251109.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, November 9, 2025, Vol. 29, No. 312
Headlines
AB BSL CLO 1: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes
ACREC 2023-FL2: DBRS Cuts Class G Notes Rating to CCC
AMDR ABS 2025-1: DBRS Gives Prov. BB(low) Rating on B Notes
AMSR 2023-SFR4: DBRS Confirms BB Rating on Class F Certs
ANCHORAGE CAPITAL 31: Fitch Assigns 'BBsf' Rating on Class E Notes
ANNISA CLO: Moody's Affirms Ba3 Rating on $20MM Cl. E-RR Notes
APEX CREDIT 2018: Moody's Cuts Rating on $21.5MM Cl. E Notes to B1
APIDOS CLO XLVI: Moody's Assigns (P)B3 Rating to $550,000 F-R Notes
ATLANTIC AVENUE 2025-4: Fitch Assigns 'BB-sf' Rating on Cl. E Notes
AUDAX SENIOR 8: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes
BAIN CAPITAL 2025-4: Fitch Assigns 'BB-sf' Rating on Class E Notes
BANK5 2024-5YR11: DBRS Confirms BB Rating on Class XG Certs
BARCLAYS MORTGAGE 2025-NQM6: S&P Assigns B(sf) Rating on B-2 Notes
BARINGS CLO 2015-I: Moody's Ups Rating on $29.1MM E-R Notes to Ba3
BAYVIEW OPPORTUNITY 2024-SN1: Fitch Affirms 'B' Rating on F Notes
BELLEMEADE RE 2025-1: DBRS Gives Prov. B Rating on B1 Notes
BENCHMARK 2021-B24: Fitch Lowers Rating on Two Tranches to 'B-sf'
BENCHMARK 2025-V18: Fitch Assigns B-sf Final Rating on Two Tranches
BPR COMMERCIAL 2024-PARK: DBRS Confirms BB Rating on E Certs
BRAVO RESIDENTIAL 2025-NQM10: S&P Assigns 'B' Rating on B-2 Notes
BX COMMERCIAL 2024-GPA2: DBRS Confirms B Rating on HRR Certs
BX TRUST 2021-RISE: DBRS Confirms B(low) Rating on G Certs
CAFL 2025-RRTL2: DBRS Gives Prov. B(low) Rating on Class M2 Notes
CARLYLE US 2022-6: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
CARLYLE US 2023-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
CASCADE FUNDING 2024-RM5: DBRS Confirms B Rating on Class M5 Notes
CHASE HOME 2025-11: Fitch Assigns 'B-sf' Final Rating on Cl.B5 Debt
CHASE HOME 2025-11: Moody's Assigns B2 Rating to Cl. B-5 Certs
CHASE HOME 2025-12: DBRS Gives Prov. B(low) Rating on B5 Certs
CIFC FUNDING 2020-III: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes
CIP COMMERCIAL 2025-SBAY: Fitch Rates Class F Certs 'Bsf'
CITIGROUP 2025-RP4: Fitch Assigns Bsf Final Rating on Cl. B-2 Notes
COMM 2018-HOME: Fitch Affirms BB Rating on Class HRR Certs
COOPR RESIDENTIAL 2025-CES4: Fitch Rates Cl. B-3A Notes 'B-(EXP)'
CROWN POINT 4: Moody's Cuts Rating on $20.25MM Class E Notes to B1
CSMC 2021-BHAR: DBRS Confirms B(low) Rating on Class F Certs
DBC 2025-DBC: DBRS Finalizes BB(high) Rating on Class HRR Certs
DBC 2025-DBC: DBRS Gives Prov. BB(high) Rating on Class HRR Certs
DEEPHAVEN 2025-INV1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
DEEPHAVEN RESIDENTIAL 2025-CES1: DBRS Gives (P)B Rating on B2 Notes
DEWOLF PARK CLO: Moody's Affirms B1 Rating on $30MM Class E Notes
DIAMETER CAPITAL 5: S&P Assigns 'BB- (sf)' Rating on Cl. D-R Notes
EATON VANCE 2015-1: Moody's Affirms Ba3 Rating on $16.6MM E-R Notes
EFMT 2025-RTL1: DBRS Gives Prov. B(low) Rating on M2 Notes
ELP COMMERCIAL 2021-ELP: DBRS Confirms B(low) Rating on G Certs
GGAM MASTER 2025-1: Fitch Assigns 'BB-sf' Rating on Class Y Notes
GLS AUTO 2025-4: S&P Assigns Prelim BB(sf) Rating on Class E Notes
GOLDENTREE LOAN 15: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes
GS MORTGAGE 2011-GC5: DBRS Confirms C Rating on 4 Classes Certs
GS MORTGAGE 2022-GR1: Moody's Ups Rating on Cl. B-5 Certs to Ba2
GS MORTGAGE 2025-HE2: DBRS Finalizes B Rating on B2 Notes
GS MORTGAGE 2025-NQM5: DBRS Finalizes B Rating on Class B-2 Debt
GS MORTGAGE 2025-PJ9: Fitch Assigns 'B-sf' Final Rating on B5 Certs
GS MORTGAGE 2025-PJ9: Fitch Assigns 'B-sf' Final Rating on B5 Certs
GS MORTGAGE 2025-RPL5: Fitch Assigns Bsf Final Rating on B-2 Certs
GS MORTGAGE-BACKED 2025-DSC2: S&P Assigns 'B' Rating on B-2 Certs
GS MORTGAGE-BACKED 2025-NQM5: S&P Assigns 'B' Rating on B-2 Notes
GSF 2021-1: DBRS Confirms BB(low) Rating on Class E Notes
H.I.G. RCP 2023-FL1: DBRS Confirms BB Rating on Class G Notes
HINNT 2025-B: Fitch Assigns 'B(EXP)sf' Rating on Class E Notes
ICG US 2014-2: Moody's Cuts Rating on $8MM Class F-RR Notes to Ca
ICG US 2015-2R: Moody's Cuts Rating on $25MM Class D Notes to B1
JP MORGAN 2012-C8: DBRS Cuts 2 Classes Certs Rating to C
JP MORGAN 2017-FL11: DBRS Confirms BB(low) Rating on E Certs
JP MORGAN 2025-9: DBRS Finalizes B(low) Rating on B-5 Certs
JP MORGAN 2025-9: DBRS Gives Prov. B(low) Rating on B5 Certs
JP MORGAN 2025-9: Fitch Assigns B-(EXP)sf Rating on Cl. B5 Certs
JP MORGAN 2025-9: Fitch Assigns B-sf Final Rating on Cl. B5 Certs
JP MORGAN 2025-CES6: S&P Assigns B- (sf) Rating on Cl. B-2 Notes
JP MORGAN 2025-NQM4: DBRS Finalizes B(low) Rating on B-2 Certs
JP MORGAN 2025-NQM4: DBRS Gives Prov. B(low) Rating on B2 Notes
KREF 2022-FL3: DBRS Confirms B(low) Rating on 3 Classes
KRR CLO 28: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
LOANCORE 2025-CRE9: Fitch Assigns B-sf Final Rating on Cl. G Notes
MF1 2024-FL16: DBRS Confirms B(low) Rating on 3 Note Classes
MIDOCEAN CREDIT XXI: Fitch Assigns 'BB-sf' Rating on Class E Notes
MIDOCEAN CREDIT XXI: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
MONROE CAPITAL XV: S&P Assigns BB- (sf) Rating on Class E-R Notes
MORGAN STANLEY 2004-NC2: Moody's Cuts Rating on M-1 Certs to Caa1
MORGAN STANLEY 2013-C7: DBRS Confirms C Rating on 4 Classes
MORGAN STANLEY 2013-C9: DBRS Hikes Class G Certs Rating to B(low)
MORGAN STANLEY 2018-H4: Fitch Affirms CC Rating on Class G-RR Debt
MORGAN STANLEY 2021-L7: Fitch Lowers Rating on Two Tranches to B-sf
NEUBERGER BERMAN 62: Fitch Assigns 'BB-sf' Rating on Class E Notes
NEUBERGER BERMAN 62: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
NEW MOUNTAIN 8: Fitch Assigns 'BB-sf' Rating on Class E Notes
NEWSTAR FAIRFIELD: Fitch Lowers Rating on Class D-N Notes to 'B+sf'
OCEAN TRAILS XVII: S&P Assigns BB- (sf) Rating on Class E Notes
OCTAGON 54 LTD: Moody's Cuts Rating on $25MM Class E Notes to B1
OCTAGON 68: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
PMT LOAN 2025-CNF1: Moody's Assigns B3 Rating to Cl. B-5 Certs
POINT SECURITIZATION 2025-2: DBRS Finalizes B Rating on B2 Notes
POST CLO 2023-1: Fitch Assigns BB-sf Rating on Class E-R Notes
PRET TRUST 2025-RPL5: Moody's Assigns B2 Rating to Cl. B-2 Certs
RADIAN MORTGAGE 2025-J4: Fitch Rates Class B-5 Certs 'Bsf'
RATE MORTGAGE 2025-J3: DBRS Gives Prov. B(low) Rating on B5 Notes
RATE MORTGAGE 2025-J3: Moody's Assigns (P)B3 Rating to B-5 Certs
RCKT MORTGAGE 2025-CES10: Fitch Assigns Bsf Rating on Five Tranches
RCKTL 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes
REALT 2018-1: Fitch Affirms Bsf Rating on Cl. G Debt
REPUBLIC FINANCE 2024-A: DBRS Confirms BB Rating on Class D Notes
SALUDA GRADE 2025-RRTL1: DBRS Finalizes B(low) Rating on M2 Notes
SANTANDER 2025-NQM6: S&P Assigns Prelim B (sf) Rating on B-2 Notes
SANTANDER MORTGAGE 2025-CES1: Fitch Rates B-2 Notes 'Bsf'
SEQUOIA MORTGAGE 2025-11: Fitch Rates Cl. B5 Certs 'Bsf'
SEQUOIA MORTGAGE 2025-S2: Fitch Assigns 'B(EXP)' Rating on B5 Certs
SHRN TRUST 2025-MF18: Fitch Assigns 'Bsf' Rating on Class HRR Certs
SLM PRIVATE 2003-B: Moody's Lowers Rating on Class B Certs to B2
SREIT 2021-MFP2: DBRS Confirms B(low) Rating on Class G Certs
STWD 2025-FL4: DBRS Gives Prov. B(low) Rating on 3 Classes
STWD TRUST 2021-LIH: DBRS Confirms B(low) Rating on Class F Certs
SYMPHONY CLO XXV: Moody's Cuts Rating on $18.8MM Cl. E Notes to B1
TOWD POINT 2025-FIX2: DBRS Gives Prov. B Rating on 5 Classes
TRESTLES CLO IX: Fitch Assigns 'B-(EXP)sf' Rating on Class F Notes
TRESTLES CLO IX: Fitch Assigns 'B-sf' Rating on Class F Notes
UBS COMMERCIAL 2018-C14: Fitch Affirms CCC Rating on 4 Tranches
UNLOCK HEA 2025-2: DBRS Gives Prov. BB Rating on C Notes
VENTURE XXVI CLO: Moody's Cuts Rating on $25.7MM E Notes to Caa3
VISTA POINT 2025-CES3: DBRS Finalizes B Rating on B2 Notes
WELLFLEET CLO 2021-4: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
WELLFLEET CLO 2021-4: Moody's Assigns B3 Rating to $1MM F-R Notes
WELLINGTON MANAGEMENT 1: S&P Assigns BB- (sf) Rating on ER Notes
WELLS FARGO 2016-C37: DBRS Puts B(high) Rating on H Certs on Review
WFRBS 2014-C20: DBRS Cuts Class C Certs Rating to C
WFRBS COMMERCIAL 2012-C10: Moody's Cuts Cl. B Certs Rating to Ba1
WFRBS COMMERCIAL 2012-C9: DBRS Confirms B(high) Rating on F Certs
[] DBRS Reviews 259 Classes From 94 US RMBS Transactions
[] DBRS Reviews 262 Classes From 28 US RMBS Transactions
[] DBRS Takes Actions on 382 Classes From 67 Freddie Mac Deals
[] Moody's Upgrades Ratings on 27 Bonds from 4 US RMBS Deals
[] Moody's Upgrades Ratings on 7 Bonds from 4 US RMBS Deals
*********
AB BSL CLO 1: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the proposed
replacement class A-1-LR, A-1-R2, A-2-R2, B-R2, C-1-R2, C-2-R2,
D-1-R2, D-2-R2 and E-R2 debt from AB BSL CLO 1 Ltd./AB BSL CLO 1
LLC, a CLO managed by AB Broadly Syndicated Loan Manager LLC that
was originally issued in December 2020 and underwent a refinancing
in March 2022.
The preliminary ratings are based on information as of Oct. 31,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Nov. 5,2025 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 A1-R, A2-AR, A2-BR, B-R, C-R, D-R and E-R debt and
assign ratings to the proposed new replacement class A-1-LR,
A-1-R2, A-2-R2, B-R2, C-1-R2, C-2-R2, D-1-R2, D-2-R2 and E-R2 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-1-LR, A-1-R2, A-2-R2, B-R2, C-1-R2,
C-2-R2, D-1-R2, D-2-R2, and E-R2debt is expected to be issued at a
lower spread over three-month SOFR than the existing debt.
-- The replacement class A-1-LR, A-1-R2, A-2-R2, B-R2, C-1-R2,
C-2-R2, D-1-R2, D-2-R2, and E-R2debt is expected to be issued at a
floating spread, replacing the current fixed and floating coupon
and spreads.
-- The stated maturity/reinvestment period/non-call period will be
extended by 3.75 years.
-- 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 new target par is $550 million. There will be no additional
effective date or ramp-up period, and the first payment date
following the refinancing is Jan 15, 2026.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- Additional subordinated notes will be issued on the refinancing
date.
-- Of the identified underlying collateral obligations, 99.96%
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, 99.87%
have recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
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
AB BSL CLO 1 Ltd./AB BSL CLO 1 LLC
Class A-1-LR, $100.000 million: AAA (sf)
Class A-1-R2, $241.000 million: AAA (sf)
Class A-2-R2, $11.000 million: AAA (sf)
Class B-R2, $66.000 million: AA (sf)
Class C-1-R2 (deferrable), $30.800 million: A+ (sf)
Class C-2-R2 (deferrable), $9.000 million: A (sf)
Class D-1-R2 (deferrable), $19.325 million: BBB+ (sf)
Class D-2-R2 (deferrable), $12.375 million: BBB- (sf)
Class E-R2 (deferrable), $16.500 million: BB- (sf)
Other Debt
AB BSL CLO 1 Ltd./AB BSL CLO 1 LLC
Subordinated notes, $84.60 million: NR
NR--Not rated.
ACREC 2023-FL2: DBRS Cuts Class G Notes Rating to CCC
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DBRS, Inc. upgraded the credit ratings on eight classes of notes
issued by ACREC 2023-FL2 LLC as follows:
-- Class B to AAA (sf) from AA (sf)
-- Class C to AA (sf) from A (sf)
-- Class D to A (low) (sf) from BBB (sf)
-- Class D-E to A (low) (sf) from BBB (sf)
-- Class D-X to A (low) (sf) from BBB (sf)
-- Class E to BBB (high) (sf) from BBB (low) (sf)
-- Class E-E to BBB (high) (sf) from BBB (low) (sf)
-- Class E-X to BBB (high) (sf) from BBB (low) (sf)
Morningstar DBRS downgraded the credit rating on one class of notes
as follows:
-- Class G to CCC (sf) from B (low) (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class F at BB (sf)
The trends are Stable. Class G has a credit rating that typically
does not carry a trend in commercial mortgage-backed securities.
The credit rating upgrades reflect the increased credit support to
the transaction, as there has been a total collateral reduction of
30.6% since closing, including 28.9% since the previous Morningstar
DBRS credit rating action in May 2025. Additionally, the
transaction benefits from all loans being secured by traditional
multifamily properties, which have historically proven to be better
able to retain property value and cash flow compared with other
property types.
The credit rating downgrade to Class G reflects the outstanding
interest shortfalls to the class, which total $28,207 as of the
October 2025 reporting. The shortfall has been outstanding for
three months and Morningstar DBRS expects the shortfall to remain
outstanding until the two delinquent loans, representing 16.9% of
the transaction, are resolved. Morningstar DBRS has a maximum
tolerance of six months for credit ratings in the B (sf) category.
While one loan is expected to be resolved by YE2025, the other is
expected to have a longer resolution timeline. Both loans are
discussed in greater detail below.
While select borrowers have had mixed success in implementing their
respective business plans to increase property cash flows and asset
values, the transaction continues to benefit from credit support to
the investment-grade-rated bonds as the
below-investment-grade-rated bonds, Classes F and G, have a
cumulative balance of $52.1 million, and the unrated first-loss
piece has a balance of $47.4 million. These factors support the
credit rating confirmations for the remainder of the capital stack
and the Stable trends.
In conjunction with this press release, Morningstar DBRS has
published a Surveillance Performance Update report with in-depth
analysis and credit metrics for the transaction as well as business
plan updates on select loans. For access to this report, please
click on the link under Related Documents below or contact us at
info-DBRS@morningstar.com.
The initial collateral consisted of 15 floating-rate mortgage loans
secured by 18 mostly transitional properties with a cut-off balance
totaling $534.2 million. Most loans were in a period of transition
with plans to stabilize the performance and improve asset values.
As of the October 2025 remittance, there are 10 loans secured by 12
properties with a current cumulative trust balance of $370.4
million in the transaction. Three loans with a former cumulative
trust balance of $147.1 million have been paid in full since May
2025.
Leverage across the pool remains similar with issuance metrics with
a current weighted-average (WA) as-is appraised loan-to-value ratio
(LTV) of 74.3% and a current WA as-stabilized LTV of 61.9%. At
issuance, these metrics were 73.0% and 64.0%, respectively.
Morningstar DBRS recognizes that select property values may be
inflated as the majority of the individual property appraisals were
completed in 2021 and 2022. In the analysis for this review,
Morningstar DBRS applied upward LTV adjustments across all 10
loans, generally reflective of higher cap rate assumptions compared
with the implied cap rates based on the issuance appraisals.
As of the October 2025 reporting, there are no specially serviced
loans; however, two loans are delinquent. The Crossing at White Oak
loan (Prospectus ID# 12; 8.9% of the current trust balance) is
secured by a multifamily property in Houston. The loan has been
delinquent since it matured in July 2025 and, according to the
collateral manager, the property is currently being marketed for
sale as a previous sale agreement fell through. The collateral
manager noted it continues to maintain loan modification and
extension discussions with the borrower as another potential
resolution strategy; however, no further details are available at
this time. In the analysis for this review, Morningstar DBRS
applied an increased LTV to the asset by calculating a property
value of $30.9 million using a 5.50% cap rate and the $1.7 million
of net cash flow for the trailing 12 months ended August 31, 2025.
The resulting LTV, inclusive of outstanding debt service payments,
is approximately 110%; however, according to the October 2025
reporting, $0.9 million is held in reserves, which reduces the
total loan exposure. Morningstar DBRS also applied a probability of
default (POD) penalty to the loan, resulting in an expected loss
(EL) approximately two times greater than the EL for the pool.
The other delinquent loan, Millennia NC Portfolio (Prospectus
ID#14; 8.1% of the current trust balance), is secured by a
portfolio of three multifamily properties in Durham, Apex, and
Roxboro, North Carolina. The loan became delinquent on debt service
payments beginning in April 2025 with maturity occurring in August
2025. According to the servicer's Q2 2025 update, the portfolio is
under contract to be sold for $33.0 million. The collateral manager
confirmed closing of the sale is expected to occur by YE2025.
Inclusive of outstanding debt service payments, the sale price is
in excess of the total loan exposure of $31.4 million. There is
also $0.7 million held in reserve as additional collateral for the
loan as of October 2025. In the current analysis, Morningstar DBRS
applied an increased LTV based on the sale price.
There are currently four loans on the servicer's watchlist,
representing 42.9% of the current trust balance. The largest loan
on the servicer's watchlist and in the transaction, Briarhill
Apartments (Prospectus ID#1; 15.6% of the current trust balance),
is secured by a multifamily property in Atlanta. The loan has been
flagged for upcoming maturity, which was recently extended to
November 2025. According to the collateral manager, the borrower
received a loan modification backdated to the previous July 2025
maturity date in exchange for the extension and a $0.6 million
deposit into the debt service reserve. The loan is current on
monthly debt service payments and, while the property is currently
listed for sale, Morningstar DBRS is unaware of any pending sale
agreement. Given the pending maturity date and potential balloon
default, Morningstar DBRS analyzed the loan with an increased LTV
and a POD penalty. The resulting loan EL was approximately two
times greater than the EL for the pool.
Nine loans, representing 91.4% of the current trust balance, have
already matured or are scheduled to mature by May 2026. All loans
have extension options if individual borrowers are unable to
execute loan exit strategies. If property performance tests are not
met to extend loans, the loans may be modified to allow options to
be exercised. Borrowers will likely be required to purchase
replacement interest rate cap agreements and/or make loan principal
curtailment payments in order to receive maturity extensions.
Except for the Millennia NC Portfolio loan, Morningstar DBRS is not
aware of any forthcoming individual loan repayments in the near
term.
Through October 2025, the lender had advanced cumulative loan
future funding of $19.6 million to seven of the outstanding
individual borrowers since the respective loan closings to aid in
property stabilization efforts. This includes $3.6 million in
cumulative advances to four individual borrowers since November
2024. The largest cumulative advance ($5.1 million) to a single
borrower since loan closing was made to the borrower of the
Galleria Courtyards loan (Prospectus ID#8; 9.9% of the current
trust balance), which is secured by a 240-unit multifamily property
Smyrna, Georgia. The borrower's business plan at closing was to
complete an $8.4 million capital expenditure (capex) project
including upgrades to all units. While the borrower has continued
to progress with its capex plan year over year as $1.9 million was
advanced since November 2024, only 165 units had been upgraded
through Q2 2025, an increase from 137 units from Q2 2024. According
to the September 2025 rent roll, the property was 94.2% occupied
with an average rental rate of $1,495 per unit. Renovated units
achieved a monthly rental premium in excess of $400 per unit, above
the expectations of both Morningstar DBRS and the Issuer. It
appears the originally contemplated loan future funding balance
changed after closing as, according to the collateral manager, only
$1.9 million of potential loan future funding remains available to
the borrower. The loan matures in January 2026; however, there
remains one additional 12-month extension option. While the
borrower has not communicated its plan to pay the loan in full or
to exercise the extension option with the servicer to date; if the
extension is exercised, additional unit upgrades may occur over the
following year.
An additional $5.8 million of loan future funding allocated to four
individual borrowers remains available. The largest portion ($2.3
million) is allocated to the borrower of the Briarhill Apartments
loan. As noted above, given the status of the loan with the pending
maturity date and the fact the asset has been listed for sale,
Morningstar DBRS does not expect the lender to advance any
additional funding to the borrower; however, the collateral manager
did confirm the funds remain available.
Notes: All figures are in U.S. dollars unless otherwise noted.
AMDR ABS 2025-1: DBRS Gives Prov. BB(low) Rating on B Notes
-----------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of notes to be issued by AMDR ABS Trust 2025-1 (the Issuer
or AMDR 2025-1):
-- $110,840,000 Class A Notes at (P) BBB (low) (sf)
-- $42,310,000 Class B Notes at (P) BB (low) (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The provisional credit ratings are based on Morningstar DBRS'
review of the following analytical considerations:
(1) The transaction's form and sufficiency of available credit
enhancement.
-- Overcollateralization, subordination, amounts held in the
reserve account, and excess spread create credit enhancement levels
that are commensurate with the proposed credit ratings.
-- Transaction cash flows are sufficient to repay investors under
the (P) BBB (low) (sf) and (P) BB (low) (sf) stress scenarios in
accordance with the terms of the AMDR 2025-1 transaction
documents.
(2) The origination (enrollment), servicing and administration
capabilities of Americor Financial.
(3) The presence of (a) WSFS as Master Backup Servicer and (b) JGW
Debt Settlement, LLC as Master Backup Servicer Contractor.
Morningstar DBRS considered the process, timing and mechanics
around replacement of (a) the Servicer and (b) the law firm
Provider to the extent such replacement(s) were to become
necessary.
-- An additional haircut to cash flows was included as a
qualitative adjustment in consideration of the potential for some
delay in replacing the Servicer or Provider. While such a delay
would be reasonably expected not to be extensive, some additional
cancellations could occur.
(4) Morningstar DBRS considered the potential for variation in the
total amount of cash collections and the timing of such cash
collections in its analysis.
(5) Morningstar DBRS considered the account structure (including
Americor Financial and Provider accounts) and related sweep
processes and account control agreements as part of its analysis.
(6) The sizing of the reserve account, in the context of the
transaction's short tenor, is deemed to be adequate.
(7) Legal opinions that are expected to address the true sale of
the debt settlement assets, the non-consolidation of the trust, and
that the trust has a valid perfected security interest in the
assets.
(8) Transaction legal structure's consistency with Morningstar
DBRS's Legal Criteria for U.S. Structured finance.
(9) The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios for Rated
Sovereigns September 2025 Update, published on September 30, 2025.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse coronavirus pandemic scenarios, which were
first published in April 2020.
Notes: All figures are in U.S. dollars unless otherwise noted.
AMSR 2023-SFR4: DBRS Confirms BB Rating on Class F Certs
--------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Single-Family Rental Pass-Through Certificates issued by AMSR
2023-SFR4 Trust as follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (sf)
-- Class D at A (high) (sf)
-- Class E-1 at BBB (sf)
-- Class E-2 at BBB (low) (sf)
-- Class F at BB (sf)
The credit rating confirmations reflect asset performance and
credit-support levels that are consistent with the current credit
ratings.
Morningstar DBRS' credit rating actions are based on the following
analytical considerations:
-- Key performance measures as reflected in month-over-month
changes in vacancy and delinquency, quarterly analysis of the
actual expenses, credit enhancement increases since deal inception,
and bond paydown factors.
Notes: All figures are in US Dollars unless otherwise noted.
ANCHORAGE CAPITAL 31: Fitch Assigns 'BBsf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage
Capital CLO 31, Ltd.
Entity/Debt Rating
----------- ------
Anchorage Capital
CLO 31, 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 BBsf New Rating
F LT NRsf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Anchorage Capital CLO 31, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
Anchorage Collateral Management L.L.C. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $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 100%
first-lien senior secured loans and has a weighted average recovery
assumption of 72.97%. 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 11.5% 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 five-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting to
the indicative portfolio to reflect permissible concentration
limits and collateral quality test levels.
Cash Flow Analysis: 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, 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 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, 'A+sf' 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.
ESG Considerations
Fitch does not provide ESG relevance scores for Anchorage Capital
CLO 31, 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.
ANNISA CLO: Moody's Affirms Ba3 Rating on $20MM Cl. E-RR Notes
--------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Annisa CLO, Ltd.:
US$24M Class D-RR Deferrable Mezzanine Secured Floating Rate
Notes, Upgraded to A1 (sf); previously on May 21, 2025 Upgraded to
A3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$152.152899M (Current outstanding balance USD7,727,552) Class
A-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf);
previously on Jul 22, 2024 Assigned Aaa (sf)
US$50M Class B-RR Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Jul 22, 2024 Assigned Aaa (sf)
US$18M Class C-RR Deferrable Mezzanine Secured Floating Rate
Notes, Affirmed Aaa (sf); previously on May 21, 2025 Upgraded to
Aaa (sf)
US$20M Class E-RR Deferrable Junior Secured Floating Rate Notes,
Affirmed Ba3 (sf); previously on Jul 22, 2024 Assigned Ba3 (sf)
Annisa CLO, Ltd., originally issued in August 2016, and refinanced
in July 2018 and July 2024, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The portfolio is managed by Invesco
RR Fund L.P. The transaction's reinvestment period ended in July
2023.
RATINGS RATIONALE
The rating upgrades on the Class D-RR notes is primarily a result
of the deleveraging of the Class A-RR notes following amortisation
of the underlying portfolio since the last rating action in May
2025.
The affirmations on the ratings on the Class A-RR, Class B-RR,
Class C-RR and Class E-RR notes are primarily a result of the
expected losses on the notes remaining consistent with their
current rating levels, after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralisation ratios.
The Class A-RR notes have paid down by approximately USD70.25
million (27.44%) since the last rating action in May 2025 and
USD248.27 million (96.98%) since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased across the
capital structure. According to the trustee report dated October
2025[1] the Class A/B, Class C, Class D and Class E OC ratios are
reported at 171.13%, 145.17%, 120.74% and 105.89% compared to April
2025[2] levels of 150.77%, 134.09%, 116.86% and 105.55%,
respectively. Moody's notes that the October 2025 principal
payments are not reflected in the reported OC ratios.
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: USD132.17m
Defaulted Securities: none
Diversity Score: 45
Weighted Average Rating Factor (WARF): 3307
Weighted Average Life (WAL): 2.88 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.43%
Weighted Average Coupon (WAC): 8.42%
Weighted Average Recovery Rate (WARR): 46.45%
Par haircut in OC tests and interest diversion test: 2.19%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes that, at transaction maturity, the
liquidation value of such an asset will depend on the nature of the
asset as well as the extent to which the asset's maturity lags that
of the liabilities. Liquidation values higher than Moody's
expectations would have a positive impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
APEX CREDIT 2018: Moody's Cuts Rating on $21.5MM Cl. E Notes to B1
------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Apex Credit CLO 2018 Ltd.:
US$25,500,000 Class C-R Secured Deferrable Floating Rate Notes due
2031, Upgraded to Aa1 (sf); previously on March 21, 2025 Assigned
Aa2 (sf)
Moody's have also downgraded the ratings on the following notes:
US$25,500,000 Class D Secured Deferrable Floating Rate Notes due
2031, Downgraded to Baa2 (sf); previously on March 21, 2025
Upgraded to Baa1 (sf)
US$21,500,000 Class E Secured Deferrable Floating Rate Notes due
2031, Downgraded to B1 (sf); previously on September 18, 2020
Confirmed at Ba3 (sf)
US$7,972,092 Class F Secured Deferrable Floating Rate Notes due
2031, Downgraded to Caa3 (sf); previously on March 24, 2023
Downgraded to Caa1 (sf)
Apex Credit CLO 2018 Ltd., originally issued in March 2018 and
partially refinanced in March 2025, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in April 2023.
A comprehensive review of all credit ratings for the respective
transaction(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 March 2025. The Class A-R
notes have been paid down by approximately 66.4% or $137.2 million
since then. Based on Moody's calculations, the OC ratio for the
Class C-R notes is currently 139.22% versus the March 2025 level of
122.47%.
The downgrade rating actions on the Class D notes, the Class E
notes, and the Class F notes reflect the specific risks to these
notes posed by credit deterioration observed in the underlying CLO
portfolio. Based on Moody's calculations, the weighted average
rating factor (WARF) has been deteriorating and the current level
is 3508, compared to 3038 in March 2025 and failing the trigger of
2842. The downgrade action on the Class F notes also considers the
par loss observed in the underlying CLO portfolio, and the
resulting erosion of collateral coverage for the notes. Based on
Moody's calculations, the OC ratio for the Class F notes is
currently 100.85% compared to 102.62% in March 2025.
No action was taken on the Class A-R and Class B-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 the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
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: $199,448,835
Defaulted par: $8,066,445
Diversity Score: 44
Weighted Average Rating Factor (WARF): 3508
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.59%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.23%
Weighted Average Life (WAL): 2.7 years
Par haircut in OC tests and interest diversion test: 2.75%
In addition to the 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 "Collateralized
Loan Obligations" published in October 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.
APIDOS CLO XLVI: Moody's Assigns (P)B3 Rating to $550,000 F-R Notes
-------------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to three classes
of CLO refinancing notes to be issued and one class of refinancing
loans (the Refinancing Debt) to be incurred by Apidos CLO XLVI Ltd
(the Issuer):
US$2,800,000 Class X-R Senior Secured Floating Rate Notes due 2038,
Assigned (P)Aaa (sf)
US$302,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2038, Assigned (P)Aaa (sf)
US$50,000,000 Class A-1-L Loans maturing 2038, Assigned (P)Aaa
(sf)
US$550,000 Class F-R Mezzanine Deferrable Floating Rate Notes due
2038, Assigned (P)B3 (sf)
On the closing date, the Class A-1-R Notes and the Class A-1-L
Loans have a principal balance of $302,000,000 and $50,000,000,
respectively. At any time, the Class A-1-L Loans may be converted
in whole or in part, into A-1-R Notes, thereby decreasing the
principal balance of the Class A-1-L Loans and increasing the
principal balance of the Class A-1-R Notes by the corresponding
amount.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued debt 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.
