraft and by engine shop
capacity issues that reduce total capacity. Fitch expects these
supply-side constraints to mitigate demand reductions.
ABS performance may be affected by deteriorating credit quality of
airline lessees. Despite benefiting from longer-term fixed rental
leases and staggered lease expiries, given sufficient financial
headwinds, some airlines may seek payment relief in the form of
restructures which could reduce cash flows to ABS. Fitch expects
securitizations with younger to mid-life aircraft and with adequate
lessee quality and diversification to be better positioned to
withstand potential pressures on cash flows needed to meet debt
service.
KEY RATING DRIVERS
Asset Value: The Fitch Value for the pool is $173 million, a
decrease of $22 million (11%), since the previous review. Fitch
used the most recent appraisals as of June 2025 and applied
depreciation and market value decline assumptions pursuant to its
criteria. Fitch Values are generally derived from half-life base
values unless the remaining leasable life is less than three years
in which case a market value is used. Fitch then uses the lesser of
mean and median of the given value.
Using the Fitch Value, the changes in LTVs since Fitch's prior
review are as follows:
- METAL 2017-1: A note 97% to 106%, B note 122% to 134%, C-1 note
141% to 157%, and C-2 note 149% to 168%.
METAL's mean maintenance-adjusted base value (MABV) (depreciated
from the appraisal effective date to August 2025) is $138 million.
The aircraft in aggregate are $35 million below half-life. The
maintenance reserve balance as of the August 2025 servicer report
was $17 million.
Tiered Collateral Quality: The pool consists of five narrowbody
(NB) aircraft, one widebody (WB), one cargo (Cargo), and two
part-out engines with the majority characterized as mid-life
aircraft (weighted-average [WA] age of 9.4 years). The WA tier is
2.2. Fitch utilizes three tiers when assessing the desirability and
liquidity of aircraft collateral: tier one, which is the most
liquid, and tier three which is the least liquid. Additional
details regarding Fitch's tiering methodology can be found here.
Pool Concentration: METAL sold one aircraft since the previous
review. The pool is concentrated with seven aircraft and two
part-out engines on lease to three lessees.
METAL is geographically concentrated with 71% of exposure (Fitch
Value) in Emerging Asia Pacific and 25% exposure to Emerging Middle
East & Africa.
Lessee Credit Risk: Fitch considers the credit risk posed by the
pool of lessees for METAL to be high. Delinquencies by several
lessees continue. Fitch has generally maintained the credit ratings
assigned in the prior review.
Operation and Servicing Risk: Fitch has found Aergo Captial to be
an effective servicer based on its experience as a lessor, overall
servicing capabilities and historical ABS performance to date.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- An increase in delinquencies, lower lease rates, or sales of
aircraft below Fitch's projections could lead to a downgrade of the
senior note.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Contractual lease rates outperforming modeled cash flows or
materially improved lessee credit quality may lead to an upgrade.
Similarly, if assets in the pool display higher values and stronger
rent generation than Fitch's stressed scenarios, this may also lead
to an upgrade;
- Fitch ran a sensitivity related to the lessee credit quality in
the pool. Fitch assigns a credit rating of 'CCC' or lower to a
majority of lessees in the pool. The sensitivity assumes all
currently lessees are rated 'B' and that all future lessees will be
rated 'B'. This sensitivity resulted in no change to the
model-implied ratings;
- Fitch also considers jurisdictional concentrations per its
"Structured Finance and Covered Bonds Country Risk Rating
Criteria," which could result in rating caps lower than 'Asf'.
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.
MFA 2025-NQM4: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MFA
2025-NQM4 Trust's mortgage pass-through certificates.
The certificate issuance is an RMBS securitization backed by first-
and second-lien, fixed- and adjustable-rate, fully amortizing U.S.
residential mortgage loans (some with initial interest-only
periods) to both prime and nonprime borrowers. The loans are
secured by single-family residential properties, townhouses,
planned-unit developments, condominiums, a co-operative, two- to
four-family homes, manufactured housing, and condotel residential
properties. The pool has 621 loans, which are qualified mortgage
(QM)/safe harbor mortgage loan (average prime offer rate),
non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt.
The preliminary ratings are based on information as of Sept. 22,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator, MFA Financial Inc., and the mortgage
originators;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's 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.
Preliminary Ratings Assigned(i)
MFA 2025-NQM4 Trust
Class A-1A(ii), $217,229,000: AAA (sf)
Class A-1B(ii), $33,758,000: AAA (sf)
Class A-1(ii), $250,987,000: AAA (sf)
Class A-1F, $25,000,000: AAA (sf)
Class A-IO, $25,000,000(iii): AAA (sf)
Class A-2, $15,961,000: AA (sf)
Class A-3, $43,059,000: A (sf)
Class M-1, $16,148,000: BBB (sf)
Class B-1, $11,692,000: BB- (sf)
Class B-2, $4,826,000: B- (sf)
Class B-3, $3,526,804: Not rated
Class XS, notional(iv): Not rated
Class A-IO-S, notional(iv): Not rated
Class R, not applicable: Not rated
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address the payment of the cap carryover
amounts.
(ii)All or a portion of the class A-1A and A-1B certificates can be
exchanged for the class A-1 certificates and vice versa.
(iii)The class A-1IO certificates are inverse floating-rate
certificates. They will have a notional amount equal to the
certificate amount of the class A-1F notes, which are floating-rate
certificates, and will not be entitled to payments of principal.
(iv)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 $371,199,804.
MIDOCEAN CREDIT II: S&P Affirms B- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings raised its rating on the class D-R debt from
MidOcean Credit CLO II and removed the rating from CreditWatch,
where it was placed with positive implications on Aug. 11, 2025. At
the same time, S&P affirmed its rating on the class E-R debt and
lowered our rating on the class F debt.
The rating actions follow S&P's review of the transaction's
performance using data from the July 2025 trustee report.
The CLO exited its reinvestment period in January 2022. The class
B-R, C, and D-R debt has received a cumulative paydown of $62.43
million since our September 2024 rating actions. The changes in the
reported overcollateralization (O/C) ratios for the outstanding
tranches since the July 2024 trustee report, which we used for our
previous rating actions, include:
-- The class D O/C ratio improved to 174.14% from 113.93%s, and
-- The class E O/C ratio improved to 108.64% from 100.71%.
All O/C ratios experienced a positive movement due to the paydown
of the senior debt, which increased the credit support.
Over the same period, collateral obligations in the 'CCC' rating
category decreased to $7.15 million from $16.65 million. The
upgrade on the class D-R debt reflects the improved credit support
available to the debt at the prior rating levels.
Although the O/C ratios improved, the par amount of defaulted
collateral increased to $2.60 million reported as of the July 2025
trustee report from $1.65 million reported as of the July 2024
trustee report. In addition, although the number of obligors
remaining in the portfolio has decreased due to the obligors paying
down debt steadily, the obligor concentration level has increased
as a result. The lower number of obligors, the increased defaulted
assets, and the increased cost of debt likely contributed to the
class E interest coverage test failing since May 2025.
S&P said, "The affirmation reflects our view that the class E-R
debt's existing credit support is commensurate with the current
rating level and its indicative cash flow results. Although the
largest obligor test indicates that this tranche does not pass at
the 'B' rating category level, we do not believe this tranche
depends on favorable conditions, based on our consideration of its
current credit enhancement, the portfolio's exposure to 'CCC' and
'CCC-' rated assets, and the current values of the largest 'CCC'
obligations.
"The downgrade reflects the class F debt's failing cash flows,
decreased credit enhancement, and the nonperforming asset ratings
backing the tranche, as well as the decline in the transaction's
weighted average recovery rate. Although our cash flows test
indicates a lower rating for the class F debt than the current
rating, we do not believe there is a virtual certainty of default
at this time. Therefore, we limited the downgrade to two notches,
based on the existing credit enhancement. However, any increase in
defaults or par losses could lead to negative rating actions in the
future.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt 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
MidOcean Credit CLO II/MidOcean Credit CLO II LLC
Class D-R to 'AAA (sf)' from 'A- (sf)/Watch Pos'
Rating Lowered
MidOcean Credit CLO II/MidOcean Credit CLO II LLC
Class F to 'CCC- (sf)' from 'CCC+ (sf)'
Ratings Affirmed
MidOcean Credit CLO II/MidOcean Credit CLO II LLC
Class E-R: B- (sf)
MJX VENTURE II: Moody's Cuts Rating on $1.5MM Ser. H/E Notes to Ba3
-------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by MJX Venture Management II LLC:
US$1,875,000 Series H/Class C Notes due 2031, Upgraded to Aaa (sf);
previously on November 13, 2023 Upgraded to Aa2 (sf)
Moody's have also downgraded the rating on the following notes:
US$1,500,000 Series H/Class E Notes due 2031, Downgraded to Ba3
(sf); previously on November 13, 2023 Downgraded to Ba1 (sf)
The Series H/Class C Notes and Series H/Class E Notes, together
with the other notes issued by the Issuer (the "Rated Notes"), are
collateralized primarily by 5% of certain rated notes (the
"Underlying CLO Notes") issued by Venture XXII CLO, Limited (the
"Underlying CLO").
A comprehensive review of all credit ratings for the respective
issuer(s) has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating action on the Series H/Class C notes is
primarily a result of deleveraging of the senior notes since August
2024. The Series H/Class A notes have been paid down by
approximately 49.5% or $9.5 million since then. Based on the
trustee's August 2025 report, the OC ratio for the Class C-R notes
in the Underlying CLO is reported at 129.65%[1] , versus August
2024 level of 120.56%[2].
The downgrade rating action on the Series H/Class E notes reflects
primarily the specific risks to the junior notes posed by par loss
and credit deterioration observed in the Underlying CLO. Based on
the trustee's August 2025 report, the OC ratio for the Class E-R
notes in the Underlying CLO is reported at 100.50%[3] versus August
2024 level of 104.38%[4], and failing the test level of 104.30%.
Furthermore, the trustee-reported weighted average rating factor
(WARF) in the Underlying CLO has deteriorated and currently is
3252[5] compared to 2776[6] in August 2024.
No actions were taken on the Series H/Class A Notes, Series H/Class
B Notes and Series H/Class D Notes because their expected losses
remain commensurate with their current ratings, after taking into
account the Underlying CLO's latest portfolio information, and the
transaction's and Underlying CLO's relevant structural features and
actual over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions in analyzing the Underlying CLO:
Performing par and principal proceeds balance: $290,012,677
Defaulted par: $11,869,263
Diversity Score: 60
Weighted Average Rating Factor (WARF): 3416
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.01%
Weighted Average Life (WAL): 3.0 years
Par haircut in OC tests and interest diversion test: 3.52%
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the Underlying CLO's portfolio, which in turn depends on economic
and credit conditions that may change. The Manager's investment
decisions and management of the Underlying CLO will also affect the
performance of the rated notes.
MORGAN STANLEY 2018-H3: DBRS Cuts Class HRR Certs Rating to C
-------------------------------------------------------------
DBRS, Inc. downgraded credit ratings on four classes of Commercial
Mortgage Pass-Through Certificates, Series 2018-H3 issued by Morgan
Stanley Capital I Trust 2018-H3 as follows:
-- Class E-RR to BB (high) (sf) from BBB (low) (sf)
-- Class F-RR to B (low) (sf) from BB (low) (sf)
-- Class G-RR to CCC (sf) from B (low) (sf)
-- Class H-RR to C (sf) from CCC (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class X-D at BBB (high) (sf)
Morningstar DBRS changed the trend on Classes D, X-D, and E-RR to
Stable from Negative and maintained the Negative trend on Class
F-RR. There is no trend for Classes G-RR and H-RR, which have
credit ratings that do not typically carry trends in commercial
mortgage-backed securities (CMBS). All remaining trends are
Stable.
The credit rating downgrades and Negative trend reflect Morningstar
DBRS' increased loss projections for the four loans in special
servicing, representing 7.6% of the pool, and concerns regarding
the pool's significant concentration of loans secured by office
collateral. With this review, Morningstar DBRS utilized liquidation
scenarios for all four loans, resulting in implied losses of
approximately $31.9 million, which would fully erode the balance of
the unrated Class J-RR and about 37% of the Class H-RR certificate.
Total projected liquidated losses have increased significantly
since Morningstar DBRS' last review primarily because of an updated
appraisal for Westbrook Corporate Center (Prospectus ID#7, 4.2% of
the pool), the details of which are discussed below. Morningstar
DBRS identified five loans backed by a mix of office, lodging, and
retail properties with a cumulative balance of $76.8 million
(approximately 9.1% of the pool) that are showing elevated
refinancing risk based on reported declines in net cash flow (NCF)
and occupancy. In the analysis for this review, Morningstar DBRS
calculated updated loan-to-value ratios using in-place NCFs and
market capitalization rates for all five loans and, where
applicable, applied elevated probabilities of default.
The credit rating confirmations reflect the otherwise stable
performance of the remaining loans in the pool, as exhibited by a
weighted-average (WA) debt service coverage ratio (DSCR) of 1.98
times (x) and WA debt yield of 12.3%, according to the most recent
year-end financials. As of the August 2025 remittance, 62 of the
original 66 loans remain in the pool with a trust balance of $848.4
million, reflecting a collateral reduction of 17.2% since issuance.
Nine loans, representing 7.1% of the pool, are secured by
collateral that has been defeased. There are nine loans,
representing 15.8% of the pool, that are on the servicer's
watchlist. The watchlist loans are primarily being monitored for
declines in collateral occupancy, low DSCRs, or deferred
maintenance.
The pool has a notable concentration of loans secured by office
properties, and most of these loans are generally performing in
line with issuance expectations, reporting a WA DSCR of 1.68x. The
pool's office exposure is concentrated in four of the top 10 loans,
which represent 22.3% of the pool, with a total concentration of
35.5%. The largest of these is Griffin Portfolio II (Prospectus
ID#1, 9.4% of the pool), which is secured by a portfolio of four
office/industrial buildings in Alabama, Nevada, Ohio, and Illinois.
The portfolio is 100.0% occupied and reported a DSCR of 2.64x as of
Q1 2025.
The largest loan in special servicing, Westbrook Corporate Center,
is secured by a 1.1 million-square-foot (sf) Class A office complex
in Westchester, Illinois, 15 miles west of the Chicago central
business district. The pari passu loan is split between the subject
transaction and the Benchmark 2018-B4 Mortgage Trust and Benchmark
2018-B5 Mortgage Trust transactions (both rated by Morningstar
DBRS). The loan transferred to special servicing in September 2024
for imminent monetary default. The special servicer has commenced
the receivership and foreclosure process. The loan is delinquent as
of the August 2025 remittance and remains due for the May 2025 loan
payment. Performance at the property has declined over the past few
years following the departure of American Imaging Management
(previously 6.2% of the net rentable area (NRA)), at lease
expiration in June 2024, and the recent downsizing of Follett
Higher Education Group (previously 12.8% of the NRA) to 4.5% of NRA
(a reduction of approximately 82,000 sf) in March 2025. As such,
the occupancy rate declined to 56.9% as of July 2025, according to
the most recent servicer's commentary, a decrease from 67.1% at
YE2023, and below the Q2 2025 West submarket occupancy rate of
74.5%, according to Reis. According to the trailing 12-month ended
June 30, 2024, financials, the loan reported an NCF of $6.2 million
(reflecting a DSCR of 0.99x), a notable decline from the YE2023 NCF
of $8.5 million (a DSCR of 1.35x). The collateral was most recently
appraised in May 2025 at a value of $41.0 million, representing a
69.9% decline from the issuance value of $136.0 million. As a
result of continued declines in performance and lack of leasing
momentum, Morningstar DBRS analyzed the loan with a liquidation
scenario with this review, applying a 20.0% haircut to the May 2025
appraised value, resulting in an implied loss of $25.4 million and
a loss severity of 72.0%.
The second-largest loan in special servicing, The Nexus Portfolio
(Prospectus ID#20, 1.7% of the pool), is secured by three Class B
office properties totaling 128,563 sf on the east coast of Florida.
The loan transferred to special servicing in February 2025 because
of delinquent payments and passed its June 2025 maturity date. Per
the most recent servicer commentary, the borrower is working with a
third-party buyer on a potential sale and anticipates closing in
October 2025. According to servicer commentary, the collateral was
79.8% occupied as of YE2024, which is a decline from the YE2023
occupancy of 97.6% and below the issuance occupancy of 94.0%. The
annualized trailing six-month NCF for the period ended June 30,
2024, was $2.3 million (reflecting a DSCR of 2.13x), relatively in
line with the YE2023 NCF and the issuer's underwritten figures of
$2.1 million (DSCR of 1.96x) and $1.8 million (DSCR of 1.72x),
respectively. In the analysis for this review, Morningstar DBRS
considered a liquidation scenario based on a conservative haircut
to the $27.8 million issuance appraisal value, resulting in
projected losses of $2.3 million (loss severity of 16.0%).
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2021-1: Fitch Assigns BB-sf Rating on Cl. E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Morgan Stanley Eaton Vance CLO 2021-1, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Morgan Stanley
Eaton Vance
CLO 2021-1, Ltd.
X LT NRsf New Rating
A-1R LT NRsf New Rating
A-1LR Loans LT NRsf New Rating
A-2R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1R LT BBB-sf New Rating
D-2R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Morgan Stanley Eaton Vance CLO 2021-1, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) managed by
Morgan Stanley Eaton Vance CLO Manager LLC that originally closed
in November 2021. On Sept. 16, 2025 (the refinancing date), all
classes of secured notes from the original closing will be redeemed
in full with refinancing proceeds. The secured and subordinated
notes will provide financing for a portfolio of approximately $400
million of primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: 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 23.40, and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 98.15% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.24% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 40.0% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with that of other
recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio and matrices analysis is 12 months less than the WAL
covenant to account for structural and reinvestment conditions
after the reinvestment period. In Fitch's opinion, these conditions
would reduce the effective risk horizon of the portfolio during
stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R,
between less than 'B-sf' and 'BB+sf' for class D-2R, 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-2R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1R, 'A-sf' for class D-2R, and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Morgan Stanley
Eaton Vance CLO 2021-1, 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.
MORGAN STANLEY 2024-NSTB: DBRS Confirms B(high) Rating on G Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed all credit ratings on the classes of
Commercial Mortgage Pass-Through Certificates Series 2024-NSTB (the
Certificates) issued by Morgan Stanley Capital I Trust 2024-NSTB as
follows:
-- Class A at AAA (sf)
-- Class AS at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F at BB (high) (sf)
-- Class G at B (high) (sf)
-- Class XA at AAA (sf)
-- Class XB at AA (sf)
-- Class XF at BB (high) (sf)
-- Class XG at B (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, which is early in its life cycle,
having closed in September 2024, and remains in line with issuance
expectations.
As of the August 2025 reporting, 146 of the original 149 loans
remain in the pool with an aggregate principal balance of $475.3
million, representing a collateral reduction of 3.0% since issuance
and a healthy weighted-average debt service coverage ratio (DSCR)
of 1.54 times (x). There are three loans in special servicing,
representing 1.7% of the current pool, two of which (0.9% of the
pool) transferred for nonperformance-related reasons as the
borrower and servicer continue to negotiate modification terms.
There are 25 loans on the servicer's watchlist that are primarily
being monitored for declines in collateral occupancy and low DSCRs.
The pool is concentrated by property type with loans backed by
multifamily properties spread across four states.
There are 146 loans secured by multifamily properties in this
transaction, representing the entirety of the pool. The transaction
includes 128 loans secured by 100% market-rate units. The remaining
18 loans are secured by properties of which 15 units are 100% rent
stabilized and three of which have some rent stabilized or
controlled component. Market rate units are favorable due to the
fact there are no potential income restrictions as the property's
rental rates can freely rise with market conditions. Multifamily
properties also have had historically lower default rates compared
with other commercial property types, and the asset class is viewed
favorably by Morningstar DBRS due to high cost of home ownership in
today's environment and strong rental tailwinds. As well, the large
number of loans and diversification of the pool proves to be credit
positive and results in an overall decrease in credit enhancement
levels. The individual exposure to any potential problem loans in
the pool decreases as the pool size is so considerable.
The largest loan in special servicing, 2918 Frederick Douglass
Boulevard (Prospectus ID#39, 0.68% of the pool), is secured by a
14-unit multifamily property in New York. The loan transferred to
special servicing in April 2025 because of monetary default. The
August commentary reports that the special servicer is currently
awaiting the signed PNL with no further updates. Per the July 2025
site inspection, the property was 75.0% occupied, which shows a
decline from the underwritten occupancy of 95.0%. An updated July
2025 appraisal valued the collateral at approximately $3.8 million,
which represents a 19.1% decline from the issuance appraisal of
$4.7 million. Considering the updated appraisal, Morningstar DBRS
applied a stressed LTV of 86.2%, which resulted in an expected loss
(EL) that was almost 2.0x the pool's average EL.
The other two loans in special servicing include 911 Broadway
(Prospectus ID#40, 0.66% of the pool) and 1124 Grant Avenue
(Prospectus ID#132, 0.24% of the pool). 911 Broadway is secured by
a 7,755-square foot (sf), five-story, mixed-use multifamily
building located in Brooklyn, while 1124 Grant Avenue is secured by
a 5,832 sf three story multifamily building located in the Bronx.
As previously mentioned, both loans were transferred to special
servicing with nonperformance-related concerns and are performing
above their respective issuance figures. At this review,
Morningstar DBRS did not liquidate or make any adjustments to
either of these loans.
Notes: All figures are in U.S. dollars unless otherwise noted.
MOUNTAIN VIEW 2013-1: S&P Raises E-R Notes Rating to 'CCC- (sf)'
----------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-RR and C-RR
debt from Mountain View CLO 2013-1 Ltd., and removed the classes
from CreditWatch, where S&P had placed them with positive
implications in August 2025. At the same time, S&P lowered its
rating on the class E-R debt and removed it from CreditWatch, where
S&P had placed it with negative implications in August 2025. S&P
also affirmed its ratings on the class A-RR and D-R debt.
S&P said, "The rating actions follow our review of the
transaction's performance using data from the July 2025 trustee
report. Although the same portfolio backs all of the tranches,
there can be circumstances such as this one, where the ratings on
the tranches move in opposite directions due to support changes in
the portfolio. This transaction is experiencing opposing rating
movements because it experienced both principal paydowns (which
increased the senior credit support) and faced principal losses
(which decreased the junior credit support).
"The CLO exited its reinvestment period in October 2022. The class
A-RR debt have received a cumulative paydown of $166.45 million
since our November 2021 rating actions." Following are the changes
in the reported overcollateralization (O/C) ratios since the August
2021 trustee report, which S&P used for its previous rating
actions:
-- The class B-RR O/C ratio improved to 148.37% from 129.21%.
-- The class C-RR O/C ratio improved to 122.61% from 117.00%.
-- The class D-R O/C ratio declined to 109.89% from 110.07%.
-- The class E-R O/C ratio declined to 100.51% from 104.50%.
While the senior O/C ratios experienced a positive movement due to
the paydowns on the senior notes, the junior O/C ratios declined
due to a combination of par losses and increase in defaults. Over
the same period, the collateral obligations with ratings in the
'CCC' category have decreased to $8.95 million from $19.84 million.