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 Debt, 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; 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 the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par: $550,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3083
Weighted Average Spread (WAS): 3.00%
Weighted Average Recovery Rate (WARR): 45.00%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance of the Refinancing Debt is subject to uncertainty.
The performance of the Refinancing Debt is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Debt.
ATLANTIC AVENUE 2025-4: Fitch Assigns 'BB-sf' Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Atlantic
Avenue 2025-4, Ltd.
Entity/Debt Rating
----------- ------
Atlantic Avenue
2025-4 Ltd.
A LT NRsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Atlantic Avenue 2025-4 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Atlantic Avenue Management RR LLC. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.12, 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 96.38% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 75.34% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 48% 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 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 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, between 'Bsf' and
'BBB+sf' for class C, 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
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, 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 Atlantic Avenue
2025-4 Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
AUDAX SENIOR 8: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt and
proposed new class X debt from Audax Senior Debt CLO 8 LLC, a CLO
managed by Audax Management Company (NY) LLC, a subsidiary of Audax
Group, that was originally issued in November 2023.
The preliminary ratings are based on information as of Oct. 31,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Nov. 6, 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-1, A-1L, A-1-F, A-2, B, C, D, and E
notes and class A-1L loans and assign ratings to the replacement
class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt 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 class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt
is expected to be issued at a lower spread over three-month term
SOFR than the existing debt.
-- The replacement class A-1-R debt is expected to be issued at a
floating spread, replacing the current floating spread for the
class A-1 and A-1L debt and the fixed coupon for the class A-1-F
debt.
-- The stated maturity, reinvestment period, and non-call period
will be extended by 2.25 years.
-- The non-call period will be extended to Jan. 20, 2028.
-- The reinvestment period will be extended to Jan. 20, 2030.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to Jan. 20, 2038.
-- 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 is Jan. 20, 2026.
-- New class X debt will be issued on the refinancing date. This
debt is expected to be paid down using interest proceeds in equal
installments of $600,000, beginning on the July 20, 2026, payment
date.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each 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
Audax Senior Debt CLO 8 LLC
Class X, $6.00 million: AAA (sf)
Class A-1-R, $290.00 million: AAA (sf)
Class A-2-R, $20.00 million: AAA (sf)
Class B-R, $37.50 million: AA (sf)
Class C-R (deferrable), $35.00 million: A (sf)
Class D-R (deferrable), $25.00 million: BBB- (sf)
Class E-R (deferrable), $32.50 million: BB- (sf)
Other Debt
Audax Senior Debt CLO 8 LLC
Subordinated notes, $72.99 million: NR
NR--Not rated.
BAIN CAPITAL 2025-4: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Bain
Capital Credit CLO 2025-4, Limited.
Entity/Debt Rating
----------- ------
Bain Capital Credit
CLO 2025-4, Limited
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
Subordinated LT NRsf New Rating
Transaction Summary
Bain Capital Credit CLO 2025-4, Limited (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by Bain Capital Credit U.S. CLO Manager II, LP. 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+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 22.96, 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 73.53% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 42.5% 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 that of other
recent CLOs.
Portfolio Management: The transaction has a 5.2-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'BBB+sf' for class D-2, and 'BBBsf' 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 Bain Capital Credit
CLO 2025-4, 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.
BANK5 2024-5YR11: DBRS Confirms BB Rating on Class XG Certs
-----------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2024-5YR11
issued by BANK5 2024-5YR11 as follows:
-- Class A-3 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at AA (low) (sf)
-- Class D at A (sf)
-- Class E at A (low) (sf)
-- Class F at BB (high) (sf)
-- Class G at BB (low) (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AA (sf)
-- Class X-D at A (sf)
-- Class X-F at BBB (low) (sf)
-- Class X-G at BB (sf)
-- Class A-3-1 at AAA (sf)
-- Class A-3-X1 at AAA (sf)
-- Class A-3-2 at AAA (sf)
-- Class A-3-X2 at AAA (sf)
-- Class A-S-1 at AAA (sf)
-- Class A-S-X1 at AAA (sf)
-- Class A-S-2 at AAA (sf)
-- Class A-S-X2 at AAA (sf)
-- Class B-1 at AA (sf)
-- Class B-X1 at AA (sf)
-- Class B-2 at AA (sf)
-- Class B-X2 at AA (sf)
-- Class C-1 at AA (low) (sf)
-- Class C-X1 at AA (low) (sf)
-- Class C-2 at AA (low) (sf)
-- Class C-X2 at AA (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the transaction's overall
stable performance, which remains in line with Morningstar DBRS'
issuance expectations.
As of the September 2025 remittance, all 33 loans remain in the
pool with an outstanding balance of $795.4 million, unchanged from
issuance. There are no loans in special servicing; however, four
loans, collectively representing 15.6% of the pool, are being
monitored on the servicer's watchlist. Three of the four
watchlisted loans are being monitored for low debt service coverage
ratios (DSCRs) while the fourth is being monitored for a late loan
payment. The pool is predominantly composed of retail- and
multifamily-backed loans, representing 35.6% and 26.9% of the pool
balance, respectively, with limited office exposure (11.0% of the
pool).
One of the two largest loans in the pool, Bay Plaza Community
Center (Prospectus ID#1, 9.7% of the pool), is secured by a
grocery-anchored shopping center with an office component in the
Bronx, New York. The collateral is adjacent to the Mall at Bay
Plaza and Bay Plaza Shopping Center and is considered part of the
greater Bay Plaza retail complex, which totals more than 2.0
million square feet of prime retail space. The property continues
to demonstrate healthy performance, which is consistent with
Morningstar DBRS' issuance expectations. Based on the YE2024 rent
roll, the property reported an occupancy figure of 90.7%, up
slightly from 89.7% at issuance. The property benefits from a
granular rent roll, with only one tenant, Stop & Shop (11.8% of net
rentable area (NRA)), representing more than 10.0% of NRA.
The largest loan on the servicer's watchlist, Gateway Center North
(Prospectus ID#2, 9.7% of the pool), is secured by a power center
in Brookyln, New York. The loan was added to the watchlist in
September 2025 because the DSCR fell below 1.10 times (x) as of
June 2025. According to the June 2025 rent roll, the property
reported an occupancy rate of 100.0%, up slightly from the 96.3% at
issuance. Despite the addition to the watchlist, the collateral is
expected to continue to benefit from its location in a dense urban
area and experienced institutional sponsorship from Related
Companies, L.P. Morningstar DBRS expects performance will remain in
line with the $21.8 million net cash flow derived at issuance,
which represents a DSCR of 1.05x.
At issuance, one loan, Atrium Hotel Portfolio 24 Pack (Prospectus
ID#6, 6.3% of the pool), was shadow-rated investment grade by
Morningstar DBRS. With this review, Morningstar DBRS confirms that
the performance of the loan remains in line with the
investment-grade shadow rating.
Notes: All figures are in U.S. dollars unless otherwise noted.
BARCLAYS MORTGAGE 2025-NQM6: S&P Assigns B(sf) Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Barclays Mortgage Loan
Trust 2025-NQM6's mortgage-backed securities.
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 prime and nonprime
borrowers. The loans are secured by single-family residential
properties, planned-unit developments, two- to four-family
residential properties, condominiums, manufactured housing, and a
townhouse. The pool consists of 837 loans, which are qualified
mortgage (QM)/non-higher priced mortgage loan (average prime offer
rate), 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 framework, and geographic
concentration;
-- The mortgage aggregator and originators; 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.
Our outlook is updated, if necessary, when these projections change
materially."
Ratings Assigned(i)
Barclays Mortgage Loan Trust 2025-NQM6
Class A-1, $226,500,000: AAA (sf)
Class A-2, $13,287,000: AA+ (sf)
Class A-3, $39,244,000: A (sf)
Class M-1, $12,205,000: BBB (sf)
Class B-1, $8,498,000: BB (sf)
Class B-2, $5,717,000: B (sf)
Class B-3, $3,553,633: NR
Class SA, $69,086: NR
Class XS, notional(ii): NR
Class PT, $309,073,719: NR
Class PT1, $309,004,633: 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 notes will have a notional
amount equal to 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 2015-I: Moody's Ups Rating on $29.1MM E-R Notes to Ba3
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Barings CLO Ltd. 2015-I:
US$34.4M Class D-R Secured Deferrable Floating Rate Notes,
Upgraded to Aa1 (sf); previously on Jun 13, 2025 Upgraded to A1
(sf)
US$29.1M Class E-R Secured Deferrable Floating Rate Notes,
Upgraded to Ba3 (sf); previously on Nov 1, 2024 Affirmed B1 (sf)
Moody's have also affirmed the ratings on the following notes:
US$50.9M (Current outstanding balance USD50,528,246) Class B-R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Nov 1, 2024 Affirmed Aaa (sf)
US$27.9M Class C-R Secured Deferrable Floating Rate Notes,
Affirmed Aaa (sf); previously on Nov 1, 2024 Upgraded to Aaa (sf)
US$7M Class F-R Secured Deferrable Floating Rate Notes, Affirmed
Caa3 (sf); previously on Nov 1, 2024 Affirmed Caa3 (sf)
Barings CLO Ltd. 2015-I, issued in April 2015 and refinanced in
February 2018, is a collateralised loan obligation (CLO) backed by
a portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by Barings LLC. The transaction's reinvestment
period ended in January 2023.
RATINGS RATIONALE
The rating upgrades on the Class D-R and E-R notes are primarily a
result of the deleveraging of the notes following amortisation of
the underlying portfolio since the last rating action in June
2025.
The affirmations on the ratings on the Class B-R, Class C-R and
Class F-R notes are primarily a result of the expected losses on
the notes remaining consistent with their current rating levels,
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The Class A-R notes were fully amortized during in the October 2025
payment date, having been paid down by approximately USD83.3
million since the last rating action in June 2025 and USD315
million since closing. Class B-R have paid down by approximately
USD371.8k in the last payment date. As a result of the
deleveraging, over-collateralisation (OC) has increased. According
to the trustee report dated October 2025[1] the Class A/B, Class C,
Class D and Class E OC ratios are reported at 207.98%, 160.16%,
124.78% and 105.13% compared to May 2025[2] levels of 175.04%,
144.92%, 119.56% and 104.14%, respectively. Moody's notes that the
October 2025 principal payments are not reflected in the reported
OC ratios.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD155.2m
Defaulted Securities: USD0.76m
Diversity Score: 47
Weighted Average Rating Factor (WARF): 3027
Weighted Average Life (WAL): 2.57 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.02%
Weighted Average Recovery Rate (WARR): 46.85%
Par haircut in OC tests and interest diversion test: 2.51%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Structured Finance Counterparty Risks" published in
May 2025. Moody's concluded the ratings of the notes are not
constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
BAYVIEW OPPORTUNITY 2024-SN1: Fitch Affirms 'B' Rating on F Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed the ratings of three classes of Bayview
Opportunity Master Fund VII Trust 2024-SN1 (BVABS 2024-SN1) notes
and upgraded the ratings of three classes. Fitch has assigned a
Stable Outlook to the upgraded class B notes and Positive Outlooks
to the upgraded class C and D notes. The Outlooks for the remaining
non-'AAAsf' rated notes are Positive.
Entity/Debt Rating Prior
----------- ------ -----
BVABS 2024-SN1
A-3 072926AC2 LT AAAsf Affirmed AAAsf
B 072926AD0 LT AAAsf Upgrade AAsf
C 072926AE8 LT AAsf Upgrade Asf
D 072926AF5 LT Asf Upgrade BBBsf
E 072926AG3 LT BBsf Affirmed BBsf
F 072926AH1 LT Bsf Affirmed Bsf
KEY RATING DRIVERS
The affirmations and upgrades of the outstanding notes reflect
available credit enhancement (CE) and loss performance to date.
Cumulative net losses (CNLs) are tracking inside the initial rating
case proxy and hard CE levels have grown for all classes since
close. The Stable Outlooks on the 'AAAsf' rated notes reflect
Fitch's expectation that the notes have sufficient levels of credit
protection to withstand potential deterioration in credit quality
of the portfolio in stress scenarios and that loss coverage will
continue to increase as the transactions amortize. The Positive
Outlooks on the subordinated classes reflect the possibility for an
upgrade in the next one to two years.
As of the October 2025 distribution date, 30+, 60+ and 90+ day
delinquencies were 14.37%, 4.89%, and 1.20%, respectively.
Cumulative net losses (CNL) were 4.98%, tracking below Fitch's
initial rating case of 13.00%. Hard CE has increased for each
class.
The revised lifetime rating case CNL proxy considers the
transaction's remaining pool factor, pool composition and
performance to date. Furthermore, it considers current and future
macroeconomic conditions that drive loss frequency, along with the
state of wholesale vehicle values, which affect recovery rates and
ultimately transaction losses. Based on transaction-specific
performance to date and future projections, Fitch lowered the
lifetime rating case CNL loss proxy to 11.00% from 12.50%. Fitch
considers this appropriately conservative given the performance to
date and amortization experienced, while also taking into
consideration potential increases in delinquencies and losses.
Under the revised lifetime CNL loss proxies, cash flow modelling
continues to support multiples consistent with or in excess of
3.00x for 'AAAsf', 2.50x for 'AAsf', 2.00x for 'Asf', 1.50x for
'BBBsf', 1.25x for 'BBsf', and 1.1x for 'Bsf'.
Fitch's base case credit loss expectation, which does not include a
margin of safety and is not used in Fitch's quantitative analysis
to assign ratings, is 9.50%, based on Fitch's "Global Economic
Outlook - September 2025", historical securitization performance
and projections.
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 loss coverage and multiple
levels for the transaction. Weakening asset performance is strongly
correlated to increasing levels of delinquencies and defaults that
could negatively impact CE levels. Lower loss coverage could impact
ratings and Outlooks, depending on the extent of the decline in
coverage.
In Fitch's initial review, the notes were found to have limited
sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss
expectation for each transaction. The 1.5x scenario suggested that
ratings for the outstanding notes could be downgraded by up to two
rating categories, while the 2.0x scenario suggested that ratings
for the outstanding notes could be downgraded by two or more rating
categories.
To date, the transactions have exhibited strong performance with
losses within Fitch's initial expectations with adequate loss
coverage and multiple levels. Therefore, a material deterioration
in performance would have to occur within the asset collateral to
have a potential negative impact on the outstanding ratings.
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 CNL is 20% less than the projected CNL
proxy, the ratings could be upgraded by up to three rating
categories.
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.
BELLEMEADE RE 2025-1: DBRS Gives Prov. B Rating on B1 Notes
-----------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage Insurance-Linked Notes, Series 2025-1 (the Notes) to be
issued by Bellemeade Re 2025-1 Ltd. (BMIR 2025-1 or the Issuer):
-- $39.9 million Class M-1A at (P) BBB (low) (sf)
-- $59.8 million Class M-1B at (P) BB (high) (sf)
-- $42.7 million Class M-1C at (P) BB (low) (sf)
-- $37.0 million Class M-2 at (P) B (high) (sf)
-- $19.9 million Class B-1 at (P) B (sf)
The (P) BBB (low) (sf) credit rating reflects 5.30% of credit
enhancement, provided by subordinated notes in the transaction. The
(P) BB (high) (sf), (P) BB (low) (sf), (P) B (high) (sf), and (P) B
(sf) credit ratings reflect 4.25%, 3.50%, 2.85%, and 2.50% of
credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
BMIR 2025-1 is the 20th rated mortgage insurance (MI)-linked note
transaction for Arch Mortgage Insurance Company (Arch MI) and
United Guaranty Residential Insurance Company (UGRIC; collectively
the ceding insurers). The Notes are backed by reinsurance premiums,
eligible investments, and related account investment earnings, in
each case relating to a pool of MI policies linked to residential
loans. The Notes are exposed to the risk arising from losses the
ceding insurer pays to settle claims on the underlying MI policies.
This is the first rated MILN transaction where the target credit
enhancement (CE) is tied to PMIERs capital requirement.
As of the Cut-Off Date, the pool of insured mortgage loans consists
of 153,074 fully amortizing first-lien fixed- and variable-rate
mortgages. All loans have been underwritten to a full documentation
standard, all but two have original loan-to-value ratios (LTVs)
less than or equal to 100.0%, and none have ever been reported to
the ceding insurers as 60 or more days delinquent. As of the
Cut-Off Date, these loans have not been reported to be in a payment
forbearance plan. The mortgage loans have MI policies effective in
or after January 2024 and in or before September 2025.
Approximately 2.0% (by balance) of the underlying insured mortgage
loans in this transaction are not eligible to be acquired by
Freddie Mac and Fannie Mae (government-sponsored enterprises (GSEs)
or agencies).
All of the mortgage loans (by the Cut-Off Date) are insured under
the new master policy that was introduced on March 1, 2020, to
conform to the GSEs' revised rescission relief principles under the
Private Mortgage Insurer Eligibility Requirements (PMIERs)
guidelines (see the Representations and Warranties section of the
related report for more detail).
On the Closing Date, the Issuer will enter into the Reinsurance
Agreement with the ceding insurers. As per the agreement, the
ceding insurers will receive protection for the funded portion of
the MI losses. In exchange for this protection, the ceding insurers
will make premium payments related to the underlying insured
mortgage loans to the Issuer.
The Issuer is expected to use the proceeds from the sale of the
Notes to purchase certain eligible investments that will be held in
the reinsurance trust account. The eligible investments are
restricted to U.S. Treasury money-market funds and securities rated
at least Aaa-mf by Moody's or AAAm by S&P. Unlike other residential
mortgage-backed security (RMBS) transactions, cash flow from the
underlying loans will not be used to make any payments; rather, in
MI-linked Notes (MILN) transactions, a portion of the eligible
investments held in the reinsurance trust account will be
liquidated to make principal payments to the noteholders and to
make loss payments to the ceding insurers when claims are settled
with respect to the MI policy.
The Issuer will use the investment earnings on the eligible
investments, together with the ceding insurers' premium payments,
to pay interest to the noteholders.
The calculation of principal payments to the Notes will be based on
the reduction in aggregate exposed principal balance on the
underlying MI policy that is allocated to the Notes. The
subordinate Notes will receive principal payment if the non-senior
coverage level exceeds the target credit enhancement, which is tied
to required PMIERs capital amount. As of the Closing Date,
non-senior coverage level exceeds the target CE, thus allowing the
rated classes to receive principal payments from the first Payment
Date.
The required PMIERs capital amount is initially set based on
loan-level risk characteristics such as LTV, credit score, purpose,
documentation standard, debt-to-income ratio, amortization term,
etc. As the mortgage loan seasons, the required PMIERs capital
amount will adjust based on the underlying mortgage loan
performance. If the mortgage loan is current or less than 60-days
delinquent (the Performing Mortgage Loan), the required PMIERs
capital amount will be reduced based on loan age. However, if the
mortgage loan is more than or equal to 60-days delinquent
(including FC/BK/pending claims) (the Non-Performing Mortgage
Loan), the required PMIERs capital amount will be increased based
on the number of months of missed payments and status of the MI
claim. (See the Cash Flow Structure and Features section for more
details).
The coupon rates for the Notes are based on the Secured Overnight
Financing Rate (SOFR). There are replacement provisions in place in
the event that SOFR is no longer available; please see the Offering
Circular for more details. Morningstar DBRS did not run interest
rate stresses for this transaction as the interest is not linked to
the performance of the underlying loans. Instead, interest payments
are funded via (1) premium payments that the ceding insurers must
make under the reinsurance agreement and (2) earnings on eligible
investments.
On the Closing Date, the ceding insurers will establish a cash and
securities account, the premium deposit account. In case of the
ceding insurers' default in paying coverage premium payments to the
Issuer, the amount available in this account will be used to make
interest payments to the noteholders. The premium deposit account
will not be funded at closing. The ceding insurers will make a
deposit to this account up to the applicable target balance only
when one of the following Premium Deposit Events occur (please
refer to the related report for more detail).
The Notes are scheduled to mature in October 2035, but will be
subject to early redemption at the option of the ceding insurers
(1) for a 10% clean-up call or (2) on or following the payment date
in October 2030, among others. The Notes are also subject to
mandatory redemption before the scheduled maturity date upon the
termination of the Reinsurance Agreement. Additionally, there is a
provision for the ceding insurers to issue a tender offer to reduce
all or a portion of the outstanding Notes.
Arch MI and UGRIC, together, act as the ceding insurers. The Bank
of New York Mellon (rated AA (high) with a Stable trend by
Morningstar DBRS) will act as the Indenture Trustee, Paying Agent,
Note Registrar, and Reinsurance Trustee.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENCHMARK 2021-B24: Fitch Lowers Rating on Two Tranches to 'B-sf'
-----------------------------------------------------------------
Fitch Ratings has affirmed 29 ratings for classes within the
Benchmark 2021-B24 Mortgage Trust (BMARK 2021-B24) and Benchmark
2021-B23 Mortgage Trust (BMARK 2021-B23) transactions. Fitch has
also downgraded six classes within BMARK 2021-B24 (classes E, F, G,
X-D, X-F and X-G).
The Rating Outlooks for classes A-S, B, C, X-A, and X-B in BMARK
2021-B24 have been revised to Negative from Stable, while the
downgraded classes E, F, X-D, and X-F have been assigned Negative
Outlooks. The Outlook for class D remains Negative. The Outlooks
for classes A-S and X-A in BMARK 2021-B23 are revised to Stable
from Negative, while Outlooks for classes B, C, D, E, F, X-B, X-D,
and X-F remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
BMARK 2021-B24
A-1 08163CAY5 LT AAAsf Affirmed AAAsf
A-2 08163CAZ2 LT AAAsf Affirmed AAAsf
A-3 08163CBA6 LT AAAsf Affirmed AAAsf
A-4 08163CBB4 LT AAAsf Affirmed AAAsf
A-5 08163CBC2 LT AAAsf Affirmed AAAsf
A-S 08163CBG3 LT AAAsf Affirmed AAAsf
A-SB 08163CBD0 LT AAAsf Affirmed AAAsf
B 08163CBH1 LT AA-sf Affirmed AA-sf
C 08163CBJ7 LT A-sf Affirmed A-sf
D 08163CAJ8 LT BBBsf Affirmed BBBsf
E 08163CAL3 LT BBsf Downgrade BBB-sf
F 08163CAN9 LT B-sf Downgrade BB-sf
G 08163CAQ2 LT CCCsf Downgrade B-sf
X-A 08163CBE8 LT AAAsf Affirmed AAAsf
X-B 08163CBF5 LT A-sf Affirmed A-sf
X-D 08163CAA7 LT BBsf Downgrade BBB-sf
X-F 08163CAC3 LT B-sf Downgrade BB-sf
X-G 08163CAE9 LT CCCsf Downgrade B-sf
Benchmark 2021-B23
A-2 08162RAB3 LT AAAsf Affirmed AAAsf
A-4A1 08162RAC1 LT AAAsf Affirmed AAAsf
A-4A2 08162RBX4 LT AAAsf Affirmed AAAsf
A-5 08162RAD9 LT AAAsf Affirmed AAAsf
A-AB 08162RAE7 LT AAAsf Affirmed AAAsf
A-S 08162RAG2 LT AAAsf Affirmed AAAsf
B 08162RAH0 LT AA-sf Affirmed AA-sf
C 08162RAJ6 LT A-sf Affirmed A-sf
D 08162RAK3 LT BBBsf Affirmed BBBsf
E 08162RAM9 LT BBB-sf Affirmed BBB-sf
F 08162RAP2 LT B-sf Affirmed B-sf
G 08162RAR8 LT CCCsf Affirmed CCCsf
X-A 08162RAF4 LT AAAsf Affirmed AAAsf
X-B 08162RAV9 LT A-sf Affirmed A-sf
X-D 08162RAX5 LT BBB-sf Affirmed BBB-sf
X-F 08162RAZ0 LT B-sf Affirmed B-sf
X-G 08162RBB2 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Transaction-level 'B' rating
case losses for BMARK 2021-B23 and BMARK 2021-B24 are 3.93% and
5.89%, respectively.
In BMARK 2021-B24, the downgrades of classes E, F, G, X-D, X-F, and
X-G are primarily driven by increased loss expectations related to
the specially serviced loan, 141 Livingston (6.5% of the pool), due
to leasing uncertainty and a decline in Fitch-derived value since
the last rating action.
The Negative Outlooks in BMARK 2021-B24 reflect the potential for
future downgrades should performance of the Fitch Loans of Concern
(FLOC), including larger office loans 141 Livingston, Galleria
Office Towers (5.2%) and Millenium Corporate Park (2.3% in BMARK
2021-B24) continue to decline or if updated valuations of the 141
Livingston loan decline beyond current expectations. Additionally,
the Negative Outlooks reflect heightened risk from significant
office exposure, as 54.62% of the pool is secured by office
properties.
In BMARK 2021-B23, the Outlook revision for classes A-S and X-A to
Stable from Negative reflects improved pool loss expectations and
the unlikelihood of a downgrade to these classes in the next 12-24
months.
The Negative Outlooks in BMARK 2021-B23 reflect concerns with
office loans maturing by January 2026, namely Millennium Corporate
Park (6.9% in BMARK 2021-B23; second-largest loan) and Selig Office
Portfolio (2.3% of the pool), both of which are in special
servicing as of the October 2025 remittance report. The Negative
Outlooks also reflect elevated risk from office exposure as 62% of
the pool is secured by office assets.
FLOCs and Specially Serviced Loans: Seven loans representing 30.4%
of the BMARK 2021-B24 transaction are FLOCs and as of the October
2025 remittance, includes two specially serviced loans (141
Livingston and Millenium Corporate Park, totaling 8.8%). Eleven
loans representing 21.8% of the BMARK 2021-B23 transaction are
FLOCs and as of the October 2025 remittance, includes two specially
serviced loans (Selig Office Portfolio and Millenium Corporate
Park, totaling 8.9% of the pool).
141 Livingston (6.5% of BMARK 2021-B24) is the largest loss
contributor to expected loss and largest increase in expected loss
since the prior rating action. The loan, which is secured by a
213,745-sf office building located in Brooklyn, NY and originally
constructed in 1959, transferred to special servicing in October
2024.
The property has served as a mission-critical location for
Brooklyn's civil court systems with The City of New York Department
of Citywide Administrative Services (NYC DCAS) occupying 96% of the
total NRA. NYC DCAS's lease is scheduled to expire in December
2025. The loan was transferred to special servicing after NYC DCAS
did not renew its lease for a five-year term 18 months prior to the
original lease expiration date, which triggered monthly reserve
obligations that the borrower has not fulfilled.
Due to the borrower's non-compliance with the monthly reserve
obligations, the master servicer stopped applying debt service
payments, which continue to be sufficient to cover debt service,
resulting in the loan being in default. Per the servicer, the
borrower presented an updated lease from NYC DCAS which included a
five-year renewal, but with a termination option in year two; this
did not satisfy the loan agreement requirements to remove the
replacement reserve and was rejected. Legal counsel has been
engaged, foreclosure and a motion for receiver has been filed.
Negotiations regarding lease renewal terms with NYC DCAS continue,
as well as the collection of required reserve amounts and a cash
management request. The property has been 100% occupied since
issuance and the TTM June 2025 NOI DSCR was reported to be 2.09x.
Fitch anticipates the loan to remain in special servicing while
negotiations continue with the borrower and tenant. If the loan
returns to performing, a future default is possible due to the
potential termination of the NYC DCAS lease in two years. Fitch's
'Bsf' rating-case loss of 40.1% (prior to a concentration
adjustment) considers the older vintage property and reflects a
recovery value of $220 psf. Expected losses at the prior rating
action were 19.3%.
The Galleria Office Towers (5.2% of BMARK 2021-B24) is a FLOC due
to decreased occupancy and cash flow from issuance as well as weak
submarket conditions (35.6% submarket vacancy reported by CoStar as
of Q3 2025). The loan is secured by three office properties located
in Houston, TX all of which were originally constructed in the
1970s and renovated in 2020. The multibuilding office portfolio
encompasses 1,067,672 sf of leasable area. A cash trap was
triggered in 2021 following the failure of Panhandle Eastern Pipe
Line Company, L.P. (5.3% of total NRA at issuance) to renew its
lease, and another trigger was activated when WeWork filed for
bankruptcy in 2023. Per the November 2024 rent roll, occupancy was
reported to be 57%, down from 68% at issuance. As of YE 2024, the
subject NOI and DSCR were reported to be $6.9 million and 1.27x,
respectively, compared to $11.3 million and 2.08x at issuance.
Fitch's 'Bsf' rating-case loss of 6.2% (prior to a concentration
adjustment) is based the YE 2024 NOI, and a 10.50% cap rate.
Millennium Corporate Park (6.9% of BMARK 2021-B23; 2.3% of BMARK
2021-B24) is a FLOC and the largest loss contributor to expected
loss in the BMARK 2021-B23 transaction. The loan is secured by a
537,032-sf office park in Redmond, WA near Seattle and the loan
recently transferred to special servicing on Sept. 30, 2025 due to
the upcoming maturity in January 2026, dark Microsoft space, and
lease expiration in 2028. Microsoft serves as the anchor tenant
across the six buildings, occupying 89% of the total NRA with a
lease through April 2028. Based on the latest inspection from
December 2024 and information from the servicer, Microsoft was not
utilizing its space and had been attempting to sublease. However,
according to various media reports including a CoStar article from
October 2025, Microsoft has reversed its earlier plans to reduce
its Seattle-area office space and will retain the approximately
480,000 sf at Millennium Corporate Park.
Fitch's 'Bsf' rating case loss of 14.3% (prior to a concentration
adjustment) is based on a 9.50% cap rate and a 10.0% stress to the
YE 2024 NOI. Additionally, Fitch's loss expectations for the loan
factor in a higher probability of default to account for the
refinance risk as the loan approaches the final months of its
term.
Selig Office Portfolio (2.3% of BMARK 2021-B23) is the
second-largest loss contributor and has the largest year-over-year
loss increase in expected losses in the transaction. The
interest-only loan is secured by a nine-building office portfolio
located in Seattle, WA. The properties were originally constructed
between 1971 and 1986, and they combine for a total portfolio NRA
of approximately 1.6 million sf. The loan transferred to special
servicing in November 2024 for imminent balloon/maturity default
with a scheduled maturity date in April 2025, and a forbearance
period extending until January 2026.
The largest tenants in the portfolio include Washington State
Ferries (5.4% of NRA through August 2025), ZipWhip (4.6%; October
2029) and City of Seattle (2.3%; October 2034). As of June 2025,
the occupancy for the portfolio was 63%, down from 65% at YE 2024,
77% at YE 2023, 79% at YE 2022, 84% at YE 2021, 93% at YE 2020 and
95% at YE 2019. The rent roll is granular, with no individual
tenant representing more than 5.4% of the portfolio NRA rolling in
2025. The reported NOI DSCR as of 2Q25 was 1.71x, compared to 1.89x
at YE2024, 2.27x at YE 2023, 2.22x at YE 2022, 2.40x at YE 2021,
2.64x at YE 2020 and 2.35x at YE 2019.
Fitch's 'Bsf' rating case loss of 33.6% (prior to a concentration
adjustment) is based on a 10.5% cap rate and a 25% stress to the YE
2024 NOI. Additionally, Fitch's loss expectations for the loan
factor in a higher probability of default to account for the
refinance risk associated with the older vintage, low-occupancy
office portfolio, along with weak submarket fundamentals. Expected
losses at the last rating action were 21.8%.
Marginal Change to Credit Enhancement (CE) and Minimal Defeasance:
As of the September 2025 reporting, the BMARK 2021-B24 pool's
aggregate balance has reduced 0.9% since issuance with 0.8%
defeasance concentration. The BMARK 2021-B23 pool's aggregate
balance has reduced 1.7% since issuance with a 1.2% defeasance
concentration.
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 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 or are expected to occur.
- A downgrade to the junior 'AAAsf' rated class with revision to a
Negative Outlook in BMARK 2021-B24 is possible if FLOC performance
or recovery expectations deteriorate further, particularly for the
specially serviced 141 Livingston loan. A downgrade is possible if
expected losses increase and there is limited to no improvement in
class CE, or if interest shortfalls occur.
Downgrades to classes rated in the 'AAsf' category may occur if
deal-level losses increase significantly from outsized losses on
larger FLOCs or more loans than expected experience performance
deterioration or default at or prior to maturity.
- Downgrades to classes rated in the 'Asf' and 'BBBsf' categories
may occur with outsized losses beyond Fitch's expectations on the
FLOCs/specially serviced loans, including Selig Office Portfolio
and Millennium Corporate Park in BMARK 2021-B23, and 141 Livingston
and The Galleria Office Towers in BMARK 2021-B24.
- Further downgrades to classes rated in the 'BBsf' and 'Bsf'
categories are possible with higher-than-expected losses from
continued underperformance of the FLOCs and/or lack of resolution
and increased exposures on 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 'BBsf' and 'Bsf' categories 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.
BENCHMARK 2025-V18: Fitch Assigns B-sf Final Rating on Two Tranches
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Benchmark 2025-V18 Mortgage Trust, commercial mortgage pass-through
certificates, series 2025-V18 as follows:
- $3,291,000 class A-1 'AAAsf'; Outlook Stable;
- $83,050,000 class A-2 'AAAsf'; Outlook Stable;
- $789,090,000 class A-3 'AAAsf'; Outlook Stable;
- $123,499,000 class A-S 'AAAsf'; Outlook Stable;
- $998,930,000a class X-A 'AAAsf'; Outlook Stable;
- $62,531,000 class B 'AA-sf'; Outlook Stable;
- $48,461,000 class C 'A-sf'; Outlook Stable;
- $110,992,000a class X-B 'A-sf'; Outlook Stable;
- $39,082,000b class D 'BBB-sf'; Outlook Stable;
- $39,082,000a,b class X-D 'BBB-sf'; Outlook Stable;
- $25,012,000b class F 'BB-sf'; Outlook Stable;
- $25,012,000a,b class X-F 'BB-sf'; Outlook Stable
- $15,633,000b class G 'B-sf'; Outlook Stable
- $15,633,000a,b class X-G 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
- $60,967,860b class J;
- $60,967,860a,b class X-J;
- $13,178,815c class RR Interest;
- $52,643,125c class RR certificates.
(a) Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
(c) Vertical Risk Retention.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 47 loans secured by 88
commercial properties with an aggregate principal balance of
$1,316,438,800 as of the cutoff date. The loans were contributed to
the trust by German American Capital Corporation, Citi Real Estate
Funding Inc., Goldman Sachs Mortgage Company, Barclays Capital Real
Estate Inc. and Bank of Montreal.
The master servicer is Trimont LLC; the special servicer is
Torchlight Loan Services, LLC; and the operating advisor is Park
Bridge Lender Services LLC. The trustee and certificate
administrator is Computershare Trust Company, National Association.
The certificates will follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 30 loans
totaling 84.7% of the pool by balance. Fitch's aggregate pool net
cash flow (NCF) of $130.1 million represents a 15.6% decline from
the issuer's underwritten aggregate pool NCF of $154.2 million.
Higher Fitch Leverage: The pool's Fitch leverage is slightly higher
than that of recent multiborrower transactions rated by Fitch. The
pool's Fitch loan-to-value ratio (LTV) of 101.0% is higher than the
2025 YTD five-year multiborrower transaction average of 100.2% and
the 2024 five-year multiborrower transaction average of 95.2%. The
pool's Fitch NCF debt yield (DY) of 9.9% is slightly higher than
the 2025 YTD average of 9.7%, but lower than the 2024 average of
10.2%.
Investment-Grade Credit Opinion Loans: Two loans representing 10.6%
of the pool received an investment-grade credit opinion. 9911
Belward (6.1% of the pool) received a standalone credit opinion of
'A-sf*' and 180 Water (4.6% of the pool) received a standalone
credit opinion of 'AAsf*'. The pool's total credit opinion
percentage is lower than the 2025 YTD and 2024 averages of 11.9%
and 12.6%, respectively. Excluding the credit opinion loans, the
pool's Fitch LTV and DY of 106.1% and 9.4%, respectively, are
slightly worse than the equivalent conduit 2025 YTD LTV and DY
averages of 104.8% and 9.3%, respectively.
Office Concentration: Loans secured by office properties
(designated by Fitch) represent 34.0% of the pool, above the 2025
YTD and 2024 averages of 22.3% and 21.3%, respectively. Four of the
five largest loans are secured by office properties.
Lower Pool Concentration: The pool is less concentrated than
recently rated Fitch transactions. The top 10 loans make up 44.0%
of the pool, which is lower than the 2025 YTD and 2024 averages of
62.1% and 60.2%, respectively. The pool's effective loan count is
33.7. Fitch views diversity as a key mitigant to idiosyncratic
risk. Fitch raises the overall loss for pools with effective loan
counts below 40.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'
- 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'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 table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'
- 10% NCF Increase:
'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'/'BB-sf'
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis, and it did not
have an effect on 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.
BPR COMMERCIAL 2024-PARK: DBRS Confirms BB Rating on E Certs
------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of the
Commercial Mortgage Pass-Through Certificates, Series issued by BPR
Commercial Mortgage Trust 2024-PARK (the Trust) as follows:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (sf)
-- Class HRR at BB (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, which is early in its lifecycle,
having closed in November 2024. The confirmations are further
supported by the collateral's high quality, favorable location in
Coral Gables, Florida, an affluent Miami suburb located about five
miles from downtown Miami, historical high occupancy, and continued
strong in-line sales.
The transaction is collateralized by the borrower's leasehold and
subleasehold interest in the Shops at Merrick Park, an
848,280-square-foot (sf) open-air shopping center in Coral Gables,
Florida. The collateral comprises the Shops at Merrick Park; the
Offices at Merrick, a five-story, 126,201-sf office building
located adjacent to Shops at Merrick Park; and several subleased
parcels that contain residential buildings and parking. The
transaction benefits from experienced sponsorship in Brookfield
Property Retail Holding LLC as one of the largest retail real
estate companies in the United States. The fixed-rate loan has a
five-year term with no extension options. Loan proceeds of $400.0
million were used to refinance the existing debt, fund upfront
reserves, and cover closing costs associated with the transaction.
The Shops at Merrick Park is anchored by Nordstrom (23.6% of the
net rentable area (NRA), lease expiry in February 2033) and Neiman
Marcus (15.3% of the NRA, lease expiry in July 2033), both with
lease expiries beyond the loan's final scheduled maturity date in
November 2029. Occupancy has declined slightly with the June 2025
operating statement analysis report (OSAR), reflecting an overall
occupancy rate of 88.7%--a decrease from 94.0% at issuance, which
was expected. The anchor tenant for the office portion of the
property, Bayview Asset Management, downsized its space in December
2024 to 55,071 sf (previously 88,052 sf) and is now occupying 43.6%
of the office sf and 6.5% of the total footprint. There are nine
additional tenants that signed to either extend their lease or
occupy vacant spaces within the mall; however, there are no
backfills at this moment for the office portion.
According to financials for the trailing six-month figure for the
period ended June 30, 2025, the annualized net cash flow (NCF) was
reported at $31.9 million (reflecting a debt service coverage ratio
(DSCR) of 1.29 times (x)), an expected drop from issuance figures.
According to the tenant sales report for the trailing 12 months
(T-12) for the period ended June 30, 2025, in-line tenants under
10,000 sf (excluding anchor tenants) achieved sales of $1,139 per
square foot (psf), up from the July 2024 figure of $1,024 psf.
At this review, Morningstar DBRS maintained the sizing approach
from issuance, which was based on a capitalization rate of 7.06%
applied to the Morningstar DBRS NCF of $32.7 million. The resulting
value of $463.3 million represents a variance of -17.0% from the
issuance appraised value of $558.0 million and represents
Morningstar DBRS loan-to-value ratio (LTV) of 86.3%. Morningstar
DBRS maintained positive qualitative adjustments of 6.50% to the
LTV sizing benchmarks to account for the collateral's superior
property quality, location, and strong sponsorship.
Notes: All figures are in U.S. dollars unless otherwise noted.
BRAVO RESIDENTIAL 2025-NQM10: S&P Assigns 'B' Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to BRAVO Residential
Funding Trust 2025-NQM10's mortgage-backed notes.
The note issuance is an RMBS securitization backed by first-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, two- to four-family residential
properties, condotels, manufactured housing and one mixed-use
property. The pool has 708 loans, backed by 708 properties, which
are qualified mortgage (QM)/safe harbor mortgage loan (average
prime offer rate), non-QM/ability-to-repay (ATR) compliant, and
ATR-exempt.
The ratings reflect:
-- 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;
-- 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.
Ratings Assigned(i)
BRAVO Residential Funding Trust 2025-NQM10
Class A-1A, $217,036,000: AAA (sf)
Class A-1B, $34,450,000: AAA (sf)
Class A-1, $251,486,000: AAA (sf)
Class A-2, $19,981,000: AA (sf)
Class A-3, $36,173,000: A (sf)
Class M-1, $18,258,000: BBB- (sf)
Class B-1, $7,407,000: BB (sf)
Class B-2, $7,062,000: B (sf)
Class B-3, $4,134,686: NR
Class SA, $16,404(ii): NR
Class AIOS, notional(iii): NR
Class XS, notional(iii): NR
Class R, N/A: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address payment of the cap carryover
amounts.
(ii)The class SA notes will be entitled to receive pre-existing
servicing advances as of the cutoff date and will not be entitled
to any interest or other principal payments.
(iii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due
period.
N/A--Not applicable.
NR--Not rated.
BX COMMERCIAL 2024-GPA2: DBRS Confirms B Rating on HRR Certs
------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2024-GPA2 to
be issued by BX Commercial Mortgage Trust 2024-GPA2 (the Trust):
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class HRR at B (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, which is early in its life cycle,
having closed in November 2024.
The transaction is secured by the borrower's fee-simple interest in
13 student housing properties totaling 11,029 beds in New York,
Florida, Texas, Michigan, Kentucky, North Carolina, and
Mississippi. Transaction proceeds of $945.5 million were used to
refinance $926.5 million of debt across the portfolio. The
five-year loan is interest-only (IO) for the full term.
The subject portfolio consists of 13 assets spread across nine
universities in seven states and has a weighted average year built
of 2010 and an average distance to campus of 0.28 miles. Most of
the assets were built after 2010 and feature modern amenities,
including fitness centers, study rooms, club rooms, and pools. Unit
interiors feature beds, dressers, kitchen tables, couches, coffee
tables, and standard appliance packages. Since 2012, the portfolio
has received $95.1 million in capital improvements. All
universities represented are either Power 5, Carnegie R1, or
Carnegie R2. Approximately 58.2% of the Issuer's UW NCF is derived
from universities in Power 5 conferences, including Florida State
University, University of Kentucky, Michigan State University,
Texas A&M University, and University of Mississippi. The portfolio
has demonstrated consistently strong historical rent growth and
occupancy metrics, with the portfolio's weighted average occupancy
being 89.9%, or higher, dating back to 2012.
The $945.5 billion floating-rate, interest-only loan is structured
with a two-year term and three, one-year extension options. The
loan allows for the release of properties from the portfolio
subject to a 105.0% payment of the allocated loan amount (ALA) for
the initial 30.0% of the total balance and 110.0% payment of the
ALA for the remaining 70.0% of the total balance.
The portfolio is owned and primarily managed by American Campus
Communities ACC (10 of the 13 properties managed by ACC), the
largest student housing developer and operator in the country,
which was acquired by Blackstone in August 2022.
According to the trailing 12-month period ended June 30, 2025 (T-12
2025), financials, the collateral reported a net cash flow (NCF)
figure of $71.9 million, resulting in a debt service coverage ratio
(DSCR) of 1.09 times (x) compared with the Issuer's underwritten
figure of $78.8 million (DSCR of 1.20x) and the Morningstar DBRS
figure of $71.1 million (DSCR of 1.07x). As of the June 2025 rent
roll, the portfolio reported a weighted-average occupancy rate of
92.4% compared with the occupancy rate of 95.4% at closing.
For the purposes of this credit rating action, Morningstar DBRS
maintained its collateral valuation of $1.0 billion derived at
issuance, which was based on a capitalization rate of 7.0% applied
to the Morningstar DBRS NCF of $71.1 million. The Morningstar DBRS
value represents a variance of -22.6% from the issuance appraised
value of $1.3 billion and corresponds to a loan-to-value ratio
(LTV) of 93.1%. In addition, Morningstar DBRS maintained positive
qualitative adjustments totaling 5.00% to account for the
collateral's property quality and strong historical performance.
Notes: All figures are in U.S. dollars unless otherwise noted.
BX TRUST 2021-RISE: DBRS Confirms B(low) Rating on G Certs
----------------------------------------------------------
DBRS Limited confirmed the credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates issued by BX Trust
2021-RISE as follows:
-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction since the previous Morningstar DBRS
credit rating action in November 2024. The underlying collateral
continues to exhibit healthy performance metrics, with occupancy
and net cash flow (NCF) figures relatively in line with the
Morningstar DBRS figures derived at issuance.
At issuance, the $1.20 billion loan was secured by the borrower's
fee-simple interest in 17 Class A and Class B multifamily
properties, totaling 6,410 units, across seven states, including
Georgia, Texas, Florida, and Colorado. As of the October 2025
remittance, the loan balance has been reduced to $1.01 billion,
representing a collateral reduction of 15.5%, as four properties
have been released since closing. No additional properties have
been released since the November 2024 credit rating action.
The transaction features a partial pro rata paydown structure for
the first 30.0% of the original principal balance. As such, the
credit support to the bonds remains unchanged since closing.
Individual property releases are subject to debt yield tests and a
prepayment premium of 105% of the allocated loan amount until the
outstanding loan amount is reduced to 70% or $840.0 million, at
which point the prepayment premium increases to 110%.
The loan has an upcoming maturity date in November 2025 and
according to the servicer, the borrower intends to exercise its
third and final 12-month extension option, which would extend the
term of the loan to November 2026. In conjunction with the
extension, the borrower is expected to once again fulfill the
requirement to purchase an interest rate cap agreement, resulting
in a minimum debt service coverage ratio (DSCR) of 1.10 times (x).
According to the financials for the year ended December 31, 2024,
the portfolio reported NCF of $69.6 million (a DSCR of 0.88x),
above the YE2023 and Morningstar DBRS issuance figures of $68.5
million (DSCR of 0.90x) and $68.7 million (DSCR of 2.95x),
respectively, when adjusted for the released collateral. Per the
September 2025 rent roll, the portfolio reported a weighted-average
(WA) occupancy rate of 93.6% compared with 95.4% at issuance. While
the portfolio continues to exhibit stable operating performance,
the rise in interest rates since issuance has notably increased
debt service payments, placing downward pressure on the loan's
DSCR. The credit risk is partially mitigated by the required
interest rate cap agreement. Morningstar DBRS also notes the
refinance risk has increased from issuance given the current
interest rate environment and low in-place coverage; however, the
strong sponsorship and financial wherewithal provided by Blackstone
Real Estate Income Trust as well as the overall desirability of the
portfolio should aid in the borrower's ability to secure a
replacement loan at final maturity in 2026.
In the analysis for this review, Morningstar DBRS maintained its
valuation approach from the previous credit rating action and
analyzed the collateral under both a base-case and stressed
scenario to evaluate the potential for credit rating upgrades given
the increase in NCF since issuance. Under the base-case scenario,
cash flows from the released properties were removed and a standard
surveillance haircut was applied to the YE2024 NCF, resulting in a
Morningstar DBRS NCF of $68.2 million. Morningstar DBRS maintained
the cap rate of 6.5% applied at issuance, which resulted in a
Morningstar DBRS value of approximately $1.0 billion, a variance of
-26.6% from the issuance appraised value of $1.43 billion for the
remaining collateral. In the stressed scenario, Morningstar DBRS
applied a conservative haircut of 20.0% to the YE2024 NCF along
with a 6.5% cap rate, resulting in a stressed value of $856.8
million. This represents a -40.1% variance from issuance appraised
value and reflects a Morningstar DBRS loan-to-value ratio (LTV) of
118.4%. The stressed analysis indicated that credit rating upgrades
were not warranted with this review. In addition, Morningstar DBRS
maintained positive qualitative adjustments totaling 6.5% to
reflect low cash flow volatility, desirable property quality and
the favorable diversification of the underlying collateral.
The credit ratings assigned to Classes D, E, F, and G are lower
than the results implied by the LTV sizing benchmarks by three or
more notches. Although the improvement in NCF since issuance is
notable, based on the conservative upgrade stress applied, the LTV
sizing benchmarks indicated that credit rating upgrades were not
warranted with this review.
Notes: All figures are in U.S. dollars unless otherwise noted.
CAFL 2025-RRTL2: DBRS Gives Prov. B(low) Rating on Class M2 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings on the
Mortgage-Backed Notes, Series 2025-RRTL2 (the Notes) to be issued
by CAFL 2025-RRTL2 Issuer, LP (the Issuer) as follows:
-- $218.7 million Class A-1 at (P) A (low) (sf)
-- $22.6 million Class A-2 at (P) BBB (low) (sf)
-- $22.4 million Class M-1 at (P) BB (low) (sf)
-- $21.3 million Class M-2 at (P) B (low) (sf)
The (P) A (low) (sf) credit rating reflects 27.10% of credit
enhancement (CE) provided by the subordinated notes and
overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf),
and (P) B (low) (sf) credit ratings reflect 19.55%, 12.10%, and
5.00% of CE, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
This transaction is a securitization of a two-year revolving
portfolio of residential transition loans (RTLs) funded by the
issuance of the Notes. As of the Initial Cut-Off Date, the Notes
are backed by:
-- 156 mortgage loans with a total unpaid principal balance (UPB)
of approximately $138,206,827
-- Approximately $161,793,172 in the Accumulation Account
-- Approximately $1,250,000 in the Pre-funding Interest Account.
Additional RTLs may be added to the revolving portfolio on future
additional transfer dates, subject to the transaction's eligibility
criteria.
CAFL 2025-RRTL2 represents the sixth RTL securitization issued from
the CAFL shelf. Founded in 2014 and acquired in 2019, CoreVest, a
wholly owned subsidiary of Redwood Trust, Inc. (Redwood Trust), is
a specialty real estate lending and asset management company which
specializes in business purpose loans (BPLs) to residential real
estate investors, including term loans on stabilized properties and
bridge loans. In the 24 months ending December 2024, CoreVest
originated $3.3 billion of business purpose loans (BPLs), including
$2.1 billion of RTLs.
The revolving portfolio consists of first-lien, fixed- or
adjustable-rate, interest-only (IO) balloon RTL with original terms
to maturity primarily of 12 to 24 months. The loans may include
extension options, which can lengthen maturities beyond the
original terms. The characteristics of the revolving pool will be
subject to eligibility criteria specified in the transaction
documents and include:
-- A minimum non-zero weighted-average (NZ WA) FICO score of 745.
-- A maximum NZ WA Loan-to-Cost (LTC) ratio of 82.5%.
-- A maximum NZ WA As Is Loan-to-Value (AIV LTV) ratio of 70.0%.
-- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of
70.0%.
RTL Features
RTLs, also known as fix-and-flip mortgage loans, are short-term
bridge, construction, or renovation loans designed to help real
estate investors purchase and renovate residential or multifamily
5+ and mixed-use properties (the latter is limited to 5.0% of the
revolving portfolio), generally within 12 to 36 months. RTLs are
similar to traditional mortgages in many aspects but may differ
significantly in terms of initial property condition, construction
draws, and the timing and incentives by which borrowers repay
principal. For traditional residential mortgages, borrowers are
generally incentivized to pay principal monthly, so they can occupy
the properties while building equity in their homes. In the RTL
space, borrowers repay their entire loan amount when they (1) sell
the property with the goal to generate a profit or (2) refinance to
a term loan and rent out the property to earn income.
In general, RTLs are short-term IO balloon loans with the full
amount of principal (balloon payment) due at maturity. The
repayment of an RTL is mainly based on the ability to sell the
related mortgaged property or to convert it into a rental property.
In addition, many RTL lenders offer extension options, which
provide additional time for borrowers to repay their mortgage
beyond the original maturity date. For the loans in this
transaction, such extensions may be granted, subject to certain
conditions, at the direction of the Collateral Administrator.
In the CAFL 2025-RRTL2 revolving portfolio, collateral interests
may be:
(1) Fully funded:
-- With no obligation of further advances to the borrower,
-- With a portion of the loan proceeds allocated to a
rehabilitation (rehab) escrow account for future disbursement to
fund construction and/or interest draw requests upon the
satisfaction of certain conditions, or
(2) Partially funded:
-- With a commitment to fund borrower-requested draws for approved
rehab, construction, or repairs of the property or interest draws,
if applicable, upon the satisfaction of certain conditions,
-- With an uncommitted option to fund additional mortgaged
properties.
After completing certain construction/repairs using their own
funds, the borrower usually seeks reimbursement by making draw
requests. Generally, construction draws are disbursed only upon the
completion of approved construction/repairs and after a
satisfactory construction progress inspection. Based on the CAFL
2025-RRTL2 eligibility criteria, unfunded commitments are limited
to 35.0% of the portfolio by the assets of the Issuer (UPB plus
amounts in the Accumulation Account).
CoreVest Lines of Credit (LOC)
LOC is a product CoreVest offers to experienced RTL borrowers with
typically 10+ fix and flip transactions or rental properties. Such
LOC can be closed end or revolving, and typically have lower
leverage points than CoreVest fix and flip loans. These LOC require
both an initial sponsor underwrite (UW), as well as a property UW
for each related project.
Generally for revolving LOC, there is a replenishment period of 12
months and a total term of 18 to 24 months. During the
replenishment period, new properties/projects can be funded with
undrawn amounts available on the LOC. After the LOC replenishment
period, as properties/fundings get completed/paid down, the LOC
gets paid down as well. Like multiproperty blanket loans, there is
a collateral release premium so that the overall LOC LTV improves
as properties pay off and exit the LOC.
At LOC origination, Corevest conducts a full sponsor UW upfront,
which includes a complete review of the sponsor's business plan,
strategy, and creditworthiness. Based on this review, CoreVest will
approve a maximum LOC amount for the sponsor. During the
replenishment period of the LOC, for every additional
property/funding request by the sponsor, a full property UW is
completed, which includes a review of the appraisal, title,
insurance, and the project's alignment with the sponsor's business
plan. In addition, third-party due-diligence review (TPR) is
conducted. CoreVest has no obligation to fund new
properties/projects in a LOC, even if there is undrawn balance
available, and may decline a request, if warranted, based on its UW
review.
Within an RTL securitization, each individual funding within a
revolving LOC functions similarly to adding an additional mortgage
loan during the revolving period of an RTL securitization. A
similar UW and TPR process would be applied to both an additional
property in a LOC and an additional loan in an RTL securitization.
Transaction eligibility criteria and concentration limits govern
the replenishment of LOC collateral in the same fashion as any
other RTL in the securitization. Even though LOC borrowers are
approved up to a certain line amount, there is no obligation by
CoreVest to fund additional fundings in a LOC, similar to how there
is no obligation by an RTL lender to a borrower to originate a new
RTL.
Once the RTL securitization reaches the end of the reinvestment
period, there exists the possibility that certain LOC may still be
within their replenishment periods. At that point, all amounts in
the securitization Accumulation Account would be released through
the waterfall and there would be no more replenishment of cash to
fund additional properties. If an LOC borrower requests a new
funding for a project during the securitization amortization
period, the Collateral Administrator (CoreVest) will advance funds
for such additional property. The additional funding would be
contributed to the Trust as collateral (adding to the credit
support of the securitization) and the Collateral Administrator
will reimburse itself for the funding from the cash flow waterfall,
only after all the rated notes have paid down to zero.
Collateral Participation
CoreVest may acquire Participations in the form of participation
interests in a mortgage loan where the acquired interest by the
Issuer (Collateral Participation) is pari passu with one or more
companion participations. Companion participations are only
interests in such mortgage loans and not acquired by the Issuer.
The rights and obligations of the holders of Collateral
Participation are governed by a participation agreement. Collateral
interests refer to Collateral Participations as well as the
mortgage loans.
Participation Interests with Committed Advances are not permitted
by the Acquisition Criteria.
Cash Flow Structure and Draw Funding
A failure to redeem the Notes in full by the Payment Date in
November 2029 (Mandatory Auction Trigger Date) will trigger a
mandatory auction of the underlying collateral interests. If the
auction fails to elicit sufficient proceeds to make-whole the
Notes, another auction will follow every four months for the first
year, and subsequent auctions will be carried out every six months.
If the Collateral Administrator fails to conduct the auction,
holders of more than 50% of the Class M-2 Notes will have the right
to appoint a different auction agent to conduct the auction.
The transaction employs a sequential-pay cash flow structure with
bullet pay features to Class A-2 and more subordinate notes on the
related Expected Redemption Date (ERD). During the reinvestment
period, the Notes will generally be IO. During and after the
reinvestment period, principal and interest collections will be
used to pay interest to the Notes, sequentially. After the
reinvestment period, available funds will be applied as principal
to pay down Class A-1, until reduced to zero. After Class A-1 is
paid in full and prior to the earliest of (1) an Event of Default
(EOD), or (2) the Mandatory Auction Trigger Date, any available
funds remaining will be deposited into the Redemption Account.
Class A-2 and more subordinate notes are not entitled to any
payments of principal until the earliest of (1) an optional
redemption date, (2) the Mandatory Auction Trigger Date, or (3) an
EOD. If the Issuer does not redeem the Notes by the payment date in
May 2028, the Class A-1 and A-2 fixed rates will step up by 1.000%
the following month.
The transaction incorporates a debt for tax structure and the
interest rates on the Notes are set at fixed rates, which are not
capped by the net weighted-average coupon (Net WAC) or available
funds. This feature, along with the bullet features, cause the
structure to have elevated subordination levels relative to a
comparable structure with fixed-capped interest rates and no bullet
feature because interest entitlements are generally higher, and
more principal may be needed to cover interest shortfalls.
Morningstar DBRS considered such nuanced features and incorporated
them in its cash flow analysis. The cash flow structure is
discussed in more detail in the Cash Flow Structure and Features
section of the related presale report.
There will be no advancing of delinquent (DQ) interest on any
mortgage by the Servicers or any other party to the transaction.
However, the Collateral Administrator or the Servicers are
obligated to fund Servicing Advances which include taxes, insurance
premiums, and reasonable costs incurred in the course of servicing
and disposing properties. The Collateral Administrator or the
Servicers, as applicable, will be entitled to reimbursements for
Servicing Advances from available funds prior to any payments on
the Notes.
The Collateral Administrator will satisfy Draw Requests by (1)
directing release of funds from the Rehab Escrow Account to the
applicable borrower for loans with funded commitments; or (2) for
loans with unfunded commitments, (a) advancing funds on behalf of
the Issuer or (b) directing the release of funds from the
Accumulation Account. The Collateral Administrator will be entitled
to reimbursements for such Draw Advances from the Accumulation
Account.
The Accumulation Account is replenished from the transaction cash
flow waterfall, after payment of interest to the Notes, to maintain
a minimum required funding balance. During the reinvestment period,
amounts held in the Accumulation Account, along with the mortgage
collateral, must be sufficient to maintain a minimum credit
enhancement (CE) of approximately 5.00% to the most subordinate
rated class. The structure maintains this CE through a Minimum
Credit Enhancement Test, which if breached, redirects available
funds (1) to pay down Class A-1 and then (2) to the Redemption
Account, prior to replenishing the Accumulation Account.
The transaction also employs the Expense Reserve Account, which
will be available to cover fees and expenses. The Expense Reserve
Account is replenished from the transaction cash flow waterfall,
before payment of interest to the Notes, to maintain a minimum
reserve balance.
A Pre-funding Interest Account is in place for the first two months
of the securitization to help cover one month of interest payment
to the Notes. Such account is funded upfront in an amount equal to
$1,250,000. On the payment dates occurring in December 2025 and
January 2026, the Note Administrator will withdraw a specified
amount to be included in the available funds.
Historically, CoreVest RTL originations have generated robust
mortgage repayments, which have exceeded unfunded commitments
within the same portfolio. In the RTL space, because of the lack of
amortization and the short term nature of the loans, mortgage
repayments (paydowns and payoffs) tend to occur closer to or at the
related maturity dates when compared with traditional residential
mortgages. Morningstar DBRS considers paydowns to be unscheduled
voluntary balance reductions (generally repayments in full) that
occur prior to the maturity date of the loans, while payoffs are
scheduled balance reductions that occur on the maturity or extended
maturity date of the loans. In its cash flow analysis, Morningstar
DBRS evaluated CoreVest's historical mortgage repayments relative
to draw commitments and incorporated several stress scenarios where
paydowns may or may not sufficiently cover draw commitments. Please
see the Cash Flow Analysis section of the related presale report
for more details.
Other Transaction Features
Optional Redemption
On any date on or after the earlier of (1) the Payment Date
following the termination of the Reinvestment Period or (2) the
date on which the aggregate Note Amount falls to less than 25% of
the initial Note Amount, the Issuer, at its option, may purchase
all the outstanding Notes at par plus interest and fees.
Seller Repurchase Option
The Seller will have the option to repurchase any DQ or credit risk
collateral interest at the Repurchase Price, which is equal to par
plus interest and fees. However, such voluntary repurchases in
aggregate may not exceed 10.0% of the Closing Date UPB of the
collateral interests (as increased by any approved Draw Requests on
collateral interests with unfunded amounts, satisfied by the
Collateral Administrator after the Closing Date). During the
reinvestment period, if the Seller repurchases DQ or credit risk
collateral interests, this could potentially delay the natural
occurrence of an early amortization event based on the DQ or
default trigger. Morningstar DBRS' revolving structure analysis
assumes the repayment of Notes is reliant on the amortization of an
adverse pool regardless of whether it occurs early or not.
Loan Sales
-- The Issuer may sell a collateral interest under the following
circumstances:
-- The Sponsor is required to repurchase a loan because of a
material breach, a material diligence defect, or a material
document defect
-- The Seller elects to exercise its Seller Repurchase Option An
optional redemption or successful mandatory auction occurs.
U.S. Credit Risk Retention
As the Sponsor, Redwood Maple Mortgage Fund, LP, through itself and
a majority-owned affiliate (the Originator), will initially retain
an eligible horizontal residual interest comprising at least 5% of
the aggregate fair value of the securities to satisfy the credit
risk retention requirements.
Natural Disasters/Wildfires
The pool contains loans secured by mortgage properties that are
located within certain disaster areas. Although many RTLs have a
rehab component, the original scope of rehab may be affected by
such disasters. After a disaster, the Servicers follow a standard
protocol, which includes a review of the impacted area, borrower
outreach if necessary, and filing insurance claims as applicable.
Moreover, additional loans added to the trust must comply with R&W
specified in the transaction documents, including the damage R&W,
as well as the transaction eligibility criteria.
Notes: All figures are in U.S. dollars unless otherwise noted.
CARLYLE US 2022-6: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle
US CLO 2022-6, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Carlyle US CLO
2022-6, Ltd.
A-1R2 LT NRsf New Rating
A-2R2 LT AAAsf New Rating
B-R 14317GAN3 LT PIFsf Paid In Full AAsf
B-R2 LT AAsf New Rating
C-R 14317GAQ6 LT PIFsf Paid In Full Asf
C-R2 LT Asf New Rating
D-R 14317GAS2 LT PIFsf Paid In Full BBB-sf
D-R2 LT BBB-sf New Rating
E-R 14317NAG3 LT PIFsf Paid In Full BB-sf
E-R2 LT BB-sf New Rating
Transaction Summary
Carlyle US CLO 2022-6, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Carlyle CLO
Management L.L.C. that originally closed in December 2022 and was
refinanced for the first time in October 2023. The CLO's secured
notes will be refinanced in whole for the second time on Oct. 27,
2025 (2025 closing date) from proceeds of new secured notes. 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 23.37, 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 96.1%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.74% 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 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 and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' 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 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, and
'Asf' 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 Carlyle US CLO
2022-6, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CARLYLE US 2023-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle
US CLO 2023-4, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Carlyle US CLO
2023-4, Ltd.
A-1-R LT NRsf New Rating
A-1L Loans LT NRsf New Rating
A-2 14319CAC4 LT PIFsf Paid In Full AAAsf
A-2-R LT AAAsf New Rating
B 14319CAE0 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 14319CAG5 LT PIFsf Paid In Full Asf
C-1-R LT A+sf New Rating
C-2-R LT Asf New Rating
D 14319CAJ9 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E 14319DAA6 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Transaction Summary
Carlyle US CLO 2023-4, 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 November
2023 and will be refinanced on Oct. 27, 2025. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $400 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: 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 22.97 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 95.26% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.9% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 47.5% 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 that of 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 and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for
class C-1-R, between 'B+sf' and 'BBB+sf' for class C-2-R, between
less than 'B-sf' and 'BB+sf' for class D-1-R, between less than
'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf',
and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-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-1-R,
'AA+sf' for class C-2-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 Carlyle US CLO
2023-4, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CASCADE FUNDING 2024-RM5: DBRS Confirms B Rating on Class M5 Notes
------------------------------------------------------------------
DBRS, Inc. reviewed 14 classes from two U.S. residential
mortgage-backed securities (RMBS) transactions. The transactions
reviewed are classified as reverse mortgages. Morningstar DBRS
confirmed its credit ratings on the 14 classes.