Combined with the effect of the senior note paydowns, the upgraded
ratings on class B-RR and C-RR debt reflect the improved credit
support available to these notes.
The par amount of defaulted collateral has increased to $7.20
million reported as of the July 2025 trustee report from $3.56
million reported as of the August 2021 trustee report. In addition,
a higher level of portfolio concentration is observed as the
obligors have been paying down steadily and the number of
performing obligors in the portfolio has reduced. The increased
defaulted assets and par losses has resulted in E-R O/C ratio
declining to a level below the test's required threshold.
S&P said, "We lowered the rating on the class E-R debt due to
failing cash flows, a decline in credit enhancement for the notes,
the failing O/C ratio test, and the class being backed by
non-performing collateral. Although cash flows indicated a lower
rating for the class E-R debt than the current rating action
reflects, we do not believe there is a virtual certainty of default
at this time in line with our rating definitions. However, for
these reasons, this class is in line with our definition of 'CCC'
risk as it is now vulnerable to non-payment and in our view
dependent on favorable market conditions in order to see its timely
interest and ultimate principal repaid by the stated maturity.
Therefore, we limited the downgrade to three notches based on the
deteriorated credit enhancement. However, any increase in defaults
or additional par losses could lead to potential negative rating
actions in the future.
"The affirmed rating on the class D-R debt reflects our view that
the existing credit support is commensurate with the current rating
levels. Although our largest-obligor default test indicates that
this tranche does not have sufficient credit support to pass at the
'BBB-' category level, we believe this tranche's current credit
enhancement is commensurate with the current rating level after
considering the application of the test with the benefit of excess
spread.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, as well as 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
Mountain View CLO 2013-1 Ltd.
Class B-RR to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class C-RR to 'A+ (sf)' from 'A (sf)/Watch Pos'
Rating Lowered And Removed From CreditWatch Negative
Mountain View CLO 2013-1 Ltd.
Class E-R to 'CCC- (sf)' from 'B- (sf)/Watch Neg'
Ratings Affirmed
Mountain View CLO 2013-1 Ltd.
Class A-RR: AAA (sf)
Class D-R: BBB- (sf)
MOUNTAIN VIEW XVII: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class X-R, A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R
debt from Mountain View CLO XVII Ltd./Mountain View CLO XVII LLC, a
CLO managed by Seix Investment Advisors, a subsidiary of Virtus
Fixed Income Advisers LLC, that was originally issued in September
2023.
The preliminary ratings are based on information as of Sept. 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 1, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original/existing debt.
S&P said, "At that time, we expect to withdraw our ratings on the
existing class X, A, B, C, D, and E debt and assign ratings to the
replacement class X-R, A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R
debt. However, if the refinancing doesn't occur, we may affirm our
ratings on the existing 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-1R, A-2R, B-R, C-R, D-1R, D-2R,
and E-R debt is expected to be issued at a lower spread over
three-month SOFR than the existing debt.
-- The replacement class A-1R and A-2R debt is expected to be
issued at a floating spread, replacing the current class A
floating-rate debt.
-- The replacement class D-1R and D-2R debt is expected to be
issued at a floating spread, replacing the current class D
floating-rate debt.
-- The replacement class X-R debt will be issued on the
refinancing date and is expected to be paid down using interest
proceeds during the first eight payment dates in equal installments
of $375,000, beginning on the first payment date and ending on the
eighth payment date.
-- The non-call period will be extended to Oct. 15, 2027.
-- The reinvestment period will be extended to Oct. 15, 2030.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to Oct. 15, 2038.
-- The target initial par amount is expected to increase to $315.0
million.
-- The first payment date following the refinancing is expected to
be Jan. 15, 2026.
-- No additional subordinated notes are expected to 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
Mountain View CLO XVII Ltd./Mountain View CLO XVII LLC
Class X-R, $3.00 million: AAA (sf)
Class A-1R, $192.15 million: AAA (sf)
Class A-2R, $15.75 million: AAA (sf)
Class B-R, $31.50 million: AA (sf)
Class C-R (deferrable), $18.90 million: A (sf)
Class D-1R (deferrable), $15.75 million: BBB (sf)
Class D-2R (deferrable), $6.30 million: BBB- (sf)
Class E-R (deferrable), $7.88 million: BB- (sf)
Other Debt
Mountain View CLO XVII Ltd./Mountain View CLO XVII LLC
Subordinated notes, $27.75 million: NR
NR--Not rated.
NATIXIS COMMERCIAL 2019-NEMA: DBRS Confirms BB Rating on X Certs
----------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2019-NEMA issued by
Natixis Commercial Mortgage Securities Trust 2019-NEMA as follows:
-- Class A at A (sf)
-- Class B at BBB (low) (sf)
-- Class X at BB (sf)
-- Class C at BB (low) (sf)
-- Class V-ABC at BB (low) (sf)
-- Class V2 at CCC (sf)
-- Class D at CCC (sf)
-- Class V-D at CCC (sf)
The trends on Classes A, B, C, X, and V-ABC are Stable. Classes D,
V2, and V-D have credit ratings that do not typically carry trends
in commercial mortgage-backed securities (CMBS) credit ratings.
The credit rating confirmations reflect Morningstar DBRS' outlook
on the transaction, which remains relatively unchanged since the
credit rating action in November 2024. While the loan was modified
and subsequently returned to the master servicer in June 2024,
Morningstar DBRS maintains a conservative view on the transaction
in light of the sustained performance declines and updated property
valuations for the underlying collateral since issuance. As such,
Morningstar DBRS did not update its loan-to-value (LTV) sizing
benchmarks, maintaining a stressed value analysis applied as part
of previous reviews, which indicates an LTV ratio in excess of 100%
on the secured debt.
The transaction consists of a $199.0 million first-lien mortgage
loan secured by NEMA San Francisco, a 754-unit Class A luxury
apartment complex with 11,184 square feet of commercial retail
space in the South of Market submarket. The trust loan is part of a
$384.0 million whole loan and consists of a $130.0 million senior
A-1 note and a $69.0 million senior-subordinate A-B note. Outside
of the trust, there is $75.0 million of additional debt that is
pari passu to the A-1 note as well as $110.0 million in subordinate
B notes. The trust loan has a 10-year term and pays interest only
(IO) for the full term until its maturity in February 2029.
The loan transferred to special servicing in August 2023 following
imminent monetary default. A loan modification was executed in
February 2024, with the interest rate on the B-1 note reduced to a
fixed rate of 2.00% through the earlier of either August 2026 or
upon the net cash flow (NCF) debt service coverage ratio (DSCR)
achieving a minimum 1.10 times (x) on a quarterly basis.
Additionally, the accruing interest on the B-2 note was terminated,
requiring the borrower to only repay the unpaid principal at
maturity. Among other terms, the borrower was also required to fund
approximately $5.0 million upfront for past-due payments to bring
the loan current and to commit to funding a minimum of $5.5 million
in future equity through the remainder of the loan term, including
a $2.5 million deposit in the capital expenditure (capex) reserves
and $1.0 million deposits each year following the aforementioned
funding. According to the servicer, the required $2.5 million capex
deposit was received. The loan will remain in a cash sweep period
until fully repaid. As of the August 2025 reporting, there was more
than $4.1 million held in reserves.
According to the YE2024 financials, the loan reported NCF of $13.2
million, relatively consistent with the YE2023 and YE2022 figures
of $13.6 million and $13.0 million, respectively, but well below
the Morningstar DBRS NCF of $20.1 million derived in 2020.
Historical declines in cash flow have primarily stemmed from
depressed rental rates and increased rental concessions initiated
during the pandemic; however, rental rates have shown improvement
over the last couple of years, increasing to $3,515 per unit as of
June 2025, from $3,445 per unit in June 2024, $3,318 per unit in
April 2023, and $3,183 per unit in April 2022. By means of
comparison, according to Reis Q2 2025 data, the average asking and
effective rents for comparable units within a 0.5-mile radius were
$3,876 per unit and $3,741 per unit, respectively, with a vacancy
rate of 3.8%. With the moderate increase in rental rates and
decreased expenses, the Q1 2025 annualized NCF rose to $15.3
million; however, this reflects only three months of reporting.
Based on the modified debt service amount, the loan's DSCR was
reported at 1.15x as of Q1 2025, which will revert the B-1 note's
interest rate back to its original rate of 4.8%.
In its previous analysis of the transaction, Morningstar DBRS was
in receipt of an appraisal dated September 2023 that valued the
collateral at $279.0 million, a 48.9% decline from the issuance
appraised value of $543.6 million and below the whole-loan balance
of $384.0 million. In its current analysis, Morningstar DBRS
applied a conservative 15.0% haircut to the September 2023
appraised value to reflect the potential for further value declines
amid property underperformance, resulting in a stressed value of
$237.2 million. The servicer provided a second appraisal in October
2023, valuing the property at $328.8 million. As indicated above,
Morningstar DBRS maintains its outlook on the property value as
performance has yet to reach the levels projected by either
appraisal, although there is evidence of moderate improvement.
Despite the improvement in the achieved average rental rate,
property performance still lags the 2023 appraisal expectations.
When applying the YE2024 NCF against the September 2023 and October
2023 values of $279.0 million and $328.8 million, the implied
capitalization (cap) rates are 4.74% and 4.03%, respectively, below
the assumed cap rates in the appraisals of 5.75% and 6.0%,
respectively. In comparison, the Morningstar DBRS value of $237.2
million reflects an implied cap rate of 5.58% based on the YE2024
NCF. While on the lower end of the Morningstar DBRS range for
multifamily properties, the cap rate reflects the subject's urban
infill location and above-average property quality. The implied
Morningstar DBRS cap rate is further supported by information from
the CBRE U.S. Cap Rate Survey H1 2025, which indicates Class A
value-added multifamily properties in the infill San Francisco area
traded at cap rates ranging from 5.00% to 6.00% while stabilized
properties traded at cap rates ranging from 4.05% to 5.50%.
Notes: All figures are in U.S. dollars unless otherwise noted.
NEW RESIDENTIAL 2021-INV2: Moody's Ups Rating on B5 Certs from Ba1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 14 bonds from two US
residential mortgage-backed transactions (RMBS). The collateral
backing these deals consists of agency eligible mortgage loans
issued by New Residential Mortgage Loan Trust.
A comprehensive review of all credit ratings for the respective
issuers has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: New Residential Mortgage Loan Trust 2021-INV1
Cl. B2, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded
to Aa3 (sf)
Cl. B2A, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded
to Aa3 (sf)
Cl. B3, Upgraded to A1 (sf); previously on Nov 25, 2024 Upgraded to
A2 (sf)
Cl. B4, Upgraded to Baa1 (sf); previously on Nov 25, 2024 Upgraded
to Baa2 (sf)
Cl. BX*, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded
to Aa3 (sf)
Cl. BX2*, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded
to Aa3 (sf)
Issuer: New Residential Mortgage Loan Trust 2021-INV2
Cl. B, Upgraded to Aa1 (sf); previously on Nov 25, 2024 Upgraded to
Aa2 (sf)
Cl. B2, Upgraded to Aa1 (sf); previously on Nov 25, 2024 Upgraded
to Aa2 (sf)
Cl. B2A, Upgraded to Aa1 (sf); previously on Nov 25, 2024 Upgraded
to Aa2 (sf)
Cl. B3, Upgraded to Aa3 (sf); previously on Nov 25, 2024 Upgraded
to A1 (sf)
Cl. B4, Upgraded to A3 (sf); previously on Nov 25, 2024 Upgraded to
Baa2 (sf)
Cl. B5, Upgraded to Baa3 (sf); previously on Nov 25, 2024 Upgraded
to Ba1 (sf)
Cl. BX*, Upgraded to Aa1 (sf); previously on Nov 25, 2024 Upgraded
to Aa2 (sf)
Cl. BX2*, Upgraded to Aa1 (sf); previously on Nov 25, 2024 Upgraded
to Aa2 (sf)
*Reflects Interest-Only Classes.
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.
The transactions Moody's reviewed continue to display strong
collateral performance, with minimal cumulative losses for each
transaction and a small percentage of loans in delinquencies. In
addition, enhancement levels for the tranches in these transactions
have grown, as the pools amortize. The credit enhancement since
closing has grown, on average, by 1.2x for the tranches upgraded.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
No actions were taken on the other rated classes in these deals
because the expected losses on these bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, credit enhancement
and other qualitative considerations.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations" published in August 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
NLT TRUST 2025-CES1: Fitch Gives 'B(EXP)' Rating on Class B-2 Notes
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
issued by NLT 2025-CES1 Trust (NLT 2025-CES1).
Entity/Debt Rating
----------- ------
NLT 2025-CES1
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
PT LT NR(EXP)sf Expected Rating
A-IO-S LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The residential mortgage-backed notes are supported by 1,677
closed-end second lien (CES) loans with a total balance of
approximately $196.5 million as of the cutoff date.
The pool consists of CES mortgages from various originators
acquired by Nomura Corporate Funding Americas, LLC. Distributions
of principal and interest (P&I) and loss allocations are based on a
traditional senior-subordinate, sequential structure in which
excess cash flow can be used to repay losses or net weighted
average coupon (WAC) shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 9.6% above a long-term sustainable
level (compared to 10.5% on a national level as of 1Q25), down 0.5%
since the quarter prior, based on Fitch's updated view on
sustainable home prices. Housing affordability is the worst it has
been in decades, driven by both high interest rates and elevated
home prices. Home prices increased 2.3% yoy nationally as of May
2025, despite modest regional declines, but are still being
supported by limited inventory.
Prime Credit Quality (Positive): The collateral consists of 1,677
loans totaling approximately $196.5 million and is seasoned at
about nine months in aggregate, calculated by Fitch as the
difference between the origination date and the cutoff date (seven
months, per the transaction documents). The borrowers have a strong
credit profile, including a Fitch FICO score of 740, a 37.0%
debt-to-income ratio (DTI) and moderate leverage, with a 78.3%
sustainable loan-to-value ratio (sLTV).
Of the pool loans, 97.8% are for a primary residence and 2.2%
represent second homes and investor properties; 31.3% originated
through a retail channel. Additionally, 34.0% are designated as
safe-harbor qualified mortgages (SHQMs) and 2.5% are higher-priced
qualified mortgages (HPQMs). Given the 100% loss severity (LS)
assumption, Fitch did not apply any additional penalties for the
HPQM loan status.
Second Lien Collateral (Negative): The entire collateral pool
comprises CES loans originated by NewRez, LLC, NewFi Lending, New
American Funding, LLC and Plaza Home Mortgage, Inc. All other
originators represent less than 10% of the overall pool. Fitch
assumed no recovery and a 100% LS, based on the historical behavior
of second lien loans in economic stress scenarios. Fitch assumes
second lien loans default at a rate comparable to first lien loans;
after controlling for credit attributes, no additional penalty was
applied to Fitch's probability of default (PD) assumption.
Sequential Structure with Limited Advancing (Mixed): The
transaction's cash flow is based on a sequential-pay structure in
which the subordinate classes do not receive principal until the
most senior classes are repaid in full. Losses are allocated in
reverse-sequential order. Furthermore, the provision to reallocate
principal to pay interest on the 'AAAsf' rated certificates prior
to other principal distributions is highly supportive of timely
interest payments to those certificates in the absence of servicer
advancing.
The senior classes incorporate a step-up coupon of 1.00% (to the
extent still outstanding) after the 48th payment date. Monthly
excess cash flow will be applied first to repay any current and
previously allocated cumulative applied realized loss amounts, and
then to repay any unpaid net WAC shortfalls. The WA excess cash
flow for this transaction is 264bps, and, in some instances, the
required credit enhancement (CE) for a given rating stress is less
than the expected loss because of the amount of CE in the form of
excess spread.
Advances of delinquent principal and interest (P&I) will be made on
the mortgage loans for the first 90 days of delinquency by the
respective servicer, either Newrez, LLC dba Shellpoint Mortgage
Servicing (Shellpoint) or Select Portfolio Servicing, Inc. (SPS),
to the extent such advances are deemed recoverable. If the P&I
advancing parties fail to make required advances, the master
servicer, Computershare Trust Company, N.A., will be obligated to
make such advance. The stop advance feature limits the external
liquidity to the notes in the event of large and extended
delinquencies. Given the 100% LS assumption for second lien
collateral, no additional severity was applied for servicer
advancing. However, given standard servicing practices dictate that
advances are only performed when deemed recoverable, Fitch did not
give credit to advances.
180-Day Charge-Off Feature (Positive): The class XS majority
noteholder has the ability, but not the obligation, to instruct the
servicer to write off the balance of a loan at 180 days delinquent
(DQ) based on the Mortgage Bankers Association (MBA) delinquency
method. To the extent the servicer expects meaningful recovery in
any liquidation scenario, the class XS majority noteholder may
direct the servicer to continue to monitor the loan and not charge
it off. While the 180-day charge-off feature will result in losses
being incurred sooner, a larger amount of excess interest protects
against them. This compares favorably with a delayed liquidation
scenario, where losses occur later in the life of a transaction and
less excess is available to cover them. If a loan is not charged
off due to a presumed recovery, this will provide added benefit to
the transaction, above Fitch's expectations. Additionally,
recoveries realized after the writedown at 180 days DQ (excluding
forbearance mortgage or loss mitigation loans) will be passed on to
bondholders as principal.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
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. Fitch conducted
this sensitivity analysis at the state and national level to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 41.2% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, already rated
'AAAsf', the analysis indicates there is potential positive rating
migration for all of the rated classes. Specifically, a 10% gain in
home prices would result in a full category upgrade for the rated
class excluding those assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Situs AMC (AMC) and Clayton. The third-party due
diligence described in Form 15E focused on credit, compliance and
property valuation review. Fitch considered this information in its
analysis and, as a result, made the following adjustment to its
analysis: a 5% credit at the loan level for each loan where
satisfactory due diligence was completed. This adjustment resulted
in 42bps reduction to 'AAAsf' losses.
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.
NYMT LOAN 2025-INV2: S&P Assigns Prelim B-(sf) Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to NYMT Loan
Trust 2025-INV2's mortgage-backed notes.
The note issuance is an RMBS securitization backed by first-lien,
fixed- and adjustable-rate, fully amortizing residential mortgage
loans to both prime and nonprime borrowers (some with interest-only
periods). The loans are secured by single-family residential
properties, townhomes, planned-unit developments, condominiums,
two- to four-family residential properties, and five- to 10-unit
multifamily properties. The pool consists of 1,614 business-purpose
investment property loans (including 17 cross-collateralized loans
backed by 77 properties) which are all ability-to-repay-exempt.
The preliminary ratings are based on information as of Sept. 22,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition and geographic
concentration;
-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;
-- The mortgage aggregator and reviewed originators;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's economic outlook, which 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.
Preliminary Ratings Assigned(i)
NYMT Loan Trust 2025-INV2
Class A-1, $145,873,000: AAA (sf)
Class A-1A, $121,840,000: AAA (sf)
Class A-1B, $24,033,000: AAA (sf)
Class A-1F, $30,000,000: AAA (sf)
Class A-1IO, $30,000,000: AAA (sf)
Class A-2, $27,235,000: AA- (sf)
Class A-3, $37,956,000: A- (sf)
Class M-1, $19,123,000: BBB- (sf)
Class B-1, $13,908,000: BB- (sf)
Class B-2, $9,851,000: B- (sf)
Class B-3, $5,795,378: 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 the aggregate state principal
balance of the mortgage loans as of the first day of the related
due period.
NR--Not rated.
ONE MAGNETITE XXI: S&P Affirms B- (sf) Rating on Class F-R Notes
----------------------------------------------------------------
S&P Global Ratings lowered its rating on the class E-R debt from
Magnetite XXI Ltd./Magnetite XXI LLC and removed the rating from
CreditWatch with negative implications. At the same time, we
affirmed our ratings on the class A-R, B-R, C-R, D-R, and F-R debt.
The transaction is a U.S. CLO managed by BlackRock Financial
Management Inc. that was originally issued in 2019. We first rated
the transaction at its reset in 2021, when the transaction extended
its reinvestment period to April 2026.
S&P said, "On Aug. 11, 2025, we placed our rating on the class E-R
debt on CreditWatch negative based on information provided in the
April 2025 trustee report. We attributed the CreditWatch negative
placement primarily to the declining credit support for this
tranche, the portfolio's sizeable par loss since its 2021 reset, an
increase in exposure to defaulted assets, and the indicative cash
flow results for the tranche.
"The rating actions follow our review of the transaction's
performance using data from the July 2025 trustee report. We also
considered changes in collateral and structural performance since
the report was issued." All overcollateralization (O/C) ratios have
declined since the transaction's reset closing:
-- The class A/B O/C ratio declined to 128.90% from 131.62%.
-- The class C O/C ratio declined to 119.47% from 121.99%.
-- The class D O/C ratio declined to 111.13% from 113.67%.
-- The class E O/C ratio declined to 106.49% from 108.73%.
The decline in the O/C ratios largely reflects the aggregate par
loss the portfolio has sustained since reset closing, although
fluctuating exposure to defaulted assets have also resulted in
small to moderate haircuts. That said, exposure to assets rated in
the 'CCC' category has remained below 7.5% (the level at which they
would be haircut in the O/C ratios) for nearly all of the past
year. Meanwhile, since the July 2025 trustee report was issued, one
defaulted position has reverted to performing status, portending a
likely modest increase in the reported O/C ratios in August 2025.
S&P also accounted for the prospective O/C increase in its review.
Assets rated in the 'CCC' category have decreased to $17.33 million
as of the July 2025 trustee report from $31.94 million at reset
closing in March 2021. Meanwhile, defaulted assets have increased
to $4.71 million from none as of reset closing, although the
currently performing asset previously treated as defaulted would
lower this amount by approximately $3.00 million. However, the
sizeable par losses incurred since reset closing, coupled with
sharp declines in both the portfolio's weighted average spread and
expected weighted average recovery rates, have weakened cash flow
results at the mezzanine and junior levels of the capital
structure.
The lowered rating on class E-R reflects the drop in credit support
and the failing cash flow results at the previous rating level. S&P
restricted the downgrade to one notch because:
-- S&P believes existing credit support is commensurate with the
current (lowered) rating on this tranche;
-- The exposures to assets rated in the 'CCC' category and to
defaulted assets remain manageable; and
-- The transaction has not yet exited its reinvestment period,
which portends changes to the portfolio over the coming months.
S&P said, "Although our cash flow results indicate lower ratings on
the class E-R and F-R debt on a standalone basis, we do not believe
these tranches currently depend on favorable conditions to repay
their obligations and thus do not fit our definition of 'CCC' risk.
However, any further decline in credit support to these tranches or
any increase in par losses could lead to future negative rating
actions.
"Although our cash flow results indicate lower ratings on the class
C-R and D-R debt on a standalone basis, we affirmed our ratings on
the classes, considering the small margins of shortfall in cash
flow results at the current ratings, as well as our view that
existing credit support is commensurate with the current ratings,
the exposures to 'CCC' category and defaulted assets remain
manageable, and the transaction has not yet exited its reinvestment
period and thus its portfolio is subject to change. However, any
further decline in credit support to these tranches or any increase
in par losses could lead to negative rating actions in the future.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, as well as on 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 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 debt remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
Rating Lowered And Removed From CreditWatch Negative
Magnetite XXI Ltd./Magnetite XXI LLC
Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg'
Ratings Affirmed
Magnetite XXI Ltd./Magnetite XXI LLC
Class A-R: AAA (sf)
Class B-R: AA (sf)
Class C-R: A (sf)
Class D-R: BBB- (sf)
Class F-R: B- (sf)
PALMER SQUARE 2019-1: Fitch Assigns 'B-sf' Rating on Cl. F-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Palmer
Square CLO 2019-1, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Palmer Square
CLO 2019-1, Ltd.