Debt Rating Action
---- ------ ------
Cascade Funding Mortgage Trust 2024-RM5
Mortgage Backed Notes, Series 2024-RM5
Class A AAA (sf) Confirmed
Class M1 AA(low)(sf) Confirmed
Class M2 A(low)(sf) Confirmed
Class M3 BBB(low)(sf) Confirmed
Class M4A BB(sf) Confirmed
Class M4B BB(low)(sf) Confirmed
Class M5 B(sf) Confirmed
Finance of America HECM Buyout 2024-HB1
Asset-Backed Notes, Series 2024-HB1
Class A1A AAA (sf) Confirmed
Class A1B AAA (sf) Confirmed
Class M1 AA (low)(sf) Confirmed
Class M2 A (low)(sf) Confirmed
Class M3 BBB (sf) Confirmed
Class M4 BB(low)(sf) Confirmed
Class M5 BB(low)(sf) Confirmed
CREDIT RATING RATIONALE/DESCRIPTION
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 September 2025 Update" published on September 30, 2025
(https://dbrs.morningstar.com/research/463860). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
The credit rating actions are the result of Morningstar DBRS'
application of its "Rating and Monitoring U.S. Reverse Mortgage
Securitizations," published on October 22, 2025.
Notes: All figures are in US dollars unless otherwise noted.
CHASE HOME 2025-11: Fitch Assigns 'B-sf' Final Rating on Cl.B5 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Chase Home Lending
Mortgage Trust 2025-11 (Chase 2025-11).
Entity/Debt Rating Prior
----------- ------ -----
Chase 2025-11
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A3X LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A4A LT AAAsf New Rating AAA(EXP)sf
A4X LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A5A LT AAAsf New Rating AAA(EXP)sf
A5X LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A6A LT AAAsf New Rating AAA(EXP)sf
A6X LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A7A LT AAAsf New Rating AAA(EXP)sf
A7X LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A8A LT AAAsf New Rating AAA(EXP)sf
A8X LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A9A LT AAAsf New Rating AAA(EXP)sf
A9B LT AAAsf New Rating AAA(EXP)sf
A9X1 LT AAAsf New Rating AAA(EXP)sf
A9X2 LT AAAsf New Rating AAA(EXP)sf
A9X3 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A10A LT AAAsf New Rating AAA(EXP)sf
A10X LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A11X LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A13x LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A14X LT AAAsf New Rating AAA(EXP)sf
A14X2 LT AAAsf New Rating AAA(EXP)sf
A14X3 LT AAAsf New Rating AAA(EXP)sf
A14X4 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A15A LT AAAsf New Rating AAA(EXP)sf
A15X LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A16A LT AAAsf New Rating AAA(EXP)sf
A16X LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A17A LT AAAsf New Rating AAA(EXP)sf
A17X LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A18A LT AAAsf New Rating AAA(EXP)sf
A18X LT AAAsf New Rating AAA(EXP)sf
AX1 LT AAAsf New Rating AAA(EXP)sf
AX2 LT AAAsf New Rating AAA(EXP)sf
AX3 LT AAAsf New Rating AAA(EXP)sf
B1 LT AA-sf New Rating AA-(EXP)sf
B1A LT AA-sf New Rating AA-(EXP)sf
B1X LT AA-sf New Rating AA-(EXP)sf
B2 LT A-sf New Rating A-(EXP)sf
B2A LT A-sf New Rating A-(EXP)sf
B2X LT A-sf New Rating A-(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BB-sf New Rating BB-(EXP)sf
B5 LT B-sf New Rating B-(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
RR LT NRsf New Rating NR(EXP)sf
Transaction Summary
The Chase 2025-11 certificates are supported by 656 loans with a
scheduled balance of $772.11 million as of the cutoff date.
The pool consists of prime-quality, fixed-rate mortgages (FRMs)
solely originated by JPMorgan Chase Bank, National Association
(JPMCB). The loan-level representations and warranties (R&Ws) are
provided by the originator, JPMCB. All mortgage loans in the pool
will be serviced by JPMCB. The collateral quality of the pool is
extremely strong, with a large percentage of loans over $1.0
million.
Of the loans, 99.9% qualify as safe-harbor qualified mortgage
(SHQM) average prime offer rate (APOR) loans. The collateral
comprises 100% fixed-rate loans. The certificates are fixed rate
and capped at the net weighted average coupon (WAC) or based on the
net WAC, or they are floating rate or inverse floating rate based
off the SOFR index and capped at the net WAC.
KEY RATING DRIVERS
Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS
transactions are directly affected by the performance of the
underlying residential mortgages or mortgage-related assets. Fitch
analyzes loan-level attributes and macroeconomic factors to assess
the credit risk and expected losses.
The pool is comprised of high-quality prime loans with a weighted
average (WA) FICO score of 771, a WA combined loan-to-value (CLTV)
ratio of 74.85%, and a WA debt-to-income (DTI) ratio of 33.77%. The
WA liquid reserves are $726,131. These strong collateral attributes
are reflected in Fitch's loss analysis.
Chase 2025-11 has a final probability of default (PD) of 8.75% in
the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf'
rating stress is 34.29%. The expected loss in the 'AAAsf' rating
stress is 3.22%.
Structural Analysis (Mixed): The mortgage cash flow and loss
allocation in Chase 2025-11 are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years.
The lockout feature helps maintain subordination for a longer
period should losses occur later in the life of the transaction.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained.
This transaction has CE or subordination floors, The CE or senior
subordination floor of 1.00% has been considered to mitigate
potential tail-end risk and loss exposure for senior tranches as
the pool size declines and performance volatility increases due to
adverse loan selection and small loan count concentration. In
addition, a junior subordination floor of 0.85% has been considered
to mitigate potential tail-end risk and loss exposure for
subordinate tranches as the pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.
Losses on the non-retained portion of the loans will be allocated
first to the subordinate bonds (starting with class B-6). Once
class B-1-A is written off, losses will be allocated to class A-9-B
first, and then to the super-senior classes pro rata once class
A-9-B is written off.
This transaction has full advancing of delinquent principal and
interest (DQ P&I) until it is deemed non-recoverable. As a result,
the loss severity was increased in its cash flow analysis to
account for the servicer recouping the advances. This increased the
asset loss by roughly 1.0% is the 'AAAsf' rating stress.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's CE to support payments on the securities under
multiple scenarios incorporating Fitch's loss projections derived
from the asset analysis. Fitch applies its assumptions for
defaults, prepayments, delinquencies and interest rate scenarios.
The CE for all ratings were sufficient for the given rating levels.
The CE for a given rating exceeded the expected losses of that
rating stress to address the structures recoupment of advances and
leakage of principal to more subordinate classes.
Operational Risk Analysis (Positive): Fitch considers originator
and servicer capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 46.48% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by
the TPR firm and have a final grade of either 'A' or 'B'.
Counterparty and Legal Analysis (Neutral): Fitch expects all
relevant transaction parties to conform with the requirements
described in its Global Structured Finance Rating Criteria.
Relevant parties are those whose failure to perform could have a
material outcome on the performance of the transaction.
Additionally, all legal requirements should be satisfied to fully
de-link the transaction from any other entities. Fitch expects
Chase 2025-11 to be a fully de-linked and bankruptcy remote
special-purpose vehicle (SPV). All transaction parties and triggers
align with Fitch expectations.
Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may
include, but are not limited to, new product types with limited or
volatile historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to Chase 2025-11 and therefore Fitch is comfortable rating to the
highest possible rating at 'AAAsf' without any rating caps.
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 47.86% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC. The third-party due diligence described in Form
15E focused on four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch applies an
approximate 5-bp origination PD credit for loans fully reviewed by
the TPR firm and have a final grade of either "A" or "B."
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 46.63% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC
was engaged to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades and
assigned initial grades for each subcategory. Minimal exceptions
and waivers were noted in the due diligence reports. Please refer
tothe "Third-Party Due Diligence" section for more detail.
Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
provided was considered comprehensive. The data contained in the
ResiPLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.
ESG Considerations
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.
CHASE HOME 2025-11: Moody's Assigns B2 Rating to Cl. B-5 Certs
--------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 61 classes of
residential mortgage-backed securities (RMBS) to be issued by Chase
Home Lending Mortgage Trust 2025-11, and sponsored by JPMorgan
Chase Bank, N.A. (JPMCB).
The securities are backed by a pool of prime jumbo (100.0% by
balance) residential mortgages originated and serviced by JPMorgan
Chase Bank, N.A.
The complete rating actions are as follows:
Issuer: Chase Home Lending Mortgage Trust 2025-11
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-3-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-4-A, Definitive Rating Assigned Aaa (sf)
Cl. A-4-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-5-A, Definitive Rating Assigned Aaa (sf)
Cl. A-5-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-6-A, Definitive Rating Assigned Aaa (sf)
Cl. A-6-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-7-A, Definitive Rating Assigned Aaa (sf)
Cl. A-7-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-8-A, Definitive Rating Assigned Aaa (sf)
Cl. A-8-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-A, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-B, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-X1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-X2*, Definitive Rating Assigned Aa1 (sf)
Cl. A-9-X3*, Definitive Rating Assigned Aa1 (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-10-A, Definitive Rating Assigned Aaa (sf)
Cl. A-10-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-11-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-13-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-14-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf)
Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf)
Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-15-A, Definitive Rating Assigned Aaa (sf)
Cl. A-15-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-16-A, Definitive Rating Assigned Aaa (sf)
Cl. A-16-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-17-A, Definitive Rating Assigned Aaa (sf)
Cl. A-17-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-18-A, Definitive Rating Assigned Aaa (sf)
Cl. A-18-X*, Definitive Rating Assigned Aaa (sf)
Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Definitive Rating Assigned Aa3 (sf)
Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-2-A, Definitive Rating Assigned A3 (sf)
Cl. B-2-X*, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B2 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.28%, in a baseline scenario-median is 0.11% and reaches 4.18% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "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 up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
CHASE HOME 2025-12: DBRS Gives Prov. B(low) Rating on B5 Certs
--------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage Pass-Through Certificates, Series 2025-12 (the
Certificates) to be issued by Chase Home Lending Mortgage Trust
2025-12:
-- $520.1 million Class A-1 at (P) AAA (sf)
-- $468.1 million Class A-2 at (P) AAA (sf)
-- $468.1 million Class A-3 at (P) AAA (sf)
-- $468.1 million Class A-3-A at (P) AAA (sf)
-- $468.1 million Class A-3-X1 at (P) AAA (sf)
-- $468.1 million Class A-3-X2 at (P) AAA (sf)
-- $468.1 million Class A-3-X3 at (P) AAA (sf)
-- $351.1 million Class A-4 at (P) AAA (sf)
-- $351.1 million Class A-4-A at (P) AAA (sf)
-- $351.1 million Class A-4-B at (P) AAA (sf)
-- $351.1 million Class A-4-X1 at (P) AAA (sf)
-- $351.1 million Class A-4-X2 at (P) AAA (sf)
-- $351.1 million Class A-4-X3 at (P) AAA (sf)
-- $117.0 million Class A-5 at (P) AAA (sf)
-- $117.0 million Class A-5-A at (P) AAA (sf)
-- $117.0 million Class A-5-B at (P) AAA (sf)
-- $117.0 million Class A-5-X1 at (P) AAA (sf)
-- $117.0 million Class A-5-X2 at (P) AAA (sf)
-- $117.0 million Class A-5-X3 at (P) AAA (sf)
-- $280.9 million Class A-6 at (P) AAA (sf)
-- $280.9 million Class A-6-A at (P) AAA (sf)
-- $280.9 million Class A-6-B at (P) AAA (sf)
-- $280.9 million Class A-6-X1 at (P) AAA (sf)
-- $280.9 million Class A-6-X2 at (P) AAA (sf)
-- $280.9 million Class A-6-X3 at (P) AAA (sf)
-- $187.2 million Class A-7 at (P) AAA (sf)
-- $187.2 million Class A-7-A at (P) AAA (sf)
-- $187.2 million Class A-7-B at (P) AAA (sf)
-- $187.2 million Class A-7-X1 at (P) AAA (sf)
-- $187.2 million Class A-7-X2 at (P) AAA (sf)
-- $187.2 million Class A-7-X3 at (P) AAA (sf)
-- $70.2 million Class A-8 at (P) AAA (sf)
-- $70.2 million Class A-8-A at (P) AAA (sf)
-- $70.2 million Class A-8-B at (P) AAA (sf)
-- $70.2 million Class A-8-X1 at (P) AAA (sf)
-- $70.2 million Class A-8-X2 at (P) AAA (sf)
-- $70.2 million Class A-8-X3 at (P) AAA (sf)
-- $61.8 million Class A-9 at (P) AAA (sf)
-- $61.8 million Class A-9-A at (P) AAA (sf)
-- $61.8 million Class A-9-B at (P) AAA (sf)
-- $61.8 million Class A-9-X1 at (P) AAA (sf)
-- $61.8 million Class A-9-X2 at (P) AAA (sf)
-- $61.8 million Class A-9-X3 at (P) AAA (sf)
-- $187.2 million Class A-10 at (P) AAA (sf)
-- $187.2 million Class A-10-A at (P) AAA (sf)
-- $187.2 million Class A-10-B at (P) AAA (sf)
-- $187.2 million Class A-10-X1 at (P) AAA (sf)
-- $187.2 million Class A-10-X2 at (P) AAA (sf)
-- $187.2 million Class A-10-X3 at (P) AAA (sf)
-- $52.0 million Class A-11 at (P) AAA (sf)
-- $52.0 million Class A-11-X at (P) AAA (sf)
-- $52.0 million Class A-12 at (P) AAA (sf)
-- $52.0 million Class A-13 at (P) AAA (sf)
-- $52.0 million Class A-13-X at (P) AAA (sf)
-- $52.0 million Class A-14 at (P) AAA (sf)
-- $52.0 million Class A-14-X at (P) AAA (sf)
-- $52.0 million Class A-14-X2 at (P) AAA (sf)
-- $52.0 million Class A-14-X3 at (P) AAA (sf)
-- $52.0 million Class A-14-X4 at (P) AAA (sf)
-- $93.6 million Class A-15 at (P) AAA (sf)
-- $93.6 million Class A-15-A at (P) AAA (sf)
-- $93.6 million Class A-15-B at (P) AAA (sf)
-- $93.6 million Class A-15-X1 at (P) AAA (sf)
-- $93.6 million Class A-15-X2 at (P) AAA (sf)
-- $93.6 million Class A-15-X3 at (P) AAA (sf)
-- $93.6 million Class A-16 at (P) AAA (sf)
-- $93.6 million Class A-16-A at (P) AAA (sf)
-- $93.6 million Class A-16-B at (P) AAA (sf)
-- $93.6 million Class A-16-X1 at (P) AAA (sf)
-- $93.6 million Class A-16-X2 at (P) AAA (sf)
-- $93.6 million Class A-16-X3 at (P) AAA (sf)
-- $93.6 million Class A-17 at (P) AAA (sf)
-- $93.6 million Class A-17-A at (P) AAA (sf)
-- $93.6 million Class A-17-B at (P) AAA (sf)
-- $93.6 million Class A-17-X1 at (P) AAA (sf)
-- $93.6 million Class A-17-X2 at (P) AAA (sf)
-- $93.6 million Class A-17-X3 at (P) AAA (sf)
-- $163.8 million Class A-18 at (P) AAA (sf)
-- $163.8 million Class A-18-A at (P) AAA (sf)
-- $163.8 million Class A-18-B at (P) AAA (sf)
-- $163.8 million Class A-18-X1 at (P) AAA (sf)
-- $163.8 million Class A-18-X2 at (P) AAA (sf)
-- $163.8 million Class A-18-X3 at (P) AAA (sf)
-- $581.9 million Class A-X-1 at (P) AAA (sf)
-- $581.9 million Class A-X-2 at (P) AAA (sf)
-- $581.9 million Class A-X-3 at (P) AAA (sf)
-- $12.5 million Class B-1 at (P) AA (low) (sf)
-- $12.5 million Class B-1-A at (P) AA (low) (sf)
-- $12.5 million Class B-1-X at (P) AA (low) (sf)
-- $6.7 million Class B-2 at (P) A (low) (sf)
-- $6.7 million Class B-2-A at (P) A (low) (sf)
-- $6.7 million Class B-2-X at (P) A (low) (sf)
-- $4.9 million Class B-3 at (P) BBB (low) (sf)
-- $3.1 million Class B-4 at (P) BB (low) (sf)
-- $1.2 million Class B-5 at (P) B (low) (sf)
Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1,
A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3,
A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2,
A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4,
A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1,
A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, A-X-2, A-X-3,
B-1-X, and B-2-X are interest-only (IO) certificates. The class
balances represent notional amounts.
Classes A-1, A-2, A-3, A-3-A, A-4, A-4-A, A-4-B, A-5, A-5-A, A-6,
A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-9, A-9-A, A-10,
A-10-A, A-10-B, A-11, A-12, A-13, A-15, A-15-A, A-16, A-16-A, A-17,
A-17-A, A-18, A-18-A, A-18-B, B-1, and B-2 are exchangeable
certificates. These classes can be exchanged for combinations of
depositable certificates as specified in the offering documents.
Classes A-1, A-2, A-3, A-3-A, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B,
A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10,
A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16,
A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, and A-18-A are
super-senior certificates. These classes benefit from additional
protection from the senior support certificate (Classes A-9, A-9-A,
A-9-B) regarding loss allocation.
The (P) AAA (sf) credit ratings on the Certificates reflect 4.90%
of credit enhancement provided by subordinated certificates. The
(P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB
(low) (sf), and (P) B (low) (sf) credit ratings reflect 2.85%,
1.75%, 0.95%, 0.45%, 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 transaction is a securitization of a portfolio of first-lien,
fixed-rate prime residential mortgages funded by the issuance of
the Certificates. The Certificates are backed by 520 loans with a
total principal balance of $644,117,366 as of the Cut-Off Date
(November 1, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity from 15 to 30 years and a
weighted-average loan age of three months. They are traditional,
prime jumbo mortgage loans. Approximately 58.5% of the loans were
underwritten using an automated underwriting system designated by
Fannie Mae or Freddie Mac. In addition, all the loans in the pool
were originated in accordance with the new general Qualified
Mortgage rule.
JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer
of 100.0% of the pool.
For this transaction, generally, the servicing fee payable for
mortgage loans is composed of three separate components: the base
servicing fee, the delinquent servicing fee, and the additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.
U.S. Bank Trust Company, National Association (rated AA with a
Stable trend), will act as Securities Administrator. U.S. Bank
Trust National Association will act as Delaware Trustee. JPMCB will
act as Custodian. Pentalpha Surveillance LLC will serve as the
Representations and Warranties (R&W) Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
Notes: All figures are in U.S. dollars unless otherwise noted.
CIFC FUNDING 2020-III: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CIFC
Funding 2020-III, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
CIFC Funding
2020-III, Ltd.
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
Subordinated LT NRsf New Rating
Transaction Summary
CIFC Funding 2020-III, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by CIFC Asset
Management LLC. This transaction originally closed on October 2020
and refinanced on November 2021. This reset will see all secured
notes refinanced on Oct. 29, 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 23.84, 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 95.46%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.21% 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-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-R2, 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-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, 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
2020-III, Ltd. In cases where Fitch does not provide ESG relevance
scores in connection with the credit rating of a transaction,
program, instrument or issuer, Fitch will disclose in the key
rating drivers any ESG factor which has a significant impact on the
rating on an individual basis.
CIP COMMERCIAL 2025-SBAY: Fitch Rates Class F Certs 'Bsf'
---------------------------------------------------------
Fitch Ratings has assigned final ratings and Outlooks to CIP
Commercial Mortgage Trust 2025-SBAY, Commercial Mortgage
Pass-Through Certificates, Series 2025-SBAY.
Entity/Debt Rating Prior
----------- ------ -----
CIP Commercial
Mortgage Trust
2025-SBAY
A LT AAAsf New Rating AAA(EXP)sf
B LT AA-sf New Rating AA-(EXP)sf
C LT A-sf New Rating A-(EXP)sf
D LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
F LT Bsf New Rating B(EXP)sf
VRR LT NRsf New Rating NR(EXP)sf
Fitch has rated the transaction and assigned Outlooks as follows:
- $414,295,000(a) class A 'AAAsf'; Outlook Stable;
- $68,115,000(a) class B 'AA-sf'; Outlook Stable;
- $53,485,000(a) class C 'A-sf'; Outlook Stable;
- $75,430,000(a) class D 'BBB-sf'; Outlook Stable;
- $115,615,000(a) class E 'BB-sf'; Outlook Stable;
- $52,060,000(a) class F 'Bsf'; Outlook Stable.
The following class is not rated by Fitch:
- $41,000,000 VRR(a)(b).
(a) Privately placed and pursuant to Rule 144A
(b) Vertical risk retention interest representing 5.0% of the fair
value of all classes
Transaction Summary
The certificates represent the beneficial ownership interest in a
trust that will hold a $820.0 million, two-year, floating-rate,
interest-only (IO) mortgage loan with three one-year extension
options. The mortgage will be secured by the borrower's fee
interests in a portfolio of 42 shallow bay industrial centers,
comprising approximately 6.1 million sf across six states and six
markets.
Borrower sponsorship is a joint venture between affiliates of CIP
Real Estate LLC (CIP) and Almanac Realty Investors (Almanac), which
acquired the portfolio between 2019 and 2023 for a purchase price
of approximately $786.7 million.
Mortgage loan proceeds are being used to repay approximately $602.2
million of existing debt, fund $10.9 million in upfront reserves
(approximately $2.4 million of outstanding landlord obligations in
connection with recent leases and approximately $8.5 million
holdback for ongoing work at the Fortune Tech Center), pay
approximately $15.0 million of closing costs, and return
approximately $191.9 million of equity to the borrower.
The loan is co-originated by Wells Fargo Bank, National
Association, JPMorgan Chase Bank, National Association, and Goldman
Sachs Bank USA which will act as mortgage loan sellers. Trimont,
LLC will act as the servicer, with Situs Holdings, LLC as special
servicer. Deutsche Bank National Trust Company is to act as the
trustee, and Computershare Trust Company, National Association will
serve as the certificate administrator.
The certificates will follow a pro-rata paydown for any prepayment
up to the initial 30% of the loan amount and a standard
senior-sequential paydown thereafter.
KEY RATING DRIVERS
Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the
portfolio at $57.6 million. This is 10.1% lower than the issuer's
NCF. Fitch applied a 7.5% cap rate to derive a Fitch value of
approximately $768.4 million. This equates to a 32.7% value decline
relative to the appraiser's concluded "as is" value for the
portfolio.
High Fitch Leverage: The $820.0 million whole loan equates to debt
of approximately $134 psf with a Fitch stressed debt yield (DY),
debt service coverage ratio (DSCR), and loan-to-value ratio (LTV)
of 7.0%, 0.83x, and 106.7%, respectively. The loan represents
approximately 69.1% of the "as-is" appraised value of $1.1
9billion, which is inclusive of an approximately $49.2 million
portfolio premium and the "as-is" appraised value excluding the
portfolio premium is approximately $1.14 billion, resulting in an
LTV of 72.1%. Fitch decreased the LTV hurdles by 1.25% to reflect
the higher in-place leverage.
Geographic and Tenant Diversity: The portfolio is well diversified,
with 42 properties (6.1 million sf) across six states and six MSAs.
The three largest state concentrations are Georgia (2,014,928 sf,
eight properties, 36 buildings); Texas (1,361,396 sf, 20
properties, 49 buildings); and California (963,637 sf, four
properties, 47 buildings). The three largest MSAs are Atlanta-GA
(32.9% of NRA, 26.8 of allocated loan amount [ALA]); Dallas-Fort
Worth-TX (22.2% of NRA, 25.0% of ALA); and Charlotte-NC/SC (19.6%
of NRA, 20.0% of ALA). The portfolio also exhibits significant
tenant diversity, as it features over 950 distinct tenants, with no
tenant representing more than 2.1% of NRA, and 1.5% of Fitch Base
Rent.
Significant Capital Investment: Following the acquisition, the
sponsorship has invested approximately $140.9 million in capital
improvements across the portfolio. The vast majority went toward
roof renovations and the sponsorship has an estimated total cost
basis of $927.6 million. The sponsor plans to reconfigure rolling
tenants into ideal flex industrial buildouts where necessary.
Institutional Sponsorship: Founded in 1995 and headquartered in
Irvine, CA, CIP is a full-service investment and management firm
that manages over 10.5 million sf of industrial assets. Almanac, a
business unit of Neuberger Berman, is a U.S.-focused real estate
investment manager that provides growth capital to private and
public real estate operating companies and REITs across sectors,
including senior housing, industrial, office, retail, multifamily,
hospitality, and student housing. , employing opportunistic,
value-add, and core strategies
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity of the
transaction to meet its debt service obligations. The list below
indicates the model-implied rating sensitivity to changes in one
variable, Fitch-defined NCF:
- Note classes: A/B/C/D/E/F
- Original ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf/'BB-sf/Bsf
- 10% NCF decline: 'AAsf'/'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf/CCC+sf
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity of
the transaction to meet its debt service obligations. The list
below indicates the model-implied rating sensitivity to changes in
one variable, Fitch NCF:
- Note classes: A/B/C/D/E/F
- Original ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf/'BB-sf/'B-sf
- 10% NCF increase: 'AAAsf'/'AA+sf'/'A+sf/'BBBsf'/'BBsf/'BB-sf
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by KPMG 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.
CITIGROUP 2025-RP4: Fitch Assigns Bsf Final Rating on Cl. B-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust
2025-RP4 (CMLTI 2025-RP4).
Entity/Debt Rating Prior
----------- ------ -----
CMLTI 2025-RP4
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
M-1 LT Asf New Rating A(EXP)sf
M-2 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
X LT NRsf New Rating NR(EXP)sf
SA LT NRsf New Rating NR(EXP)sf
PT LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The notes are supported by 1,752 seasoned performing loans (SPLs)
and reperforming loans (RPLs) with a total balance of about $262.4
million, including $23.8 million, or 9.1%, of the aggregate pool
balance in non-interest-bearing deferred principal amounts as of
the cutoff date. The borrowers have a weighted-average (WA) FICO of
683, as determined by Fitch, and a current mark-to-market (MtM)
combined loan-to-value ratio (cLTV) of 46.1%.
All loans in the transaction were originated in 2020 or earlier and
are seasoned at least 24 months. An updated broker price opinion
(BPO) was provided. Of the pool, 50.4% of the loans have had a
clean payment history over the past 12 months and 29.7% are
currently delinquent.
Distributions of principal and interest (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. The structure includes a reserve fund comprised of seven
pre-closing REO properties which will provide additional structural
protection. Any proceeds from the disposition of any pre-closing
date REO properties will be used to cover realized losses and the
funds will be held by the trust administrator. The figures in the
presale only reference the non-pre-close REO properties. The
servicer will not advance delinquent monthly payments of P&I.
There have been no changes to the collateral or structure since the
publication of the presale.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. CMLTI 2025-RP4 has a final probability of default (PD) of
55.7% in the 'AAAsf' rating stress. Fitch's final loss severity
(LS) in the 'AAAsf' rating stress is 22.0%. The expected loss in
the 'AAAsf' rating stress is 12.3% (see Highlights and Asset
Analysis sections for more details).
Structural Analysis: The mortgage cash flow and loss allocation in
CMLTI 2025-RP4 are based on a sequential-pay structure, whereby the
subordinated classes do not receive principal until the 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 in the absence of servicer advancing. Interest and
interest shortfalls are paid sequentially.
CMLTI 2025-RP4 has a step-up coupon for the A-1, A-2 and M-1
classes. After four years, the classes pay the lesser of a 100-bp
increase to the fixed coupon or the net weighted average coupon
(WAC) rate. The M-2 class will step-down, and coupon will be a per
annum rate of 0.00%. The B-1, B-2 and B-3 classes will convert to
Principal Only (PO) bonds on the step-up date and will not accrue
interest.
The transaction includes a reserve fund comprised of seven
pre-close REO properties which will provide extra protection to the
structure as a form of credit enhancement. Any disposition of a
pre-close REO property will be used to cover realized losses for
the most senior notes. The pre-close REO properties were not
included in the mortgage loans definition and were not included in
Fitch's asset analysis. Fitch analyzes the capital structure to
determine the adequacy of the transaction's credit enhancement (CE)
to support payments on the securities under multiple scenarios
incorporating Fitch's loss projections derived from the asset
analysis. Fitch applies its assumptions for defaults, prepayments,
delinquencies and interest rate scenarios. The CE for all ratings
were sufficient for the given rating levels. The CE for a given
rating exceeded the expected losses of that rating stress.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction by loan count.
Fitch expects SPL/RPL pools to have full diligence completed.
Specifically, for loans that have an application date on or after
Jan. 10, 2014, Fitch expects a full due diligence scope that
includes a review of credit, regulatory compliance and property
valuation. For loans with an application date prior to Jan. 10,
2014, Fitch primarily receives a regulatory compliance review to
ensure loans were originated in accordance with predatory lending
regulations. Fitch's review of the operational risk for this
transaction did not have an impact on the analysis.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material impact on
the performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects CMLTI 2025-RP4 to be fully
de-linked and a bankruptcy-remote, special-purpose vehicle (SPV) at
closing. All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to CMLTI 2025-RP4, and, therefore, Fitch is comfortable assigning
the highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 37.9% 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. The third-party due diligence review was
completed on 100% of the loans in this transaction. The scope of
the due diligence review was consistent with Fitch criteria for
seasoned collateral. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments:
increased the LS due to HUD-1 issues, missing modification
agreements, as well as delinquent taxes and outstanding liens.
These adjustments resulted in an increase in the 'AAAsf' expected
loss of approximately 18bps.
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 2018-HOME: Fitch Affirms BB Rating on Class HRR Certs
----------------------------------------------------------
Fitch Ratings has affirmed all classes of COMM 2018-HOME Mortgage
Trust (COMM 2018-HOME) commercial mortgage pass through
certificates. The Rating Outlook for class B has been revised to
Positive from Stable. The Rating Outlooks for classes C, D and H-RR
have been revised to Stable from Negative.
Entity/Debt Rating Prior
----------- ------ -----
COMM 2018-HOME
A 20048JAA8 LT AAAsf Affirmed AAAsf
B 20048JAE0 LT AA-sf Affirmed AA-sf
C 20048JAG5 LT A-sf Affirmed A-sf
D 20048JAJ9 LT BBBsf Affirmed BBBsf
HRR 20048JAL4 LT BBsf Affirmed BBsf
KEY RATING DRIVERS
Stable to Improved Performance: The Outlook revisions on classes B,
C, D and HRR reflect improved property-level net cash flow (NCF) on
The Gateway property (31% of the pool) as well as continued
improved performance on the TriBeCa House (41%) and Aalto57 (28%)
properties. In addition to its base case analysis, Fitch performed
a sensitivity scenario where the transaction is adversely selected
and the TriBeCa House and Aalto57 loans payoff and only the Gateway
remains; this scenario contributed to the affirmations and Outlook
revisions.
Gateway (1,254-units, San Francisco, CA): NCF for The Gateway loan
remains below issuance levels but has shown signs of recovery as
average rent has steadily increased and become more in line with
the San Francisco market, where fundamentals have also improved.
These factors resulted in Fitch increasing its sustainable NCF to
$24.7 million from $20.5 million at the last rating action. While
improving, this figure remains 20.7% below Fitch's issuance NCF of
$31.2 million.
Property occupancy at Gateway has steadily improved from a low of
91.4% reported at YE 2021. Occupancy was 95.4% as of June 2025,
93.8% at YE 2024, 93.5% at YE 2023, and 93.2% at YE 2022. It
remains below the 97% reported at issuance. As of June 2025, the
servicer-reported NCF debt service coverage ratio (DSCR) was 2.44x,
compared with 2.25x at YE 2024, 1.96x at YE 2023, 1.82x at YE 2022,
2.03x at YE 2021, 2.59x at YE 2020 and 3.01x at YE 2019.
The updated Fitch NCF of $24.7 million reflects rental income from
leases in-place as of the August 2025 rent roll, which have
rebounded to the rental rates at issuance. In-place average rent
per unit as of the August 2025 rent roll is approximately $3,100,
up from $3,031 at June 2024, $2,929 at YE 2024 and YE 2023, $2,810
at YE 2022 and $2,738 at YE 2021, and slightly above $3,049 at
issuance. However, expenses are 47.8% higher than at issuance..
Fitch relied on June 2025 reporting for most of the operating
expenses.
A 15% increase was applied to the insurance expense to address the
expectation for future increase in premiums. The management fee and
real estate taxes, which reflect Fitch's Proposition 13 analysis,
were in line with issuance assumptions. Insurance, professional
fees and repairs and maintenance expenses were considerably higher
than issuance. Per the servicer, capital upgrades were made,
including a retrofit that took place in 2023.
TriBeCa House (503-units; TriBeCa neighborhood of Manhattan):
Occupancy was 93.5% as June 2025, compared with 97.4% at YE 2024,
93.9% at YE 2023, 98.2% at YE 2022 and 93% at issuance. Fitch's
updated NCF of $21.3 million has improved 21.4% from issuance NCF
of $17.5 million due to improved occupancy and higher in-place
rents. The June 2025 servicer-reported NCF DSCR increased to 3.05x
from 2.81x at YE 2024, 2.43x at YE 2023, 2.41x at YE 2022, 1.36x at
YE 2021, 2.13x at YE 2020 and 2.62x at YE 2019. Fitch's updated NCF
factored in rents as of June 2025 and assumed an all-in vacancy of
10% due to above average market rent and rent growth. Fitch relied
on June 2025 reporting for most of the operating expenses, which
factored in a 15% increase to insurance expenses.
Aalto57 (169-units; Sutton Place neighborhood of Manhattan's Upper
East Side): Occupancy improved to 99.4% as of June 2025 from 97% at
YE 2024, 98.2% at YE 2023, 96.5% at YE 2022 and 76.3% at YE 2020,
exceeding 96% at issuance. Overall property performance and Fitch
NCF remains in line with issuance expectations. Fitch's current NCF
of $11.6 million, which factored in a 15% increase in insurance
expense, exceeds the $10.2 million Fitch NCF at issuance. The June
2025 servicer-reported NCF DSCR was 2.76x compared with 2.64x at YE
2024, 2.58x at YE 2023, 2.18x at YE 2022, 1.90x at YE 2021, 2.11x
at YE 2020 and 2.54x at YE 2019. Fitch's updated NCF factored in
rents and the majority of operating expenses as of June 2025. Real
estate taxes were in line with issuance assumptions.
Low Fixed Rate Coupons: The loans have fixed-rate coupons between
3.72% and 3.92%. In its analysis, Fitch applied an upward
loan-to-value (LTV) hurdle adjustment due to the low coupons. The
loans mature in 2028.
Trust Leverage: The Fitch stressed DSCR and loan-to-value (LTV) for
the transaction were 1.24x and 73.1%, respectively, with a trust
deb of $327,103 psf. At issuance, the stressed DSCR and LTV were
1.16x and 75.1%, respectively.
Concentrated Pool: The pool is secured by three loans, all of which
are secured by multifamily properties, one in San Francisco, CA and
two in Manhattan. Fitch's analysis considered an additional
sensitivity scenario which assumed the Tribeca House and Aalton57
loans would refinance at maturity given their stable to improved
performance since issuance, with The Gateway loan as the remaining
asset. The Outlooks reflect this sensitivity scenario.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades are possible if cash flow improvement is not sustained
and average rents and NCF decline.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Should The Gateway continue to demonstrate sustained performance
improvement exceeding Fitch's expectation of sustainable
performance, future upgrades are possible.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
COOPR RESIDENTIAL 2025-CES4: Fitch Rates Cl. B-3A Notes 'B-(EXP)'
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to COOPR Residential
Mortgage Trust 2025-CES4 (COOPR 2025-CES4).
Entity/Debt Rating
----------- ------
COOPR 2025-CES4
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
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-3A LT B-(EXP)sf Expected Rating
B-3B LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed notes issued
by COOPR Residential Mortgage Trust 2025-CES4 (COOPR 2025-CES4) as
indicated above. The notes are supported by 4,175 closed-end second
lien (CES) loans with a total balance of approximately $301 million
as of the cutoff date. Nationstar Mortgage LLC dba Mr. Cooper
(Nationstar) originated 100% of the loans and will be the primary
servicer for all loans.
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
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. COOPR 2025-CES4 has a final probability of default (PD) of
18.30% in the 'AAAsf' rating stress. Fitch's final loss severity
(LS) in the 'AAAsf' rating stress is 95.12%. The expected loss in
the 'AAAsf' rating stress is 15.42%.
Structural Analysis: The mortgage cash flow and loss allocation in
COOPR 2025-CES4 are based on a sequential-payment structure, where
principal is used to pay down the bonds sequentially and losses are
allocated reverse sequentially. Monthly excess cash flow, derived
after the allocation of interest and principal payments, can be
used as principal, first, to repay any current or previously
allocated cumulative applied realized losses, and then to repay
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.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings was sufficient for the given
rating levels. The CE for a given rating exceeded the expected
losses of that rating stress to address the structure's recoupment
of advances and leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
mechanism (RW&E) framework to derive a potential operational risk
adjustment. The only consideration that has a direct impact on
Fitch's loss expectations is due diligence. Third-party due
diligence was performed on 34.2% of the loans in the transaction by
loan count. Fitch applies a 5-bps z-score reduction for loans fully
reviewed by a third-party review (TPR) firm, which have a final
grade of either "A" or "B".
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material impact on
the transaction's performance. Additionally, all legal requirements
should be satisfied to fully de-link the transaction from any other
entities. Fitch expects COOPR 2025-CES4 to be fully de-linked and
function as a bankruptcy-remote special-purpose vehicle (SPV). All
transaction parties and triggers align with Fitch's expectations.
Shortened Liquidation Timelines: Fitch's analysis for this
transaction assumes liquidation timelines of six months in the base
case and up to 12 months in the 'AAAsf' stress, compared with 18-36
months for first lien collateral. COOPR 2025-CES4 incorporates an
optional loan charge-off at 180 days' delinquency. Based on
historical observations, second lien collateral typically
liquidates after 180 days' delinquency. Fitch assumes in the base
case that the charge-off feature will be exercised as soon as
possible with lower probabilities of charge-off in the higher
rating cases. When taken together with its presumed modification
timelines of 12 months, Fitch's all-in timelines range from nine
months at the base case to 12 months at its 'AAAsf' rating case.
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 38.1% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics and Opus Capital Markets
Consultants, LLC. The third-party due diligence described in Form
15E focused on credit, compliance, and property valuation. Fitch
considered this information in its analysis and, as a result, Fitch
applies an approximate 5-bp origination PD credit for loans fully
reviewed by the TPR firm and have a final grade of either "A" or
"B".
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.
CROWN POINT 4: Moody's Cuts Rating on $20.25MM Class E Notes to B1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Crown Point CLO 4 Ltd.:
US$27,000,000 Class C Secured Deferrable Mezzanine Floating Rate
Notes due 2031, Upgraded to Aaa (sf); previously on April 10, 2025
Upgraded to Aa1 (sf)
US$29,250,000 Class D Secured Deferrable Mezzanine Floating Rate
Notes due 2031, Upgraded to A3 (sf); previously on April 10, 2025
Upgraded to Baa2 (sf)
Moody's have also downgraded the rating on the following notes:
US$20,250,000 Class E Secured Deferrable Junior Floating Rate Notes
due 2031, Downgraded to B1 (sf); previously on September 9, 2020
Confirmed at Ba3 (sf)
Crown Point CLO 4 Ltd., originally issued in March 2018, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2023.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating actions are primarily a result of deleveraging
of the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since April 2025. The Class A
notes have been paid down by approximately 91.2% or $99.6 million
since April 2025. Based on the trustee's October 2025 report[1],
the OC ratios for the Class A/B, Class C, and Class D notes are
reported at 187.50%, 145.45%, and 117.02%, respectively, versus
March 2025 levels[2] of 154.13%, 131.99%, and 114.22%,
respectively. Moody's notes that the October 2025 trustee-reported
OC ratios do not reflect the October 2025 payment distribution,
when $31.6 million of principal proceeds were used to pay down the
Class A Notes.
The downgrade rating action on the Class E 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 October 2025 report[3], the OC ratios for the Class E
notes are reported at 103.07%, respectively, versus March 2025
level[4] of 104.48%. Furthermore, the Moody's calculated weighted
average rating factor (WARF) has been deteriorating and the current
level is 3505 compared to 3254 in April 2025.
No actions were taken on the Class A and Class B 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 "Collateralized
Loan Obligations" rating methodology published in October 2025.
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: $144,234,574
Defaulted par: $9,862,048
Diversity Score: 47
Weighted Average Rating Factor (WARF): 3505
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.08%
Weighted Average Coupon (WAC): 12.00%
Weighted Average Recovery Rate (WARR): 46.26%
Weighted Average Life (WAL): 2.7 years
Par haircut in OC tests and interest diversion test: 3.48%
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 "Collateralized
Loan Obligations" published in October 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.
CSMC 2021-BHAR: DBRS Confirms B(low) Rating on Class F Certs
------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the following classes
of Commercial Mortgage Pass-Through Certificates, Series 2021-BHAR
issued by CSMC 2021-BHAR:
-- Class A at AAA (sf)
-- Class X-NCP at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
Morningstar DBRS changed the trends on Classes D, E, and F to
Negative from Stable. The trends on all remaining classes are
Stable.
The credit rating confirmations and Stable trends reflect the
overall healthy credit profile for the transaction given the
collateral hotel's consistent occupancy rates, favorable location
along the Atlantic Ocean and its outperformance in comparison with
its competitive set. However, although cash flows remain above
Morningstar DBRS' expectations at issuance, with revenue
significantly outperforming, expense increases have resulted in
year-over-year cash flows trending downward as compared with the
2021 term peak. In addition, the loan sponsor has reportedly been
exposed to legal issues related to the condominium owners at the
property and the loan recently transferred to special servicing
ahead of the upcoming maturity date, supporting the Negative trends
placed on the three lowest-rated classes with this review.
The collateral consists of the fee-simple interest in the St. Regis
Bal Harbor Resort, 216-key luxury full-service hotel in Miami
Beach, Florida. The property consists of 192 hotel rooms and 24
third party-owned condominium units that participate in a rental
management program. The collateral is within the Center Tower that
offers all oceanfront rooms. The property has four upscale
restaurants, multiple swimming pools, approximately 14,000 square
feet (sf) of amenities, and more than 33,000 sf of indoor/outdoor
event space. The property is operated and managed by Sheraton, a
Marriott-owned brand, with sponsorship provided by the Qatar-based
Al Faisal Holding, a real estate investment company that, at
issuance, owned 37 properties across the world, including five
luxury hotels in the United States.
The floating-rate loan is interest-only (IO) with an initial
maturity date of November 2023 and three one-year extension
options, with a fully extended maturity date of November 2026. The
borrower has exercised the second of three annual extension
options, with a current maturity date in November 2025. Though
there are no performance-contingent tests for the extension option,
an interest rate cap agreement must be in place.
Revenue growth has been strong as compared with the issuance
figures, with demand consistently healthy and the hotel
outperforming its competitive set. The March 2025 STR, Inc.
reported an occupancy rate, average daily rate (ADR), and revenue
per available room (RevPAR) of 69.2%, $1,076.14, and $744.26,
respectively, with a RevPAR penetration rate of 108.2% for the
trailing 12-month period (T-12) ended March 31, 2025. The March
2025 occupancy, ADR, and RevPAR figures compare with the issuance
figures as of the T-12 ended August 31, 2021, of 66.8%, $1,040.21,
and $695.32, respectively.
The financial reporting for the YE2024 period shows net cash flow
(NCF) remains in line with Morningstar DBRS' issuance figures, with
the YE2024 NCF reported at $16.4 million, an 8.5% variance from the
Morningstar DBRS NCF figure of $15.0 million. While this figure
remains higher than issuance expectations, cash flows have been
trending downward over the past few years, with the YE2024 NCF
figure representing a 21.1% decline from YE2023 NCF of $20.8
million. The T-12 ended June 30, 2025, NCF was recently reported
and shows NCF remains relatively in line with the YE2024 figure.
The downward trend in reported cash flows over the past several
years has largely been the result of increased room, food and
beverage, and repair and maintenance expenses. The debt service
coverage ratio (DSCR) has declined commiserate with the cash flow
drop, down to 1.08 times (x) at YE2024 DSCR. The loan terms require
the borrower to maintain an interest rate cap with a strike rate
that results in a DSCR of at least 1.15x.
In October 2025, Bisnow reported an ongoing legal dispute between
the residents of the St. Regis Bal Harbour condominiums and the
subject property's Qatar-based owner. The dispute is reportedly
because of multiple deferred maintenance items throughout the
property, this including structural damage, mold colonies, and
cracks in concrete. Morningstar DBRS has requested additional
information from the servicer on the status of the dispute, and
confirmation of any impact to common areas within the collateral
that may be related to the reported maintenance issues, and a
response is pending as of the date of this press release.
The analysis for this review considered the Morningstar DBRS Value
derived at issuance, which was based on the Morningstar DBRS NCF
figure as stated above and a capitalization rate of 7.75%,
resulting in a Morningstar DBRS value of $193.4 million and a
whole-loan LTV of 97.2%. The Morningstar DBRS value represents a
47.2% haircut to the appraiser's value of $331.0 million. At
issuance, Morningstar DBRS applied a 1.50% cash flow volatility
credit, but this was removed in the analysis for this review given
the declining cash flows since 2021 and increased expenses driving
those trends. The other positive qualitative adjustments applied at
issuance, totaling 4.50%, to reflect the property's quality, and
market fundamentals, were maintained for this review.
Notes: All figures are in U.S. dollars unless otherwise noted.
DBC 2025-DBC: DBRS Finalizes BB(high) Rating on Class HRR Certs
---------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following classes of DBC 2025-DBC Mortgage Trust Commercial
Mortgage Pass-Through Certificates (the Certificates) issued by DBC
2025-DBC Mortgage Trust (the Trust):
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
All trends are Stable.
The Trust is a single-asset/single-borrower transaction
collateralized by the borrower's condominium interest in Deutsche
Bank Center, a 1.1 million square foot (sf) office property. The
property is part of a larger 2.8 million-sf mixed-use property that
includes retail, entertainment, residential, hotel, and a parking
garage. The property is in Manhattan in New York City within the
Midtown West office submarket and is 100% leased; Deutsche Bank
(DB) leases 1,049,828 sf (93.5% of total NRA) with PDT Partners
leasing the remaining 73,019 sf (6.5% of total NRA). The property
is the North American headquarters for DB and is home to over 5,000
employees. The property also serves as the global headquarters for
PDT Partners. The collateral was originally constructed in 2003 as
the global headquarters for Time Warner. The property received an
extensive investment from both tenants to build out the new space
and upgrade the building from its prior use from Time Warner. The
sponsor has reported an investment of approximately $200 million in
tenant improvements and landlord work, while DB has invested an
additional $300 million for a total of $500 million for the space
currently occupied by DB. The sponsor also invested over $170 per
sf (psf) for the PDT Partners space to build out the space to
accommodate its needs as a high-profile hedge fund.
DB, an investment-grade company rated A (high) with a Stable trend
by Morningstar DBRS, is the largest tenant at the property and
comprises 93.5% of the NRA at the property. Morningstar DBRS
upgraded DB's Long-Term Issuer Rating to A (high) from "A" on June
25, 2025. In 2021, DB took occupancy on a 20-year lease until 2041
and currently has a remaining lease term of 15.8 years. DB has a
renewal option of up to 20 years at 100% fair market value rent. DB
has a termination option after 15 years with 36 months prior notice
and is subject to reimbursement of unamortized tenant improvement,
leasing commission, rent abatement, and three-month rent penalty
costs totaling approximately $144 million. In addition to the $200
million invested in the property by the landlord, DB invested an
additional $300 million into the space prior taking occupancy in
October 2021. PDT Partners moved into the property in 2022 and
occupies 73,019 sf (6.5% of the NRA) with a lease expiring in 2039
and has 13.9 years of remaining lease term. The office space at
this property offers various amenities in addition to the unique
trading floors for DB; such amenities consist of conference rooms,
an art collection, a full-service restaurant and cafeteria, a bar,
a lounge space, and ample indoor and outdoor seating for employees
including an extensive terrace space. PDT Partners' space has
similar high-quality amenities with a large outdoor terrace, a
full-service kitchen and seating area, a lounge area, a game room,
and an internal staircase connecting the floors.
The sponsor for this transaction is a joint venture consisting of
The Related Companies, Government of Singapore Investment
Corporation, and a foreign investment fund. Related Companies was
the original developer of the property in 2003 prior to the
recapitalization upon the departure of Time Warner.
Notes: All figures are in U.S. dollars unless otherwise noted.
DBC 2025-DBC: DBRS Gives Prov. BB(high) Rating on Class HRR Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of DBC 2025-DBC Mortgage Trust Commercial Mortgage
Pass-Through Certificates (the Certificates) to be issued by DBC
2025-DBC Mortgage Trust (the Trust):
-- Class A at (P) AAA (sf)
-- Class B at (P) AA (high) (sf)
-- Class C at (P) A (low) (sf)
-- Class D at (P) BBB (low) (sf)
-- Class HRR at (P) BB (high) (sf)
All trends are Stable.
The Trust is a single-asset/single-borrower transaction
collateralized by the borrower's condominium interest in Deutsche
Bank Center, a 1.1 million square foot (sf) office property. The
property is part of a larger 2.8 million-sf mixed-use property that
includes retail, entertainment, residential, hotel, and a parking
garage. The property is in Manhattan in New York City within the
Midtown West office submarket and is 100% leased; Deutsche Bank
(DB) leases 1,049,828 sf (93.5% of total NRA) with PDT Partners
leasing the remaining 73,019 sf (6.5% of total NRA). The property
is the North American headquarters for DB and is home to over 5,000
employees. The property also serves as the global headquarters for
PDT Partners. The collateral was originally constructed in 2003 as
the global headquarters for Time Warner. The property received an
extensive investment from both tenants to build out the new space
and upgrade the building from its prior use from Time Warner. The
sponsor has reported an investment of approximately $200 million in
tenant improvements and landlord work, while DB has invested an
additional $300 million for a total of $500 million for the space
currently occupied by DB. The sponsor also invested over $170 per
sf (psf) for the PDT Partners space to build out the space to
accommodate its needs as a high-profile hedge fund.
DB, an investment-grade company rated A (high) with a Stable trend
by Morningstar DBRS, is the largest tenant at the property and
comprises 93.5% of the NRA at the property. Morningstar DBRS
upgraded DB's Long-Term Issuer Rating to A (high) from "A" on June
25, 2025. In 2021, DB took occupancy on a 20-year lease until 2041
and currently has a remaining lease term of 15.8 years. DB has a
renewal option of up to 20 years at 100% fair market value rent. DB
has a termination option after 15 years with 36 months prior notice
and is subject to reimbursement of unamortized tenant improvement,
leasing commission, rent abatement, and three-month rent penalty
costs totaling approximately $144 million. In addition to the $200
million invested in the property by the landlord, DB invested an
additional $300 million into the space prior taking occupancy in
October 2021. PDT Partners moved into the property in 2022 and
occupies 73,019 sf (6.5% of the NRA) with a lease expiring in 2039
and has 13.9 years of remaining lease term. The office space at
this property offers various amenities in addition to the unique
trading floors for DB; such amenities consist of conference rooms,
an art collection, a full-service restaurant and cafeteria, a bar,
a lounge space, and ample indoor and outdoor seating for employees
including an extensive terrace space. PDT Partners' space has
similar high-quality amenities with a large outdoor terrace, a
full-service kitchen and seating area, a lounge area, a game room,
and an internal staircase connecting the floors.
The sponsor for this transaction is a joint venture consisting of
The Related Companies, Government of Singapore Investment
Corporation, and a foreign investment fund. Related Companies was
the original developer of the property in 2003 prior to the
recapitalization upon the departure of Time Warner.
Notes: All figures are in U.S. dollars unless otherwise noted.
DEEPHAVEN 2025-INV1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Deephaven
Residential Mortgage Trust 2025-INV1 's mortgage-backed notes.
The note issuance is an RMBS transaction backed by first-lien,
fixed- and adjustable-rate, fully amortizing U.S. residential
mortgage loans to both prime and nonprime borrowers (some with
initial interest-only periods) with a weighted average seasoning of
one month. The mortgage loans have primarily 30-year maturities
with some 15-year maturities. The loans are secured by
single-family residential properties, townhouses, planned-unit
developments, condominiums, and two- to four-family residential
properties. The pool consists of 1,063 ATR-exempt loans, 12 of
which are cross-collateralized loans backed by 62 properties, and a
total property count of 1,113.
The preliminary ratings are based on information as of Oct. 30,
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 provided, associated
structural mechanics, and representation and warranty framework;
-- The mortgage originator and aggregator;
-- The 100% due diligence results consistent with represented loan
characteristics; 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
Deephaven Residential Mortgage Trust 2025-INV1(i)
Class A-1(ii), $197,572,000 AAA (sf)
Class A-1A, $167,176,000 AAA (sf)
Class A-1B, $30,396,000 AAA (sf)
Class A-2, $22,797,000 AA (sf)
Class A-3, $38,754,000 A (sf)
Class M-1, $17,478,000 BBB (sf)
Class B-1, $12,310,000 BB (sf)
Class B-2, $9,727,000 B (sf)
Class B-3, $5,319,353 NR
Class A-IO-S, Notional(ii) NR
Class XS, Notional(ii) NR
Class R, N/A NR
(i)The collateral and structural information reflect the term sheet
dated Oct. 24, 2025. The preliminary ratings address the ultimate
payment of interest and principal. They do not address the payment
of the cap carryover amounts.
(ii)The class A-1 notes will not have a note rate. But on each
payment after an exchange, the class A-1 notes will be entitled to
receive a proportionate share of the amounts otherwise payable to
the related initial exchangeable notes for such payment date.
(iii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
N/A--Not applicable.
N/R--Not rated.
DEEPHAVEN RESIDENTIAL 2025-CES1: DBRS Gives (P)B Rating on B2 Notes
-------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Mortgage-Backed Notes, Series 2025-CES1 (the Notes) to be issued by
Deephaven Residential Mortgage Trust 2025-CES1 (DRMT 2025-CES1 or
the Trust):
-- $154.6 million Class A-1A at (P) AAA (sf)
-- $24.7 million Class A-1B at (P) AAA (sf)
-- $179.3 million Class A-1 at (P) AAA (sf)
-- $12.8 million Class A-2 at (P) AA (sf)
-- $12.2 million Class A-3 at (P) A (sf)
-- $14.3 million Class M-1 at (P) BBB (sf)
-- $12.6 million Class B-1 at (P) BB (sf)
-- $8.1 million Class B-2 at (P) B (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 Notes reflects 27.30% of
credit enhancement provided by subordinate Notes. The (P) AA (sf),
(P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit
ratings reflect 22.10%, 17.15%, 11.35%, 6.25%, and 2.95% of credit
enhancement, respectively.
DRMT 2025-CES1 a securitization of a portfolio of fixed, prime,
expanded-prime, closed-end second-lien (CES) residential mortgages
funded by the issuance of the Asset-Backed Securities, Series
2025-CES1 (the Notes). The Notes are backed by 1,044 mortgage loans
with a total principal balance of $246,624,443 as of the Cut-Off
Date (September 30, 2025).
The portfolio, on average, is four months seasoned, though
seasoning ranges from zero to 38 months. Borrowers in the pool
represent prime and expanded-prime credit quality--weighted-average
(WA) Morningstar DBRS-calculated FICO score of 733, Issuer-provided
original combined loan-to-value ratio (CLTV) of 67.6%.
As of the Cut-Off Date, 99.6% of the pool was current and 0.4% of
the pool was 30 days delinquent under the Mortgage Bankers
Association (MBA) delinquency method. Additionally, none of the
borrowers are in active bankruptcy.
DRMT 2025-CES1 represents the first CES securitization sponsored by
Sutton Funding LLC (Sutton). Deephaven Mortgage, LLC (66.2%),
Oaktree Funding Corporation (13.8%), are the top originators for
the mortgage pool. The remaining originators each comprise less
than 10.0% of the mortgage loans.
Selene Finance LP (Selene; 100.0%) is the Servicer of all the loans
in this transaction.
Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar
DBRS) will act as the Indenture Trustee, Paying Agent, Note
Registrar, Certificate Registrar, and Owner Trustee. U.S. Bank
National Association and Computershare Trust Company, N.A. will act
as the Custodians. Citicorp Trust Delaware, National Association
will act as the Delaware Trustee.
As Sponsor, Sutton, through one or more majority-owned affiliates,
will acquire and retain a 5% eligible vertical interest in each
class of securities to be issued (other than any residual
certificates) to satisfy the credit risk retention requirements.
On or after the earlier of (1) the Payment Date occurring in
November 2028 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Controlling Holder (majority holder of the Class XS
Notes; initially expected to be affiliate of the Sponsor), may
terminate the Issuer at a price equal to the greater of (A) the
note amounts of the related Notes plus accrued and unpaid interest,
including any Net WAC Shortfalls, servicing advances, fees,
expenses, and indemnification amounts. The Controlling Holder must
complete a qualified liquidation, which requires (1) a complete
liquidation of assets within the Trust and (2) proceeds to be
distributed to the appropriate holders of regular or residual
interests.
The Controlling Holder will have the option, but not the
obligation, to repurchase any mortgage loan (other than loans under
forbearance plan as of the Closing Date) that becomes 90 or more
days delinquent at the repurchase price (par plus interest),
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.
Although the majority of the mortgage loans were originated to
satisfy the Consumer Financial Protection Bureau's (CFPB)
Ability-to-Repay (ATR) rules, they were made to borrowers who
generally do not qualify for agency, government, or private-label
nonagency prime jumbo products for various reasons. In accordance
with the Qualified Mortgage (QM)/ATR rules, 80.9% of the loans are
designated as non-QM, 0.2% are designated as QM Rebuttable
Presumption, and 4.3% are designated as QM Safe Harbor.
Approximately 14.6% of the mortgages are loans were not subject to
the QM/ATR rules as they are made to investors for business
purposes.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction. In addition, the related servicer is not obligated to
make advances in respect of homeowner association fees, taxes, and
insurance, installment payments on energy improvement liens, and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties unless a determination is made that
there will be material recoveries.
For this transaction, any loan that becomes 180 days delinquent
under the MBA delinquency method, upon review by the related
Servicer, may be considered a Charged Off Loan. With respect to a
Charged Off Loan, the total unpaid principal balance will be
considered a realized loss and will be allocated reverse
sequentially to the Noteholders. If there are any subsequent
recoveries for such Charged Off Loans, the recoveries will be
included in the principal remittance amount and applied in
accordance with the principal distribution waterfall; in addition,
any class principal balances of Notes that have been previously
reduced by allocation of such realized losses may be increased by
such recoveries sequentially in order of seniority. Morningstar
DBRS' analysis assumes reduced recoveries upon default on loans in
this pool.
This transaction employs a sequential-pay cash flow structure with
pro rata principal payment among the senior A-1A and A-1B tranches.
Principal proceeds and excess interest can be used to cover
interest shortfall on the Notes, but such interest shortfalls on
Class A-2 and more subordinate bonds will not be paid from
principal proceeds until the Class A-1A and A-1B Notes are retired.
For this transaction, the Class A-1A, A-1B, A-2, and A-3 fixed
rates step-up by 100 basis points on and after the payment date in
November 2029.
Notes: All figures are in U.S. dollars unless otherwise noted.
DEWOLF PARK CLO: Moody's Affirms B1 Rating on $30MM Class E Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Dewolf Park CLO, Ltd.:
US$35.5M Class C-R Secured Deferrable Floating Rate Notes,
Upgraded to Aaa (sf); previously on Feb 14, 2025 Upgraded to Aa1
(sf)
US$36.5M Class D-R Secured Deferrable Floating Rate Notes,
Upgraded to A2 (sf); previously on Feb 14, 2025 Upgraded to Baa2
(sf)
Moody's have also affirmed the ratings on the following notes:
US$390M (Current outstanding amount US$71,888,936) Class A-R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Oct 15, 2021 Assigned Aaa (sf)
US$60M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Feb 14, 2025 Upgraded to Aaa (sf)
US$30M Class E Secured Deferrable Floating Rate Notes, Affirmed B1
(sf); previously on Apr 29, 2024 Downgraded to B1 (sf)
Dewolf Park CLO, Ltd., originally issued in August 2017 and
partially refinanced in October 2021, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured US loans. The portfolio is managed by Blackstone CLO
Management LLC. The transaction's reinvestment period ended in
October 2022.
RATINGS RATIONALE
The rating upgrades on the Class C-R and Class D-R notes are
primarily a result of the deleveraging of the Class A-R notes
following amortisation of the underlying portfolio since the last
rating action in February 2025.
The affirmations on the ratings on the Class A-R, Class B-R and
Class E notes are primarily a result of the expected losses on the
notes remaining consistent with their current rating levels, after
taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The Class A-R notes have paid down by approximately USD101.3million
(25.98%) since the last rating action in February 2025 and
USD318.1million (81.57%) since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased. According
to the trustee report dated October 2025[1] the Class A/B, Class C
and Class D OC ratios are reported at 162.74%, 137.67% and 118.84%
compared to February 2025[2] levels of 155.07%, 134.58% and
118.49%. Moody's notes that the October 2025 principal payments are
not reflected in the reported OC ratios.
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: USD254.7m
Defaulted Securities: USD0
Diversity Score: 41
Weighted Average Rating Factor (WARF): 3116
Weighted Average Life (WAL): 2.82 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.85%
Weighted Average Recovery Rate (WARR): 47.4%
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 collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these in these ratings was
"Collateralized Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes that, at transaction maturity, the
liquidation value of such an asset will depend on the nature of the
asset as well as the extent to which the asset's maturity lags that
of the liabilities. Liquidation values higher than Moody's
expectations would have a positive impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
DIAMETER CAPITAL 5: S&P Assigns 'BB- (sf)' Rating on Cl. D-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R notes, and class A-1L-R
loans from Diameter Capital CLO 5 Ltd./Diameter Capital CLO 5 LLC,
a CLO managed by Diameter CLO Advisors LLC, that was originally
issued in September 2023. At the same time, S&P withdrew its
ratings on the previous class A-1, A-2, B, C-1, C-2, and D debt
following payment in full on the Oct. 31, 2025 refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1L-R loans, and A-1-R, A-2-R, B-R,
C-1-R, C-2-R, and D-R notes were issued at a lower spread over
three-month CME term SOFR than the existing debt.
-- The target initial par amount of the transaction was increased
to $550 million.
-- An additional $16.6 million in subordinated notes were issued
on the transaction's refinancing date.
-- The non-call period was extended to Oct. 31, 2027.
-- The reinvestment period was extended to Jan. 15, 2031.
-- The legal final maturity date for the replacement debt was
extended to Jan. 15, 2039.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each rated tranche. 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
Diameter Capital CLO 5 Ltd./Diameter Capital CLO 5 LLC
Class A-1-R, $264.250 million: 'AAA (sf)'
Class A-1L-R loans, $87.750 million: 'AAA (sf)'
Class A-2-R, $66.000 million: 'AA (sf)'
Class B-R (deferrable), $33.000 million: 'A (sf)'
Class C-1-R (deferrable), $33.000 million: 'BBB- (sf)'
Class C-2-R (deferrable), $5.500 million: 'BBB- (sf)'
Class D-R (deferrable), $16.500 million: 'BB- (sf)'
Ratings Withdrawn
Diameter Capital CLO 5 Ltd./Diameter Capital CLO 5 LLC
Class A-1 to NR from 'AAA(sf)'
Class A-2 to NR from 'AA(sf)'
Class B (deferrable) to NR from 'A(sf)'
Class C-1 (deferrable) to NR from 'BBB(sf)'
Class C-2 (deferrable) to NR from 'BBB-(sf)'
Class D (deferrable) to NR from 'BB-(sf)'
Other Debt
Diameter Capital CLO 5 Ltd./Diameter Capital CLO 5 LLC
Subordinated notes, $47.100 million: NR
NR--Not rated.
EATON VANCE 2015-1: Moody's Affirms Ba3 Rating on $16.6MM E-R Notes
-------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Eaton Vance CLO 2015-1, Ltd.