X-R2 LT AAAsf New Rating
A-1-R2 LT AAAsf New Rating
A-2-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
F-R2 LT B-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Palmer Square CLO 2019-1, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) managed by Palmer Square
Capital Management LLC. The transaction originally closed in 2019
and will refinance for a second time on Sept. 11, 2025. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $399 million
of primarily first lien senior secured leveraged loans, excluding
defaults.
KEY RATING DRIVERS
Asset Credit Quality: 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 23.79 and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 97.08% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.63% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 44% 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: 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: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for
class A-1-R2, between 'BBBsf' and 'AA+sf' for class A-2-R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2,
between less than 'B-sf' and 'BB+sf' for class D-2-R2, between less
than 'B-sf' and 'B+sf' for class E-R2, and less than 'B-sf' for
class F-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R2, class
A-1-R2 and class A-2-R2 notes as these notes are in the highest
rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf'
for class D-1-R2, 'A-sf' for class D-2-R2, 'BBB+sf' for class E-R2,
and 'BB+sf' for class F-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Palmer Square CLO
2019-1, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
PALMER SQUARE 2022-1: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Palmer
Square CLO 2022-1, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Palmer Square
CLO 2022-1, Ltd.
X-R LT AAAsf New Rating
A-1-L Loans LT AAAsf New Rating
A-1-R Notes LT AAAsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Palmer Square CLO 2022-1, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that is managed by Palmer
Square Capital Management LLC. The deal originally closed in March
2022. This is the first reset with existing notes to be redeemed on
Sept. 18, 2025. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.6, and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 97.71% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.75% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 45% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with that of other
recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio and matrices analysis is 12 months less than the WAL
covenant to account for structural and reinvestment conditions
after the reinvestment period. In Fitch's opinion, these conditions
would reduce the effective risk horizon of the portfolio during
stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for
class A-1, 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,
between less than 'B-sf' and 'BB+sf' for class D-2-R, and between
less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R, class A-1
and class A-2-R notes as these notes are in the highest rating
category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Palmer Square CLO
2022-1, 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.
PALMER SQUARE 2022-2: Moody's Ups Rating on $28MM D Notes from Ba1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Palmer Square Loan Funding 2022-2, Ltd.:
US$47M Class B Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aaa (sf); previously on Mar 21, 2025 Upgraded to Aa1
(sf)
US$29M Class C Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aa1 (sf); previously on Mar 21, 2025 Upgraded to A2
(sf)
US$28M Class D Senior Secured Deferrable Floating Rate Notes,
Upgraded to Baa1 (sf); previously on Mar 21, 2025 Upgraded to Ba1
(sf)
Moody's have also affirmed the ratings on the following debt:
US$300M (Current outstanding amount US$36,467,516) Class A-1
Loans, Affirmed Aaa (sf); previously on May 26, 2022 Definitive
Rating Assigned Aaa (sf)
US$244M (Current outstanding amount US$29,660,246) Class A-1
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on May 26, 2022 Definitive Rating Assigned Aaa (sf)
US$96M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Oct 11, 2024 Upgraded to Aaa (sf)
Palmer Square Loan Funding 2022-2, Ltd., issued in May 2022, is a
static cashflow collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured corporate loans. The
portfolio is serviced by Palmer Square Capital Management LLC.
RATINGS RATIONALE
The rating upgrades on the Class B, Class C and Class D notes are
primarily a result of the deleveraging of Class A-1 notes and Class
A-1 Loans following amortisation of the underlying portfolio since
the last rating action in March 2025.
The affirmations on the ratings on the Class A-1 and Class A-2
notes and Class A-1 Loans are primarily a result of the expected
losses on the debt 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-1 notes and Class A-1 Loans have paid down by
approximately USD97.3m (17.9% of its original balance) since the
last rating action in March 2025 and USD477.9m (87.8%) since
closing. As a result of the deleveraging, over-collateralisation
(OC) has increased across the capital structure. According to the
trustee report dated August 2025[1] the Class A, Class B, Class C
and Class D OC ratios are reported at 191.7%, 148.6%, 130.5% and
116.8% compared to February 2025[2] levels of 158.0%, 133.8%,
122.2% and 112.8%, respectively.
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: USD315.0m
Defaulted Securities: None
Diversity Score: 54
Weighted Average Rating Factor (WARF): 2959
Weighted Average Life (WAL): 3.1 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.14%
Weighted Average Recovery Rate (WARR): 46.35%
Par haircut in OC tests and interest diversion test: 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 servicer'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.
Moody's notes that the September 2025 trustee report was published
at the time Moody's were completing Moody's analysis of the August
2025[1] data. Key portfolio metrics such as WARF, diversity score,
weighted average spread and life, and OC ratios exhibit little or
no change between these dates. Moody's carried out additional
analysis that showed that the decrease in performing par balance
and increase in principal proceeds of USD28.9m has no material
impact on the outcome.
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 debt's exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the debt are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated debt's performance is subject to uncertainty. The debt's
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the debt's ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the servicer or be delayed
by an increase in loan amend-and-extend restructurings. Fast
amortisation would usually benefit the ratings of the debt
beginning with the debt having the highest prepayment priority.
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 servicer'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.
PRET 2025-RPL4: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Debt
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to PRET 2025-RPL4
Trust.
Entity/Debt Rating
----------- ------
PRET 2025-RPL4
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT AA(EXP)sf Expected Rating
A-4 LT A(EXP)sf Expected Rating
A-5 LT BBB(EXP)sf Expected Rating
M-1 LT A(EXP)sf Expected Rating
M-2 LT BBB(EXP)sf Expected Rating
SA LT NR(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
B-4 LT NR(EXP)sf Expected Rating
B-5 LT NR(EXP)sf Expected Rating
B LT NR(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
PT LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The notes are supported by 1,751 seasoned performing loans and
reperforming loans (RPLs) that had a balance of $406.88 million,
including deferred balances, as of the cut-off date.
The notes are secured by a pool of fixed-rate, step-rate and
adjustable-rate mortgage (ARM) loans, some of which have an initial
interest-only (IO) period, that are primarily fully amortizing with
original terms to maturity of 30 years. The loans are secured by
first liens primarily on single-family residential properties,
planned unit developments (PUDs), townhouses, condominiums, co-ops,
manufactured housing, and multifamily homes.
In the pool, 100% of the loans are seasoned performing loans and
RPLs. Based on Fitch's analysis of the pool, Fitch considered 54.3%
of the loans exempt from the qualified mortgage (QM) rule as they
are investment properties or were originated prior to the Ability
to Repay (ATR) rule taking effect in January 2014.
Selene Finance LP will service 100.0% of the loans in the pool.
Fitch rates Selene 'RPS3+'.
The majority of the loans in the collateral pool comprise
fixed-rate mortgages, although 9.3% of the pool comprises step-rate
loans or loans with an adjustable rate.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.3% above a long-term sustainable
level (vs. 10.5% on a national level as of 1Q25, 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 2.3% YoY nationally as of May 2025 despite
modest regional declines, but are still being supported by limited
inventory.
Seasoned Performing and Reperforming Credit Quality (Mixed): The
collateral consists of 1,751 loans totaling $406.88 million, which
includes deferred amounts. The loans are seasoned at approximately
136 months in aggregate, according to Fitch, as calculated from the
origination date (134 months per the transaction documents). Based
on Fitch's analysis of the pool, Fitch considered the pool
comprised of 90.7% fully amortizing fixed-rate loans, 8.1% fully
amortizing ARM loans, and 1.2% step-rate loans that were treated as
ARM loans.
The borrowers have a moderate credit profile, with a 683 Fitch
model FICO score. The transaction has a weighted average (WA)
sustainable loan-to-value (sLTV) ratio of 59.6%, as determined by
Fitch. The debt-to-income ratio (DTI) was not provided for 79% of
loans in the transaction pool by loan count. As a result, Fitch
applied a 45% DTI to all loans without a provided DTI.
According to Fitch, the pool consists of 88.8% of loans where the
borrower maintains a primary residence, while 9.1% consists of
loans for investor properties and 2.2% are second homes. Fitch
treated loans with an unknown occupancy as investor properties. In
its analysis, Fitch considered 45.7% of the loans to be non-QM
loans and 54.3% were considered exempt from QM status. In its
analysis, Fitch considered loans originated after January 2014 to
be non-QM since they are no longer eligible to be in
government-sponsored enterprise (GSE) pools.
In Fitch's analysis, 83.9% of the loans are to single-family homes,
townhouses, and planned unit developments (PUDs), 7.1% are to
condos or co-ops, 8.8% are to manufactured housing or multifamily
homes, and less than 0.2% are for co-ops. In its analysis, Fitch
treated manufactured properties as multifamily and the probability
of default (PD) was increased for these loans, as a result.
The pool contains 20 loans over $1.0 million, with the largest loan
at $2.83 million.
Based on the due diligence findings, Fitch considered 6.2% of the
loans to have subordinate financing. Specifically, for loans
missing original appraised values, Fitch assumed these loans had an
LTV of 80% and a combined LTV (cLTV) of 100%, which further
explains the discrepancy in the subordinate financing percentages
per Fitch's analysis versus the transaction documents. Fitch viewed
all loans in the pool as in the first lien position based on data
provided in the loan tape and confirmation from the servicer on the
lien position.
Of the pool, 91.7% of loans were current as of Sept. 8, 2025.
Overall, the pool characteristics resemble RPL collateral.
Therefore, the pool was analyzed using Fitch's RPL model, and Fitch
extended liquidation timelines as it typically does for RPL pools.
Approximately 22.0% of the pool is concentrated in California. The
largest MSA concentration is in the New York City MSA at 16.3%,
followed by the Los Angeles MSA at 9.0%, and the Atlanta MSA at
3.7%. The top three MSAs account for 29.0% of the pool. As a
result, there was no penalty applied for geographic concentration.
No Advancing (Mixed): The servicer will not be advancing delinquent
monthly payments of P&I. Because P&I advances made on behalf of
loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level loss severities
(LS) are less for this transaction than for those where the
servicer is obligated to advance P&I.
To provide liquidity and ensure timely interest will be paid to the
'AAAsf' rated classes and ultimate interest will be paid on the
remaining rated classes, principal will need to be used to pay for
interest accrued on delinquent loans. This will result in stress on
the structure and the need for additional credit enhancement (CE)
compared to a pool with limited advancing. These structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' rated classes.
Sequential Deal Structure (Positive): The transaction utilizes a
sequential payment structure with no advancing of delinquent P&I
payments. The transaction is structured with subordination to
protect more senior classes from losses and has a minimal amount of
excess interest, which can be used to repay current or previously
allocated realized losses and cap carryover shortfall amounts.
The interest and principal waterfalls prioritize payment of
interest to the A-1 class, which is supportive of class A-1
receiving timely interest. Fitch considers timely interest for
'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf'
category rated classes.
The note rate for each of the class A-1, A-2, M-1 and M-2 notes on
any payment date up to but excluding the payment date in October
2029, and for the related accrual period, will be a per annum rate
equal to the lesser of (i) the fixed rate for such class (as set
forth in the table on page 1 of the presale); (ii) the net WA
coupon (WAC) rate for such payment date; and (iii) the applicable
note available funds cap for such interest accrual period and
payment date.
Beginning on the payment date in October 2029 and for the related
accrual period, and on each payment date thereafter and for each
related accrual period, the note rate for each of the class A-1,
A-2, M-1 and M-2 notes will be a per annum rate equal to the lesser
of (a) the net WAC rate for such payment date; and (b) the sum of
(i) the fixed rate set forth in the table above for such class of
notes; (ii) 1.000% (with such increased note rate referred to as
the "step-up note rate"); and (iii) the applicable note available
funds cap for such interest accrual period and payment date.The
unpaid interest shortfall amount payments on the class A and M
notes are prioritized over the payment of the B-3, B-4, and B-5
interest in both the interest and principal waterfall. Once
interest is paid to all classes, principal is paid sequentially to
the classes starting with A-1.
The note rates for the B classes are based on the least of the (i)
the net WAC rate; and (ii) the applicable note available funds cap
for such interest accrual period and payment date. Losses are
allocated to classes in reverse sequential order starting with
class B-5. Classes will be written down if the transaction is
undercollateralized.
There is excess spread available to absorb losses.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 41.7%, at 'AAA'. The analysis indicates there is
some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by ProTitle and AMC. The third-party due diligence
described in Form 15E focused on the following areas: compliance
review, data integrity, servicing review and title review. The
scope of the review was consistent with Fitch's criteria. Fitch
considered this information in its analysis. Based on the results
of the 100% due diligence performed on the pool, Fitch adjusted the
expected losses.
A large portion of the loans received 'C' grades mainly due to
missing documentation that resulted in the ability to test for
certain compliance issues. As a result, Fitch applied negative loan
level adjustments, which increased the 'AAAsf' losses by 0.50% and
are further detailed in the Third-Party Due Diligence section of
the presale.
Fitch determined there were five loans with material TRID issues; a
$15,500 loss severity penalty was given to loans with material TRID
issues, although this did not have any impact on the rounded
losses.
A ProTitle search found outstanding liens that pre-date the
mortgage. It was confirmed the majority of these liens are retired
and nothing is owed. There were 90 loans with a clean title search
but for which potentially superior post ordination liens/judgments
were found totaling $360,650. Additionally, there were 137 mortgage
loans for which potentially superior post origination
liens/judgments were found totaling $439,082. The trust would be
responsible for these amounts. Fitch therefore increased the LS by
these amounts since the trust would be responsible for reimbursing
the servicer for this amount. This has no impact on the rounded
losses.
Fitch received confirmation from the servicer on the current lien
status of the loans in the pool. The servicer regularly orders
these searches as part of its normal business practice and resolves
issues as they arise. No additional adjustment was made as a
result. As a result of the valid title policy and the servicer
monitoring the lien status, Fitch treated 100% of the pool as first
liens.
The custodian is actively tracking down missing documents. In the
event a missing document materially delays or prevents a
foreclosure, the sponsor will have 90 days to find the document or
cure the issue. If the loan seller cannot cure the issue or find
the missing documents, they will repurchase the loan at the
repurchase price. Due to this, Fitch only extended timelines for
missing documents.
A pay history review was conducted on a sample set of loans by AMC.
The review confirmed the pay strings are accurate, and the servicer
confirmed the payment history was accurate for all the loans. As a
result, 100% of the pool's payment history was confirmed.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor
engaged ProTitle and AMC to perform the review. Loans reviewed
under this engagement were given initial and final compliance
grades. A portion of the loans in the pool received a credit or
valuation review.
An exception and waiver report was provided to Fitch, indicating
that the pool of reviewed loans has a number of exceptions and
waivers. Fitch determined that the exceptions and waivers
materially affect the overall credit risk of the loans; refer to
the Third-Party Due Diligence section of the presale report for
more details.
Fitch also received confirmation from the servicer that the lien
status and payment history provided in the tape is accurate per its
records. Fitch took this information into consideration in its
analysis.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company, and no material discrepancies were noted.
ESG Considerations
PRET 2025-RPL4 Trust has an ESG Relevance score of '4' for
Transaction Parties and Operational Risk, due to the adjustment for
the R&W framework without other operational mitigants. This has a
negative impact on the credit profile as it increases loss
expectations 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.
PRMI SECURITIZATION 2025-PHL1: DBRS Finalizes B Rating on B-2 Notes
-------------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Mortgage-Backed Notes, Series 2025-PHL1 (the Notes) issued by PRMI
Securitization Trust 2025-PHL1 (PRMI 2025-PHL1 or the Trust) as
follows:
-- $259.6 million Class A-1 at (P) AAA (sf)
-- $8.6 million Class A-2 at (P) AA (sf)
-- $8.5 million Class A-3 at (P) A (sf)
-- $7.0 million Class M-1 at (P) BBB (sf)
-- $5.5 million Class B-1 at (P) BB (sf)
-- $3.1 million Class B-2 at (P) B (sf)
The AAA (sf) rating on the Class A-1 Notes reflects 12.50% of
credit enhancement provided by subordinated certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 9.60%,
6.75%, 4.40%, 2.55%, and 1.50% of credit enhancement,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Notes are backed by 547 LOC loans with a total unpaid principal
balance (UPB) of $296,663,250 and a total current credit limit of
$367,998,201 as of the Cut-Off Date (August 31, 2025).
The portfolio, on average, is 36 months seasoned, though seasoning
ranges from three to 128 months. 98.6% of the LOC loans have had
clean pay history since origination. All of the loans in the pool
are first-lien LOCs evidenced by promissory notes secured by
mortgages or deeds of trust or other instruments creating first
liens on one- to four-family residential properties, planned unit
development (PUDs), townhouses and condominiums.
The transaction's Sponsor is PRMI Capital Markets LLC, an affiliate
of the PR Mortgage Investment, LP (PRMI or the Fund). PRMI, a
leveraged debt fund that specializes in real estate related assets,
commenced operations in 2019. The transaction is the fourth
securitization of first-lien HELOC loans by the Sponsor. The Fund's
general partner is PRMIGP, LLC, and the investment manager is PR
Mortgage Investment Management, LLC. B3 LLC, composed of three
senior investment executives, holds a majority interest in the
Fund's general partner and investment manager, and Merchants
Bancorp, the holding company of Merchants Bank of Indiana (MBIN),
holds a minority interest in the general partner and investment
manager, and is also a limited partner in the Fund. MBIN is a
publicly traded bank with approximately $19.1 billion in assets.
In this transaction, all loans originated under the All-In-One
program are open-LOCs, with a draw period of 25 or 30 years during
which borrowers may make draws up to a credit limit, though such
right to make draws may be temporarily frozen in certain
circumstances. A 25 or 30-year draw period offers borrower
flexibility to draw funds over the life of the loan. However, the
total credit line amount (or credit limit) begins to decline (in
period 121) after remaining constant for the first 10 years.
Thereafter, the credit limit declines every payment period by a
monthly amortization amount required to pay off the loan at
maturity or 1/240th of the maximum capacity of the credit line
(limit reduction amount). As such, even if a borrower redraws the
amount to a limit at some point in the future, the limit is lowered
to match the amount that could be repaid at maturity using the
required monthly payments.
All of the LOC loans in this transaction have 10-year IO terms (IO
payment period), so borrowers are required to make IO payments
within the IO payment period and both interest and principal
payments during and repayment period. No loans require a balloon
payment.
Although LOC loans include a 10-year IO term, the borrowers are
qualified for income using, among other measures, a debt-to-income
ratio (DTI) calculated with a fully indexed interest rate and
assuming principal amortization over 360 periods (as if the
borrower is required to make principal payments during the IO
payment period).
Relative to other types of HELOCs backing Morningstar DBRS-rated
deals, the loans in the pool generally have high borrower credit
scores, are all in a first-lien position, and do not include
balloon payments. The relatively long IO period and income
qualification based on the fully amortized payment amount help
ensure the borrower has enough cushion to absorb increased payments
after the IO term expires. Also, the lack of balloon payment allows
borrowers to avoid the payment shock that typically occurs when a
balloon payment is required.
The transaction, based on a static pool, employs a sequential-pay
cash flow structure subject to a performance trigger (Credit Event)
related to cumulative losses or delinquencies exceeding a specified
threshold. Principal proceeds can be used to cover interest
shortfalls on the most senior notes outstanding (IPIP). Also, the
excess spread can be used to cover realized losses first before
being allocated to unpaid Cap Carryover Amounts due to Class A-1
down to Class B-3 Notes.
The Trust Certificates have a pro rata principal distribution with
the Class A-1 Notes while the Credit Event is not in effect. When
the trigger is in effect, the Trust Certificates' principal
distribution will be subordinated to both the senior and
subordinate notes in the payment waterfall. While a Credit Event is
in effect, realized losses will be allocated reverse sequentially
starting with the Trust Certificates, followed by the Class B-3
Notes, and then continuing up to Class A-1 Notes based on their
respective payment priority. While a Credit Event is not in effect,
the losses will be allocated pro rata between the Trust
Certificates and all outstanding notes based on their respective
priority of payments. The outstanding notes will allocate realized
losses reverse sequentially, beginning with Class B-3 up to Class
A-1.
For this transaction, other than the Servicer's obligation to fund
any monthly Net Draws, described above, neither the Servicer nor
any other transaction party will fund any monthly advances of
principal and interest (P&I) on any LOC loan. However, the Servicer
is obligated to make advances in respect of taxes, insurance
premiums, and reasonable costs incurred in the course of servicing
and disposing of properties (servicing advances) to the extent such
advances are deemed recoverable or as directed by the Controlling
Holder (the holder or holders of more than a 50% interest of the
Class XS Notes; initially, the Depositor's affiliate).
All of the loans in the pool are exempt from the Consumer Financial
Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM)
rules because the LOC loans are not subject to the ATR/QM rules.
On or after the earlier of the (i) payment date in October 2027,
and (ii) the date on which the aggregate principal balance of the
mortgage loans is less than or equal to 30% of the aggregate
principal balance as of the cut-off date, the Issuer may, at the
direction of the holder of the Trust Certificates, purchase all of
the loans and any real estate owned (REO) properties at an optional
termination price described in the transaction documents. An
Optional Termination will be followed by a qualified liquidation,
which requires a complete liquidation of assets within the Trust
and the distribution of proceeds to the appropriate holders of
regular or residual interests. The Certificateholder may sell,
transfer, convey, assign, or otherwise pledge the right to direct
the Issuer to exercise the Optional Termination to a third party,
in which case the right must be exercised by such third party, as
described in the transaction documents.
On any payment date on or after the later of (1) the two-year
anniversary of the Closing Date, and (2) the earlier of (a) the
three-year anniversary of the Closing Date, and (b) the date on
which the aggregate loans' principal balance is less than or equal
to 30% of the Cut-Off Date balance, the Issuer may, at the
direction of the holder of the Trust Certificates, purchase all of
the outstanding Notes and the Trust Certificates at the purchase
price in the transaction documents (Optional Redemption). An
Optional Redemption will be followed by a qualified liquidation.
The Sponsor, at its option, may purchase any mortgage loan that is
90 days or more delinquent under the Mortgage Bankers Association
(MBA) method at the repurchase price (Optional Purchase) described
in the transaction documents. The total balance of such loans
purchased by the Depositor will not exceed 10% of the Cut-Off
balance.
Notes: All figures are in U.S. dollars unless otherwise noted.
PRMI SECURITIZATION 2025-PHL1: Fitch Rates B2 Notes 'Bsf'
---------------------------------------------------------
Fitch Ratings has assigned final ratings to PRMI Securitization
Trust 2025-PHL1 (PRMI 2025-PHL1).
Entity/Debt Rating Prior
----------- ------ -----
PRMI 2025-PHL1
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAsf New Rating AA(EXP)sf
A3 LT Asf New Rating A(EXP)sf
M1 LT BBBsf New Rating BBB(EXP)sf
B1 LT BBsf New Rating BB(EXP)sf
B2 LT Bsf New Rating B(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
CERT LT NRsf New Rating NR(EXP)sf
Transaction Summary
Fitch has rated the residential mortgage-backed notes, which are
backed by a pool of non-seasoned and seasoned, first-lien, open
home equity lines of credit (HELOC) on residential properties,
issued by PRMI Securitization Trust 2025-PHL1 (PRMI 2025-PHL1).
This is the fourth transaction rated by Fitch which includes HELOCs
with open draws on the PRMI shelf.
The collateral pool consists of 547 non-seasoned and seasoned,
performing, prime-quality loans with a current outstanding balance
as of the cutoff date of $296,663,250 (the collateral balance based
on the maximum draw amount is $376,998,201, as determined by
Fitch). As of the cutoff date, 100% of the HELOC lines are open;
the aggregate available credit line amount is expected to be $71.33
million, per the transaction documents.
The loans were originated or acquired by CMG Mortgage, Inc. and are
serviced by Northpointe Bank (35.49) and Merchants Bank of Indiana
(64.51).
Both the interest and principal waterfalls have a sequential
structure, and losses are allocated reverse sequentially.
Draws will be funded first by the servicer, which will be
reimbursed from principal collections. If funds from principal
collections are insufficient, the servicer will be reimbursed from
the variable funding account (VFA). The VFA will be funded up front
by the holder of the trust certificate, and the holder of the trust
certificate will be obligated, in certain circumstances (only if
draws exceed funds in the VFA), to remit funds on behalf of the
holder of the class R note to the VFA to reimburse the servicer for
certain draws on the mortgage loans. Any amounts so remitted by the
holder of the trust certificates will be added to the principal
balance of the trust certificates.
The servicers, Merchants Bank of Indiana and Northpointe Bank, will
not advance delinquent monthly payments of principal and interest
(P&I).
Although the notes have a note rate based on the SOFR index, the
collateral is made up of 100% adjustable-rate loans, with 5.3%
based on 30-day compound SOFR and 94.7% based on One-Year Treasury
CMT per the transaction documents. As a result, there is no Libor
exposure in the transaction.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Reflecting its updated
view on sustainable home prices, Fitch views the home price values
of this pool as 10.8% above a long-term sustainable level (vs.
10.5% on a national level as of 1Q25). Housing affordability is the
worst it has been in decades, driven by both high interest rates
and elevated home prices. Home prices had increased 2.3% yoy
nationally as of May 2025 despite modest regional declines, and are
still being supported by limited inventory.
Prime Credit Quality First Lien HELOC (Positive): The collateral
pool consists of 547 first lien, non-seasoned and seasoned,
performing prime-quality loans with a current principal balance of
$296.66 million as of the cutoff date ($368 million, based on the
max draw amount). As of the cutoff date, 100% of the collateral
have open HELOC lines. The pool in aggregate is seasoned 39 months,
according to Fitch. Of the loans, Fitch determined that 100.0% of
the loans are current, with 1.3% of the loans having a DQ in the
past 24 months. None of loans have received a prior modification,
based on Fitch's analysis, and none of the loans have subordinate
financing.
The pool exhibits a relatively strong credit profile, as shown by
the Fitch-determined 766 weighted average (WA) FICO score (weighted
average original FICO is 769 per the transaction documents), as
well as the 72.3% combined loan-to-value ratio (CLTV) and 85.2%
sustainable LTV ratio (sLTV). Fitch viewed the pool as being
roughly 85.0% owner occupied, 94.6% single family, 33.8% purchase
and 34.4% cashout/limited cashout refinances, and 31.70% refinances
(all based on the max draw amount).
Based on the current drawn amount as of the cutoff date, total
cashouts are 66.36%, 31.19% purchase, 2.31% construction to
permanent, and 0.15% limited cash out refinances In Fitch's
analysis a loan is only treated as a cash out if the cash out
amount is more than 3% of the original balance.
Approximately 21.9% of the pool is concentrated in California, per
Fitch's analysis. The largest MSA concentration is in the Seattle
MSA (9.3%), followed by the Phoenix MSA (9.0%) and the Denver MSA
(8.2%) per Fitch's analysis. Based on Fitch's analysis, the top
three MSAs account for 26.5% of the pool. As a result, there was no
probability of default (PD) penalty for geographic concentration.
No Servicer Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of P&I. As P&I advances made on behalf
of loans that become delinquent and eventually liquidate reduce
liquidation proceeds to the trust, the loan-level loss severities
(LS) are less for this transaction than for those where the
servicer is obligated to advance P&I.
To provide liquidity and ensure interest will be paid to the
'AAAsf' rated notes in a timely manner, principal will need to be
used to pay for interest accrued on delinquent loans. This will
result in stress on the structure and the need for higher credit
enhancement (CE) than it would for a pool with limited advancing.
These structural provisions and cash flow priorities, together with
increased subordination, provide for timely payments of interest to
the 'AAAsf'' rated class.
Sequential Structure (Positive): The proposed structure is a
sequential structure that prioritizes the payment of the more
senior classes first in both the interest and principal waterfall.
In the principal waterfall, unpaid interest on the A-1 is paid
first, which is supportive of the A-1 class receiving timely
interest. In the principal waterfall, after A-1 is paid any unpaid
interest amounts, principal is allocated pro-rata to the trust
certificate and the A-1 (at all times the A-1 is expected to
receive principal payments until it is paid in full). Once A-1 is
paid interest, the principal is allocated to the remaining classes
sequentially starting with the A-2 class.
If a credit event is in effect, the transaction will still have a
sequential structure for the principal waterfall, however all funds
will go to the A, M and B classes to pay unpaid interest and then
principal, with the trust certificate being paid after the B-3
class is paid in full.
Losses are allocated reverse sequentially as follows: Realized
losses in respect of the mortgage loans will be applied, through
the application of applied realized loss amounts, (a) on any
payment date on which a credit event is not in effect, by reducing
the residual principal balance of the trust certificates up to the
trust certificates writedown amount for such payment date, until
the residual principal balance of the trust certificates has been
reduced to zero, and then to reduce the note amounts of the offered
notes in reverse sequential order of principal payments beginning
with the class B-3 notes, in each case until the note amount of
such class is reduced to zero, and (b) on any payment date on which
a credit event is in effect, by reducing the note amount of the
notes and the residual principal balance of the trust certificates
in reverse sequential order of principal payments, beginning with
the trust certificates and then to the class B-3 notes, and so on,
in each case, until the residual principal balance or note amount
thereof is reduced to zero.
Excess cash flow in the transaction is not used to pay down the
bonds, but is used to repay previously allocated realized losses
and cap carryover amounts.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 42.0% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Evolve Mortgage Services. The third-party due diligence
described in Form 15E focused on four areas: compliance review,
credit review, valuation review and data integrity. Fitch
considered this information in its analysis. There are five loans
with a 'C' or 'D' grade in the pool, but due to mitigating factors,
Fitch did not increase the losses for these loans. Fitch did not
give due diligence credit to the five loans graded 'C' of 'D'.
Fitch decreased its loss expectations by 0.20% at the 'AAAsf'
stress due to 49.5% due diligence with no material findings.
Westcor Land Title Insurance Company was hired to review the tax,
and lien status of the seasoned loans in the pool. They reviewed
496 prospective mortgage loans and confirmed all 496 loans were
recorded in the appropriate recording jurisdiction. The lien status
review confirmed that 469 loans are in the first lien position. For
the remaining 27 prospective mortgage loans, the title search did
not confirm the subject mortgage is in the first lien position, but
a clear title policy for such prospective mortgage loans confirms
that the lien is insured in the first lien position.
For two prospective mortgage loans, potentially superior
post-origination municipal liens/judgments were found of record,
amounting to $1,520.57 as of the date of the title review. Fitch
confirmed with the servicers that all liens are in a first lien
position and that they will advance as needed to maintain the first
lien position. As such Fitch did not increase loss expectations due
to the findings from the tax and title review.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence compliance
review performed on approximately 49.5% of the pool by loan count.
The third-party due diligence was generally consistent with Fitch's
"U.S. RMBS Rating Criteria." Evolve was engaged to perform the
review. Loans reviewed under this engagement were given compliance
and grades, and assigned initial grades for each subcategory.
Minimal exceptions and waivers were noted in the due diligence
reports. Refer to the Third-Party Due Diligence section for more
detail.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
RADIAN MORTGAGE 2024-J2: Moody's Ups Rating on B-4 Certs from Ba1
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 12 bonds issued by
Radian Mortgage Capital Trust 2024-J2. The collateral backing this
deal consists of prime jumbo and agency eligible mortgage loans.
A comprehensive review of all credit ratings for the respective
issuer(s) has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Radian Mortgage Capital Trust 2024-J2
Cl. B, Upgraded to Aa3 (sf); previously on Oct 25, 2024 Definitive
Rating Assigned A1 (sf)
Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned Aa2 (sf)
Cl. B-1-A, Upgraded to Aa1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned Aa2 (sf)
Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned Aa2 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Oct 25, 2024 Definitive
Rating Assigned A2 (sf)
Cl. B-2-A, Upgraded to A1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned A2 (sf)
Cl. B-2-X*, Upgraded to A1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned Baa2 (sf)
Cl. B-3-A, Upgraded to Baa1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned Baa2 (sf)
Cl. B-3-X*, Upgraded to Baa1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 25, 2024
Definitive Rating Assigned Ba1 (sf)
Cl. B-X*, Upgraded to A1 (sf); previously on Oct 25, 2024
Definitive Rating Assigned A2 (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 structure, and Moody's updated loss expectations on the
underlying pool.
The transaction Moody's reviewed continues to display strong
collateral performance, with no cumulative loss or delinquency. In
addition, enhancement levels for most tranches have grown
significantly, as the pool amortized quickly. The credit
enhancement for each tranche upgraded has grown by, on average,
1.3x since closing.
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 and credit enhancement.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations" published in August 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
RCKT MORTGAGE 2025-CES9: Fitch Assigns B(EXP) Rating on 5 Tranches
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Fitch Ratings has assigned expected ratings to the residential
mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES9 (RCKT
2025-CES9).
Entity/Debt Rating
----------- ------
RCKT 2025-CES9
A-1A LT AAA(EXP)sf Expected Rating
A1-B LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1A LT BBB+(EXP)sf Expected Rating
M-1B LT BBB-(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
A-1 LT AAA(EXP)sf Expected Rating
A-4 LT AA(EXP)sf Expected Rating
A-5 LT A(EXP)sf Expected Rating
A-6 LT BBB+(EXP)sf Expected Rating
B-1A LT BB(EXP)sf Expected Rating
B-X-1A LT BB(EXP)sf Expected Rating
B-1B LT BB(EXP)sf Expected Rating
B-X-1B LT BB(EXP)sf Expected Rating
B-2A LT B(EXP)sf Expected Rating
B-X-2A LT B(EXP)sf Expected Rating
B-2B LT B(EXP)sf Expected Rating
B-X-2B LT B(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed notes issued
by RCKT Mortgage-Backed Notes, Series 2025-CES9 (RCKT 2025-CES9),
as indicated above. The notes are supported by 6,829 closed-end
second-lien (CES) loans with a total balance of approximately $597
million as of the cutoff date. The pool consists of CES mortgages
acquired by Woodward Capital Management LLC from Rocket Mortgage,
LLC. Distributions of principal and interest (P&I) and loss
allocations are based on a traditional senior-subordinate,
sequential structure in which excess cash flow can be used to repay
losses or net weighted average coupon (WAC) shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): As a result of its
updated view on sustainable home prices, Fitch views the home price
values of this pool as 10.9% above a long-term sustainable level,
compared with 10.6% on a national level as of 1Q25, down 0.5% qoq.
Housing affordability is at its worst level in decades, driven by
high interest rates and elevated home prices. Home prices had
increased 2.3% yoy nationally as of May 2025, despite modest
regional declines, but are still being supported by limited
inventory.
Prime Credit Quality (Positive): The collateral consists of 6,829
loans totaling approximately $597 million and is seasoned at about
three months in aggregate, as calculated by Fitch (one month, per
the transaction documents) — calculated as the difference between
the origination date and the cutoff date. The borrowers have a
strong credit profile, including a WA Fitch model FICO score of
743, a debt-to-income (DTI) ratio of 39.3% and moderate leverage,
with a sustainable loan-to-value ratio (sLTV) of 76.1%.
Of the pool, 99.2% of the loans are of a primary residence and 0.8%
represent second homes, and 91.8% of loans were originated through
a retail channel. Additionally, 64.8% of loans are designated as
safe-harbor qualified mortgages (SHQMs) and 14.6% are higher-priced
qualified mortgages (HPQMs). Given the 100% loss severity (LS)
assumption, no additional penalties were applied for the HPQM loan
status.
Second-Lien Collateral (Negative): The entire collateral pool
comprises CES loans originated by Rocket Mortgage, LLC. Fitch
assumed no recovery and a 100% LS based on the historical behavior
of second-lien loans in economic stress scenarios. Fitch assumes
second-lien loans default at a rate comparable to first-lien loans;
after controlling for credit attributes, no additional penalty was
applied to Fitch's probability of default (PD) assumption.
Sequential Structure (Positive): The transaction has a typical
sequential payment structure. Principal is used to pay down the
bonds sequentially and losses are allocated reverse sequentially.
Monthly excess cash flow is derived from remaining amounts after
allocation of the interest and principal priority of payments.
These amounts will be applied as principal, first to repay any
current and previously allocated cumulative applied realized loss
amounts and then to repay any potential net WAC shortfalls. The
senior classes incorporate a step-up coupon of 1.00% (to the extent
still outstanding) after the 48th payment date.
Sequential Structure (Positive): The class XS majority noteholder
has the ability, but not the obligation, to instruct the servicer
to write off the balance of a loan at 180 days delinquent (DQ)
based on the Mortgage Bankers Association (MBA) delinquency method.
To the extent the servicer expects meaningful recovery in any
liquidation scenario, the class XS majority noteholder may direct
the servicer to continue to monitor the loan and not charge it
off.
While the 180-day charge-off feature will result in losses being
incurred sooner, there is a larger amount of excess interest to
protect against them. This compares favorably with a delayed
liquidation scenario, where losses occur later in the life of a
transaction and less excess is available to cover them. If a loan
is not charged off due to a presumed recovery, this will provide
added benefit to the transaction, above Fitch's expectations.
Additionally, recoveries realized after the write-down at 180 days
DQ (excluding forbearance mortgage or loss mitigation loans) will
be passed on to bondholders as principal
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national level to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 41.9% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, already rated
'AAAsf', the analysis indicates there is potential positive rating
migration for all the rated classes. Specifically, a 10% gain in
home prices would result in a full category upgrade for the rated
class excluding those assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC and Consolidated Analytics, Inc. The
third-party due diligence described in Form 15E focused on credit,
regulatory compliance and property valuation. Fitch considered this
information in its analysis and, as a result, Fitch made the
following adjustment to its analysis: a 5% PD credit to the 25.3%
of the pool by loan count in which diligence was conducted. This
adjustment resulted in a 18bps reduction to the 'AAAsf' expected
loss.
ESG Considerations
RCKT 2025-CES9 has an ESG Relevance Score of '4' [+] for
Transaction Parties & Operational Risk due to {DESCRIPTION OF
ISSUE/RATIONALE}, which has a positive impact on the credit
profile, and is relevant to the rating[s] in conjunction with other
factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
SANTANDER 2025-NQM5: S&P Assigns Prelim B (sf) Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Santander
Mortgage Asset Receivable Trust 2025-NQM5's mortgage-backed notes.
The note issuance is an RMBS transaction backed by first-lien,
fixed- and adjustable-rate, fully amortizing residential mortgage
loans (some with interest-only periods) to both prime and nonprime
borrowers. The loans are secured by single-family residential
properties, planned-unit developments, condominiums, a townhouse, a
cooperative, two- to four-family units, and manufactured housing
residential properties. The pool consists of 682 loans, which are
qualified mortgage (QM) safe-harbor (average prime offer rate
[APOR]), QM rebuttable presumption (APOR), non-QM
/ability-to-repay-compliant (ATR-compliant), or ATR-exempt loans.
The preliminary ratings are based on information as of Sept. 23,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator and originators; and
-- S&P's 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.
Preliminary Ratings Assigned(i)
Santander Mortgage Asset Receivable Trust 2025-NQM5
Class A-1, $210,559,000: AAA (sf)
Class A-1A, $180,693,000: AAA (sf)
Class A-1B, $29,866,000: AAA (sf)
Class A-2, $20,608,000: AA (sf)
Class A-3, $30,763,000: A (sf)
Class M-1, $14,187,000: BBB (sf)
Class B-1, $10,005,000: BB (sf)
Class B-2, $7,915,000: B (sf)
Class B-3, $4,629,636: NR
Class A-IO-S, Notional(ii): NR
Class XS, Notional(ii): NR
Class PT, $298,666,636: NR
Class R, Not applicable: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address payment of the net weighted
average coupon shortfall amounts.
(ii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due
period.
NR--Not rated.
SARATOGA INVESTMENT: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Saratoga Investment
Corp. Senior Loan Fund 2022-1 Ltd./Saratoga Investment Corp. Senior
Loan Fund 2022-1 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 Saratoga Senior Loan Fund I JV LLC, a
subsidiary of Saratoga Investment 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
Saratoga Investment Corp. Senior Loan Fund 2022-1 Ltd./
Saratoga Investment Corp. Senior Loan Fund 2022-1 LLC
Class X-R, $2.00 million: AAA (sf)
Class A-1-R, $252.00 million: AAA (sf)
Class A-2-R, $8.00 million: AAA (sf)
Class B-R, $44.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $16.00 million: BBB (sf)
Class D-2-R (deferrable), $12.00 million: BBB- (sf)
Class E-R (deferrable), $10.00 million: BB- (sf)
Subordinated notes, $44.20 million: NR
NR--Not rated.
SEQUOIA MORTGAGE 2025-HYB1: Fitch Assigns B(EXP) Rating on B2 Certs
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Fitch Ratings has assigned expected ratings to the residential
mortgage-backed certificates to be issued by Sequoia Mortgage Trust
2025-HYB1 (SEMT 2025-HYB1).
Entity/Debt Rating
----------- ------
SEMT 2025-HYB1
A1 LT AAA(EXP)sf Expected Rating
A1A LT AAA(EXP)sf Expected Rating
A1AF LT AAA(EXP)sf Expected Rating
A1AIO LT AAA(EXP)sf Expected Rating
A1B LT AAA(EXP)sf Expected Rating
A1BF LT AAA(EXP)sf Expected Rating
A1BIO LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
M1 LT A(EXP)sf Expected Rating
M2 LT BBB(EXP)sf Expected Rating
B1 LT BB(EXP)sf Expected Rating
B2 LT B(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 299 loans with a total balance of
approximately $347.4 million as of the cutoff date. The pool
consists of prime jumbo adjustable-rate mortgages acquired by
Redwood Residential Acquisition Corp. (RRAC) from various mortgage
originators. Distributions of principal and interest (P&I) and loss
allocations are based on a sequential-pay structure with full
advancing.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 9.2% above a long-term sustainable
level (versus 10.5% on a national level as of 1Q25, down 0.5% since
the prior quarter) based on Fitch's updated view on sustainable
home prices. Housing affordability is the worst it has been in
decades, driven by both high interest rates and elevated home
prices. Home prices increased 2.3% yoy nationally as of May 2025,
despite modest regional declines, but are still being supported by
limited inventory.
High Quality Mortgage Pool (Positive): The collateral consists of
299 loans totaling approximately $347.4 million and seasoned at
about six months in aggregate, as determined by Fitch. The
borrowers have a strong credit profile, with a weighted average
(WA) Fitch model FICO score of 782 and a 38.1% debt-to-income ratio
(DTI). The borrowers also have moderate leverage, with a 77.2%
sustainable LTV (sLTV) and a 69.8% mark-to-market combined LTV
(cLTV).
Overall, 94.4% of the pool loans are for a primary residence, while
5.6% are loans for second homes; 75.4% of the loans were originated
through a retail channel. In addition, 98.2% of the loans are
designated as safe-harbor APOR qualified mortgage (QM) loans as
determined by Fitch.
Hybrid ARM Concentration and Payment Shock (Negative): All the
loans in this transaction are hybrid adjustable-rate mortgages
(ARMs) with an initial fixed period between 60 and 120 months with
the large majority of loans (84.4% by unpaid principal balance)
having an 84-month initial fixed period. A majority of the loans
will have rates subsequently reset every six months. In addition,
98.8% of the loans are originated within two years of the cutoff
date and deemed new origination while the remaining 1.2% are
seasoned loans.
Fitch assumes in its analytical treatment that borrowers
approaching their initial and subsequent reset dates exhibit a
higher future payment shock as a result of their interest rates
changing and, consequently, a higher probability of default (PD).
Fitch expects the probability of default (PD) to be 1.17x higher in
the 'AAAsf' stress relative to a 100% fully amortizing fixed-rate
pool.
Sequential-Pay Structure with Full Advancing (Mixed): The mortgage
cash flow and loss allocation are based on a sequential-pay
structure, whereby interest and principal are paid pro rata among
the classes A-1A and A-1B (with classes A-1AIO and A-1BIO receiving
their respective interest allocation), followed by classes A-2 to
B-3 sequentially. Realized losses will be allocated in
reverse-sequential order, beginning with class B-3.
SEMT 2025-HYB1 will feature the servicing administrator (RRAC),
following initial reductions in the class A-IO-S strip and
servicing administrator fees, obligated to advance delinquent (DQ)
P&I to the trust until deemed nonrecoverable for the servicing
released mortgage loans. 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
and delinquencies. Due to the sequential structure and full
advancing, the credit enhancement (CE) levels are equivalent to
Fitch's expected losses at each rating category except the 'AAAsf'
notes due to the limited principal leakage as a result of the
pro-rata allocations between the A-1A and A-1B notes.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area (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.
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 41.0% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs compared to the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national 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, made the following
adjustment to its analysis: a 5% reduction in its loss analysis.
This adjustment resulted in a 24-bp reduction to the 'AAAsf'
expected loss.
ESG Considerations
SEMT 2025-HYB1 has an ESG Relevance Score of '4'[+] for Transaction
Parties & Operational Risk due to strong counterparties and
well-controlled operational considerations, which have a positive
impact on the credit profile and are relevant to the ratings in
conjunction with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
SERENITY-PEACE PARK: Fitch Assigns 'BB-sf' Final Rating on E Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Serenity-Peace Park CLO, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Serenity-Peace
Park CLO, Ltd.
X LT AAAsf New Rating AAA(EXP)sf
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 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
Transaction Summary
Serenity-Peace Park CLO, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
Blackstone CLO Management LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: 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 23.59 and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 97.25%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.77% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 47% 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: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for
class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, and between less than 'B-sf' and 'BB+sf' for class D and
between less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X, class A-1 and
class A-2 notes as these notes are in the highest rating category
of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'Asf'
for class D and 'BBB+sf' for class E.
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for Serenity-Peace Park
CLO, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
section of the relevant rating action commentary any ESG factor
which has a significant impact on the rating on an individual
basis.