US$24.4M Class D-R Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aa3 (sf); previously on Dec 12, 2024 Upgraded to Baa1
(sf)
Moody's have also affirmed the ratings on the following notes:
US$29M (Current outstanding balance USD23,324,498) Class B-R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Dec 12, 2024 Affirmed Aaa (sf)
US$30.5M Class C-R Senior Secured Deferrable Floating Rate Notes,
Affirmed Aaa (sf); previously on Dec 12, 2024 Upgraded to Aaa (sf)
US$16.6M Class E-R Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Dec 12, 2024 Affirmed Ba3 (sf)
US$8M Class F-R Secured Deferrable Floating Rate Notes, Affirmed
Caa3 (sf); previously on Dec 12, 2024 Downgraded to Caa3 (sf)
Eaton Vance CLO 2015-1, Ltd., issued in October 2015 and refinanced
in December 2017, is a collateralised loan obligation (CLO) backed
by a portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by Eaton Vance Management. The transaction's
reinvestment period ended in January 2023.
RATINGS RATIONALE
The upgrade on the rating on the Class D-R notes is primarily a
result of the significant deleveraging of the senior notes
following amortisation of the underlying portfolio since the last
rating action in December 2024.
The affirmations on the ratings on the Class B-R, Class C-R, Class
E-R and Class F-R notes are primarily a result of the expected
losses on the notes remaining consistent with their current rating
levels, after taking into account the CLO's latest portfolio, its
relevant structural features and its actual over-collateralisation
ratios.
The Class A-1-R and Class A-2-R notes outstanding balance (USD90.9
million) has been fully repaid and the Class B-R notes have been
paid down by approximately USD5.7 million (20.0% of original
balance) since the last rating action in December 2024. As a result
of the deleveraging, over-collateralisation (OC) has increased
across the capital structure. According to the trustee report dated
October 2025[1] the Class A/B, Class C, Class D and Class E OC
ratios are reported at 234.65%, 153.94%, 120.72% and 105.26%
compared to November 2024[2] levels of 168.25%, 134.13%, 115.41%
and 105.40% , respectively. Moody's notea that the October 2025
principal payments are not reflected in the reported OC ratios.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD105.5m
Defaulted Securities: USD1.2m
Diversity Score: 43
Weighted Average Rating Factor (WARF): 3316
Weighted Average Life (WAL): 2.9 years
Weighted Average Spread (WAS): 3.1%
Weighted Average Coupon (WAC): 15.0%
Weighted Average Recovery Rate (WARR): 46.5%
Par haircut in OC tests and interest diversion test: 4.0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
-- Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes that, at transaction maturity, the
liquidation value of such an asset will depend on the nature of the
asset as well as the extent to which the asset's maturity lags that
of the liabilities. Liquidation values higher than Moody's
expectations would have a positive impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
EFMT 2025-RTL1: DBRS Gives Prov. B(low) Rating on M2 Notes
----------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the
Mortgage-Backed Notes, Series 2025-RTL1 (the Notes) to be issued by
EFMT 2025-RTL1 (the Issuer) as follows:
-- $211.4 million Class A1 at (P) A (low) (sf)
-- $24.3 million Class A2 at (P) BBB (low) (sf)
-- $21.2 million Class M1 at (P) BB (low) (sf)
-- $28.2 million Class M2 at (P) B (low) (sf)
The (P) A (low) (sf) credit rating reflects 29.55% of credit
enhancement (CE) provided by the subordinated notes and
overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf),
and (P) B (low) (sf) credit ratings reflect 21.45%, 14.40%, and
5.00% of CE, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
This transaction is a securitization of a two-year revolving
portfolio of residential transition loans (RTLs) funded by the
issuance of the Notes. As of the Initial Cut-Off Date, the Notes
are backed by:
-- 410 mortgage loans with a total principal balance of
approximately $119,222,387,
-- Approximately $119,000,000 in the Accumulation Account
-- Approximately $61,777,613 in the RP Accumulation Account, and
-- Approximately $1,000,000 in the Pre-Funding Interest Account.
Additional RTLs may be added to the revolving portfolio on future
additional transfer dates, subject to the transaction's eligibility
criteria.
EFMT 2025-RTL1 represents the first RTL securitization issued by
the Sponsor, EF Holdco WRE Assets LLC. The Sponsor is an affiliate
of Ellington Financial Inc. (Ellington), which was originally
formed as a Delaware limited liability company in 2007 and
converted to a Real Estate Investment Trust (REIT) in 2019. The
company invests in financial assets including residential and
commercial mortgage loans, mortgage-backed securities, reverse
mortgage loans, mortgage servicing rights and related investments,
consumer loans, asset-backed securities, collateralized loan
obligations, and other strategic investments.
The revolving portfolio generally consists of first-lien,
fixed-rate, interest-only (IO) balloon RTLs with original terms to
maturity of 6 to 36 months. The loans may be extended, which can
lengthen maturities beyond the original terms. The characteristics
of the revolving pool will be subject to eligibility criteria
specified in the transaction documents and include, but are not
limited to:
-- A minimum non-zero weighted-average (NZ WA) FICO score of 725.
-- A maximum NZ WA Loan-to-Cost ratio (LTC) of 82.5% excluding
ground-up construction (GUC) loans.
-- A maximum NZ WA LTC of 80.0% for GUC loans.
-- A maximum NZ WA As Repaired Loan-to-Value ratio (ARV LTV) of
67.5% excluding GUC loans.
-- A maximum NZ WA ARV LTV of 62.5% for GUC loans.
-- A maximum NZ WA As-Is Loan-to-Value (AIV LTV) ratio of 70%.
RTL Features
RTLs, also known as fix-and-flip mortgage loans, are short-term
bridge, construction, or renovation loans designed to help real
estate investors purchase and renovate residential or multifamily
5+ and mixed used properties (the latter is limited to 2.5% of the
revolving portfolio), generally within 12 to 36 months. RTLs are
similar to traditional mortgages in many aspects but may differ
significantly in terms of initial property condition, construction
draws, and the timing and incentives by which borrowers repay
principal. For traditional residential mortgages, borrowers are
generally incentivized to pay principal monthly, so they can occupy
the properties while building equity in their homes. In the RTL
space, borrowers repay their entire loan amount when they (1) sell
the property with the goal to generate a profit or (2) refinance to
a term loan and rent out the property to earn income.
In general, RTLs are short-term IO balloon loans with the full
amount of principal (balloon payment) due at maturity. The
repayment of an RTL is mainly based on the ability to sell the
related mortgaged property or to convert it into a rental property.
In addition, many RTL lenders offer extension options, which
provide additional time for borrowers to repay their mortgage
beyond the original maturity date. For the loans in this
transaction, such extensions may be granted, subject to certain
conditions, at the direction of the Collateral Manager.
In the EFMT 2025-RTL1 revolving portfolio, RTLs may be:
-- Fully funded:
-- With no obligation of further advances to the borrower, or
-- With a portion of the loan proceeds allocated to a
rehabilitation (rehab) escrow account established by each Servicer
for future disbursement to fund draw requests for construction,
rehabilitation, or repair on the mortgaged property (Rehabilitation
Disbursement Requests) upon the satisfaction of certain
conditions.
-- With a portion of the loan proceeds held back by the Servicers
for future disbursement to fund interest draw requests upon the
satisfaction of certain conditions.
-- Partially funded:
-- With a commitment to fund borrower-requested draws for approved
Rehabilitation Disbursement Requests upon the satisfaction of
certain conditions.
After completing certain construction/repairs using their own
funds, the borrower usually seeks reimbursement by making draw
requests. Generally, construction draws are disbursed only upon the
completion of approved construction/repairs and after a
satisfactory construction progress inspection. Based on the EFMT
2025-RTL1 eligibility criteria, unfunded commitments are limited to
40.0% of the assets of the issuer, which includes (1) the unpaid
principal balance (UPB) of the mortgage loans and (2) amounts in
the Accumulation Account, RP Accumulation Account and Payment
Account.
Cash Flow Structure and Draw Funding
The transaction employs a sequential-pay cash flow structure.
During the reinvestment period, the Notes will generally be IO.
After the reinvestment period, principal will be applied to pay
down the Notes, sequentially. If the Issuer does not redeem the
Notes on or prior to the payment date in May 2028, the Class A1 and
A2 fixed rates listed in the Credit Ratings table will step up by
1.000% the following month.
There will be no advancing of delinquent (DQ) interest on any
mortgage by the Servicers or any other party to the transaction.
However, the Servicers are obligated to fund Servicing Advances
which include taxes, insurance premiums, and reasonable costs
incurred in the course of servicing and disposing properties. The
Servicers will be entitled to reimburse itself for Servicing
Advances from available funds prior to any payments on the Notes.
The related Servicer or Asset Manager will satisfy Rehabilitation
Disbursement Requests by, (1) for loans with funded commitments,
releasing funds from the related Rehab Escrow Account to the
applicable borrower; or (2) for loans with unfunded commitments,
either (A) advancing funds on behalf of the Issuer (Rehabilitation
Advance) or (B) requesting the Collateral Manager direct the
release of funds from the Accumulation Account and RP Accumulation
Account. The related Servicer or Asset Manager, as applicable, will
be entitled to reimburse itself for Rehabilitation Disbursement
Requests from time to time from the Accumulation Account, RP
Accumulation Account and from the transaction cash flow waterfall,
after payment of interest to the notes.
The Accumulation Account is replenished from the transaction cash
flow waterfall, after payment of interest to the Notes, to maintain
a minimum required funding balance. During the reinvestment period,
amounts held in the Accumulation Account and RP Accumulation
Account, along with the mortgage collateral, must be sufficient to
maintain a minimum credit enhancement (CE) of approximately 5.0% to
the most subordinate rated class. The transaction incorporates a
Minimum Credit Enhancement Test during the reinvestment period,
which if breached, redirects available funds to pay down the Notes,
sequentially, prior to replenishing the Accumulation Account, to
maintain the minimum CE for the rated Notes.
The transaction also employs the Expense Reserve Account, which
will be available to cover fees and expenses. The Expense Reserve
Account is replenished from the transaction cash flow waterfall,
before payment of interest to the Notes, to maintain a minimum
reserve balance.
A Pre-funding Interest Account is in place to help cover three
months of interest payments to the Notes. Such account is funded
upfront in an amount equal to $1,000,000. On the payment dates
occurring in December 2025, January 2026, and February 2026, the
Paying Agent will withdraw a specified amount to be included in the
available funds.
Historically, RTL originations reviewed by Morningstar DBRS have
generated robust mortgage repayments, which have been able to cover
unfunded commitments in securitizations. In the RTL space, because
of the lack of amortization and the short-term nature of the loans,
mortgage repayments (paydowns and payoffs) tend to occur closer to
or at the related maturity dates when compared with traditional
residential mortgages. Morningstar DBRS considers paydowns to be
unscheduled voluntary balance reductions (generally repayments in
full) that occur prior to the maturity date of the loans, while
payoffs are scheduled balance reductions that occur on the maturity
or extended maturity date of the loans. In its cash flow analysis,
Morningstar DBRS evaluated mortgage repayments relative to draw
commitments for Ellington's historical aggregations and
incorporated several stress scenarios where paydowns may or may not
sufficiently cover draw commitments. Please see the Cash Flow
Analysis section of this report for more details.
Other Transaction Features
Optional Redemption
On any date on or after the earlier of (1) the Payment Date
following the termination of the Reinvestment Period or (2) the
date on which the aggregate Note Amount falls to 25% or less of the
initial Closing Date Note Amount, the Issuer, at its option, may
purchase all of the outstanding Notes at price equal to par plus
interest and fees.
Repurchase Option
The Sponsor will have the option to repurchase any DQ or defaulted
mortgage loan at the Repurchase Price, which is equal to par plus
interest and fees. However, such voluntary repurchases may not
exceed 7.5% of the cumulative UPB of the mortgage loans as of the
Initial Cut-Off Date. During the reinvestment period, if the
Sponsor repurchases DQ or defaulted loans, this could potentially
delay the natural occurrence of an early amortization event based
on the DQ or default trigger. Morningstar DBRS' revolving structure
analysis assumes the repayment of Notes is reliant on the
amortization of an adverse pool regardless of whether it occurs
early or not.
Repurchases
A mortgage loan may be repurchased under the following
circumstances:
-- There is a material R&W breach, a material document defect, or
a diligence defect that the Sponsor is unable to cure,
-- The Sponsor elects to exercise its Repurchase Option, or
-- An optional redemption occurs.
U.S. Credit Risk Retention
The Sponsor, or a majority-owned affiliate, will initially retain
an eligible horizontal residual interest comprising at least 5% of
the aggregate fair value of the securities (the Class XS Notes) to
satisfy the credit risk retention requirements.
Natural Disasters/Wildfires
The pool may contain loans secured by properties that are located
within certain disaster areas. Although many RTLs already have a
rehab component, the original scope of rehab may be affected by
such disasters. After a disaster, the Servicer follows standard
protocol, which includes a review of the impacted area, borrower
outreach, and filing insurance claims as applicable. Moreover,
additional loans added to the trust must comply with R&W specified
in the transaction documents, including the damage R&W, as well as
the transaction eligibility criteria.
Notes: All figures are in U.S. dollars unless otherwise noted.
ELP COMMERCIAL 2021-ELP: DBRS Confirms B(low) Rating on G Certs
---------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-ELP
issued by ELP Commercial Mortgage Trust 2021-ELP as follows:
-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class D at A (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
overall stable performance of the transaction since Morningstar
DBRS' prior credit rating action in November 2024. The underlying
collateral continues to demonstrate stable-to-improving operating
performance as evidenced by the year-over-year growth in net cash
flow (NCF) and a steady average occupancy rate that has remained
above 90% since issuance.
At issuance, the loan was secured by the borrower's fee-simple and
leasehold interests in a portfolio of 142 industrial properties,
totaling approximately 28.0 million square feet across 18 markets
and 17 U.S. states. As of the September 2025 reporting, only two
properties, 7172 Columbia Gateway Drive and 7800 Piney Branch, have
been released. The current trust balance of $1.74 billion, reflects
a nominal collateral reduction of 0.8% since issuance. Property
releases are subject to a payment release price of 105.0% of the
allocated loan amount (ALA) for the first 25.0% of the original
principal balance. For any amount released thereafter, the payment
release price increases to 110.0% of the ALA. Proceeds from the
first 25.0% of property releases are distributed on a pro rata
basis across the capital stack, while all subsequent principal
repayments are applied sequentially.
The interest-only, floating-rate loan had an initial two-year term
with three one-year extension options. The loan is currently
scheduled to mature in November 2025. As of the date of this press
release, the servicer has yet to confirm if the borrower intends on
exercising the last remaining extension option. To exercise the
extension option, the borrower is required to purchase an interest
rate cap agreement with a strike rate such that the new cap results
in a minimum debt service coverage ratio (DSCR) of 1.10 times (x)
(subject to a maximum strike rate of 4.50%).
The remaining collateral is distributed across 17 states, with the
largest market concentrations in Indiana (34 properties,
representing 18.8% of the current ALA) and Tennessee (18
properties, representing 15.3% of the current ALA). Property
concentrations in all remaining markets do not exceed more than 10%
of the current ALA. The portfolio mainly consists of general
industrial, warehouse/distribution, and research and
development/flexible space, with approximately 8.0% of the net
rentable area designated as office space. According to the YE2024
financial reporting, the portfolio generated an NCF of $127.3
million, resulting in a DSCR of 1.01x. This is an increase from
prior year's figure of $112.2 million NCF (a DSCR of 0.93x) and
Morningstar DBRS' underwritten NCF of $108.1 million (a DSCR of
3.58x). As of June 2025, the portfolio was approximately 91.0%
occupied, which is generally in line with the initial occupancy
rate of 97.2%. Although both occupancy and cash flow remain
healthy, the loan's DSCR has declined since issuance, primarily due
to an increase in debt service obligations resulting from the
floating rate nature of the loan.
For this review, Morningstar DBRS maintained the issuance derived
value of $1.6 billion based on the Morningstar DBRS NCF of $108.1
million and capitalization rate of 6.75%, resulting in a variance
of -36.2% from the issuance appraised value of $2.5 billion. The
resulting Morningstar DBRS loan-to-value ratio (LTV) was 108.5.3%
compared with the LTV of 69.3% based on the appraised value at
issuance. Morningstar DBRS maintained positive qualitative
adjustments totaling 7.5% to reflect low cash flow volatility,
generally strong property quality, and stable market fundamentals.
The subject portfolio benefits from both favorable geographic
diversification and favorable tenant granularity, both of which are
expected to contribute to cash flow stability over time.
Notes: All figures are in U.S. dollars unless otherwise noted.
GGAM MASTER 2025-1: Fitch Assigns 'BB-sf' Rating on Class Y Notes
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings to the co-issued
notes by GGAM Master Trust International, Ltd. and GGAM Master
Trust US LLC (GGAM 2025-1):
- $1,120 million class A notes: 'A-sf'/Stable Outlook
- $125 million class Y notes: 'BB-sf'/Stable Outlook
Entity/Debt Rating Prior
----------- ------ -----
GGAM 2025-1
A LT A-sf New Rating A-(EXP)sf
Y LT BB-sf New Rating BB-(EXP)sf
Transaction Summary
The notes issued by GGAM 2025-1 are secured by lease payments
(rent/maintenance) and disposition proceeds on a pool of 25
passenger aircraft operated by third-party lessees. Proceeds from
the notes will be used to acquire the initial pool of 25 aircraft,
fund aircraft acquisition sub-accounts, fund the maintenance
reserve, security deposit and expense accounts, pay
transaction-related costs, and fund the Y note interest reserve
account.
After the initial closing date, the issuers may issue one or more
additional series of notes designated as class A or class Y. Notes
sharing the same alphabetical class generally rank pari passu in
right of payment regardless of series. Subsequent notes may have
materially different terms (e.g. higher stated rates and faster
amortization) while remaining generally pari passu within class,
which could increase risk to initial noteholders.
Conditions for new issuance when continuing notes remain
outstanding include: (i) rating agency confirmation for each series
of continuing notes, (ii) pro forma class A loan-to-value (LTV)
ratio not exceeding 80%, (iii) any additional class A notes must
receive an investment-grade (IG) rating, and (iv) an amortization
schedule for additional class A notes no faster than a 10-year
straight-line (or equivalent mortgage-style) profile. Please refer
to the offering memorandum for the full list on conditions to
issuance.
Griffin Global Asset Management (Servicer) LLC and Griffin Global
Asset Management (DAC) will act as servicers and be responsible for
managing the aircraft, including leasing, maintenance and
disposition. GGAM 2025-1 represents the inaugural ABS transaction
issued and serviced by Griffin Global Asset Management (GGAM)
entities.
KEY RATING DRIVERS
Asset Quality and Tiering (Positive): The pool largely consists of
young aircraft with a weighted average (WA) age of 4.1 years.
Aircraft models in the pool are in high demand, with 70% Tier 1 and
30% Tier 2 by average maintenance-adjusted base value (MABV). There
are no Tier 3 assets.
The pool includes five widebody aircraft, representing 44% of MABV.
This is one of the highest widebody concentrations Fitch has
reviewed in aircraft ABS. Although widebodies are typically less
liquid than narrowbodies, all five are new-technology types and
benefit from a widebody supply shortage and aging of the
prior-generation widebody fleet. Accordingly, Fitch does not view
the widebody concentration as a major risk.
Pool Concentration (Neutral): Although the pool is geographically
concentrated in Europe (43.1%), all assets are within favorable
European jurisdictions. The second-largest geographic concentration
is in Asia-Pacific (23.7%), followed by South and Central America
(17.7%). Other regions make up the remaining share (15.6%).
In terms of lessee concentration, the pool is well diversified.
Only two lessees have an exposure over 10%, British Airways (11.8%)
and Air France (10.0%), both of which are investment-grade credits.
United Airlines Inc. (8.3%, BB/Positive) has the third-highest
exposure.
Lessee Credit Risk (Neutral): The WA credit rating of the pool is
between 'B-' and 'B', which is similar to that of other aircraft
ABS. The pool includes 19 lessees, of which three (23.8%) have IG
ratings, one (8.3%) has a 'BB' rating and four (7.5%) have 'B'
ratings. The remaining 11 (60.4%) are rated 'CCC'. Two aircraft
have not yet been delivered from the manufacturer and are subject
to a lease letter of intent (LOI). All other assets are on-lease
and current.
Operational and Servicing Risk (Neutral): Although GGAM is a young
platform, Fitch has found them to be an effective servicer, based
on the management team's depth, experience and track record
managing aviation assets, combined with the benefits of Bain
Capital Credit, LP ownership. Fitch rates Griffin Global Asset
Management Holdings, Ltd. 'BB' with a Positive Outlook.
Transaction Structure (Negative): With an LTV of 77.1% on class A,
the leverage is high for a senior note. The transaction is
sequential pay with class A interest and principal senior to the
class Y note. The A note has a 14-year mortgage-style amortization
profile. The Y note will not have an amortization schedule.
Instead, principle will be paid down only with excess cash flow.
The initial $3 million interest reserve for the Y note replenishes
to cover interest shortfalls.
Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings
to a maximum of 'Asf'. For further details, refer to Fitch's
"Global Structured Finance Rating Criteria" and "Aircraft Operating
Lease ABS Rating Criteria" at www.fitchratings.com.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Credit Stress Sensitivity: The central scenario assumes future
lessees are 'B' credits. Fitch ran a sensitivity test assuming
future lessees are rated 'CCC' to test the performance of the
transaction in a more stressed environment, considering the
historical volatility and cyclicality of the commercial aviation
industry. The lower assumed lessee credit quality decreased gross
cash flows due to increased downtime from aircraft repossessions
and remarketing. Expenses also rose due to repossessions and
transition costs. The impact was a one-notch decline in the model
implied ratings (MIRs) for both class of notes.
Value Stress Sensitivity: Fitch ran a sensitivity test assuming a
10% haircut to the starting Fitch Value (FV) to test the
performance of the transaction in a more stressed environment,
considering the historical volatility and cyclicality of commercial
aircraft values. This value sensitivity decreased gross cash flows
as the lower starting FV drove lower future lease rates and
disposition proceeds. The impact was a one-notch decline in MIR for
class A and a two-notch decline for class Y.
Combined Credit and Value Stress Sensitivity: A combined credit and
value stress sensitivity, as described above, lowered the MIRs of
both class of notes by two notches.
EOL Stress Sensitivity: EOLs can be volatile. Fitch's 'Asf' rated
central scenario maintenance cash flows, provided by Alton, already
effectively haircut EOLs based on the cumulative probability of
default of each lessee associated with their respective credit
ratings.
Fitch applied an additional 15% haircut to the 'Asf' rated central
scenario EOLs in this sensitivity. EOLs provide substantial cash
flow to this transaction ($412 million); the 15% haircut amounted
to a decrease in cash flow of approximately $61 million. Under this
scenario, MIRs of both class of notes dropped one notch. The
haircut applied for this sensitivity varies by transaction, based
on the ratio of reserve and EOL payers, credit rating of lessees
and other factors.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
If contractual lease rates outperform modeled cash flows or lessee
credit quality improves materially, this 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.
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.
GLS AUTO 2025-4: S&P Assigns Prelim BB(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GLS Auto
Receivables Issuer Trust 2025-4's automobile receivables-backed
notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of Nov. 3,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 54.60%, 46.12%, 35.93%,
27.43%, and 23.71% of credit support (hard credit enhancement and
haircut to excess spread) for the class A (classes A-1, A-2, and
A-3, collectively), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of S&P's 17.00%
expected cumulative net loss for the class A, B, C, D, and E notes,
respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.60x S&P's expected loss level), all else being equal, its
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
are within its credit stability limits.
-- The timely payment of interest and principal by the designated
legal final maturity dates under S&P's stressed cash flow modeling
scenarios, which it believes are appropriate for the assigned
preliminary ratings.
-- The collateral characteristics of the series' subprime
automobile loans, including the representation in the transaction
documents that all contracts in the pool have made at least one
payment, S&P's view of the collateral's credit risk, and its
updated U.S. macroeconomic forecast and forward-looking view of the
auto finance sector.
-- The series' bank accounts at UMB Bank N.A., which do not
constrain the preliminary ratings.
-- S&P's operational risk assessment of Global Lending Services
LLC (GLS) as servicer, and its view of the company's underwriting
and backup servicing arrangement with UMB Bank N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance (ESG) credit factors that are
in line with its sector benchmark.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
GLS Auto Receivables Issuer Trust 2025-4
Class A-1, $83.60 million: A-1+ (sf)
Class A-2, $218.36 million: AAA (sf)
Class A-3, $86.59 million: AAA (sf)
Class B, $108.68 million: AA (sf)
Class C, $101.70 million: A (sf)
Class D, $97.82 million: BBB (sf)
Class E, $48.52 million: BB (sf)
GOLDENTREE LOAN 15: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
second reset transaction of GoldenTree Loan Management US CLO 15,
Ltd.
Entity/Debt Rating Prior
----------- ------ -----
GoldenTree Loan
Management US
CLO 15, Ltd.
X-R2 38139BAY5 LT AAAsf New Rating AAA(EXP)sf
A-R 38139BAN9 LT PIFsf Paid In Full AAAsf
A-R2 38139BBA6 LT AAAsf New Rating AAA(EXP)sf
A-J 38139BAQ2 LT PIFsf Paid In Full AAAsf
A-J-R 38139BBC2 LT AAAsf New Rating AAA(EXP)sf
B-R 38139BAS8 LT PIFsf Paid In Full AAsf
B-R2 38139BBE8 LT AAsf New Rating AA(EXP)sf
C-R 38139BAU3 LT PIFsf Paid In Full Asf
C-R2 38139BBG3 LT Asf New Rating A(EXP)sf
D-R 38139BAW9 LT PIFsf Paid In Full BBB-sf
D-R2 38139BBJ7 LT BBB-sf New Rating BBB-(EXP)sf
D-J 38139BBL2 LT BBB-sf New Rating BBB-(EXP)sf
E-R 38139CAG2 LT PIFsf Paid In Full BB-sf
E-R2 38139CAL1 LT BB-sf New Rating BB-(EXP)sf
F-R 38139CAJ6 LT PIFsf Paid In Full B-sf
F-R2 38139CAN7 LT B-sf New Rating B-(EXP)sf
Transaction Summary
GoldenTree Loan Management US CLO 15, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) managed by
GLM II, LP that originally closed in Aug. 2022 and was subsequently
reset for the first time in September 2023. On the second
refinancing date, the existing secured notes will be redeemed in
full with refinancing proceeds. Net proceeds from the issuance of
the second refinancing notes and the existing 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 23.77 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 100%
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 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 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 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 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for
class A-R2, between 'BBB+sf' and 'AA+sf' for class A-J-R, 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-R2,
between less than 'B-sf' and 'BB+sf' for class D-J, between less
than 'B-sf' and 'B+sf' for class E-R2 and between less than 'B-sf'
and 'Bsf' 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-R2
and class A-J-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-R2, 'AAsf' for class C-R2, 'Asf'
for class D-R2, 'A-sf' for class D-J, '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 GoldenTree Loan
Management US CLO 15, 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.
GS MORTGAGE 2011-GC5: DBRS Confirms C Rating on 4 Classes Certs
---------------------------------------------------------------
DBRS, Inc. confirmed all credit ratings on the classes of
Commercial Mortgage Pass-Through Certificates, Series 2011-GC5
issued by GS Mortgage Securities Trust 2011-GC5 as follows:
-- Class A-S at AAA (sf)
-- Class B at A (sf)
-- Class C at C (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class X-A at AAA (sf)
The trends on Classes A-S, X-A, and B are Stable. Classes C, D, E,
and F have credit ratings that typically do not carry trends in
commercial mortgage-backed securities (CMBS) credit ratings.
The credit rating confirmations reflect minimal changes to
Morningstar DBRS' loss projections since the previous credit rating
action in November 2024 for the four remaining loans, three of
which are secured by regional malls in secondary or tertiary
markets and have shown performance declines from issuance. Two of
the remaining loans, totaling 47.1% of the pool, are in special
servicing, while the other two are being monitored on the
servicer's watchlist. Since Morningstar DBRS' last credit rating
action, one loan, Ashland Town Center (formerly 6.5% of the pool),
was repaid at maturity.
Given the concentrated nature of the transaction, Morningstar DBRS
based its credit ratings on a recoverability analysis for the
remaining assets, which continues to indicate that losses are
likely to be contained to the Class D certificate, currently rated
C (sf). However, Morningstar DBRS remains concerned about the
increased propensity for interest shortfalls should the resolution
periods for the defaulted loans continue to extend, further
exposing the trust to increased fees and expenses. Since the
previous credit rating action, cumulative interest shortfalls have
increased by approximately $2.9 million overall. Interest
shortfalls previously affecting the Class C certificate, currently
rated C (sf), were repaid as of the October 2025 remittance; the
source of the funds used to repay those shortfalls is unclear and
Morningstar DBRS has requested clarification from the servicer.
The transaction has been relatively insulated from realized losses
to date, as the principal balance of the unrated Class G
certificate has been eroded by only 13.1% and $43.6 million of
outstanding principal cushion remaining. Both loans in special
servicing became real estate owned in Q3 2023, and based on the
most recent appraisals obtained from Q2 2025, the property values
for both assets have declined by over 70.0% since issuance. Based
on the updated values, the resulting loan-to-value ratio (LTV) for
each loan exceeded 175%, based on total trust exposure, and
Morningstar DBRS believes loss severities exceeding 70.0% are
likely for each loan. Those scenarios suggest the principal balance
of Class D would be eroded by over 40%.
The larger of the two specially serviced loans, Park Place Mall
(Prospectus ID#1, 40.3% of the pool), is secured by a regional mall
in Tucson, Arizona. The mall was originally owned by an affiliate
of Brookfield Property Partners LP (Brookfield); however, after the
loan transferred to special servicing in September 2020, Brookfield
stopped supporting the loan and the servicer ultimately took title
foreclosure auction in October 2023. The most recent appraised
value as of April 2025 was $80.0 million, which was stressed with a
30% haircut in Morningstar DBRS' liquidation scenario, resulting in
a loss approaching $110 million and a loss severity of almost 75%.
The Champlain Center (Prospectus ID#13, 6.9% of the pool) loan is
secured by a regional mall in Plattsburgh, New York. The servicer
took title to the property in April 2024. The property was
reappraised in April 2025 at a value of $14.8 million, and
Morningstar DBRS applied a 30% haircut to that figure in the
liquidation scenario considered for this review. The resulting loss
of just over $18 million resulted in a loss severity of 70%.
The 1551 Broadway loan (Prospectus ID#2; 39.7% of the pool) is
secured by a 26,500-square-foot (sf) retail property in Midtown
Manhattan's Times Square neighborhood. The property is wholly
leased to American Eagle Outfitters, Inc. (American Eagle), which
has a lease expiration in February 2034. The loan's DSCR fell to
0.96x as of Q2 2025, down from 2.40x as of YE2023, the result of
changed lease terms for American Eagle. The loan was previously in
special servicing and was ultimately modified to extend the loan
maturity to December 2025. Since the last review, the loan's
principal balance has been reduced by approximately $1.1 million,
with nearly $10.0 million in reserves as of the October 2025
reporting. The property was most recently appraised for $359.0
million in November 2023, consistent with the issuance appraised
value of $360.0 million. The resulting LTV is 42.4%, suggesting
significant cushion against loss remains for the loan, and the
sponsor should remain well incentivized to comply with the terms of
the loan modification and upcoming maturity.
The Parkdale Mall & Crossing loan (Prospectus ID#5; 13.1% of the
pool) is secured by a regional mall and adjacent strip mall in
Beaumont, Texas. The property is owned and operated by affiliates
of CBL & Associates Properties, Inc. The loan was in special
servicing for maturity default from February 2021 until its return
to the master servicer in October 2022, with a maturity extension
granted to March 2026. As of Q2 2025, the property was 68.8%
occupied, with a DSCR of 0.94x. Despite the sponsor's commitment to
the property and the loan's return to the master servicer, the most
recent appraised value from February 2022 of $42.1 million is well
below the trust exposure as of the October 2025 remittance of just
under $50 million. Given the increased performance declines since,
Morningstar DBRS considered a liquidation scenario based on a 40%
haircut to the 2022 value, resulting in a loss of over $25 million
and a loss severity over 50%.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2022-GR1: Moody's Ups Rating on Cl. B-5 Certs to Ba2
----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of five bonds issued by GS
Mortgage-Backed Securities Trust 2022-GR1. The collateral backing
this deal consists of agency eligible mortgage loans.
A List of Affected Credit Ratings is available at
https://urlcurt.com/u?l=2NOVV7
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2022-GR1
Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 12, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Dec 12, 2024 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Dec 12, 2024 Upgraded
to Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Dec 12, 2024 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba2 (sf); previously on Dec 12, 2024 Upgraded
to Ba3 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool.