SHR TRUST 2024-LXRY: DBRS Confirms BB(high) Rating on HRR Certs
---------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2024-LXRY
issued by SHR Trust 2024-LXRY:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, which is early in its life cycle,
having closed in October 2024.
The transaction is secured by the fee-simple and/or leasehold
interests in nine luxury hospitality properties located across five
states and Washington, D.C. The portfolio consists of 4,957 total
keys, including four properties (2,374 keys) operating under the
Marriott brand family (Ritz-Carlton Laguna Niguel, Ritz-Carlton
Half Moon Bay, Westin St. Francis, and JW Marriott Essex House)
three properties (1,611 keys) operating under the InterContinental
brand family (Regent Santa Monica, InterContinental Miami, and
InterContinental Chicago), one property (750 keys) operating under
the AccorHotels brand family (Fairmont Scottsdale Princess), and
one property (222 keys) operating under the Four Seasons brand
family (Four Seasons Washington, D.C.). The properties were
constructed between 1904 and 2001 and have a weighted-average (WA)
year built of 1988 and a WA renovation year of 2024.
The $1.6 billion floating-rate, interest-only loan is structured
with a two-year term and three, one-year extension options. At
closing, the borrower purchased a two-year interest rate cap
agreement with a strike rate of 6.0%. While there are no
performance triggers, financial covenants, or fees required to
exercise the maturity extension options, the borrower is required
to purchase of a new interest rate cap agreement.
The sponsor invested a total of $613.0 million ($123,664 per key)
in capital expenditures across the portfolio properties between
2021 and 2024 and planned to invest an additional $202.0 million
into renovating the properties through 2027. The sponsor directed
the majority of the historical capex toward the Santa Monica asset,
with approximately $130.0 million used to rebrand the hotel as the
first Regent Hotel to open in the U.S. Furthermore, the sponsor
committed $77.6 million ($103,410 per key) since 2019, to the
Fairmont Scottsdale Princess, and an additional $104.4 of
improvements are budgeted through 2027. The remaining properties
scheduled to receive renovations include Ritz-Carlton Laguna
Niguel, Four Seasons Washington, D.C., and the Ritz-Carlton Half
Moon Bay, and the Westin St. Francis. With the review, Morningstar
DBRS was not provided with an updated regarding funds invested
across the portfolio since loan closing.
According to YE2024 financial reporting, the collateral reported a
net cash flow (NCF) of $137.8 million, resulting in a DSCR of 1.31x
compared with the issuer's underwritten figure of $181.6 million
(DSCR of 1.46x) and the Morningstar DBRS' figure of $161.7 million
(DSCR of 1.17x). The decline in NCF is primarily associated with
the performance of two properties, Regent Santa Monica and Westin
St. Francis. At closing, Morningstar DBRS noted the cash flow
volatility concerns as the Regent Santa Monica was offline for the
majority of 2024 following its $130.0 million renovation project
that was completed in October 2024. The Westin St. Francis
experienced a significant cash flow decline of 86.6% from 2019 to
the trailing 12 months ended June 30, 2024, prompting the sponsor
to forecast negative cash flow in its year one budget. As such,
Morningstar DBRS applied a dark value to the property, which was
slightly above the appraised land value of the asset and a -80.1%
value variance to its appraised value of $395.0 million.
Collectively, both properties represent 7.1% of Morningstar DBRS'
NCF.
According to the May 2025 STR report, the portfolio's occupancy
rate, average daily rate, and revenue per available room for the
trailing 12-month period through May 31, 2025, were 59.9%, $568,
and $316, respectively, compared with Morningstar DBRS' issuance
figures of 67.5%, $429, and $289, respectively. Morningstar DBRS
believes that the loan will continue to perform throughout the
fully extended term based on the property's prime locations
combined with the recent and upcoming renovations.
For the purposes of this credit rating action, Morningstar DBRS
maintained the valuation approach from issuance, which was based on
a capitalization rate of 7.3% applied to the Morningstar DBRS NCF
of $161.7 million. The resulting value of $2.2 billion represents a
variance of -46.0% from the issuance appraised value of $4.1
billion and corresponds to a loan-to-value ratio (LTV) of 72.0%.
Morningstar DBRS maintained positive qualitative adjustments of
6.25% to the LTV sizing benchmarks to account for the collateral's
superior property quality and strong brand affiliation.
Notes: All figures are in U.S. dollars unless otherwise noted.
SYCAMORE TREE 2023-4: S&P Assigns Prelim 'BB-' Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from
Sycamore Tree CLO 2023-4 Ltd./Sycamore Tree CLO 2023-4 LLC, a CLO
managed by Sycamore Tree CLO Advisors L.P., a subsidiary of
Sycamore Tree Capital Partners, that was originally issued in
September 2023.
The preliminary ratings are based on information as of Sept. 24,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Oct. 2, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the existing debt. At that
time, S&P expects to withdraw its ratings on the existing class
A-1, A-2, B, C, D, and E debt and assign ratings to the replacement
class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt. However, if the
refinancing doesn't occur, S&P may affirm its ratings on the
existing debt and withdraw its preliminary ratings on the
replacement debt.
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt
is expected to be issued at a lower spread over three-month CME
term SOFR than the existing debt.
-- The stated maturity, reinvestment period, and non-call period
will be extended by two years.
-- 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 rated tranche.
"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
Sycamore Tree CLO 2023-4 Ltd./Sycamore Tree CLO 2023-4 LLC
Class A-R, $252.00 million: AAA (sf)
Class B-R, $52.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $24.00 million: BBB- (sf)
Class D-2-R (deferrable), $3.60 million: BBB- (sf)
Class E-R (deferrable), $12.40 million: BB- (sf)
Other Debt
Sycamore Tree CLO 2023-4 Ltd./Sycamore Tree CLO 2023-4 LLC
Subordinated notes, $43.05 million: NR
NR--Not rated.
SYMPHONY CLO 50: S&P Assigns Prelim BB- (sf) Rating on E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Symphony CLO
50 Ltd./Symphony CLO 50 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Symphony Alternative Asset Management
LLC, a subsidiary of Nuveen Asset Management LLC.
The preliminary ratings are based on information as of Sept. 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Symphony CLO 50 Ltd./Symphony CLO 50 LLC
Class A-1, $252.0 million: AAA (sf)
Class A-2, $13.0 million: AAA (sf)
Class B, $39.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1 (deferrable), $24.0 million: BBB- (sf)
Class D-2 (deferrable), $4.0 million: BBB- (sf)
Class E (deferrable), $12.0 million: BB- (sf)
Subordinated notes, $39.2 million: NR
NR--Not rated.
SYMPHONY CLO XV: Moody's Cuts Rating on $25.5MM E-R2 Notes to B2
----------------------------------------------------------------
Moody's Ratings has downgraded the ratings on the following notes
issued by Symphony CLO XV, Ltd.:
US$25,500,000 Class E-R2 Deferrable Mezzanine Floating Rate Notes
due 2032, Downgraded to B2 (sf); previously on September 8, 2020
Downgraded to B1 (sf)
US$12,000,000 Class F-R2 Deferrable Mezzanine Floating Rate Notes
due 2032 (current balance including interest shortfall of
$13,256,581.34), Downgraded to Caa3 (sf); previously on September
8, 2020 Downgraded to Caa2 (sf)
Symphony CLO XV, Ltd., originally issued in November 2014 and
refinanced in March 2017, December 2018 and March 2021, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in January 2024.
A comprehensive review of all credit ratings for the respective
issuer(s) has been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating action on the Class E-R2 and Class F-R2 notes
reflects the specific risks to the junior notes posed by par loss
and credit deterioration observed in the underlying CLO portfolio.
Based on the trustee's August 2025 report[1], the
over-collateralization (OC) ratio for the Class E-R2 notes is
reported at 103.27% versus August 2024 level[2] of 104.27%. Based
on Moody's calculations, the OC ratio for the Class F-R2 notes is
currently 100.86% versus August 2024 level of 102.45%. Furthermore,
the trustee-reported weighted average spread (WAS) has been
deteriorating and the current level is 3.28%[3], compared to 3.64%
in August 2024[4].
No action was taken on the Class A-R3 notes because its expected
loss remains commensurate with its current rating, after taking
into account the CLO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $386,035,274
Defaulted par: $5,734,850
Diversity Score: 61
Weighted Average Rating Factor (WARF): 3176
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.07%
Weighted Average Recovery Rate (WARR): 46.67%
Weighted Average Life (WAL): 3.46 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
SYMPHONY CLO XXIV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Symphony
CLO XXIV, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Symphony CLO XXIV, Ltd.
X-R LT AAAsf New Rating
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-1-R LT Asf New Rating
C-2-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
Symphony CLO XXIV, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) which originally closed in
January 2021 and will be managed by Symphony Alternative Asset
Management LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $315 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 24.2, and will be managed to a WARF covenant from a Fitch test
matrix. 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: The indicative portfolio consists of 96.68%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.8% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 7.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 2.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for
class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R,
and between less than 'B-sf' and 'BB+sf' for class D-2-R and
between less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R, 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 'Asf' 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.
ESG Considerations
Fitch does not provide ESG relevance scores for Symphony CLO XXIV,
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.
TOWD POINT 2025-FIX1: Fitch Assigns 'B-(EXP)' Rating on 5 Tranches
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2025-FIX1 (TPMT 2025-FIX1).
Entity/Debt Rating
----------- ------
TPMT 2025-FIX1
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA-(EXP)sf Expected Rating
A2A LT AA-(EXP)sf Expected Rating
A2AX LT AA-(EXP)sf Expected Rating
A2B LT AA-(EXP)sf Expected Rating
A2BX LT AA-(EXP)sf Expected Rating
A2C LT AA-(EXP)sf Expected Rating
A2CX LT AA-(EXP)sf Expected Rating
A2D LT AA-(EXP)sf Expected Rating
A2DX LT AA-(EXP)sf Expected Rating
B1 LT BB-(EXP)sf Expected Rating
B1A LT BB-(EXP)sf Expected Rating
B1AX LT BB-(EXP)sf Expected Rating
B1B LT BB-(EXP)sf Expected Rating
B1BX LT BB-(EXP)sf Expected Rating
B2 LT B-(EXP)sf Expected Rating
B2A LT B-(EXP)sf Expected Rating
B2AX LT B-(EXP)sf Expected Rating
B2B LT B-(EXP)sf Expected Rating
B2BX LT B-(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
FI LT NR(EXP)sf Expected Rating
M1 LT A-(EXP)sf Expected Rating
M1A LT A-(EXP)sf Expected Rating
M1AX LT A-(EXP)sf Expected Rating
M1B LT A-(EXP)sf Expected Rating
M1BX LT A-(EXP)sf Expected Rating
M1C LT A-(EXP)sf Expected Rating
M1CX LT A-(EXP)sf Expected Rating
M1D LT A-(EXP)sf Expected Rating
M1DX LT A-(EXP)sf Expected Rating
M2 LT BBB-(EXP)sf Expected Rating
M2A LT BBB-(EXP)sf Expected Rating
M2AX LT BBB-(EXP)sf Expected Rating
M2B LT BBB-(EXP)sf Expected Rating
M2BX LT BBB-(EXP)sf Expected Rating
M2C LT BBB-(EXP)sf Expected Rating
M2CX LT BBB-(EXP)sf Expected Rating
M2D LT BBB-(EXP)sf Expected Rating
M2DX LT BBB-(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
XS1 LT NR(EXP)sf Expected Rating
XS2 LT NR(EXP)sf Expected Rating
Transaction Summary
The transaction is expected to close on Sep. 23, 2025. The notes
are supported by 3,814 seasoned and newly originated second-lien
home equity line of credit (HELOC) mortgages with a total credit
limit balance of $373 million The bond sizes reflect the bond sizes
as of the cutoff date. The remainder of the commentary reflects the
data as of the statistical cutoff date.
Spring EQ, LLC originated all the loans and Shellpoint Mortgage
Servicing (SMS) will service the loans. NewRez will act as Master
Servicer and will advance delinquent (DQ) monthly Interest for up
to 60 days (under the Office of Thrift Supervision [OTS]
methodology) or until deemed nonrecoverable. Fitch did not
acknowledge the advancing in its analysis given its projected loss
severities on the second-lien collateral.
Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential structure. The
sequential-pay structure locks out principal to the subordinated
notes until the most senior notes outstanding are paid in full.
Excess cash flow can be used to repay losses or net weighted
average coupon (WAC) shortfalls.
In addition, there will be the inclusion of a non-offered Funding
Interest which will entitle the holder to certain distributions of
principal in reimbursement of the Funding Interest principal amount
and interest thereon. On any payment date, the interest rate for
the Funding Interest will be the lesser of the adjusted NWAC and
the applicable available funds cap for such payment date. The
Funding Interest Owner will be obligated to fund certain draw
amounts on the mortgage loans as further described in the
transaction's documents.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to an updated view
on sustainable home prices, Fitch views the home price values of
this pool as 9.9% above a long-term sustainable level, compared
with 10.5% on a national level as of 1Q25, down 0.1% qoq. Housing
affordability is at its worst levels in decades, driven by high
interest rates and elevated home prices. Home prices increased 2.9%
yoy nationally as of February 2025, despite modest regional
declines, and are still being supported by limited inventory.
Second Liens (Negative): The entirety of the collateral pool is
second-lien HELOC mortgages. Fitch assumed no recovery and 100%
loss severity (LS) on second lien loans based on the historical
behavior of second lien loans in economic stress scenarios. Fitch
assumes second lien loans default at a rate comparable to first
lien loans; after controlling for credit attributes, no additional
penalty was applied.
Strong Credit Quality (Positive): The pool primarily consists of
new-origination and recently seasoned second lien mortgages,
seasoned at approximately four months (as calculated by Fitch),
with a strong credit profile — a weighted average (WA) model
credit score of 734, a 39% debt-to-income ratio (DTI) and a
moderate sustainable loan-to-value ratio (sLTV) of 79%.
100% of the loans were treated as full documentation in Fitch's
analysis. Approximately 58% of the loans were originated through a
reviewed retail channel.
Sequential-Pay Structure with Realized Loss and Writedown Feature
(Mixed): The transaction's cash flow is based on a sequential-pay
structure whereby the subordinate classes do not receive principal
until the most senior classes are repaid in full. Losses are
allocated in reverse-sequential order. Furthermore, the provision
to reallocate principal to pay interest on the 'AAAsf' rated notes
prior to other principal distributions is highly supportive of
timely interest payments to those notes in the absence of servicer
advancing.
With respect to any loan that becomes DQ for 150 days or more under
the OTS methodology, the related servicer will review, and may
charge off, such a loan with the approval of the asset manager
based on an equity analysis review performed by the servicer,
causing the most subordinated class to be written down.
Fitch views the writedown feature positively, despite the 100% LS
assumed for each defaulted second lien loan, as cash flows will not
be needed to pay timely interest to the 'AAAsf' rated notes during
loan resolution by the servicers. In addition, subsequent
recoveries realized after the writedown at 150 days DQ (excluding
forbearance mortgage or loss mitigation loans) will be passed on to
bondholders as principal.
The structure does not allocate excess cash flow to turbo down the
bonds but includes a step-up coupon feature whereby the fixed
interest rate for classes A1, A2 and M1 will increase by 100 bps,
subject to the net WAC, after four years.
Overall, in contrast to other second lien transactions, this
transaction has less excess spread available and its application
offers diminished support to the rated classes, requiring a higher
level of credit enhancement (CE).
Limited Advancing Construct (Neutral): The servicer of the
Scheduled Serviced Mortgage Loans will be advancing delinquent
Interest on the second lien collateral for a period up to 60 days
delinquent under the OTS method as long as such amounts are deemed
recoverable. Given Fitch's projected loss severity assumption on
second lien collateral, Fitch assumed no advancing in its
analysis.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative rating sensitivity analysis shows how ratings
would react to steeper market value declines (MVDs) at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
addition to the model-projected 41.5%, at 'AAAsf'. The analysis
indicates there is some potential rating migration, with higher
MVDs for all rated classes compared with model projections.
Specifically, a 10% additional decline in home prices would lower
all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated classes, excluding those being assigned ratings of
'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC (AMC). A third-party due diligence review was
completed on 64.2% of the loans. The scope, as described in Form
15E, focused on credit, regulatory compliance and property
valuation reviews, consistent with Fitch criteria for new
originations. The results of the reviews indicated low operational
risk with 76 loans receiving a final grade of C. Fitch applied a
credit for the percentage of loan-level due diligence, which
reduced the 'AAAsf' loss expectation by 58 bps.
ESG Considerations
TPMT 2025-FIX1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to due to the adjustment for the
Reps & 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.
TOWD POINT 2025-HE2: DBRS Gives Prov. B(low) Rating on B2 Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Asset-Backed Securities, Series 2025-HE2 (the Notes) to be issued
by Towd Point Mortgage Trust 2025-HE2 (TPMT 2025-HE2 or the
Trust):
-- $217.1 million Class A1A at (P) AAA (sf)
-- $43.5 million Class A1B at (P) AAA (sf)
-- $17.7 million Class A2 at (P) AA (low) (sf)
-- $18.1 million Class M1 at (P) A (low) (sf)
-- $14.7 million Class M2 at (P) BBB (low) (sf)
-- $13.9 million Class B1 at (P) BB (low) (sf)
-- $8.7 million Class B2 at (P) B (low) (sf)
-- $260.6 million Class A1 at (P) AAA (sf)
The (P) AAA (sf) credit rating reflects 22.10% of credit
enhancement provided by subordinate notes. The (P) AA (low) (sf),
(P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B
(low) (sf) credit ratings reflect 16.80%, 11.40%, 7.00%, 2.85%, and
0.25% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Trust is a securitization of a portfolio of fixed, prime and
near-prime, and first- and junior-lien revolving home equity line
of credit (HELOC) residential mortgages funded by the issuance of
the Notes. The Notes are backed by 2,568 mortgage loans with a
total principal balance of $334,523,491.
The portfolio, on average, is 7 months seasoned, though seasoning
ranges from one months to 38 months. All of the loans were
underwritten with Morningstar DBRS-defined full documentation
standards. All the loans are current and 98.1% have never been
delinquent since origination.
Transaction and Other Counterparties
TPMT 2025-HE2 is a 100% HELOC securitization by FirstKey Mortgage,
LLC (FirstKey) and CRM 2 Sponsor, LLC (CRM Sponsor). Spring EQ, LLC
(Spring EQ) originated all loans in the mortgage pool.
Newrez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) is the
Servicer of all the loans in this transaction.
U.S. Bank Trust Company, National Association (rated AA with a
Stable trend by Morningstar DBRS) will act as the Indenture
Trustee, Paying Agent, Administrator, and Note Registrar. U.S. Bank
Trust National Association will act as Delaware Trustee and
Computershare Trust Company, N.A. (rated BBB (high) with a Stable
trend by Morningstar DBRS) will act as the Custodian.
On the Closing Date, CRM Sponsor will acquire the mortgage loans
from various transferring trusts. CRM Sponsor will then sell the
mortgage loans to the Depositor, pursuant to the Mortgage Loan
Contribution Agreement. Through one or more majority-owned
affiliates, CRM Sponsor will acquire and retain a 5% eligible
vertical interest in each class of Notes or the CVR Loan to be
issued to satisfy the credit risk retention requirements.
HELOC Features
All the mortgage loans are HELOCs with either three- or 10-year
initial draw periods, and 20- or 30-year original terms to
maturity. Each HELOC loan has a 10-year interest only (IO) period,
inclusive of the draw period followed by a 10- or 20-year repayment
period, for total terms of 20 or 30 years. The principal balance of
each HELOC is amortized over the 10- or 20-year repayment period.
All HELOCs in this transaction are floating-rate loans. No loans
require a balloon payment.
The loans are made mainly to borrowers with prime and near-prime
credit quality who seek to take equity cash out for various
purposes.
Transaction Structure
This transaction incorporates a pro-rata cash flow structure;
however, principal payment will be distributed sequentially so long
as the Locked Out Class, as described below, is considered in
locked out status. Any of the Class A1B, Class A2, Class M1, and
Class M2 Notes (other than to the extent such class of Notes is the
most senior class of Notes then outstanding) is locked out of
receiving principal payment if the credit support percentage is
less than the sum of (1) 150% of the original credit support
percentage for that class, plus (2) 50% of the nonperforming loan
(NPL) percentage, plus (3) the charged-off loan percentage (Locked
Out Class). The transaction will transition from a sequential-pay
cashflow to a pro rata-pay cash flow structure if no performance
trigger is in effect and the Locked Out Class of Notes are no
longer locked out. Principal proceeds and excess interest can be
used to cover interest shortfalls on the Notes, but such shortfalls
on Class A2 and subordinate bonds will not be paid from principal
proceeds until the Class A1A and Class A1B Notes are retired. In
the case of Class A2 and more subordinate Notes, principal proceeds
can be used to pay unpaid current interest or interest shortfalls
after the most senior class of Notes are retired. The Initial
Funding Interest Owner, as further described below, will receive
its repayment of principal senior to the issued class of Notes.
Other Transaction Features
The Sponsor or a majority-owned affiliate of the Sponsor will
acquire and intends to retain an eligible vertical interest
consisting of 5% of each class of Notes to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
The required credit risk must be held until the later of (1) the
fifth anniversary of the Closing Date and (2) the date on which the
aggregate loan balance has been reduced to 25% of the loan balance
as of the Closing Date.
The Servicer (or the Master Servicer in certain instances) will
generally fund advances of delinquent interest on any mortgage
unless the Servicer, in good faith, determines that such advance is
nonrecoverable, is with respect to a mortgage loan that is subject
to a modification or a deferral, or is with respect to a mortgage
loan that is 150 days or more delinquent under the Office of Thrift
Supervision (OTS) delinquency method. In addition, for all the
mortgage loans, the related servicer may be obligated to make
advances in respect of homeowner association fees, taxes, and
insurance; installment payments on energy improvement liens; and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties unless a determination is made that
there will be material recoveries.
The Servicer will not advance any principal on delinquent loans.
For this transaction, any junior-lien loan that is 150 days
delinquent under the OTS delinquency method (equivalent to 180 days
delinquent under the Mortgage Bankers Association (MBA) delinquency
method), the Servicer will review and may charge off the loan with
the approval of the Asset Manager. With respect to a charged-off
loan, the total unpaid principal balance (UPB) will be considered a
realized loss and will be allocated reverse sequentially to the
Noteholders. If there are any subsequent recoveries for such
charged-off loans, the recoveries will be included in the principal
remittance amount and applied in accordance with the principal
distribution waterfall; in addition, any class principal balances
of Notes that have been previously reduced by allocation of such
realized losses may be increased by such recoveries sequentially in
order of seniority. Morningstar DBRS' analysis assumes reduced
recoveries upon default on loans in this pool.
On or after the earlier of (1) the payment date in September 2028
or (2) the first payment date when the aggregate pool balance of
the mortgage loans (other than the charged-off loans and the real
estate owned (REO) properties) is reduced to 30% or less of the
Cut-Off Date balance, the call option holder will have the option
to purchase the mortgage loans from the Issuer to redeem the Notes,
the Trust Certificate, and Class R Certificates and retire the
Funding Interest for an amount not less than par (Optional
Redemption).
On or after the first payment date on which the aggregate pool
balance of the mortgage loans and the REO properties is less than
or equal to 10% of the aggregate pool balance as of the Cut-Off
Date, the call option holder will have the option to purchase the
mortgage loans and REO properties from the Issuer to redeem the
Notes, the Trust Certificate, and Class R Certificates and retire
the Funding Interest for an amount not less than par (Clean-Up
Call).
Additionally, on or after the first payment date on which the
aggregate pool balance of the mortgage loans and the REO properties
is less than or equal to 5% of the aggregate pool balance as of the
Cut-Off Date, the Master Servicer will have the option to purchase
the mortgage loans and REO properties from the Issuer to redeem the
Notes, the Trust Certificate, and Class R Certificates and retire
the Funding Interest for an amount not less than par (Master
Servicer Clean-Up Call).
Additional Cash Flow Analytics for HELOCs
Morningstar DBRS performs a traditional cash flow analysis to
stress prepayments, loss timing, and interest rates. Generally, in
HELOC transactions, because prepayments (and scheduled principal
payments, if applicable) are primary sources from which to fund
draws, Morningstar DBRS also tests a combination of high draw and
low prepayment scenarios to stress the transaction.
Similar to other transactions backed by junior-lien mortgage loans
or HELOCs, in this transaction, any HELOCs, including first and
junior liens, that are 180 days delinquent under the MBA
delinquency method or 150 days or more delinquent under the OTS
delinquency method will be reviewed and may be charged off with the
approval of the Asset Manager.
Funding of Draws
This transaction uses a structural mechanism similar to other HELOC
transactions to fund future draw requests. The Servicer will be
required to fund draws and will be entitled to reimburse itself for
such draws from the principal collections prior to any payments on
the Notes and the Initial Funding Interest Owner.
Nevertheless, the Servicer is still obligated to fund draws even if
the principal collections are insufficient in a given month for
full reimbursement. If the aggregate draws exceed the principal
collections (Net Draw), the Servicer can be reimbursed pursuant to
the Interest Remittance Amount payment priority. The Initial
Funding Interest Owner will have the ultimate responsibility to
ensure draws are funded by remitting funds to the Paying Agent to
reimburse the Servicer for the draws made on the loans, as long as
all borrower conditions are met to warrant draw funding.
On the Closing Date, Goldman Sachs Bank USA (GSB), as the Initial
Funding Interest owner, will have the obligation to fund net draws
on the mortgage loans and to receive reimbursement with interest
until the Initial Funding Interest Termination Date of September
30, 2030; thereafter, the CRM Sponsor will have the obligation to
fund net draws for the succeeding years.
In its analysis of the proposed transaction structure, Morningstar
DBRS does not rely on the creditworthiness of the servicer or the
Initial Funding Interest Owner. Rather, the analysis relies on the
assets' ability to generate sufficient cash flows to fund draws and
make interest and principal payments.
Notes: All figures are in U.S. dollars unless otherwise noted.
TRICOLOR AUTO 2025-2: S&P Suspends Rating on Six Classes of Notes
-----------------------------------------------------------------
S&P Global Ratings suspended its ratings on six classes of
automobile receivables-backed from Tricolor Auto Securitization
Trust 2025-2 (TAST 2025-2). At the time of suspension, the ratings
were on CreditWatch with negative implications.
S&P said, "The rating action reflects our lack of what we regard as
sufficient information of satisfactory quality to surveil the
transaction in accordance with our criteria. Specifically, we have
not received the investor report pertaining to the Sept. 15, 2025,
distribution date. As such, at this time, we are unable to
determine whether the TAST 2025-2 classes of notes received timely
payments in accordance with the priority of payment outlined in the
transaction documents.
"Additionally, in the absence of the investor report, we are unable
to ascertain the performance and credit quality of the collateral
pool backing the TAST 2025-2 classes of notes since the previous
distribution on Aug. 15, 2025.
"Our ability to resume providing and maintaining credit ratings on
the transaction will depend upon the ongoing timely receipt of what
we regard as sufficient information of satisfactory quality."
Ratings Suspended
Tricolor Auto Securitization Trust 2025-2
Class A: to 'NR' from 'AA (sf)/Watch Neg'
Class B: to 'NR' from A (sf)/Watch Neg'
Class C: to 'NR' from 'A- (sf)/Watch Neg'
Class D: to 'NR' from 'BBB (sf)/Watch Neg'
Class E: to 'NR' from 'BB (sf)/Watch Neg'
Class F: to 'NR' from 'B (sf)/Watch Neg'
NR--Not rated.
TRUPS FINANCIALS 2025-2: Moody's Assigns Ba2 Rating to Cl. D Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to seven classes of notes
issued by TruPS Financials Note Securitization 2025-2 (the Issuer
or TFNS 2025-2):
US$210,250,000 Class A-1 Senior Secured Floating Rate Notes due
2039, Definitive Rating Assigned Aaa (sf)
US$98,500,000 Class A-2 Senior Secured Floating Rate Notes due
2039, Definitive Rating Assigned Aa2 (sf)
US$14,750,000 Class B-1 Mezzanine Deferrable Floating Rate Notes
due 2039, Definitive Rating Assigned A3 (sf)
US$12,000,000 Class B-2 Mezzanine Deferrable Fixed Rate Notes due
2039, Definitive Rating Assigned A3 (sf)
US$15,750,000 Class C-1 Mezzanine Deferrable Floating Rate Notes
due 2039, Definitive Rating Assigned Baa3 (sf)
US$18,000,000 Class C-2 Mezzanine Deferrable Fixed Rate Notes due
2039, Definitive Rating Assigned Baa3 (sf)
US$22,250,000 Class D Mezzanine Deferrable Floating Rate Notes due
2039, Definitive Rating Assigned Ba2 (sf)
The notes listed are referred to herein, collectively, as the Rated
Notes.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks, particularly those associated with
the CDO's portfolio and structure.
TFNS 2025-2 is a static cash flow CDO. The issued notes will be
collateralized primarily by trust preferred securities ("TruPS"),
subordinated notes, surplus notes and senior unsecured notes issued
by US community banks and their holding companies and insurance
companies. The portfolio is expected to be 100% ramped as of the
closing date.
EJF CDO Manager LLC (the Manager), an affiliate of EJF Capital LLC
will direct the selection, acquisition and disposition of the
assets on behalf of the Issuer. The Manager will direct the
disposition of any defaulted securities, credit risk securities,
certain securities whose issuer has been acquired, or merged with
another institution ("APAI securities"). Subject to certain
reinvestment criteria, the Manager may reinvest proceeds from sales
of APAI securities or from the repayments of substitutable
securities. Substitutable security is any bank senior notes or bank
subordinated note issued after January 01, 2012 that either (a) has
a stated maturity that is prior to the second anniversary of the
closing date of the transaction or (b) initially bears interest at
a floating rate and is scheduled to convert to a floating rate
instrument prior to the second anniversary of the closing date of
the transaction.
In addition to the Rated Notes, the Issuer issued one other classes
of preferred shares.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
The portfolio of this CDO consists of TruPS, subordinated debt,
surplus notes and senior unsecured notes issued by 76 US community
banks and 10 insurance companies, the majority of which Moody's do
not rate. Moody's assesses the default probability of bank obligors
that do not have public ratings through credit scores derived using
RiskCalc(TM), an econometric model developed by Moody's Analytics.
Moody's evaluations of the credit risk of the bank obligors in the
pool relies on FDIC Q1-2025 financial data. Moody's assesses the
default probability of insurance company obligors that do not have
public ratings through credit assessments provided by its insurance
ratings team based on the credit analysis of the underlying
insurance companies' annual statutory financial reports. Moody's
assumes a fixed recovery rate of 10% for both the bank and
insurance obligations.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $447,532,687
Weighted Average Rating Factor (WARF): 890
Weighted Average Spread (WAS) Float only: 2.99%
Weighted Average Coupon (WAC) Fixed only: 7.03%
Weighted Average Coupon (WAC) Fixed to float: 4.37%
Weighted Average Spread (WAS) Fixed to float: 3.40%
Weighted Average Life (WAL): 7.5 years
In addition to the quantitative factors that Moody's explicitly
model, qualitative factors were part of the rating committee
consideration. Moody's considers the structural protections in the
transaction, the risk of an event of default, the legal environment
and specific documentation features. All information available to
rating committees, including macroeconomic forecasts, inputs from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transaction, influenced the final rating decision.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "TruPS CDOs "
published in June 2025.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
UBS COMMERCIAL 2017-C4: Fitch Lowers Rating on Two Tranches to B-sf
-------------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed 10 classes of UBS
Commercial Mortgage Trust commercial mortgage pass-through
certificates, series 2017-C4. Classes D and X-D have been assigned
Negative Rating Outlooks following their downgrades. The Rating
Outlooks on classes A-S, B, C and X-B remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
UBS 2017-C4
A3 90276RBD9 LT AAAsf Affirmed AAAsf
A4 90276RBE7 LT AAAsf Affirmed AAAsf
AS 90276RBH0 LT AAAsf Affirmed AAAsf
ASB 90276RBC1 LT AAAsf Affirmed AAAsf
B 90276RBJ6 LT AA-sf Affirmed AA-sf
C 90276RBK3 LT A-sf Affirmed A-sf
D 90276RAL2 LT B-sf Downgrade BBsf
E 90276RAN8 LT CCCsf Downgrade B-sf
F 90276RAQ1 LT CCsf Affirmed CCsf
XA 90276RBF4 LT AAAsf Affirmed AAAsf
XB 90276RBG2 LT AA-sf Affirmed AA-sf
XD 90276RAA6 LT B-sf Downgrade BBsf
XE 90276RAC2 LT CCCsf Downgrade B-sf
XF 90276RAE8 LT CCsf Affirmed CCsf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case
loss has increased to 8.5% from 6.7% since Fitch's prior rating
action. Fitch Loans of Concerns (FLOCs) comprise 13 loans (28.7% of
the pool), including seven specially serviced loans (12.1%).
The downgrades reflect higher pool loss expectations driven by the
declining performance of the 50 Varick Street and DoubleTree
Berkeley Marina FLOCs, and the recent transfer of the 221-223 W.
Ohio & 215 W. Ohio loan to special servicing. Lower appraisal
values for the special serviced 1600 Corporate Center and 401 West
Ontario loans also contributed to the downgrades.
The Negative Outlooks reflect the potential for downgrades with
further valuation deterioration on the specially serviced loans
and/or lack of stabilization on the aforementioned office and hotel
FLOCs.
FLOCs; Largest Contributors to Loss: The largest increase in loss
since the prior rating action and second largest overall
contributor to loss expectations is the 50 Varick Street loan
(3.7%), secured by a 155,434-sf office property in the Tribeca
neighborhood of Manhattan. The property, which is the official host
of TriBeCa Film Festival, New York Fashion Week and Independent Art
Fair, is fully occupied by two office tenants, Spring Studios New
York LLC (NRA 53%) and Spring Place New York (47%).
Both tenants' leases are scheduled to expire at the end of December
2029, two years beyond the loan's maturity in September 2027, and
structured with rent bumps in 2026. The loan was structured with a
10-year ICAP Tax Abatement that expires in 2025. The original
abatement amount was $600,000 in 2015 and began to burn off in
2020.
However, according to the June 2024 loan commentary, Spring Place
NY received a notice of event of default for being delinquent on
approximately $5.1 million in base rent and common area
maintenance, plus $493, 000 in additional charges owed to the
landlord. An updated amount of outstanding rent has not been
provided for 2025.
Due to the decrease in rental income and expense reimbursement, the
servicer-reported NOI DSCR dropped to 0.85x at YE 2024 from 1.62x
at YE 2023, 1.63x at YE 2022, 1.57x at YE 2021, and 1.80x at YE
2020. Fitch's 'Bsf' case loss of 22.6% (prior to concentration
add-ons) reflects an 9% cap rate to the YE 2024 NOI and factors a
heightened probability of default.
The second largest increase in loss since the prior rating action
and third largest overall contributor to loss expectations 221-223
W. Ohio & 215 W. Ohio (1.2%), is secured by three office buildings
(60,345 sf) in Chicago, IL. The loan transferred to the special
servicing in November 2024 for payment default and is currently in
foreclosure. Receivership was granted in June 2025.
Servicer-reported occupancy and DSCR were 84% and 1.88x
respectively as of March 2024. Updated financials were not
available. Fitch's 'Bsf' case loss of 61.5% (prior to concentration
add-ons) reflects a stress to the most recent appraised value
resulting in a Fitch-stressed value of $65 psf.
The third largest increase in loss since the prior rating action,
401 West Ontario (0.8%), is secured by a 40,790-sf office building
located in Chicago, IL. The loan transferred to the special
servicing in May 2023 due to imminent monetary default. The
property was 65% occupied as of March 2025. The top three tenants
are Reliz/Blockfills (29.6% NRA and 44.4% rent; expires September
2026), Zacuto (11.9% NRA and 13.6% rent; expires December 2025) and
Purealift (4.7% NRA and 4.4% rent; expired July 2025). Fitch's
'Bsf' case loss of 80.7% (prior to concentration add-ons) reflects
a stress to the most recent appraised value, resulting in a
Fitch-stressed value of $63 psf.
The fourth largest increase in loss since the prior rating action,
DoubleTree Berkeley Marina (1.8%), is secured by a 378-key
full-service hotel located in Berkeley, CA. The loan transferred to
special servicing in February 2025 due to imminent monetary default
stemming from the significant decline in NOI since 2019. The YE
2024 NOI is 64% below YE 2019 and 55% below the Fitch issuance
NCF.
Since 2022, total expenses have increased 14% while revenue has
only increased 8%. Per the most recent STR report for the TTM
January 2025, occupancy, ADR and RevPAR were 72% (115% penetration
rate), $175 (101% penetration rate) and $126 (115% penetration
rate), respectively. Fitch's 'Bsf' rating case loss of 37.2% (prior
to concentration add-ons) reflects a 11.25% cap rate and the YE
2024 NOI with no stress.
Increased Credit Enhancement (CE): As of the August 2025 remittance
report, the transaction has been reduced by 16.2% since issuance.
There has been approximately $11,000 in realized losses to date.
Five loans (9%) are defeased. Cumulative interest shortfalls are
approximately $2.6 million, affecting classes E and F, and the
non-rated classes G and NR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the senior 'AAAsf' rated classes are not likely due
to their position in the capital structure and expected continued
amortization and loan repayments. However, downgrades could occur
if deal-level losses increase significantly and/or interest
shortfalls occur or are expected to occur.
Downgrades to junior 'AAAsf' rated classes and the 'AAsf' and 'Asf'
rated categories with Negative Outlooks are possible with continued
performance of the FLOCs and/or valuation deterioration or
prolonged workouts of the loans in special servicing. These FLOCs
include 1600 Corporate Center, 221-223 W. Ohio & 215 W. Ohio, 401
West Ontario, 50 Varick Street and DoubleTree Berkeley Marina.
Further downgrades to the class rated in the 'Bsf' category and the
distressed classes would occur should additional loans transfer to
special servicing or as losses on FLOCs and specially serviced
loans are realized and/or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to 'AAsf' and 'Asf' rated categories would occur with
continued improvement in CE from defeasance, amortization and/or
loan paydowns, as well as performance improvement of the FLOCs.
Upgrades to the class rated in the 'Bsf' category and the
distressed classes are not likely, but would be possible if the
performance of the remaining pool is stable, recoveries and/or
valuations on the FLOCs are better than expected and there is
sufficient CE to the classes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
UBS COMMERCIAL 2018-C15: Fitch Lowers Rating on F-RR Debt to 'B-sf'
-------------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 10 classes of UBS
Commercial Mortgage Trust 2018-C15 (UBS 2018-C15). Classes D-RR,
E-RR and F-RR have been assigned Negative Rating Outlooks following
their downgrades. The Outlook for class C was revised to Negative
from Stable.
Entity/Debt Rating Prior
----------- ------ -----
UBS 2018-C15
A-3 90278LAX7 LT AAAsf Affirmed AAAsf
A-4 90278LAY5 LT AAAsf Affirmed AAAsf
A-S 90278LBB4 LT AAAsf Affirmed AAAsf
A-SB 90278LAW9 LT AAAsf Affirmed AAAsf
B 90278LBC2 LT AA-sf Affirmed AA-sf
C 90278LBD0 LT A-sf Affirmed A-sf
D 90278LAC3 LT BBB+sf Affirmed BBB+sf
D-RR 90278LAE9 LT BBsf Downgrade BBB-sf
E-RR 90278LAG4 LT B+sf Downgrade BB+sf
F-RR 90278LAJ8 LT B-sf Downgrade B+sf
G-RR 90278LAL3 LT CCCsf Affirmed CCCsf
X-A 90278LAZ2 LT AAAsf Affirmed AAAsf
X-B 90278LBA6 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case
losses are 6.9% an increase from 5.7% at the last rating action.
There are five Fitch Loans of Concern (FLOCs; 25.8% of the pool),
with no loans in special servicing.
The downgrades reflect increased loss expectations on 435 Tasso
Street after full year 2024 financials were received since the
prior rating action.
The Negative Outlooks reflect the high FLOC concentration and
potential for downgrades should expected losses increase with
respect to Saint Louis Galleria, 435 Tasso Street and 16300 Roscoe
Blvd Parkway Center.
FLOCs: The largest FLOC and largest contributor to overall pool
loss expectations, Saint Louis Galleria (9.8%), is secured by a
Brookfield-sponsored, super-regional mall located in St. Louis, MO.
It was flagged as a FLOC due to lagging post-pandemic performance
and upcoming rollover concerns. The mall is anchored by Dillard's,
Macy's and Nordstrom, which are non-collateral tenants.
Property-level NOI has declined since issuance, with TTM March 2025
NOI approximately 36% below the issuer's underwritten NOI and 19.8%
below YE 2020 NOI. The NOI declines are mainly attributed to the
lower revenue since the pandemic. As of TTM March 2025, the
servicer-reported NOI DSCR was 1.10x, compared with 1.16x at YE
2024, 1.63x at YE 2023, 1.57x at YE 2022 and 1.68x at YE 2021. The
loan began to amortize in November 2023.
Collateral occupancy declined to 90.2% as of March 2025 from 96% at
YE 2021 as a result of several tenants vacating at or ahead of
their lease expirations. Total mall occupancy was 94.1% as of the
March 2025 rent roll. As of May 2023, reported TTM in line
comparable tenant sales were $525 psf ($411psf excluding Apple),
compared with $536 psf ($419 psf excluding Apple) as of TTM
September 2022, $523 psf ($401 psf excluding Apple) as of TTM
September 2021 and $364 psf ($294 psf excluding Apple) at YE 2020.
Fitch requested an updated tenant sales report, but it was not
provided. Approximately 16.3% NRA expires in 2025, 27.1% in 2026
and 13.4% in 2027. Fitch's 'Bsf' rating case loss of 14.1% (prior
to concentration add-ons) reflects a 7.5% stress to the TTM March
2025 NOI and an 11.50% cap rate.
The second largest contributor to overall pool loss expectations,
435 Tasso Street (6.7%), is secured by a 32,128-sf office property
located in Palo Alto, CA. Top three tenants are East West Bank
(29.8% NRA and 52.2% rent; expires December 2025), GenBio Inc
(13.8%; expires January 2027) and CSAA Insurance Exchange (10%;
expires September 2026). Per the servicer, East West Bank is in the
process of renewing its lease. Negotiations to renew Primavera USA
LLC (5%; expires October 2025) are also underway.
The loan was flagged as a FLOC due to continued low occupancy.
Occupancy declined to 58% as of YE 2023 from 79% the prior year
after two tenants, Qlik and Vulcan (combined, 20% of NRA) vacated
at their 2023 lease expirations in October and November. Occupancy
remained unchanged throughout 2024 as no new leases were signed.
Therefore, servicer reported NOI declined by 44.1% to $1.5 million
from YE 2023 to YE 2024. Two new leases were executed in January
2025: RecVue, Inc. (3.7%; expires January 2038) and Ropes & Gray
LLP (12.9%; expired May 2025). As a result, occupancy increased
from 58% to 75.3% as of the March 2025 rent roll. Ropes & Gray did
not renew its lease per the servicer. As a result, Fitch expects
occupancy to decline to 62.4%. Excluding, Ropes & Gray,
approximately 34.9% NRA and 60% rent expires in 2025, 10% NRA and
15.7% rent in 2026 and 13.8% NRA and 19.4% rent in 2027. Fitch's
'Bsf' rating case loss of 20.5% (prior to concentration add-ons)
reflects YE 2024 NOI and an 9.5% cap rate.
The third largest contributor to overall pool loss expectations,
16300 Roscoe Blvd (3.6%), is secured by a 154,033-sf office
building located in Van Nuys, CA. Top three tenants are MGA
Entertainment Inc (28.1%; expires December 2033), Concentra Health
Services, Inc. (9.3%; expires June 2027) and The Heart Medical
Group (5.4%; expires June 2027). The loan was flagged as a FLOC due
to the largest tenant going dark, although the tenant continues to
pay rent. The property is 86% occupied, 58% excluding dark tenant
MGA Entertainment Inc. As of TTM March 2024, the servicer-reported
NOI DSCR was 1.34x down from 1.38x at YE 2023 and 1.53x at YE 2021
due to increasing operating expenses. Fitch's 'Bsf' rating case
loss of 28.9% (prior to concentration add-ons) reflects a 10%
stress to the TTM March 2024 NOI, an 10.25% cap rate and an
increased probability of default given the higher likelihood of a
term or maturity default.
Updated Credit Enhancement (CE): As of the August 2025 remittance
report, the aggregate pool balance was reduced by 31.2% since
issuance. There have been approximately $1.3 million in realized
losses to date. Three loans (5.5% of the pool) are defeased.
Cumulative interest shortfalls of approximately $210,000 are
affecting the non-rated class NR-RR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to 'AAAsf' rated classes are not likely due to the high
CE, senior 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.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories
could occur if deal-level losses increase significantly from
outsized losses on larger FLOCs and/or more loans than expected
experience performance deterioration and/or default at or prior to
maturity.
Downgrades to classes rated in the 'BBBsf' category are possible
with higher-than-expected losses from continued underperformance of
the FLOCs, particularly Saint Louis Galleria, 435 Tasso Street and
16300 Roscoe Blvd Parkway Center.
Downgrades to classes rated in the 'BBsf' and 'Bsf' categories
would occur with greater certainty of losses on the specially
serviced loans or FLOCs and/or additional loans transfer to special
servicing.
Downgrades to the 'CCCsf' rated class 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 classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE, coupled with
stable-to-improved pool-level loss expectations and improved
performance on the FLOCs, including 435 Tasso Street and 16300
Roscoe Blvd Parkway Center in UBS 2018-C15.
Upgrades to classes rated in the 'BBBsf' category 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 and
specially serviced loans are better than expected and there is
sufficient CE to the classes.
Upgrades to the distressed 'CCCsf' rated class 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.
US BANK 2025-2: DBRS Finalizes BB(high) Rating on E Notes
---------------------------------------------------------
DBRS, Inc. finalized the following provisional credit ratings on
the U.S. Bank C&I Credit-Linked Notes, Series 2025-2, Class B-1
Notes, Class B-2 Notes, Class C Notes, Class D Notes, and Class E
Notes (together, the Rated Notes). The Rated Notes are issued
pursuant to the Note Issuance and Administration Agreement (the
NIAA), dated as of September 18, 2025, entered into between U.S.