The transaction Moody's reviewed continues to display strong
collateral performance, with no cumulative losses for the
transaction and a small percentage of loans in delinquencies. In
addition, enhancement levels for the tranches have grown, as the
pool amortizes. The credit enhancement since closing has grown, on
average, by 1.2x for the tranches upgraded.
No actions were taken on the other rated classes in this deal
because the expected losses on these bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features and credit
enhancement.
Principal Methodology
The principal methodology used in these ratings 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.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
GS MORTGAGE 2025-HE2: DBRS Finalizes B Rating on B2 Notes
---------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following Mortgage-Backed Notes, Series 2025-HE2 (the Notes) to be
issued by GS Mortgage-Backed Securities Trust 2025-HE2 (GSMBS
2025-HE2):
-- $206.0 million Class A-1 at AAA (sf)
-- $19.5 million Class M-1 at AA (sf)
-- $11.3 million Class M-2 at A (sf)
-- $11.7 million Class M-3 at BBB (sf)
-- $11.1 million Class B-1 at BB (sf)
-- $7.0 million Class B-2 at B (sf)
The AAA (sf) credit rating on the Class A Notes reflects 25.00% of
credit enhancement provided by subordinate notes. The AA (sf), A
(sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 17.90%,
13.80%, 9.55%, 5.50%, and 2.95% of credit enhancement,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The securitization is backed by recently originated first- and
junior-lien revolving home equity lines of credit (HELOCs) funded
by the issuance of mortgage-backed securities (the Notes). The
Notes are backed by 2,890 loans with a total unpaid principal
balance (UPB) of $289,156,194 and a total current credit limit of
$310,638,840 as of the Cut-Off Date (September 30, 2025).
The portfolio, on average, is five months seasoned, though
seasoning ranges from two to 190 months. Approximately 97.7% of the
loans are current and 86.3% have never been 30 or more (30+) days
delinquent since origination. Most loans in the pool are exempt
from the Consumer Financial Protection Bureau (CFPB)
Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs
are not subject to the ATR/QM rules.
GSMBS 2025-HE2 represents the fourth securitization of 100% HELOCs
by the Sponsor, Goldman Sachs Mortgage Company. The performance of
the previous transactions to date has been satisfactory.
HELOC Features
In this transaction, all but six loans are open HELOCs that have a
draw period three, five, or 10 years during which borrowers may
make draws up to a credit limit, though such right to make draws
may be temporarily frozen, suspended, or terminated under certain
circumstances. Post the draw term and interest-only (IO) period,
HELOC borrowers have a repayment period and are no longer allowed
to draw. A majority of the HELOCs in this transaction are
floating-rate loans with 10-year IO payment periods, though some
align with the shorter draw period. 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. While these HELOCs do not need to be fully drawn at
origination, the weighted-average (WA) utilization rate of
approximately 95.6% after five months of seasoning on average.
Transaction and Other Counterparties
The mortgages were originated by United Wholesale Mortgage, LLC
(75.0%) and Amerisave Mortgage Corporation (12.6%) as well as other
originators each comprising less than 5.0% of the pool by balance.
Shellpoint will service all loans within the pool for a servicing
fee of 0.15% per year. Computershare Trust Company, N.A. will serve
as the Collateral Trustee, Paying Agent, Trust Registrar, Rule
17g-5 Information Provider, and Custodian.
Draw Funding Mechanism
This transaction uses a structural mechanism similar to other HELOC
transactions to fund future draw requests. The Servicer will fund
draws from principal and interest collections received. If
collections are insufficient, then the Servicer will be required to
fund any additional net draws with its own funds and will be
entitled to reimbursement. The Funding Interest Owner, initially
and the Retained Interest Owner will reimburse the Servicer for
their funded net draws.
Goldman Sachs Bank USA (rated A (high) with a Stable trend by
Morningstar DBRS) will act as the Initial Funding Interest Owner
and the Retained Interest Owner. The Initial Funding Interest owner
may transfer some or all of the funding interest to one or more
parties that satisfy the related eligibility criteria. Any
transferee must be a Qualified Funding Interest Owner with a
long-term senior debt rating of at least "A" by Morningstar DBRS.
In its analysis of the proposed transaction structure, Morningstar
DBRS does not rely on the creditworthiness of the Servicer. Rather,
the analysis relies on the creditworthiness of the Initial Funding
Interest Owner, Retained Interest Owner, and the assets' ability to
generate sufficient cash flows to fund draws and make interest and
principal payments.
Additional Cash Flow Analytics for HELOCs
Morningstar DBRS performs a traditional cash flow analysis to
stress prepayments, loss timing, and interest rates. Generally, in
HELOC transactions, because prepayments (and scheduled principal
payments, if applicable) are primary sources from which to fund
draws, Morningstar DBRS also tests a combination of high draw and
low prepayment scenarios to stress the transaction.
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 Mortgage
Bankers Association (MBA) delinquency method will be charged off.
Transaction Structure
This transaction incorporates a pro rata cash flow structure;
however, principal payment will be distributed sequentially so long
as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class,
as described in the related report under Cashflow Structure and
Features. On the first Payment Date, each of the Class M-1, M-2,
and M-3 Notes will be locked out from receiving principal
payments.
Additionally, the pro rata cash flow structure is subject to a
sequential trigger (Trigger Event), which is based on certain
performance trigger events related to cumulative losses and
delinquencies. If a Trigger Event is in effect, principal
distributions are made sequentially. Cumulative Loss and
Delinquency Trigger Events are applicable immediately after the
Closing Date.
Relative to a sequential pay structure, a pro rata structure
subject to a Trigger Event is more sensitive to the timing of the
projected defaults and losses as the losses may be applied at a
time when the amount of credit support is reduced as the bonds'
principal balances amortize over the life of the transaction.
Other Transaction Features
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. 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 Cut-Off Date.
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 HELOC. However, the Servicer is
required to make advances in respect of taxes, insurance premiums,
and reasonable costs incurred in the course of servicing and
disposing of properties (servicing advances) to the extent such
advances are deemed recoverable.
On any payment date on or after three years after the closing date
or the first payment date when the UPB falls to or below 30% of the
Cut-Off Date UPB, the Controlling Holder, may exercise a call and
purchase all of the outstanding Notes at the redemption price
(Optional Redemption) described in the transaction documents.
On or after the first payment date on which the aggregate pool
balance of the mortgage loans and the real estate owned (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 cause an early retirement
of the Notes.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2025-NQM5: DBRS Finalizes B Rating on Class B-2 Debt
----------------------------------------------------------------
DBRS, Inc. finalized provisional credit ratings on GS
Mortgage-Backed Securities Trust 2025-NQM5 (GSMBS 2025-NQM5 or the
Trust) as follows:
-- $244.3 million Class A-1 at AAA (sf)
-- $19.4 million Class A-2 at AA (high) (sf)
-- $28.0 million Class A-3 at A (high) (sf)
-- $12.9 million Class M-1 at BBB (sf)
-- $8.9 million Class B-1 at BB (High) (sf)
-- $7.3 million Class B-2 at B (sf)
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The AAA (sf) credit rating on the Class A-1 certificates reflects
24.90% of credit enhancement provided by subordinate certificates.
The AA (high) (sf), A (high) (sf), BBB (sf), BB (high) (sf), and B
(sf) credit ratings reflect 18.95%, 10.35%, 6.40%, 3.65%, and 1.40%
of credit enhancement, respectively.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first-lien residential mortgages
funded by the issuance of the Mortgage Pass-Through Certificates,
Series 2025-NQM5. The Certificates are backed by 962 loans with a
total principal balance of approximately $342,472,940 as of the
Cut-Off Date (October 1, 2025).
The pool is, on average, seven months seasoned with loan ages
ranging from four to thirty-two months. The Mortgage Loan Seller
acquired approximately 34.2% of the Mortgage Loans, by aggregate
Stated Principal Balance as of the Cut-off Date, from United
Wholesale Mortgage, LLC, approximately 65.8% of the loans were
originated by 'Other' originators. All the other originators
individually comprised less than 10% of the overall mortgage
loans.
NewRez LLC (NewRez), formerly known as New Penn Financial, LLC,
doing business as (dba) Shellpoint and Select Portfolio Servicing
Inc. will service 97.5% and 2.5% of the loans, respectively.
Computershare Trust Company, N.A. (rated BBB (high) with a Stable
trend) will act as Custodian and Securities Administrator. U.S.
Bank Trust N.A. will act as Delaware Trustee.
As of the Cut-Off Date, 98.5% of the loans in the pool are
contractually current according to the Mortgage Bankers Association
(MBA) delinquency calculation method.
In accordance with the Consumer Financial Protection Bureau (CFPB)
Qualified Mortgage (QM) rules, 58.5% of the loans by balance are
designated as non-QM. Approximately 40.3% of the loans in the pool
were made to investors for business purposes and are exempt from
the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 1.2% of
the pool are designated as QM Safe Harbor (by unpaid principal
balance (UPB)), and there are no QM Rebuttable Presumption loans.
Servicers will fund advances of delinquent principal and interest
(P&I) until the loan is either greater than 90 days delinquent
under the MBA method) or the P&I advance is deemed unrecoverable.
Each servicer is obligated to make advances in respect of taxes and
insurance, the cost of preservation, restoration, and protection of
mortgaged properties and any enforcement or judicial proceedings,
including foreclosures and reasonable costs and expenses incurred
in the course of servicing and disposing of properties until
otherwise deemed unrecoverable.
The Sponsor, GSMC, or a majority-owned affiliate, will retain an
eligible vertical interest in the transaction consisting of an
uncertificated interest (the Retained Interest) in the Trust
representing the right to receive at least 5.0% of the amounts
collected on the mortgage loans, net of the Trust's fees, expenses,
and reimbursements and paid on the Notes (other than the Class R
Certificates) and the Retained Interest to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder.
The Controlling Holder may, at its option, on or after the earlier
of (1) the three-year anniversary of the Closing Date or (2) the
date on which the balance of mortgage loans falls to or below 30%
of the loan balance as of the Cut-Off Date (Optional Redemption),
purchase all of the outstanding Certificates at the price described
in the transaction documents.
The Issuer may require the Seller to repurchase loans that become
delinquent in the first three monthly payments following the date
of acquisition. Such loans will be repurchased at the related
repurchase price.
The transaction's cash flow structure is generally similar to that
of other non-QM securitizations. The transaction employs a
sequential-pay cash flow structure with a pro rata principal
distribution among the senior tranches subject to certain
performance triggers related to cumulative losses or delinquencies
exceeding a specified threshold (Credit Event). In the case of a
Credit Event, principal proceeds will be allocated to cover
interest shortfalls on the Class A-1 and then in reduction of the
Class A-1 balance before a similar allocation to the Class A-2
(IPIP). For the Class A-3 Certificates (only after a Credit Event)
and for the mezzanine and subordinate classes of Certificates (both
before and after a Credit Event), principal proceeds will be
available to cover interest shortfalls only after the more senior
Certificates have been paid off in full. Also, the excess spread
can be used to cover realized losses first before being allocated
to unpaid Cap Carryover Amounts due to Class A-1, A-2, A-3, and M-1
(and B-1 if issued with fixed rate).
Of note, the Class A-1, A-2, and A-3 Certificates coupon rates
step-up by 100 basis points on and after the payment date in
November 2029. Interest and principal otherwise payable to the
Class B-3 Certificates as accrued and unpaid interest may be used
to pay the Class A-1, A-2, and A-3 Certificates Cap Carryover
Amounts.
Natural Disasters/Wildfires
The mortgage pool contains loans secured by mortgage properties
that are within certain disaster areas. The Sponsor of the
transaction has informed Morningstar DBRS that the servicer has
ordered (and intends to order) property damage inspections (PDI)
for any property in a known disaster zone prior to the transactions
closing date. Loans secured by properties known to be materially
damaged will not be included in the final transaction collateral
pool.
The transaction documents also include representations and
warranties regarding the property conditions, which state that the
properties have not suffered damage that would have a material and
adverse impact on the values of the properties (including events
such as fire, windstorm, flood, earth movement, and hurricane).
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2025-PJ9: Fitch Assigns 'B-sf' Final Rating on B5 Certs
-------------------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed certificates
issued by GS Mortgage-Backed Securities Trust 2025-PJ9 (GSMBS
2025-PJ9).
Entity/Debt Rating Prior
----------- ------ -----
GSMBS 2025-PJ9
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A19 LT AAAsf New Rating AAA(EXP)sf
A20 LT AAAsf New Rating AAA(EXP)sf
A21 LT AAAsf New Rating AAA(EXP)sf
A22 LT AAAsf New Rating AAA(EXP)sf
A23 LT AAAsf New Rating AAA(EXP)sf
A24 LT AAAsf New Rating AAA(EXP)sf
A27 LT AAAsf New Rating AAA(EXP)sf
A29 LT AAAsf New Rating AAA(EXP)sf
A30 LT AAAsf New Rating AAA(EXP)sf
AX1 LT AAAsf New Rating AAA(EXP)sf
AX2 LT AAAsf New Rating AAA(EXP)sf
AX3 LT AAAsf New Rating AAA(EXP)sf
AX4 LT AAAsf New Rating AAA(EXP)sf
AX5 LT AAAsf New Rating AAA(EXP)sf
AX6 LT AAAsf New Rating AAA(EXP)sf
AX7 LT AAAsf New Rating AAA(EXP)sf
AX8 LT AAAsf New Rating AAA(EXP)sf
AX9 LT AAAsf New Rating AAA(EXP)sf
AX10 LT AAAsf New Rating AAA(EXP)sf
AX11 LT AAAsf New Rating AAA(EXP)sf
AX12 LT AAAsf New Rating AAA(EXP)sf
AX13 LT AAAsf New Rating AAA(EXP)sf
AX14 LT AAAsf New Rating AAA(EXP)sf
AX15 LT AAAsf New Rating AAA(EXP)sf
AX16 LT AAAsf New Rating AAA(EXP)sf
AX17 LT AAAsf New Rating AAA(EXP)sf
AX18 LT AAAsf New Rating AAA(EXP)sf
AX19 LT AAAsf New Rating AAA(EXP)sf
AX20 LT AAAsf New Rating AAA(EXP)sf
AX21 LT AAAsf New Rating AAA(EXP)sf
AX22 LT AAAsf New Rating AAA(EXP)sf
AX23 LT AAAsf New Rating AAA(EXP)sf
AX24 LT AAAsf New Rating AAA(EXP)sf
AX25 LT AAAsf New Rating AAA(EXP)sf
AX27 LT AAAsf New Rating AAA(EXP)sf
AX28 LT AAAsf New Rating AAA(EXP)sf
AX29 LT AAAsf New Rating AAA(EXP)sf
AX30 LT AAAsf New Rating AAA(EXP)sf
B1 LT AA-sf New Rating AA-(EXP)sf
B1A LT AA-sf New Rating AA-(EXP)sf
BX1 LT AA-sf New Rating AA-(EXP)sf
B2 LT A-sf New Rating A-(EXP)sf
B2A LT A-sf New Rating A-(EXP)sf
BX2 LT A-sf New Rating A-(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BB-sf New Rating BB-(EXP)sf
B5 LT B-sf New Rating B-(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The classes are supported by 345 prime loans with a total balance
of approximately $413 million as of the cut-off date.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. GSMBS 2025-PJ9 has a Final PD of 10.62% in the 'AAA' rating
stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is
35.69%. The expected loss in the 'AAAsf' rating stress is 3.79%.
Structural Analysis: The mortgage cash flow and loss allocation in
GSMBS 2025-PJ9 are based on a senior-subordinate, shifting-interest
structure whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years.
Fitch analyses the capital structure to determine the adequacy of
the transaction's Credit Enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The credit enhancement for all ratings were
sufficient for the given rating levels. The credit enhancement for
a given rating exceeded the expected losses of that rating stress
to address the structures recoupment of advances and leakage of
principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction. Fitch applies
a 5bp z-score reduction for loans fully reviewed by the TPR firm
and have a final grade of either 'A' or 'B'.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material outcome on the
performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects GSMBS 2025-PJ9 to be a fully
de-linked and bankruptcy remote SPV. All transaction parties and
triggers align with Fitch expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to GSMBS 2025-PJ9 and therefore Fitch is comfortable rating to the
highest possible rating at 'AAAsf' without any Rating Caps.
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 37.4% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC and Opus. The third-party due diligence
described in Form 15E focused on credit, compliance, and property
valuation. Fitch considered this information in its analysis and,
as a result, Fitch applies an approximate 5-bp origination PD
credit for loans fully reviewed by the TPR firm and have a final
grade of either 'A' or 'B'.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GS MORTGAGE 2025-PJ9: Fitch Assigns 'B-sf' Final Rating on B5 Certs
-------------------------------------------------------------------
Fitch Ratings rates the residential mortgage-backed certificates
issued by GS Mortgage-Backed Securities Trust 2025-PJ9 (GSMBS
2025-PJ9).
Entity/Debt Rating Prior
----------- ------ -----
GSMBS 2025-PJ9
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A19 LT AAAsf New Rating AAA(EXP)sf
A20 LT AAAsf New Rating AAA(EXP)sf
A21 LT AAAsf New Rating AAA(EXP)sf
A22 LT AAAsf New Rating AAA(EXP)sf
A23 LT AAAsf New Rating AAA(EXP)sf
A24 LT AAAsf New Rating AAA(EXP)sf
A27 LT AAAsf New Rating AAA(EXP)sf
A29 LT AAAsf New Rating AAA(EXP)sf
A30 LT AAAsf New Rating AAA(EXP)sf
AX1 LT AAAsf New Rating AAA(EXP)sf
AX2 LT AAAsf New Rating AAA(EXP)sf
AX3 LT AAAsf New Rating AAA(EXP)sf
AX4 LT AAAsf New Rating AAA(EXP)sf
AX5 LT AAAsf New Rating AAA(EXP)sf
AX6 LT AAAsf New Rating AAA(EXP)sf
AX7 LT AAAsf New Rating AAA(EXP)sf
AX8 LT AAAsf New Rating AAA(EXP)sf
AX9 LT AAAsf New Rating AAA(EXP)sf
AX10 LT AAAsf New Rating AAA(EXP)sf
AX11 LT AAAsf New Rating AAA(EXP)sf
AX12 LT AAAsf New Rating AAA(EXP)sf
AX13 LT AAAsf New Rating AAA(EXP)sf
AX14 LT AAAsf New Rating AAA(EXP)sf
AX15 LT AAAsf New Rating AAA(EXP)sf
AX16 LT AAAsf New Rating AAA(EXP)sf
AX17 LT AAAsf New Rating AAA(EXP)sf
AX18 LT AAAsf New Rating AAA(EXP)sf
AX19 LT AAAsf New Rating AAA(EXP)sf
AX20 LT AAAsf New Rating AAA(EXP)sf
AX21 LT AAAsf New Rating AAA(EXP)sf
AX22 LT AAAsf New Rating AAA(EXP)sf
AX23 LT AAAsf New Rating AAA(EXP)sf
AX24 LT AAAsf New Rating AAA(EXP)sf
AX25 LT AAAsf New Rating AAA(EXP)sf
AX27 LT AAAsf New Rating AAA(EXP)sf
AX28 LT AAAsf New Rating AAA(EXP)sf
AX29 LT AAAsf New Rating AAA(EXP)sf
AX30 LT AAAsf New Rating AAA(EXP)sf
B1 LT AA-sf New Rating AA-(EXP)sf
B1A LT AA-sf New Rating AA-(EXP)sf
BX1 LT AA-sf New Rating AA-(EXP)sf
B2 LT A-sf New Rating A-(EXP)sf
B2A LT A-sf New Rating A-(EXP)sf
BX2 LT A-sf New Rating A-(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BB-sf New Rating BB-(EXP)sf
B5 LT B-sf New Rating B-(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The classes are supported by 345 prime loans with a total balance
of approximately $413 million as of the cut-off date.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. GSMBS 2025-PJ9 has a Final PD of 10.62% in the 'AAA' rating
stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is
35.69%. The expected loss in the 'AAAsf' rating stress is 3.79%.
Structural Analysis: The mortgage cash flow and loss allocation in
GSMBS 2025-PJ9 are based on a senior-subordinate, shifting-interest
structure whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years.
Fitch analyses the capital structure to determine the adequacy of
the transaction's Credit Enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The credit enhancement for all ratings were
sufficient for the given rating levels. The credit enhancement for
a given rating exceeded the expected losses of that rating stress
to address the structures recoupment of advances and leakage of
principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction. Fitch applies
a 5bp z-score reduction for loans fully reviewed by the TPR firm
and have a final grade of either 'A' or 'B'.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material outcome on the
performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects GSMBS 2025-PJ9 to be a fully
de-linked and bankruptcy remote SPV. All transaction parties and
triggers align with Fitch expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to GSMBS 2025-PJ9 and therefore Fitch is comfortable rating to the
highest possible rating at 'AAAsf' without any Rating Caps.
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 37.4% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC and Opus. The third-party due diligence
described in Form 15E focused on credit, compliance, and property
valuation. Fitch considered this information in its analysis and,
as a result, Fitch applies an approximate 5-bp origination PD
credit for loans fully reviewed by the TPR firm and have a final
grade of either 'A' or 'B'.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GS MORTGAGE 2025-RPL5: Fitch Assigns Bsf Final Rating on B-2 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by GS Mortgage-Backed
Securities Trust 2025-RPL5 (GSMBS 2025-RPL5).
Entity/Debt Rating
----------- ------
GSMBS 2025-RPL5
A-1 LT AAAsf New Rating
A-2 LT AAsf New Rating
A-3 LT AAsf New Rating
A-4 LT Asf New Rating
A-5 LT BBBsf New Rating
M-1 LT Asf New Rating
M-2 LT BBBsf New Rating
B-1 LT BBsf New Rating
B-2 LT Bsf New Rating
B-3 LT NRsf New Rating
B-4 LT NRsf New Rating
B-5 LT NRsf New Rating
B LT NRsf New Rating
PRA LT NRsf New Rating
PT LT NRsf New Rating
R LT NRsf New Rating
SA LT NRsf New Rating
X LT NRsf New Rating
Transaction Summary
The notes are supported by 2,225 seasoned performing and
reperforming loans with a total balance of approximately $317
million as of the cutoff date.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. GSMBS 2025-RPL5 has a final probability of default (PD) of
57.8% in the 'AAAsf' rating stress. Fitch's final loss severity
(LS) in the 'AAAsf' rating stress is 27.2%. The expected loss in
the 'AAAsf' rating stress is 16.26%.
Structural Analysis: The mortgage cash flow and loss allocation in
GSMBS 2025-RPL5 are based on a sequential-pay structure, whereby
the subordinated classes do not receive principal until the 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 in the absence of servicer advancing. Interest and
interest shortfalls are paid sequentially.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction by loan count.
Fitch expects SPL/RPL pools to have full diligence completed.
Specifically, for loans that have an application date on or after
Jan. 10, 2014, Fitch expects a full due diligence scope that
includes a review of credit, regulatory compliance and property
valuation. For loans with an application date prior to Jan. 10,
2014, Fitch primarily receives a regulatory compliance review to
ensure loans were originated in accordance with predatory lending
regulations. Fitch's review of the operational risk for this
transaction did not have an impact on the analysis.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material impact on
the performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects GSMBS 2025-RPL5 to be fully
de-linked and a bankruptcy-remote, special-purpose vehicle (SPV) at
closing. All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to GSMBS 2025-RPL5, and, therefore, Fitch is comfortable assigning
the highest possible rating of 'AAAsf' without any rating caps.
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 38.0% 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
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class, excluding those being assigned ratings of
'AAAsf'.
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. The third-party due diligence described in
Form 15E focused on a regulatory compliance review that covered
applicable federal, state and local high-cost loan and/or
anti-predatory laws, as well as the Truth In Lending Act (TILA) and
Real Estate Settlement Procedures Act (RESPA). The scope was
consistent with published Fitch criteria for due diligence on RPL
RMBS. Fitch considered this information in its analysis and, as a
result, Fitch made the following adjustments to its analysis:
- Loans with an indeterminate HUD1 located in states that fall
under Freddie Mac's "Do Not Purchase List" received a 100% LS
over-ride;
- Loans with an indeterminate HUD1 but not located in states that
fall under Freddie Mac's "Do Not Purchase List" received a
five-point LS increase;
- Unpaid taxes and lien amounts were added to the LS.
In total, these adjustments increased the 'AAAsf' loss by
approximately 50bps.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GS MORTGAGE-BACKED 2025-DSC2: S&P Assigns 'B' Rating on B-2 Certs
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to GS Mortgage-Backed
Securities Trust 2025-DSC2's mortgage-backed certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and nonprime borrowers. The
loans are secured by single-family residential properties,
townhomes, planned-unit developments, condominiums and two- to
four-family residential properties. The pool consists of 1,428
business-purpose investment property loans that are all
ability-to-repay-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 framework, and geographic
concentration;
-- The mortgage aggregator and mortgage originators;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's economic outlook, which considers our current projections
for U.S. economic growth, unemployment rates, and interest rates,
as well as its view of housing fundamentals, and is updated, if
necessary, when these projections change materially.
Ratings Assigned(i)
GS Mortgage-Backed Securities Trust 2025-DSC2(i)
Class A-1, $204,966,000: AAA (sf)
Class A-2, $19,725,000: AA (sf)
Class A-3, $32,184,000: A (sf)
Class M-1, $15,424,000: BBB (sf)
Class B-1, $10,678,000: BB (sf)
Class B-2, $8,602,000: B (sf)
Class B-3, $5,043,424: NR
Class X, $296,622,424(ii): NR
Class SA, $79,486(iii): NR
Class R, Not applicable: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address payment of the cap carryover
amounts.
(ii)The notional amount will equal the non-retained interest
percentage of the aggregate stated principal balance of the
mortgage loans as of the first day of the related due period.
(iii)Balance equal to the non-retained interest percentage of the
amount of pre-existing servicing advances as of the closing date.
NR--Not rated.
GS MORTGAGE-BACKED 2025-NQM5: S&P Assigns 'B' Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to GS Mortgage-Backed
Securities Trust 2025-NQM5'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 mortgage loans with initial
interest-only periods, to both prime and nonprime borrowers. The
loans are secured by single-family residential properties,
townhomes, planned-unit developments, condominiums, two- to
four-family residential properties, a cooperative, and a condotel.
The pool consists of 962 loans backed by 970 properties, which are
qualified mortgage (QM)/non-higher-priced mortgage loan (safe
harbor), 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 framework, and geographic
concentration;
-- The mortgage aggregator and mortgage originators; 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.
Ratings Assigned
GS Mortgage-Backed Securities Trust 2025-NQM5(i)
Class A-1, $244,337,000: AAA (sf)
Class A-2, $19,358,000: AA (sf)
Class A-3, $27,980,000: A (sf)
Class M-1, $12,851,000: BBB (sf)
Class B-1, $8,948,000: BB (sf)
Class B-2, $7,320,000: B (sf)
Class B-3, $4,555,292: NR
Class X, notional(ii): NR
Class SA(iii): NR
Class PT, $325,349,292: NR
Class R, N/A: NR
(i)The collateral and structural information in this report reflect
the final private placement memorandum dated Oct. 28, 2025. The
ratings address the ultimate payment of interest and principal.
They do not address payment of the cap carryover amounts.
(ii)The notional amount for the class X certificates equals the
non-retained interest percentage (95%) of the loans' aggregate
unpaid principal balance, initially $325,349,292.
(iii)Balance equal to the non-retained interest percentage of the
amount of pre-existing servicing advances as of the closing date.
Entitled to the class SA monthly remittance amount, if any.
N/A—Not applicable.
NR--Not rated.
GSF 2021-1: DBRS Confirms BB(low) Rating on Class E Notes
---------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of notes
issued by GSF 2021-1 (the Issuer) as follows:
-- Class A-1 Notes at AAA (sf)
-- Class A-2 Notes at AAA (sf)
-- Class A-S Notes at AAA (sf)
-- Class B Notes at AA (low) (sf)
-- Class X Notes at A (sf)
-- Class C Notes at A (low) (sf)
-- Class D Notes at BBB (low) (sf)
-- Class E Notes at BB (low) (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
overall stable performance of the transaction since Morningstar
DBRS' previous credit rating action in October 2024. The
transaction benefits from a diverse property type concentration and
steady financial performance of the underlying collateral in the
pool. There are currently no loans on the servicer's watchlist or
in special servicing; however, a significant portion of the loans
in the pool have upcoming maturity dates in 2026.
As of the October 2025 remittance, 20 of the original 23 loans
remain in the pool with a trust balance of $436.5 million,
representing a collateral reduction of 12.7% since issuance. Since
the previous credit rating action, two loans repaid from the trust,
including Palmetto Place (Prospectus ID#3; previously 3.7% of the
pool balance), which was secured by a Class B office property in
Boca Raton, Florida, and was previously identified as a higher risk
loan by Morningstar DBRS. The predominant property types backing
the remaining loans in the pool are multifamily, office, and
industrial, representing 23.4%, 22.0%, and 20.8% of the pool,
respectively.
Morningstar DBRS continues to note the increased credit risk of the
Westview loan (Prospectus ID#12; 8.5% of the pool balance), which
is secured by a 100,182-square foot (sf) office building in Austin,
adjacent to the Texas State Capitol. As of the March 2025
reporting, the subject was 67.0% occupied, compared with the June
2024 and March 2023 figures of 51.6% and 92.4%, respectively. As
noted in Morningstar DBRS' last review, the decrease in occupancy
from 2023 was attributable to the departure of the former largest
tenant, WeWork (previously 46.3% of the net rentable area (NRA)),
which vacated its space in April 2024. Since then, the borrower
signed four new tenants, including the current largest tenant at
the property, Regus (15.0% of the NRA, lease expires December
2034). Only one tenant, Cushing Terrell (15.0% of the NRA, lease
expires July 2026), has a lease scheduled to expire within the next
12 months. According to Reis, the downtown Austin office submarket
reported a Q2 2025 vacancy rate of 32.7%, making it a challenge for
the borrower to backfill vacant space at the subject. According to
the trailing 12-month (T-12) financials ended March 31, 2025, the
property reported a net cash flow (NCF) of $914,000 (debt service
coverage ratio (DSCR) of 0.39 times (x)), compared with the T-12
June 2024 figure of $2.8 million (DSCR of 1.21x). The decrease is
attributable to the loss in rental revenue following WeWork's
departure; however, Morningstar DBRS expects to see a small rebound
when factoring in the rental obligations of the newly signed
tenants. Despite the slight uptick in occupancy, Morningstar DBRS
continues to note an elevated risk profile, and as such analyzed
the loan with an elevated probability of default, resulting in an
expected loss nearly four times greater than the pool expected
loss.
The Stonecreek Pointe loan (Prospectus ID#10; 3.9% of the pool
balance), which is secured by a 110,776-sf Class A office building
in Phoenix, Arizona, is another loan of concern. As of the March
2025 reporting, the property was 82.3% occupied, in line with the
June 2024 figure of 82.8%. The largest tenants at the property
include Investis Digital (18.0% of the NRA, lease expires July
2029), Paradise Valley Executive Suites (13.0% of the NRA, lease
expires February 2026), and MEB Commercial Management (9.0% of the
NRA, lease expires December 2027). Tenants representing
approximately 18.0% of the NRA have leases scheduled to expire
within the next 12 months, and according to Reis, the Phoenix North
Central office submarket reported an elevated Q2 2025 vacancy rate
of 21.7%, down slightly from the Q2 2024 figure of 24.8%. Given the
notable tenant rollover risk and submarket vacancy rate,
backfilling vacant space could be a challenge for the borrower.
According to the T-12 financials ended March 31, 2025, the property
reported a NCF of $845,000 (DSCR of 0.78x), decreasing from the
T-12 June 2024, and Morningstar DBRS issuance derived figures of
$1.2 million (DSCR of 1.15x) and $1.4 million, respectively. To
reflect the declining financial performance and notable tenant
rollover risk, Morningstar DBRS analyzed the loan with an elevated
probability of default, resulting in an expected loss more than
three times greater than the pool expected loss.
Notes: All figures are in U.S. dollars unless otherwise noted.
H.I.G. RCP 2023-FL1: DBRS Confirms BB Rating on Class G Notes
-------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of notes
issued by H.I.G. RCP 2023-FL1, LLC (the Issuer) as follows:
-- Class B Notes at AAA (sf)
-- Class C Notes at AA (sf)
-- Class D Notes at A (high) (sf)
-- Class E Notes at A (sf)
-- Class F Notes at BB (high) (sf)
-- Class G Notes at BB (sf)
All trends are Stable.
In addition, Morningstar DBRS discontinued its credit rating on the
Class A-S Notes as they were repaid with the September 2025
remittance.