Bank National Association (U.S. Bank or the Issuer; rated AA with a
Stable trend by Morningstar DBRS), as Issuer, and U.S. Bank Trust
Company, National Association (rated AA with a Stable trend by
Morningstar DBRS), as Paying Agent and as Calculation Agent:
-- Class B-1 Notes at AA (low) (sf)
-- Class B-2 Notes at AA (low) (sf)
-- Class C Notes at A (sf)
-- Class D Notes at BBB (sf)
-- Class E Notes at BB (high) (sf)
The credit ratings on the Rated Notes address the timely payment of
interest and the ultimate repayment of principal on or before the
Legal Final Maturity Date on September 25, 2032.
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating finalizations are result of Morningstar DBRS'
review of the NIAA, dated as of September 18, 2025, along with the
other transaction documents and legal opinions.
Morningstar DBRS considers the transaction a synthetic risk
transfer. The Rated Notes are general obligations of U.S. Bank and
are credit-linked to a reference portfolio consisting of syndicated
term and revolving credit facilities that are originated or
acquired and serviced by U.S. Bank or one of its affiliates (the
Reference Portfolio) and are issued pursuant to the NIAA. The
Reference Portfolio is static and prohibits reinvestment.
In its analysis, Morningstar DBRS considered the following aspects
of the transaction:
(1) The NIAA, dated as of September 18, 2025.
(2) The transaction's capital structure and the form and
sufficiency of available credit enhancement.
(3) The ability of the Rated Notes to withstand projected
collateral loss rates under various credit rating scenarios.
(4) The credit quality of the Reference Portfolio.
(5) The financial strength of U.S. Bank, as the Issuer.
(6) Morningstar DBRS' assessment of U.S. Bank, as the Servicer of
the transaction.
(7) The legal structure as well as legal opinions addressing
certain matters of the Issuer and the consistency with the
Morningstar DBRS "Legal Criteria for U.S. Structured Finance"
methodology (the Legal Criteria).
Some strengths of the transaction are (1) the weighted-average (WA)
credit quality of the underlying obligors is investment grade; (2)
the Reference Portfolio will consist of senior unsecured loans; and
(3) the Reference Portfolio is well-diversified. Some challenges
identified are (1) the Rated Notes are subordinated in the
transaction's capital structure to the Class A Certificates and (2)
U.S. Bank is directly issuing the Rated Notes and will be
responsible for the payments of interest and principal due on the
Rated Notes.
Morningstar DBRS analyzed the transaction using its CLO Insight
Model, based on the actual obligations in the Reference Portfolio,
which will be static; and tranche-specific recovery rates, among
other credit considerations referenced in the "Global Methodology
for Rating CLOs and Corporate CDOs" (July 9, 2025).
The reference portfolio consists of syndicated term and revolving
credit facilities that are originated or acquired and serviced by
U.S. Bank or one of its affiliates across various industries and
credit rating levels. The analysis produced satisfactory results,
which supported the credit ratings on the Rated Notes.
Notes: All figures are in U.S. dollars unless otherwise noted.
VENTURE 41: S&P Affirms BB- (sf) Rating on Class E Notes
--------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-2-RR, B-N-RR, C-RR, and D-RR debt from Venture 41 CLO
Ltd./Venture 41 CLO LLC, a CLO managed by MJX Venture Management
III LLC that was originally issued in February 2021 and underwent a
partial refinancing in April 2024 (the refinanced class A-1N-R debt
was not rated by S&P Global Ratings). At the same time, S&P
withdrew its ratings on the previous class A-2, B-N, C, and D debt
following payment in full on the Sept. 24, 2025, refinancing date.
S&P also affirmed its ratings on the class A-1F, B-F, and E debt,
which were not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to March 24, 2026.
-- No additional assets were purchased on the Sept. 24, 2025,
refinancing date, and the target initial par amount remains the
same. There was no additional effective date or ramp-up period, and
the first payment date following the refinancing is Oct. 20, 2025.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-1-RR, $283.68 million: three-month CME term SOFR +
1.13%
-- Class A-2-RR, $15.00 million: three-month CME term SOFR +
1.50%
-- Class B-N-RR, $44.473 million: three-month CME term SOFR +
1.70%
-- Class C-RR (deferrable), $30.00 million: three-month CME term
SOFR + 2.10%
-- Class D-RR (deferrable), $25.00 million: three-month CME term
SOFR + 4.00%
Previous debt
-- Class A-1N-R, $283.68 million: three-month CME term SOFR +
0.90678% + CSA(i)
-- Class A-2, $15.00 million: three-month CME term SOFR +
1.600000% + CSA(i)
-- Class B-N, $44.473 million: three-month CME term SOFR +
1.750000% + CSA(i)
-- Class C (deferrable), $30.00 million: three-month CME term SOFR
+ 2.600000% + CSA(i)
-- Class D (deferrable), $25.00 million: three-month CME term SOFR
+ 3.870000% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Venture 41 CLO Ltd./Venture 41 CLO LLC
Class A-1-RR, $283.68 million: NR
Class A-2-RR, $15.00 million: AAA (sf)
Class B-N-RR, $44.473 million: AA (sf)
Class C-RR (deferrable), $30.00 million: A (sf)
Class D-RR (deferrable), $25.00 million: BBB (sf)
Ratings Withdrawn
Venture 41 CLO Ltd./Venture 41 CLO LLC
Class A-2 to NR from 'AAA (sf)'
Class B-N to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB (sf)'
Ratings Affirmed
Venture 41 CLO Ltd./Venture 41 CLO LLC
Class A-1F: AAA (sf)
Class B-F: AA (sf)
Class E (deferrable): BB- (sf)
Other Debt
Venture 41 CLO Ltd./Venture 41 CLO LLC
Subordinated notes, $49.75 million: NR
NR--Not rated.
VENTURE XXII CLO: Moody's Cuts Rating on $30MM Cl. E-R Notes to B2
------------------------------------------------------------------
Moody's Ratings upgrades a rating on one class of and downgrades a
rating on one class of notes issued by Venture XXII CLO, Limited.
US$37,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031, Upgraded to Aa1 (sf); previously on November 13,
2023 Upgraded to Aa3 (sf)
Moody's have also downgraded the rating on the following notes:
US$30,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2031, Downgraded to B2 (sf); previously on October 30,
2020 Confirmed at Ba3 (sf)
Venture XXII CLO, Limited, originally issued in January 2016 and
refinanced in February 2018, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in January 2023.
A comprehensive review of all credit ratings for the respective
issuer(s) has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating action is primarily a result of deleveraging of
the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since August 2024. The Class A-R
notes have been paid down by approximately 49.5% or $190.8 million
since then. Based on the trustee's August 2025 report, the OC ratio
for the Class C-R notes is reported at 129.65%[1], versus August
2024 level of 120.56%[2].
The downgrade rating action on the Class E-R notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's August 2025 report, the OC ratio for the Class E-R
notes is reported at 100.50%[3] versus August 2024 level of
104.38%[4], and failing the test level of 104.30%. Furthermore, the
trustee-reported weighted average rating factor (WARF) has
deteriorated and currently is 3252[5] compared to 2776[6] in August
2024.
No actions were taken on the Class A-R, Class B-R and Class D-R
notes because their expected losses remain commensurate with their
current ratings, after taking into account the CLO's latest
portfolio information, its relevant structural features and its
actual over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $290,012,677
Defaulted par: $11,869,263
Diversity Score: 60
Weighted Average Rating Factor (WARF): 3416
Weighted Average Spread (WAS): 3.45%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.01%
Weighted Average Life (WAL): 3.0 years
Par haircut in OC tests and interest diversion test: 3.52%
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
WELLS FARGO 2016-LC25: DBRS Confirms B Rating on Class F Certs
--------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates issued by Wells Fargo
Commercial Mortgage Trust 2016-LC25 as follows:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (sf)
-- Class C at A (low) (sf)
-- Class X-D at BBB (high) (sf)
-- Class D at BBB (sf)
-- Class E at BB (sf)
-- Class F at B (sf)
-- Class G at CCC (sf)
Morningstar DBRS maintained the Negative trends on Classes D, E, F,
and X-D. The trends on the remaining classes are Stable, with the
exception of Class G, which has a credit rating that does not
typically carry a trend in commercial mortgage-backed securities
(CMBS) ratings.
The Negative trends continue to reflect Morningstar DBRS' concerns
surrounding the refinancing prospects of select loans in the pool,
as the pool approaches its maturity in 2026. The pool is
concentrated by property type with loans backed by retail and
office properties, representing 29.5% and 27.0% of the pool,
respectively, a significant portion of which is located in the
secondary markets. In the analysis for this review, Morningstar
DBRS applied stressed loan-to-value ratios (LTV) and/or probability
of default (POD) penalties to 13 loans to reflect the increased
refinance risk. Based on a recoverability analysis, which
considered the likelihood of repayment and value deficiency for the
pool as a whole, the two lowest-rated classes were most exposed to
loss, supporting the Negative trends.
The credit rating confirmations reflect the otherwise stable
performance of the transaction, which remains in line with
Morningstar DBRS' expectations. The remainder of the pool continues
to demonstrate a healthy performance, as evidenced by the pool's
weighted average (WA) debt service coverage ratio (DSCR) of 1.63
times (x) based on the most recent financial reporting available.
In addition, the largest office loan, 9 West 57th Street loan
(Prospectus ID#1; 6.5% of the pool), is shadow-rated investment
grade by Morningstar DBRS.
As of the August 2025 remittance, 76 of the original 80 loans
remain in the pool with a balance of $774.1 million, reflecting a
collateral reduction of 18.9% since issuance. There is one loan,
Holiday Inn Milwaukee River (Prospectus ID#26; 1.4% of the pool),
in special servicing and nine loans, representing 16.7% of the
pool, on the servicer's watchlist, eight of which (15.1% of the
pool) are being monitored for performance-related reasons. Eleven
loans, representing 12.0% of the pool balance, are defeased.
The transaction's only specially serviced loan, Holiday Inn
Milwaukee River, secured by a 160-key full-service hotel in
Milwaukee, Wisconsin, transferred to special servicing in August
2024 for imminent monetary default. The occupancy rate at the
property has remained depressed since 2020, most recently reported
at 46% during the trailing 12-month (T-12) period ended June 30,
2025, resulting in negative net cash flow (NCF) for the same
period. According to the servicer commentary, a receivership sale
has been approved. The property was most recently appraised in
September 2024 at a value of $9.6 million, representing a 57.0%
decline from the issuance value of $22.3 million. In light of the
property's continued depressed financial performance and the
upcoming receivership sale, Morningstar DBRS analyzed this loan
with a liquidation scenario based on a 25% haircut applied to the
September 2024 appraisal, resulting in an implied loss of
approximately $5.6 million (loss severity of 52%).
The largest loan on the servicer's watchlist, Marriott Hilton Head
Resort & Spa (Prospectus ID#3; 4.3% of the pool), is secured by a
513-room full-service hotel on Hilton Head Island in South
Carolina. The loan is being monitored on the servicer's watchlist
for a low DSCR, which was most recently reported at 0.88x during
the T-12 period ended June 30, 2025. According to servicer
commentary, the decline in NCF can be partially attributed to
renovations that were completed as part of a property improvement
plan following the property's conversion to the Hilton Hotels flag
and the loss of recurring group bookings. According to the June
2025 STR report, the collateral reported an occupancy rate of 47%,
average daily rate of $241, and revenue per available room of $113,
down slightly from 50.9%, $254, and $129, respectively, reported in
June 2024. In the analysis for this review, Morningstar DBRS
applied a POD penalty to reflect the decline in performance ahead
of the loan's upcoming October 2026 maturity date, which resulted
in an expected loss that was approximately 2.0x greater than the
pool average.
As previously mentioned, at issuance, the 9 West 57th Street loan,
secured by a 1.7 million-square-foot, Class A office building in
Manhattan, was assigned an investment-grade shadow rating by
Morningstar DBRS. With this review, Morningstar DBRS confirms the
performance of this loan remains consistent with investment-grade
characteristics as evidenced by the strong credit metrics and
continued stable performance of the underlying collateral.
Notes: All figures are in U.S. dollars unless otherwise noted.
WOODMONT 2021-8: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1L-R loans and the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R,
and E-R debt from Woodmont 2021-8 Trust, a CLO managed by MidCap
Financial Services Capital Management LLC, a subsidiary of Apollo
Global Management Inc., that was originally issued in December 2021
and was not rated by S&P Global Ratings.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
S&P said, "Our review of this transaction included a cash flow and
portfolio analysis, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Woodmont 2021-8 Trust
Class A-1-R(i), $90.00 million: AAA (sf)
Class A-1L-R loans(i), $258.00 million: AAA (sf)
Class A-2-R, $30.00 million: AAA (sf)
Class B-R, $30.00 million: AA (sf)
Class C-R (deferrable), $48.00 million: A (sf)
Class D-1-R (deferrable), $26.00 million: BBB+ (sf)
Class D-2-R (deferrable), $10.00 million: BBB+ (sf)
Class E-R (deferrable), $36.00 million: BB- (sf)
Certificates, $82.225 million: NR
(i)No portion of class A-1-R debt may be converted into class
A-1L-R loans, and no portion of class A-1L-R loans may be converted
into class A-1-R debt.
NR--Not rated.
ZAYO ISSUER: Fitch Assigns 'BB-(EXP)' Rating on Class C Notes
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks for
Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series
2025-3 as follows:
- $610.0 million 2025-3 class A-2 'A-sf'; Outlook Stable;
- $98.4 million 2025-3 class B 'BBB-sf'; Outlook Stable;
- $137.8 million 2025-3 class C 'BB-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $45.9 million(a) series 2025-3, class R.
(a) Horizontal credit risk retention interest representing 5% of
the 2025-3 notes.
Entity/Debt Rating
----------- ------
Zayo Issuer, LLC,
Secured Fiber
Network Revenue
Notes, Series 2025-3
A-2 LT A-(EXP)sf Expected Rating
B LT BBB-(EXP)sf Expected Rating
C LT BB-(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The transaction is a $3,792,900,000 securitization of a regional
long-haul fiber network and the sponsor's metro market fiber
assets, operated by Zayo Group, LLC. The transaction is backed by a
first security interest in the underlying fiber network, current or
future customer contracts, transaction accounts, a pledge of equity
of the asset entities, and an access agreement to the managers
backbone network. These cash flows are supported by a regional
network of dark/lit long-haul fiber routes and metro market fiber
connectivity services for cellular, wholesale and enterprise
customers.
The transaction reflects an Anticipated Repayment Date (ARD)
structure, where all tranches will be interest-only until their
seven-year, soft bullet maturities, after which all excess cash
flow will be swept to pay down outstanding principal balances
through the transactions 30-year legal final maturity date. Losses
will be borne reverse sequentially and the transaction will reflect
a structure where class A-2 and B receive interest first, then
principal, with deferable interest on class C. The transaction is
also expected to be structured with a liquidity reserve account and
triggers tied to interest coverage and total leverage levels. The
transaction includes a class A-1 liquidity funding note (LFN) that
can be drawn to fund liquidity funding advances subject to the
satisfaction of certain conditions. The note balance will be $0 at
issuance. The class may be drawn to a maximum amount of $81
million, sized to fund ~50% of the required liquidity reserve
amount. The other 50% to be reserved for in cash and letter of
credit in the liquidity reserve account. The A-1 note was drawn
upon and current balance is 0.
Fitch previously rated Series 2025-1 in February 2025 and Series
2025-2 in May 2025. Series 2025-2 expanded the master trust
geography to include 10 additional states (IL, IN, MN, WI, ML, KY,
MO, IA, CO, NE), adding over 16,900 customer contracts to the
collateral. Series 2025-3 will contribute an additional five
southcentral states to the ABS master trust (NM, KS, OK, TX, and
LA), providing further geographic diversification in network
coverage. The transaction also adds 10,800+ customer contracts,
bringing the total number of customer contracts in the master trust
to over 39,400.
The sponsor is Zayo Group, LLC. Founded in 2007, the sponsor is one
of the largest U.S. independent fiber infrastructure providers with
a fiber footprint in North America and Europe with a focus on
business-to-business (B2B) connectivity. The sponsor's network
consists of over 250 North American markets with ~17 million fiber
miles across 133,000 route miles serving ~1,200 data centers and
~28,000 on-net locations.
KEY RATING DRIVERS
Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool
is $351.1.million, implying a 16% haircut to issuer NCF. The debt
multiple relative to Fitch's NCF on the rated classes is 10.8x,
versus the debt/issuer NCF leverage of 9.1x. Haircut drivers are
historical average churn, success-based capex, and inflation.
Based on the Fitch NCF and assumed annual revenue growth of 2.0%,
and following the transaction's anticipated repayment date (ARD),
the notes would be repaid approximately 19 years from closing.
Credit Risk Factors: The major factors impacting Fitch's
determination of cash flow and maximum potential leverage (MPL)
include: the high quality of the underlying collateral networks,
high contract renewal rates, low market and industry concentration,
low lease rollover risk, high historical barriers to entry, tenant
quality, size and capability of the sponsor.
Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for digital infrastructure, the senior classes of
this transaction do not achieve ratings above 'Asf'. The securities
have a rated final payment date 30 years after closing, and the
long-term tenor of the securities increases the risk that an
alternative technology, rendering obsolete the current transmission
of data through fiber optic cables, will be developed. Fiber optic
cable networks are currently the fastest and most reliable means to
transmit information and data providers continue to invest in and
utilize this technology.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow because of higher expenses, customer churn,
contract amendments declining contract rates or the development of
an alternative technology for the transmission of data could lead
to downgrades.
Fitch's base case NCF was 16% below the issuer's underwritten cash
flow. A further 10% decline in Fitch's NCF indicates the following
ratings based on Fitch's determination of MPL: class A-2 from
'A-sf' to 'BBBsf'; class B from 'BBB-sf' to 'BBsf'; class C from
'BB-sf' to 'Bsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Increasing cash flow from rate increases, additional customers,
lower expenses or contract amendments could lead to upgrades.
A 10% increase in Fitch's NCF indicates the following ratings based
on Fitch's determination of MPL: class A-2 from 'A-sf' to 'Asf';
class B from 'BBB-sf' to 'BBB+sf'; class C from 'BB-sf' to 'BBsf'.
Upgrades, however, are unlikely given the issuer's ability to issue
additional notes pari passu notes. In addition, the senior classes
are capped in the 'Asf' category.
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.
[] DBRS Reviews 386 Classes From 32 US RMBS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 386 classes from 32 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 32
transactions reviewed, 30 are classified as legacy RMBS and two are
classified as reperforming mortgages. Of the 386 classes reviewed,
Morningstar DBRS upgraded its credit ratings on five classes and
confirmed its credit ratings on the remaining 381 classes.
The Affected Ratings are available at https://bit.ly/46TX68C
The Issuers are:
Meritage Mortgage Loan Trust 2005-3
Home Equity Asset Trust 2007-2
Credit Suisse First Boston Mortgage Securities Corp. Home Equity
Asset Trust 2006-8
Credit Suisse First Boston Mortgage Securities Corp. Home Equity
Asset Trust 2006-7
Credit Suisse First Boston Mortgage Securities Corp. Home Equity
Asset Trust 2007-1
Credit Suisse First Boston Mortgage Securities Corp. Home Equity
Mortgage Trust 2006-3
Impac CMB Trust Series 2004-11
Home Equity Mortgage Trust Series 2006-4
Merrill Lynch Mortgage Investors Trust, Series 2005-NCA
GSAMP Trust 2006-HE6
Fremont Home Loan Trust 2006-C
Fremont Home Loan Trust 2006-D
BRAVO Residential Funding Trust 2023-RPL1
Chase Home Lending Mortgage Trust 2024-RPL4
GMACM Home Equity Loan Trust 2005-HE2
GSR Mortgage Loan Trust 2005-AR5
Home Equity Mortgage Trust 2006-5
DSLA Mortgage Loan Trust 2006-AR2
DSLA Mortgage Loan Trust 2005-AR5
HarborView Mortgage Loan Trust 2007-A
J.P. Morgan Alternative Trust 2005-S1
HarborView Mortgage Loan Trust 2005-13
EquiFirst Loan Securitization Trust 2007-1
HarborView Mortgage Loan Trust 2006-SB1
First Franklin Mortgage Loan Trust 2006-FFA
First Franklin Mortgage Loan Trust 2006-FF2
First Franklin Mortgage Loan Trust 2006-FFB
CWALT, Inc. Alternative Loan Trust 2005-48T1
CWALT, Inc. Alternative Loan Trust 2005-60T1
CWALT, Inc. Alternative Loan Trust 2005-65CB
J.P. Morgan Mortgage Acquisition Trust 2006-WF1
MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new credit rating levels. The credit rating confirmations
reflect asset-performance and credit-support levels that are
consistent with the current credit ratings.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns March 2025 Update" published on March 26, 2025
(https://dbrs.morningstar.com/research/450604). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
The credit rating actions are the result of Morningstar DBRS'
application of its "U.S. RMBS Surveillance Methodology," published
on June 28, 2024.
Notes: All figures are in US Dollars unless otherwise noted.
[] DBRS Reviews 923 Classes From 22 US RMBS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 923 classes from 22 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 22
transactions reviewed, one is classified as mortgage
insurance-linked notes, one is classified as reperforming
mortgages, one is a securitization backed by a warehouse facility,
one is classified as non-qualified mortgages (non-QM) and the
remaining 18 deals are classified as seasoned mortgages. Of the 923
classes reviewed, Morningstar DBRS upgraded its credit ratings on
358 classes and confirmed its credit ratings on the remaining 565
classes.
The Affected Ratings are available at https://bit.ly/482SHBs
The Issuers are:
New Residential Mortgage Loan Trust 2017-1
Radnor Re 2024-1 Ltd.
PRPM 2024-NQM3 Trust
Mello Warehouse Securitization Trust 2024-1
New Residential Mortgage Loan Trust 2017-6
New Residential Mortgage Loan Trust 2019-6
New Residential Mortgage Loan Trust 2019-2
New Residential Mortgage Loan Trust 2017-3
New Residential Mortgage Loan Trust 2020-1
New Residential Mortgage Loan Trust 2018-3
New Residential Mortgage Loan Trust 2018-2
New Residential Mortgage Loan Trust 2019-5
New Residential Mortgage Loan Trust 2018-1
New Residential Mortgage Loan Trust 2017-5
New Residential Mortgage Loan Trust 2018-4
New Residential Mortgage Loan Trust 2019-1
New Residential Mortgage Loan Trust 2019-3
New Residential Mortgage Loan Trust 2019-4
New Residential Mortgage Loan Trust 2018-5
New Residential Mortgage Loan Trust 2016-3
New Residential Mortgage Loan Trust 2016-4
Chase Home Lending Mortgage Trust 2023-RPL2
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect a positive performance trend and
an increase in credit support sufficient to withstand stresses at
the new credit rating level. The credit rating confirmations
reflect asset-performance and credit-support levels that are
consistent with the current credit ratings.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns March 2025 Update" published on March 26, 2025
(https://dbrs.morningstar.com/research/450604). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
The credit rating actions are the result of Morningstar DBRS'
application of its "U.S. RMBS Surveillance Methodology," published
on June 28, 2024 (https://dbrs.morningstar.com/research/435291).
Notes: All figures are in US Dollars unless otherwise noted.
[] Fitch Affirms 'BBsf' Rating on Six Tranches in Six MVW Trusts
----------------------------------------------------------------
Fitch Ratings has affirmed the ratings of MVW 2019-2 LLC (2019-2),
MVW 2020-1 LLC (2020-1), MVW 2021-1W LLC (2021-1W), MVW 2021-2 LLC
(2021-2), MVW 2022-1 LLC (2022-1), MVW 2022-2 LLC (2022-2), MVW
2023-1 LLC (2023-1), MVW 2023-2 LLC (2022-2), MVW 2024-1 LLC
(2024-1), and MVW 2024-2 LLC (2024-2). The Rating Outlook remains
Stable on all classes.
Entity/Debt Rating Prior
----------- ------ -----
MVW 2019-2 LLC
A 55400DAA9 LT AAAsf Affirmed AAAsf
B 55400DAB7 LT Asf Affirmed Asf
C 55400DAC5 LT BBBsf Affirmed BBBsf
MVW 2022-2 LLC
A 55400VAA9 LT AAAsf Affirmed AAAsf
B 55400VAB7 LT Asf Affirmed Asf
C 55400VAC5 LT BBBsf Affirmed BBBsf
D 55400VAD3 LT BBsf Affirmed BBsf
MVW 2024-2 LLC
A 55389QAA5 LT AAAsf Affirmed AAAsf
B 55389QAB3 LT Asf Affirmed Asf
C 55389QAC1 LT BBBsf Affirmed BBBsf
MVW 2022-1 LLC
A 55400UAA1 LT AAAsf Affirmed AAAsf
B 55400UAB9 LT Asf Affirmed Asf
C 55400UAC7 LT BBBsf Affirmed BBBsf
D 55400UAD5 LT BBsf Affirmed BBsf
MVW 2023-1 LLC
A 62848PAA8 LT AAAsf Affirmed AAAsf
B 62848PAB6 LT Asf Affirmed Asf
C 62848PAC4 LT BBBsf Affirmed BBBsf
D 62848PAD2 LT BBsf Affirmed BBsf
MVW 2023-2 LLC
A 55400WAA7 LT AAAsf Affirmed AAAsf
B 55400WAB5 LT Asf Affirmed Asf
C 55400WAC3 LT BBBsf Affirmed BBBsf
D 55400WAD1 LT BBsf Affirmed BBsf
MVW 2020-1
Class A 55400EAA7 LT AAAsf Affirmed AAAsf
Class B 55400EAB5 LT Asf Affirmed Asf
Class C 55400EAC3 LT BBBsf Affirmed BBBsf
Class D 55400EAD1 LT BBsf Affirmed BBsf
MVW 2024-1 LLC
A 62847RAA5 LT AAAsf Affirmed AAAsf
B 62847RAB3 LT Asf Affirmed Asf
C 62847RAC1 LT BBBsf Affirmed BBBsf
MVW 2021-1W LLC
A 55389TAA9 LT AAAsf Affirmed AAAsf
B 55389TAB7 LT Asf Affirmed Asf
C 55389TAC5 LT BBBsf Affirmed BBBsf
D 55389TAD3 LT BBsf Affirmed BBsf
MVW 2021-2 LLC
A 55400KAA3 LT AAAsf Affirmed AAAsf
B 55400KAB1 LT Asf Affirmed Asf
C 55400KAC9 LT BBBsf Affirmed BBBsf
KEY RATING DRIVERS
The affirmations of the class A, B, C and D notes for the
outstanding transactions reflect default coverage levels consistent
with their current ratings. The Stable Outlooks for all of the
classes reflect Fitch's expectation that default coverage levels
will remain supportive of these ratings.
To date, the 2022-2024 transactions are showing weakening default
trends relative to stronger performance in the prior transactions.
As of the July 2025 collection period, 61+ day delinquency rates
for 2019-2, 2020-1, 2021-1W, 2021-2, 2022-1, 2022-2, 2023-1,
2023-2, 2024-1, and 2024-2 are 1.69%, 1.76%, 1.77%, 1.68%, 1.98%,
1.33%, 1.61%, 1.73%, 1.48%, and 1.51%, respectively.
Cumulative gross defaults (CGDs) are at 14.42%, 13.42%, 13.82%,
13.14%, 14.09%, 14.34%, 12.26%, 10.27%, 8.71% and 4.80%,
respectively. CGDs for 2019-2, 2020-1, and 2022-2 are currently
above their initial rating cases of 11.50%, 13.25%, and 13.50%,
respectively. CGDs for the 2021-1W transaction is currently
tracking within their initial rating case proxy of 17.50%. While
2021-2, 2022-1, 2023-1, 2023-2, 2024-1, and 2024-2 are currently
within initial expectations, they are projecting above their
initial rating cases of 15.00%, 15.25%, 13.50%, 13.00%, 13.50%, and
13.50%, respectively. As a result of optional repurchases and
substitutions of the defaulted loans by the seller, none of the
transactions have experienced a net loss to date.
To account for recent performance in 2021-1W, 2022-2, 2023-2,
2024-1, and 2024-2, Fitch revised the lifetime CGD proxies upward
to 16.50%, 19.00%, 18.00%, 18.00%, and 18.00%, respectively, from
16.25%, 18.00%, 13.00%, 13.50%, and 13.50%. The proxies for 2019-2,
2020-1, 2021-2, 2022-1, and 2023-1 were maintained at 15.50%,
15.00%, 17.00%, 18.00%, and 18.00%, respectively. The updated
rating case default proxies were conservatively derived using
extrapolations based on performance to date.
In certain cases, updated extrapolations were higher than the final
CGD proxies. The servicer has the right, but not the obligation, to
substitute or repurchase defaulted loans. As such, Fitch's analysis
does not give any explicit credit to previously substituted or
repurchased defaults, resulting in zero losses on most of the
outstanding transactions. When accounting for previously
substituted or repurchased defaults, the lifetime CGDs are
materially lower than the CGD proxies. As such, Fitch believes the
CGD proxies are appropriately conservative and account for the
weaker performance.
Under Fitch's stressed cash flow assumptions, default coverage for
the notes were consistent with the recommended multiples of 3.50x
for 'AAAsf', 2.50x for 'Asf', 1.75x for 'BBBsf', and 1.25x for
'BBsf'. Any shortfalls were considered nominal and are within the
range of the multiples for the current ratings or within the one
category tolerance permitted by criteria.
The ratings also reflect the quality of Marriot Vacations Worldwide
Corporation timeshare receivable originations, the sound financial
and legal structure of the transaction, and the strength of the
servicing provided by Marriott Ownership Resorts, Inc. Fitch will
continue to monitor economic conditions and their impact as they
relate to timeshare ABS and the trust level performance variables
and update the ratings accordingly.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Unanticipated increases in the frequency of defaults could
produce default levels higher than the current projected rating
case default proxy, and impact available default coverage and
multiples levels for the transactions;
- Weakening asset performance is strongly correlated to increasing
levels of delinquencies and defaults that could negatively affect
CE levels. Lower default coverage could impact ratings and
Outlooks, depending on the extent of the decline in coverage;
- In Fitch's initial review of the transactions, the notes were
found to have limited sensitivity to a 1.5x and 2.0x increase of
Fitch's rating case default expectation. For this review, Fitch
updated the analysis of the impact of a 2.0x increase of the rating
case default expectation and the results suggest consistent ratings
for the outstanding notes and in the event of such a stress, these
notes could be downgraded by up to three rating categories.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Stable to improved asset performance driven by stable
delinquencies and defaults would lead to increasing CE levels and
consideration for potential upgrades. Fitch applied an up
sensitivity, by reducing the rating case proxy by 20%. The impact
of reducing the proxies by 20% from the current proxies could
result in up to two categories of upgrades or affirmations of
ratings with stronger multiples.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
[] Moody's Takes Rating Action on 7 Bonds from 5 US RMBS Deals
--------------------------------------------------------------
Moody's Ratings has upgraded the ratings of five bonds and
downgraded the ratings of two bonds from five 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
transaction(s) has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Bayview Financial Mortgage Pass-Through Certificates,
Series 2004-D
Cl. B-2, Downgraded to Baa1 (sf); previously on Nov 12, 2024
Upgraded to Aa2 (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-RP1
Cl. B-3, Upgraded to Caa2 (sf); previously on Oct 16, 2018 Upgraded
to Caa3 (sf)
Cl. B-4, Upgraded to Caa2 (sf); previously on Apr 24, 2009
Downgraded to C (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2007-MX1
Cl. A-4, Upgraded to Aa2 (sf); previously on Nov 12, 2024 Upgraded
to A1 (sf)
Cl. M-2, Downgraded to C (sf); previously on Jul 18, 2011
Downgraded to Ca (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-SHL1
Cl. M-1, Upgraded to Ca (sf); previously on Mar 30, 2009 Downgraded
to C (sf)
Issuer: GSAMP Trust 2006-SD2
Cl. A-3, Upgraded to Aaa (sf); previously on Nov 12, 2024 Upgraded
to Aa2 (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.
Most of the bonds experiencing a rating change have either incurred
a missed or delayed disbursement of an interest payment or are
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 of Class B-2 from Bayview Financial Mortgage
Pass-Through Certificates, Series 2004-D is the result of
outstanding credit interest shortfalls and the uncertainty of when
those shortfalls will be reimbursed. The interest deferrals have
been occurring for the past 25 months. Based on Moody's analysis of
expected collateral performance and the transaction structure,
Moody's believes the interest deferrals will be ultimately
recouped, however, the structure does not require interest payments
to be made on the deferred interest. If non-payment of interest on
a security persists for more than 18 months, the rating will be
capped at Baa1 to reflect the increased uncertainty associated with
the credit risk of the security.
The rating downgrade of Class M-2 from C-BASS Mortgage Loan
Asset-Backed Certificates, Series 2007-MX1 is the result of
outstanding credit interest shortfalls that are unlikely to be
recouped. This 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.
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, and/or an increase in credit enhancement
available to the bonds.
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 Rating on 16 Bonds from 7 US RMBS Deals
-----------------------------------------------------------
Moody's Ratings has upgraded the ratings of 16 bonds from seven US
residential mortgage-backed transactions (RMBS), backed by
subprime, Alt-A and Option ARM mortgages issued by multiple
issuers.
A comprehensive review of all credit ratings for the respective
issuer(s) has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Amortizing Residential Collateral Trust Mortgage
Pass-Through Certificates, Series 2001-BC6
Cl. M2, Upgraded to Caa1 (sf); previously on Jun 30, 2009
Downgraded to C (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10
Cl. II-1A-2, Upgraded to Caa1 (sf); previously on Aug 7, 2013
Confirmed at Caa3 (sf)
Cl. II-1A-3, Upgraded to Caa3 (sf); previously on Aug 7, 2013
Confirmed at Ca (sf)
Cl. II-2A, Upgraded to Caa1 (sf); previously on Aug 7, 2013
Confirmed at Caa3 (sf)
Cl. II-3A, Upgraded to Caa1 (sf); previously on Aug 7, 2013
Confirmed at Caa3 (sf)
Cl. I-M-1, Upgraded to Caa1 (sf); previously on Jan 26, 2018
Upgraded to Ca (sf)
Cl. I-M-2, Upgraded to Caa2 (sf); previously on May 21, 2010
Downgraded to C (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE1
Cl. I-A-2, Upgraded to Caa1 (sf); previously on Jan 15, 2019
Upgraded to Caa3 (sf)
Cl. I-A-3, Upgraded to Caa1 (sf); previously on Jan 15, 2019
Upgraded to Ca (sf)
Cl. II-M-1, Upgraded to Caa2 (sf); previously on May 21, 2010
Downgraded to C (sf)
Issuer: First Franklin Mortgage Loan Trust 2006-FF15
Cl. A2, Upgraded to Baa1 (sf); previously on Nov 5, 2024 Upgraded
to Baa3 (sf)
Cl. A6, Upgraded to Caa3 (sf); previously on Mar 19, 2009
Downgraded to C (sf)
Issuer: Lehman XS Trust, Mortgage Pass Through Certificates, Series
2006-14N
Cl. 1-A1B, Upgraded to Caa2 (sf); previously on Dec 19, 2019
Upgraded to Caa3 (sf)
Cl. 1-A2, Upgraded to Ca (sf); previously on Sep 4, 2012 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2004-11XS
Cl. 1-M1, Upgraded to Ca (sf); previously on May 14, 2012
Downgraded to C (sf)
Issuer: Structured Asset Securities Corp Trust 2007-WF1
Cl. A5, Upgraded to Ba2 (sf); previously on Nov 5, 2024 Upgraded to
B1 (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
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.
Some rating actions are the result of missed interest that is
unlikely to be recouped. Class I-M-2 from Bear Stearns Asset Backed
Securities I Trust 2006-HE10, and Class I-A-2, Class I-A-3 and
Class II-M-1 from Bear Stearns Asset Backed Securities I Trust
2007-HE1 have incurred historical principal losses but subsequently
recouped those losses, and as a result, missed interest on
principal for those periods will not be recouped.
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, an increase in credit enhancement available
to the bonds and Moody's updated loss expectations on the
underlying pools. 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.
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.
[] S&P Takes Various Actions on 148 Classes From 30 Freddie Trusts
------------------------------------------------------------------
S&P Global Ratings completed its review of 148 classes from 15
Freddie REMIC trust and 15 related Freddie SPC trust transactions.
The 15 REMIC trust transactions are each secured by a pool of
primarily multifamily loans. The certificates comprising the 15 SPC
trust transactions represent pass-through interests in the
underlying CMBS certificates issued by the respective REMIC trust
deals and are guaranteed by Freddie Mac. S&P said, "The ratings
were previously placed under criteria observation (UCO) on Aug. 21,
2025, following the publication of our revised global criteria
framework for rating CMBS transactions. The review yielded 14
upgrades, one downgrade, and 133 affirmations. We also removed
these ratings from UCO."
A list of Affected Ratings can be viewed at:
https://tinyurl.com/y7y2tj6y
S&P said, "Of the 2,088 ratings placed on UCO following our revised
CMBS criteria, we resolved 488 of them on Sept. 10, 2025, and Sept.
22, 2025. We expect to review the remaining ratings with UCO
identifier within six months from the date that we placed them on
UCO."
Rating Actions And Analytical Considerations
S&P said, "In resolving the UCO placements, we conducted a cursory
review of collateral and transaction performance trends. In most
cases, we concluded that our existing S&P Global Ratings' net cash
flows (NCFs), capitalization rates, and values for the collateral
loans remain appropriate from our last published comprehensive
reviews. However, where we observed a sustained decline in property
performance, and/or a perceived increase in the level of risk
associated with the property NCF, we revised our NCF downward
and/or increased our capitalization rate assumption to account for
these developments. In addition, for any defaulted and
credit-impaired loans that we assess will liquidate out of the
trust, we generally considered the latest appraisal value, broker's
opinion of value, or S&P Global Ratings' liquidation value
(whichever is the lowest) in forecasting principal losses and
recoveries on the assets.
"We determined asset quality and income stability scores for all
the collateral loans, and we applied loan-level and additional
adjustments in accordance with our revised criteria to arrive at
our required credit enhancement levels by rating category for each
transaction."
The raised, lowered, and affirmed ratings on the principal- and
interest-paying classes from the 15 Freddie REMIC trust deals
primarily reflect the application of our updated methodology and
the considerations highlighted above. The raised, lowered, and
affirmed ratings on the 15 related Freddie SPC trust transactions
reflect the credit quality of the underlying collateral loans in
the respective REMIC trust deals, without considering the Freddie
Mac guarantee.
The ratings on the interest-only (IO) certificates are based on
S&P's criteria for rating IO securities, which states that the
ratings on the IO securities would not be higher than that of the
lowest-rated reference class.
For certain principal- and interest-paying classes, S&P either
affirmed its ratings or moderated its upgrades, despite higher
model-indicated ratings, because S&P further qualitatively
considered the following (amongst other things):
-- Material exposure to near-term maturities;
-- Credit subordination of the classes within the capital
structure; and
-- Current and expected bond-level liquidity.
[] S&P Takes Various Actions on 225 Classes From 47 US CMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 225 classes from 47 U.S.
CMBS transactions, each backed by a single- or multi-property
retail or multifamily loan. The ratings on 219 classes were
previously placed under criteria observation (UCO) on Aug. 21,
2025, following the publication of our revised global criteria
framework for rating CMBS transactions. The review yielded 36
upgrades, 73 downgrades, and 116 affirmations. S&P also removed 219
of these ratings from UCO.
S&P said, "Of the 2,088 ratings placed on UCO following our revised
CMBS criteria, we resolved 269 of them on Sept. 10, 2025. We expect
to review the remaining ratings with the UCO identifier within six
months from the date that we placed them on UCO."
Rating Actions And Analytical Considerations
S&P said, "In resolving the UCO placements, we conducted a cursory
review of collateral and transaction performance trends. In the
review, we concluded that our existing S&P Global Ratings' net cash
flows (NCFs), capitalization rates, and values for the collateral
loans remain appropriate from our last published comprehensive
reviews, except those noted below. Also, for portfolio loans with
property releases since our last review, we adjusted our metrics
accordingly.
"We determined asset quality and income stability scores for all
the collateral loans. We also applied loan-level and additional
adjustments in accordance with our revised criteria to arrive at
our required credit enhancement levels by rating category for each
deal. For certain transactions that have loan characteristics that
could make performance more volatile, examples of which are
outlined in our revised criteria, we applied a ratings cap of 'A+
(sf)'.
"The raised, lowered, and affirmed ratings on the principal- and
interest-paying classes primarily reflect the application of our
updated methodology and the considerations highlighted above.
"The downgrades to the 'CCC' rating category further reflect our
qualitative consideration that the repayment of the affected bonds
is dependent upon favorable business, financial, and economic
conditions, and that the classes are vulnerable to default.
"The downgrades to 'D (sf)' on classes A, B, C, D, and E from GS
Mortgage Securities Corp. Trust 2013-PEMB and classes B, C, and D
from MSBAM Commercial Mortgage Securities Trust 2012-CKSV are due
to accumulated interest shortfalls that we expect to remain
outstanding for the foreseeable future and our assessment that
these classes may incur principal losses upon the eventual
liquidation of the specially serviced assets.
"With regard to our ratings on PKHL Commercial Mortgage Trust
2021-MF's class A, B, C, and D certificates, we lowered them and
placed them on CreditWatch with negative implications due to
interest shortfalls resulting from a nonrecoverable determination
effectuated by the servicer in September 2025. Prior to September
2025, no appraisal reduction amount was reported. The CreditWatch
placement reflects uncertainty around the nonrecoverable
determination, including the appraised value used, the resolution
strategy that the special servicer plans to take that may impact
the magnitude and duration of ongoing interest shortfalls, as well
as the ultimate liquidation proceeds. We expect to resolve the
CreditWatch placements upon the receipt of any material updates
related to the nonrecoverable determination and resolution
strategy.
"The ratings on the interest-only (IO) certificates are based on
our criteria for rating IO securities, which states that the
ratings on the IO securities would not be higher than that of the
lowest-rated reference class. In addition, we placed the rating on
the X-NCP IO certificates from PKHL Commercial Mortgage Trust
2021-MF on CreditWatch negative for the reasons discussed above."
For certain principal- and interest-paying classes, S&P tempered
its upgrades (versus the higher model-indicated ratings) because it
also qualitatively considered the following:
-- Credit subordination of the classes within the capital
structure;
-- Collateral property performance (both historical and
expected);
-- Material exposure to near-term maturities; and
-- Current and expected bond-level liquidity.
For certain principal- and interest-paying classes, S&P lowered or
affirmed its outstanding ratings despite higher model-indicated
ratings, because S&P also qualitatively considered the following
(among other things):
-- Loan performance, including current and expected payment
status;
-- Collateral property performance (both historical and
expected);
-- Significant exposure to concerning property types;
-- Material exposure to near-term maturities;
-- Adverse selection risk, including transactions that are
currently, or could potentially be, secured solely by
worse-performing or defaulted loan collateral;
-- Credit subordination of the classes within the capital
structure; and
-- Current and expected bond-level liquidity.
S&P said, "Specifically, for transactions that are backed by class
B or lower-quality mall loans that have defaulted multiple times
and that we believe the borrowers will continue to face challenges
refinancing these loans, we capped our ratings at the 'B' rating
category."
Property-Level Analysis Update
S&P said, "In our current analysis, we received material, new
property-level information for GS Mortgage Securities Corp. Trust
2013-PEMB and MSBAM Commercial Mortgage Securities Trust 2012-CKSV.
Additionally, based on the information received for the
aforementioned transactions, we revised our capitalization rate
assumptions for the class-B mall collateral backing the loans in
Morgan Stanley Capital I Trust 2013-ALTM and WP Glimcher Mall Trust
2015-WPG."
GS Mortgage Securities Corp. Trust 2013-PEMB
According to the September 2025 trustee remittance report, the
Pembroke Lakes Mall collateral property was re-appraised as of June
2025 at $127.0 million, 70.3% lower than the $427.0 million
appraisal value at issuance. In recognition of this observed
decline in property market value, S&P adjusted its S&P Global
Ratings net cash flow (NCF) and capitalization rate to bring its
value more in line with this market indication.
MSBAM Commercial Mortgage Securities Trust 2012-CKSV
The updated June 2025 appraised value of $71.9 million for the
Sunvalley Shopping Center collateral property, which was disclosed
in the September 2025 trustee remittance report, represented a
decline of 57.7% from the August 2022 appraised value of $170.0
million and 79.5% from the issuance-appraised value of $350.0
million. Additionally, Clackamas Town Center, which backed the
other loan in this transaction, was re-appraised as of January 2025
for $230.0 million, which is 32.7% lower than the October 2022
appraised value of $342.0 million and 37.8% below the
issuance-appraised value of $370.0 million. S&P said, "In our
current review, we adjusted our S&P Global Ratings capitalization
rates and/or NCFs to bring our values more in line with or lower
than these market values. In addition, our current revised S&P
Global Ratings value included a 12.5% marked-to-market adjustment
for high occupancy cost for the Clackamas Town Center property."
Morgan Stanley Capital I Trust 2013-ALTM
The Altamonte Mall loan was transferred to special servicing on
Jan. 29, 2025, due to imminent maturity default. The loan matured
on Feb. 1, 2025. To reflect S&P's observed higher risk premium for
the class-B malls, it revised its S&P Global Ratings capitalization
rate higher, to 13.50% from 9.50%, to arrive at an S&P value of
$83.2 million.
WP Glimcher Mall Trust 2015-WPG
T89he Pearlridge Center loan was transferred to special servicing
on May 6, 2025, due to imminent maturity default. The loan matured
on June 1, 2025. In recognition of its observed higher risk premium
for the class-B malls, S&P increased its S&P Global Ratings
capitalization rate to 13.50% from 8.25%, to arrive at an S&P value
of $141.1 million.
A list of Affected Ratings can be viewed at:
https://tinyurl.com/4ryt8wkd
*********
Monday's edition of the TCR delivers a list of indicative prices
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then-ending.
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