The credit rating confirmations reflect the transaction's stable
performance, as shown by the significant paydown since issuance,
particularly in the past year. As of the September 2025 reporting,
collateral reduction totaled 68.4% since closing, inclusive of
21.3% in collateral reduction realized since the previous
Morningstar DBRS credit rating action in May 2025. There are only
five loans remaining in the pool, and all five borrowers are
generally progressing within expectations on their respective
business plans. With the exception of the smallest loan in the
pool, all loans have fully extended maturity dates in 2027 or 2028.
Although the concentrated nature of the remaining pool increases
the risk of adverse selection, the transaction benefits from the
unrated $42.0 million Class H Notes and approximately $94.4 million
of non-investment-grade classes, further supporting the credit
rating confirmations with this review.
In conjunction with this press release, Morningstar DBRS published
a Surveillance Performance Update report with in-depth analysis and
credit metrics for the transaction as well as business plan updates
on select loans. For access to this report, please click on the
link under Related Documents below or contact us at
info-DBRS@morningstar.com.
As of the September 2025 remittance, the pool consisted of five
loans secured by five properties, with an outstanding balance of
$212.6 million. The transaction is static but contains a Permitted
Funded Companion Participation Acquisition period through the
October 2025 payment date, whereby the Issuer can acquire funded
pari passu companion participations into the trust. There are no
specially serviced or watch listed loans in the pool, nor have any
loans been modified. Since Morningstar DBRS' previous credit rating
action in May 2025, four loans with a combined trust balance of
$166.8 million have been paid in full. The three largest loans,
representing 66.3% of the pool, are secured by multifamily
collateral. The remaining two loans are secured by commercial
property types: a lodging property (18.4% of the pool) and an
industrial property (15.3% of the pool).
The collateral pool exhibits elevated leverage from issuance with a
current weighted-average (WA) appraised loan-to-value ratio (LTV)
of 71.1% and a WA stabilized LTV of 62.7%. In comparison, these
figures were 64.6% and 61.9%, respectively, at closing. Morningstar
DBRS notes that individual property values may have decreased given
current interest rates and capitalization (cap) rates relative to
when the individual loans closed. In its analysis for this review,
Morningstar DBRS considered a recoverability analysis with property
values stressed either through the use of haircuts to appraised
values or the use of a value analysis based on the in-place
property-level financial reporting with stressed market- and
property-type-specific cap rates. Those figures were then evaluated
against the outstanding debt to assess refinance prospects and/or
recovery in the event of a default and ultimate disposition. Based
on that analysis, Morningstar DBRS determined that exposure to
loans with an implied LTV above 100% would be contained to the
unrated Class H Notes, which have a current balance of $42.0
million.
Through September 2025, the collateral manager had advanced
cumulative loan future funding of $18.5 million to three of the
outstanding individual borrowers. The largest cumulative advance
($10.0 million) to a single borrower was for the Kauai Beach Resort
loan (Prospectus ID#13, 18.4% of the pool), which is secured by a
149-key beachfront resort on the island of Kauai in Hawaii. The
borrower's business plan was to rebrand the property to the
Outrigger Resorts & Hotels (Outrigger) brand, a change from its
operation at acquisition as an independent hotel. The collateral
manager confirmed that the borrower has successfully transitioned
the hotel to the Outrigger flag and has commenced the proposed
value-add renovation program. The collateral manager notes that
guestroom upgrades should be completed by mid-October 2025, while
public-area renovations are scheduled to be completed by Q2 2026.
As a result of the ongoing renovations in 2025, the collateral's
year-to-date net cash flow is negative. The loan is scheduled to
mature in September 2026 and has two one-year extension options
remaining. Approximately $7.9 million of future funding remains
outstanding to facilitate the remaining renovations.
Outside of the Kauai Beach Resort loan, an additional $3.6 million
of loan future funding allocated to two other borrowers remains
available, the majority of which ($3.5 million) is allocated to the
borrower of the Vancouver Tech Center loan (Prospectus ID#15, 15.3%
of the pool), secured by an industrial complex in Vancouver,
Washington. The borrower's business plan focused on leasing up the
vacant space and rolling leases to market levels. While lease-up
has been slower than expectations, with a 60.0% occupancy rate as
of June 2025, the borrower is reportedly in negotiations with a new
lender to refinance the property in Q4 2025, as the loan's final
maturity date of November 2025 is approaching.
Notes: All figures are in U.S. dollars unless otherwise noted.
HINNT 2025-B: Fitch Assigns 'B(EXP)sf' Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Outlooks to notes
to be issued by HINNT 2025-B LLC (HINNT 2025-B).
Entity/Debt Rating
----------- ------
HINNT 2025-B LLC
A LT AAA(EXP)sf Expected Rating
B LT A-(EXP)sf Expected Rating
C LT BBB(EXP)sf Expected Rating
D LT BB-(EXP)sf Expected Rating
E LT B(EXP)sf Expected Rating
KEY RATING DRIVERS
Borrower Risk—Improved Collateral Composition: The
weighted-average (WA) FICO score of the statistical pool is 740,
lower than the 748 for HINNT 2025-A, but higher than the 734 for
HINNT 2024-A. Approximately 20% of collateral from the 2020
securitization is contributing to significant seasoning of 15
months. This transaction also features a prefunding account, which
covers approximately 22% of the total collateral balance, funded by
loans that must conform to criteria similar to or better than that
for the pool overall.
Forward-Looking Approach on CGD Proxy—Weakening Performance:
HICV's delinquency and default performance exhibited material
increases during the Great Recession. Notable improvement was
observed in the 2010-2014 vintages. However, the 2016 through 2023
vintages experienced higher default rates than during the Great
Recession, due principally to integration challenges after the
Silverleaf acquisition and defaults related to paid-product-exits
(PPEs). In deriving its cumulative gross default (CGD) proxy of
23.00%, Fitch focused on extrapolations of the 2015-2019 vintages.
Structural Analysis—Higher CE: Initial hard credit enhancement
(CE) is expected to be 71.10%, 35.70%, 18.70%, 9.65%, and 4.40% for
the class A, B, C, D, and E notes, respectively. Compared to
2025-A, the hard CE is higher for classes A, B, C, and D. Hard CE
is composed of overcollateralization (OC), a reserve account and
subordination. Soft CE is also provided by excess spread and is
expected to be 8.0% per annum. The structure is sufficient to cover
multiples of 3.00x, 2.00x, 1.50x, and 1.17x for 'AAAsf', 'A-sf',
'BBBsf', and 'BB-sf', respectively.
Originator/Seller/Servicer Operational Review—Quality of
Origination/Servicing: Fitch deems HICV to have demonstrated
sufficient abilities as an originator and servicer of timeshare
loans, as evidenced by the historical delinquency and default
performance of the securitized trusts and of the managed
portfolio.
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 that are higher than the rating case and would likely
result in declines of CE and remaining default coverage levels
available to the notes. Unanticipated increases in prepayment
activity could also result in a decline in coverage. Lower default
coverage could increase the vulnerability of certain note ratings
to negative rating actions depending on the extent of the decline.
Therefore, Fitch conducts sensitivity analyses 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 rating case CGD proxy to
the level necessary to reduce each rating by one full category, to
noninvestment grade (BBsf) and to 'CCCsf', based on the break-even
default coverage provided by the CE structure.
The CGD and prepayment sensitivities include 1.5x and 2.0x
increases to the prepayment assumptions, representing moderate and
severe stresses, respectively. These analyses are intended to
provide an indication of the rating sensitivity of the 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 the CGD is 20% less than the projected
rating case CGD proxy, the expected ratings would be maintained for
class A notes at a stronger rating multiple. For class B, C and D
notes, the multiples would increase, resulting in potential
upgrades of up to one rating category for the subordinate classes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with third-party due diligence information from
Grant Thornton LLP. The third-party due diligence 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 its
analysis/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.
ICG US 2014-2: Moody's Cuts Rating on $8MM Class F-RR Notes to Ca
-----------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by ICG US CLO 2014-2, Ltd.:
US$26.8M Class D-RR Deferrable Mezzanine Term Notes, Upgraded to
Aa1 (sf); previously on Nov 7, 2024 Upgraded to A2 (sf)
US$8M (Current outstanding amount US$8,853,251) Class F-RR
Deferrable Junior Term Notes, Downgraded to Ca (sf); previously on
Nov 7, 2024 Downgraded to Caa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$44M (Current outstanding amount US$10,199,460) Class B-RR
Senior Term Notes, Affirmed Aaa (sf); previously on Jan 12, 2024
Upgraded to Aaa (sf)
US$21.2M Class C-RR Deferrable Mezzanine Term Notes, Affirmed Aaa
(sf); previously on Nov 7, 2024 Upgraded to Aaa (sf)
US$20M Class E-RR Deferrable Junior Term Notes, Affirmed Ba3 (sf);
previously on Sep 14, 2020 Confirmed at Ba3 (sf)
ICG US CLO 2014-2, Ltd., originally issued in August 2014 and
refinanced in full in March 2018, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The portfolio is managed
by ICG Debt Advisors LLC - Manager Series. The transaction's
reinvestment period ended in January 2023.
RATINGS RATIONALE
The upgrade on the rating on the Class D-RR notes is primarily a
result of the deleveraging of the senior notes following
amortisation of the underlying portfolio since the last rating
action in November 2024.
The Class A-RR notes have been redeemed in full Class B-RR notes
have paid down by approximately USD33.8 million (76.8% of original
balance) since the last rating action in November 2024. As a result
of the deleveraging, over-collateralisation (OC) has increased for
Class A/B, Class C and Class D. According to the trustee report
dated October 2025[1], the OC ratios for Class A/B, Class C and
Class D are reported at 251.06%, 172.44% and 123.54%, compared to
October 2024[2] levels of 151.95%, 132.55%, and 114.13%,
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 downgrade action on the Class F-RR notes reflects the specific
risks to the junior notes posed by credit deterioration observed in
the underlying CLO portfolio since the last rating action in
November 2024. The credit quality has deteriorated as reflected in
the deterioration in the average credit rating of the portfolio
(measured by the weighted average rating factor, or WARF) and an
increase in the proportion of securities from issuers with ratings
of Caa1 or lower. According to the trustee report dated October
2025[1], the WARF was 4023, compared with 3727 in October 2024[2].
Securities with ratings of Caa1 or lower currently make up
approximately 18.90% of the underlying portfolio, as per the
October 2025[1] report, versus 13.10% in October 2024[2]. While the
transaction doesn't have an explicit Class F-RR OC ratio, its
implicit level has decreased to 99.61% from 102.31%.
The affirmations on the ratings on the B-RR, C-RR and E-RR notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The 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: USD86.5m
Defaulted Securities: USD6.9m
Diversity Score: 31
Weighted Average Rating Factor (WARF): 3760
Weighted Average Life (WAL): 2.70 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.55%
Weighted Average Recovery Rate (WARR): 46.43%
Par haircut in OC tests and interest diversion test: 7.01%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- The main source of uncertainty in this transaction is the pace
of amortisation of the underlying portfolio, which can vary
significantly depending on market conditions and have a significant
impact on the notes' ratings. Amortisation could accelerate as a
consequence of high loan prepayment levels or collateral sales by
the collateral manager or be delayed by an increase in loan
amend-and-extend restructurings. Fast amortisation would usually
benefit the ratings of the notes beginning with the notes having
the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
ICG US 2015-2R: Moody's Cuts Rating on $25MM Class D Notes to B1
----------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by ICG US CLO 2015-2R, Ltd.:
US$19.5M Class B-R Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aa1 (sf); previously on Feb 5, 2025 Assigned Aa3 (sf)
US$24.5M Class C-R Senior Secured Deferrable Floating Rate Notes,
Upgraded to A3 (sf); previously on Feb 5, 2025 Assigned Baa2 (sf)
US$25M Class D Senior Secured Deferrable Floating Rate Notes,
Downgraded to B1 (sf); previously on Sep 22, 2020 Confirmed at Ba3
(sf)
Moody's have also affirmed the ratings on the following notes:
US$245.6M (Current outstanding balance US$115,880,048) Class A-1-R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Feb 5, 2025 Assigned Aaa (sf)
US$49M Class A-2-R Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Feb 5, 2025 Assigned Aaa (sf)
ICG US CLO 2015-2R, Ltd., issued in February 2020 and refinanced in
February 2025, is a collateralised loan obligation (CLO) backed by
a portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by ICG Debt Advisors LLC. The transaction's
reinvestment period ended in January 2025.
RATINGS RATIONALE
The rating upgrades on the Class B-R and C-R notes are primarily a
result of the significant deleveraging of the Class A-1-R notes
following amortisation of the underlying portfolio since the last
rating action in February 2025; the downgrade of the rating on the
Class D notes is due to the deterioration of the key credit metrics
of the underlying pool since the last rating action in February
2025.
The affirmations of the ratings on the Class A-1-R and A-2-R notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A-1-R notes have been paid down by approximately USD129.8
million (52.8%) since the last rating action in February. As a
result of the deleveraging, over-collateralisation (OC) has
increased. According to the trustee report dated October 2025[1]
the Class A, Class B and Class C OC ratios are reported at 133.59%,
123.73% and 113.23% compared to January 2025[2] levels of 129.26%,
121.24% and 112.47%, respectively. Moody's notes that the October
2025 principal payments are not reflected in the reported OC
ratios.
Nevertheless, the weighted average spread (WAS) of the portfolio
has decreased and the proportion of securities from issuers with
ratings of Caa1 or lower has increased. According to the trustee
report dated October 2025[1], the WAS is reported at 3.11%,
compared with 3.28% in the January 2025[2] report. Securities with
ratings of Caa1 or lower are reported in October 2025[1] as 7.9% of
the underlying portfolio, versus 6.6% in January 2025[2]. In
addition, the Class D OC, WAS, weighted average rating factor,
diversity score and weighted average life tests all failed in
October 2025[1].
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: USD249.62m
Defaulted Securities: USD7.35m
Diversity Score: 62
Weighted Average Rating Factor (WARF): 2816
Weighted Average Life (WAL): 3.89 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.85%
Weighted Average Coupon (WAC): 15.00%
Weighted Average Recovery Rate (WARR): 46.39%
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 collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
JP MORGAN 2012-C8: DBRS Cuts 2 Classes Certs Rating to C
--------------------------------------------------------
DBRS Limited downgraded the credit ratings on two classes of
Commercial Mortgage Pass-Through Certificates, Series 2012-C8
issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2012-C8 as follows:
-- Class X-B to C (sf) from CCC (sf)
-- Class G to C (sf) from CCC (sf)
The C (sf) credit rating does not carry a trend in commercial
mortgage-backed securities (CMBS).
The credit ratings downgrades reflect the expected realized loss
for the remaining loan, as well as the ongoing interest shortfalls
that have continued to accrue since Morningstar DBRS' last credit
rating action in November 2024. The sole remaining loan in the pool
is secured by the Ashford Office Complex (Prospectus ID#5), a Class
B office complex in the Energy Corridor of Houston, which was sold
in early 2025 at an undisclosed amount via a receiver sale.
Subsequent to the sale, the loan was assumed, brought current and
modified, with the loan's maturity extended to April 2030. At
Morningstar DBRS' previous credit rating action in November 2025,
interest shortfalls were contained to the nonrated Class NR
certificate, totaling $0.5 million. As of the October 2025
remittance, cumulative unpaid interest has increased to $2.0
million, with Class G shorted interest since June 2025 and Class
X-B receiving only 24.4% of scheduled interest. Additionally, since
last review, $1.4 million of realized losses have been recognized
as a result of the servicer's nonrecoverability determination for
the remaining loan.
In addition to the maturity extension, other terms of the loan
modification include bifurcating the loan into a $34.0 million A
note and $13.0 million B note and converting the payment structure
to interest-only (IO). The interest rate was also reduced, which is
the primary contributor to ongoing interest shortfalls. According
to the servicer's reporting, the A-note returned to the master
servicer in July 2025, while the B-note remained in special
servicing. However, as the special servicer believes payment
default is imminent given the distressed status of the collateral,
the A-note transferred back to special servicing in September 2025.
According to the servicer's most recent commentary, the borrower is
pursuing a discounted payoff, which is currently under review.
The collateral was reappraised in September 2024 at a value of
$26.0 million, reflective of a loan-to-value ratio of 169.1%,
representing a further decline from the September 2023 value of
$32.5 million, and well below the issuance value of 80.2 million.
Morningstar DBRS' liquidation scenario was based on a 55.0% haircut
to the September 2024 value given the modification, which cut a B
note, as previously described, the expected delta between the
appraised and liquidation values for the collateral property, and
the servicer's listed workout strategy of discounted payoff as of
the October 2025 remittance. The scenario suggested just under $9.0
million in available proceeds, which could ultimately cover the
remaining balance of the Class G certificate but there isn't much
cushion for trust expenses and increased interest shortfalls,
supporting the credit rating downgrades with this review.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2017-FL11: DBRS Confirms BB(low) Rating on E Certs
------------------------------------------------------------
DBRS, Inc. confirmed its credit rating on the following class of
Commercial Mortgage Pass-Through Certificates, Series 2017-FL11
issued by J.P. Morgan Chase Commercial Mortgage Securities Trust
2017-FL11:
-- Class E at BB (low) (sf)
The trend is Stable.
The credit rating confirmation reflects Morningstar DBRS'
recoverability expectations for the remaining loan in the pool, One
Westchase Center (Prospectus ID#6), which is secured by a Class A
office property in Houston's Westchase submarket. The loan has been
modified multiple times to provide the borrower with maturity
extensions in exchange for principal curtailments, which have
totaled $6.0 million on the senior loan, resulting in a current
balance of $41.0 million. The loan remains current on debt service
payments but has now surpassed the October 2025 maturity date with
no extension options remaining. According to the servicer, the
borrower is actively pursuing take-out financing as the loan
remains on the servicer's watchlist. Morningstar DBRS expects new
financing to be in the form of a short-term bridge loan. With this
review, Morningstar DBRS maintained a conservative liquidation
scenario to test the recoverability of the loan and concluded that
any potential losses associated with the loan are likely to be
contained to the unrated Class F certificate, which has a current
balance of $21.4 million.
The property was most recently appraised in November 2024 at a
value of $41.0 million (loan-to-value ratio of 100.0%), which
represents a 51.9% decrease from the issuance appraised value of
$85.2 million. Morningstar DBRS estimates the appraised value of
the asset would have to decline by an additional 55.0% before full
interest due to the Class E bondholders would not be advanced by
the servicer. The property reported a YE2024 net cash flow (NCF) of
$4.1 million, equating to a debt service coverage ratio (DSCR) of
0.96 times (x) and a 9.9% debt yield on the senior loan. Property
performance during the trailing six-month period ended June 30,
2025, has remained relatively stable with an annualized NCF of $4.0
million and DSCR of 1.05x. To test the recoverability of the loan,
Morningstar DBRS applied stressed capitalization rates ranging
between 10.0% and 12.0% to the YE2024 NCF, resulting in property
valuations ranging from $33.9 million to $40.7 million, further
supporting the credit rating confirmation of Class E.
According to the June 2025 rent roll, the property was 72.3%
occupied with an average base rental rate of $17.20 per square foot
(psf) and an average rental rate of $29.34 psf including tenant
expense reimbursements. The occupancy rate increased marginally
from YE2024 but remains below the YE2023 figure of 82.8%. Prospects
to improve the occupancy rate are expected to remain a challenge
for the borrower as, according to August 2025 Reis, Inc. (Reis)
data, office properties in the Westheimer/Westchase submarket
reported an asking modified gross rental rate of $27.02 psf with a
vacancy rate of 27.0%. Reis projects these figures to improve only
marginally by YE2026 with figures of $27.54 psf and 26.6%,
respectively.
Upcoming tenant rollover risk includes 11 tenants occupying 16.0%
of the net rentable area (NRA), which have already expired or have
scheduled lease expirations through Q3 2026. These tenants
collectively contributed 23.6% of property revenue, according to
the June 2025 rent roll and include the property's third largest
tenant, Kongsberg Oil & Gas Technology (7.2% of NRA; 10.9% of gross
property revenue), which has a scheduled lease expiration in April
2026. The property's two largest tenants, BGE, Inc. (20.1% of NRA;
29.6% of gross property revenue) and IBM (10.4% of NRA; 15.4% of
gross property revenue) have scheduled lease expirations in January
2028 and August 2027, respectively. Given the sustained performance
and value declines of the collateral since issuance, coupled with
soft market fundamentals and upcoming tenant rollover risk, the
potential property value could decline further if tenants decide to
vacate and NCF declines as a result.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-9: DBRS Finalizes B(low) Rating on B-5 Certs
-----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the Mortgage
Pass-Through Certificates, Series 2025-9 (the Certificates) issued
by J.P. Morgan Mortgage Trust 2025-9:
-- $407.6 million Class A-1 at AAA (sf)
-- $274.5 million Class A-2 at AAA (sf)
-- $274.5 million Class A-3 at AAA (sf)
-- $274.5 million Class A-3-X at AAA (sf)
-- $205.9 million Class A-4 at AAA (sf)
-- $205.9 million Class A-4-A at AAA (sf)
-- $205.9 million Class A-4-X at AAA (sf)
-- $68.6 million Class A-5 at AAA (sf)
-- $68.6 million Class A-5-A at AAA (sf)
-- $68.6 million Class A-5-X at AAA (sf)
-- $164.7 million Class A-6 at AAA (sf)
-- $164.7 million Class A-6-A at AAA (sf)
-- $164.7 million Class A-6-X at AAA (sf)
-- $109.8 million Class A-7 at AAA (sf)
-- $109.8 million Class A-7-A at AAA (sf)
-- $109.8 million Class A-7-X at AAA (sf)
-- $41.2 million Class A-8 at AAA (sf)
-- $41.2 million Class A-8-A at AAA (sf)
-- $41.2 million Class A-8-X at AAA (sf)
-- $41.6 million Class A-9 at AAA (sf)
-- $41.6 million Class A-9-A at AAA (sf)
-- $41.6 million Class A-9-X at AAA (sf)
-- $109.8 million Class A-10 at AAA (sf)
-- $109.8 million Class A-10-A at AAA (sf)
-- $109.8 million Class A-10-X at AAA (sf)
-- $91.5 million Class A-11 at AAA (sf)
-- $91.5 million Class A-11-X at AAA (sf)
-- $91.5 million Class A-12 at AAA (sf)
-- $91.5 million Class A-13 at AAA (sf)
-- $91.5 million Class A-13-X at AAA (sf)
-- $91.5 million Class A-14 at AAA (sf)
-- $91.5 million Class A-14-X at AAA (sf)
-- $91.5 million Class A-14-X2 at AAA (sf)
-- $91.5 million Class A-14-X3 at AAA (sf)
-- $91.5 million Class A-14-X4 at AAA (sf)
-- $54.9 million Class A-15 at AAA (sf)
-- $54.9 million Class A-15-A at AAA (sf)
-- $54.9 million Class A-15-X at AAA (sf)
-- $54.9 million Class A-16 at AAA (sf)
-- $54.9 million Class A-16-A at AAA (sf)
-- $54.9 million Class A-16-X at AAA (sf)
-- $54.9 million Class A-17 at AAA (sf)
-- $54.9 million Class A-17-A at AAA (sf)
-- $54.9 million Class A-17-X at AAA (sf)
-- $96.1 million Class A-18 at AAA (sf)
-- $96.1 million Class A-18-A at AAA (sf)
-- $96.1 million Class A-18-X at AAA (sf)
-- $407.6 million Class A-X-1 at AAA (sf)
-- $7.8 million Class B-1 at AA (low) (sf)
-- $7.8 million Class B-1-A at AA (low) (sf)
-- $7.8 million Class B-1-X at AA (low) (sf)
-- $5.8 million Class B-2 at A (low) (sf)
-- $5.8 million Class B-2-A at A (low) (sf)
-- $5.8 million Class B-2-X at A (low) (sf)
-- $4.7 million Class B-3 at BBB (low) (sf)
-- $2.6 million Class B-4 at BB (low) (sf)
-- $861.2 thousand Class B-5 at B (low) (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3,
A-14-X4, A-15-X, A-16-X, A-17-X, A-18-X, A-X-1, B-1-X and B-2-X are
interest-only (IO) certificates. The class balances represent
notional amounts.
Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-6-A,
A-6-X, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-10-A, A-10-X, A-11,
A-11-X, A-12, A-13, A-13-X, A-15, A-16, A-17, A-18, A-18-A, A-18-X,
B-1 and B-2 are exchangeable certificates. These classes can be
exchanged for combinations of depositable certificates as specified
in the offering documents.
Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A,
A-8, A-8-A, A-10, A-10-A, A-11, A-12, A-13, A-14, A-15, A-15-A,
A-16, A-16-A, A-17, A-17-A, A-18 and A-18-A are super senior
certificates. These classes benefit from additional protection from
the senior support certificate (Class A-9-A) with respect to loss
allocation.
The AAA (sf) credit ratings on the Certificates reflect 5.35% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 3.55%, 2.20%, 1.10%, 0.50%, and
0.30% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien
fixed-rate prime residential mortgages funded by the issuance of
the Mortgage Pass-Through Certificates, Series 2025-9 (the
Certificates). The Certificates are backed by 353 loans with a
total principal balance of $430,604,932 as of the Cut-Off Date
(October 1, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average (WA)
loan age of three months. Approximately 89.6% of the loans are
traditional, nonagency, prime jumbo mortgage loans. The remaining
10.4% of the loans are conforming mortgage loans that were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section. In addition, all of the loans in the pool were
originated in accordance with the new general Qualified Mortgage
(QM) rule.
United Wholesale Mortgage, LLC (UWM), PennyMac Loan Services, LLC,
and Rocket Mortgage, LLC originated 36.3%, 28.1%, and 14.2% of the
pool, respectively. Various other originators, each comprising less
than 10%, originated the remainder of the loans. The mortgage loans
will be serviced by UWM (36.1%), PennyMac Loan Services, LLC
(28.1%), Specialized Portfolio Servicing (19.3%), JPMorgan Chase
Bank, N.A. (12.7%), and loanDepot (3.8%). For the UWM serviced
loans, Cenlar will act as the subservicer. For the JPMorgan Chase
Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim
servicer until the loans transfer to JPMCB on the servicing
transfer date (December 1, 2025).
For certain Servicers in this transaction, the servicing fee
payable for mortgage loans is composed of three separate
components: the base servicing fee, the delinquent servicing fee,
and the additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.
Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable
trend by Morningstar DBRS) will act as Securities Administrator and
Delaware Trustee. Computershare Trust Company, N.A. (Computershare;
rated BBB (high) with a Stable trend) will act as Custodian.
Pentalpha Surveillance LLC (Pentalpha) will serve as the
Representations and Warranties (R&W) Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-9: DBRS Gives Prov. B(low) Rating on B5 Certs
------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage Pass-Through Certificates, Series 2025-9 (the
Certificates) to be issued by J.P. Morgan Mortgage Trust 2025-9:
-- $407.6 million Class A-1 at (P) AAA (sf)
-- $274.5 million Class A-2 at (P) AAA (sf)
-- $274.5 million Class A-3 at (P) AAA (sf)
-- $274.5 million Class A-3-X at (P) AAA (sf)
-- $205.9 million Class A-4 at (P) AAA (sf)
-- $205.9 million Class A-4-A at (P) AAA (sf)
-- $205.9 million Class A-4-X at (P) AAA (sf)
-- $68.6 million Class A-5 at (P) AAA (sf)
-- $68.6 million Class A-5-A at (P) AAA (sf)
-- $68.6 million Class A-5-X at (P) AAA (sf)
-- $164.7 million Class A-6 at (P) AAA (sf)
-- $164.7 million Class A-6-A at (P) AAA (sf)
-- $164.7 million Class A-6-X at (P) AAA (sf)
-- $109.8 million Class A-7 at (P) AAA (sf)
-- $109.8 million Class A-7-A at (P) AAA (sf)
-- $109.8 million Class A-7-X at (P) AAA (sf)
-- $41.2 million Class A-8 at (P) AAA (sf)
-- $41.2 million Class A-8-A at (P) AAA (sf)
-- $41.2 million Class A-8-X at (P) AAA (sf)
-- $41.6 million Class A-9 at (P) AAA (sf)
-- $41.6 million Class A-9-A at (P) AAA (sf)
-- $41.6 million Class A-9-X at (P) AAA (sf)
-- $109.8 million Class A-10 at (P) AAA (sf)
-- $109.8 million Class A-10-A at (P) AAA (sf)
-- $109.8 million Class A-10-X at (P) AAA (sf)
-- $91.5 million Class A-11 at (P) AAA (sf)
-- $91.5 million Class A-11-X at (P) AAA (sf)
-- $91.5 million Class A-12 at (P) AAA (sf)
-- $91.5 million Class A-13 at (P) AAA (sf)
-- $91.5 million Class A-13-X at (P) AAA (sf)
-- $91.5 million Class A-14 at (P) AAA (sf)
-- $91.5 million Class A-14-X at (P) AAA (sf)
-- $91.5 million Class A-14-X2 at (P) AAA (sf)
-- $91.5 million Class A-14-X3 at (P) AAA (sf)
-- $91.5 million Class A-14-X4 at (P) AAA (sf)
-- $54.9 million Class A-15 at (P) AAA (sf)
-- $54.9 million Class A-15-A at (P) AAA (sf)
-- $54.9 million Class A-15-X at (P) AAA (sf)
-- $54.9 million Class A-16 at (P) AAA (sf)
-- $54.9 million Class A-16-A at (P) AAA (sf)
-- $54.9 million Class A-16-X at (P) AAA (sf)
-- $54.9 million Class A-17 at (P) AAA (sf)
-- $54.9 million Class A-17-A at (P) AAA (sf)
-- $54.9 million Class A-17-X at (P) AAA (sf)
-- $96.1 million Class A-18 at (P) AAA (sf)
-- $96.1 million Class A-18-A at (P) AAA (sf)
-- $96.1 million Class A-18-X at (P) AAA (sf)
-- $407.6 million Class A-X-1 at (P) AAA (sf)
-- $7.8 million Class B-1 at (P) AA (low) (sf)
-- $7.8 million Class B-1-A at (P) AA (low) (sf)
-- $7.8 million Class B-1-X at (P) AA (low) (sf)
-- $5.8 million Class B-2 at (P) A (low) (sf)
-- $5.8 million Class B-2-A at (P) A (low) (sf)
-- $5.8 million Class B-2-X at (P) A (low) (sf)
-- $4.7 million Class B-3 at (P) BBB (low) (sf)
-- $2.6 million Class B-4 at (P) BB (low) (sf)
-- $861.2 thousand Class B-5 at (P) B (low) (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X,
A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3,
A-14-X4, A-15-X, A-16-X, A-17-X, A-18-X, A-X-1, B-1-X and B-2-X are
interest-only (IO) certificates. The class balances represent
notional amounts.
Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-6-A,
A-6-X, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-10-A, A-10-X, A-11,
A-11-X, A-12, A-13, A-13-X, A-15, A-16, A-17, A-18, A-18-A, A-18-X,
B-1 and B-2 are exchangeable certificates. These classes can be
exchanged for combinations of depositable certificates as specified
in the offering documents.
Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A,
A-8, A-8-A, A-10, A-10-A, A-11, A-12, A-13, A-14, A-15, A-15-A,
A-16, A-16-A, A-17, A-17-A, A-18 and A-18-A are super senior
certificates. These classes benefit from additional protection from
the senior support certificate (Class A-9-A) with respect to loss
allocation.
The (P) AAA (sf) credit ratings on the Certificates reflect 5.35%
of credit enhancement provided by subordinated certificates. The
(P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB
(low) (sf), and (P) B (low) (sf) credit ratings reflect 3.55%,
2.20%, 1.10%, 0.50%, and 0.30% of credit enhancement,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien
fixed-rate prime residential mortgages to be funded by the issuance
of the Mortgage Pass-Through Certificates, Series 2025-9 (the
Certificates). The Certificates are backed by 353 loans with a
total principal balance of $430,604,932 as of the Cut-Off Date
(October 1, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average (WA)
loan age of three months. Approximately 89.6% of the loans are
traditional, nonagency, prime jumbo mortgage loans. The remaining
10.4% of the loans are conforming mortgage loans that were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section. In addition, all of the loans in the pool were
originated in accordance with the new general Qualified Mortgage
(QM) rule.
United Wholesale Mortgage, LLC (UWM), PennyMac Loan Services, LLC,
and Rocket Mortgage, LLC originated 36.3%, 28.1%, and 14.2% of the
pool, respectively. Various other originators, each comprising less
than 10%, originated the remainder of the loans. The mortgage loans
will be serviced by UWM (36.1%), PennyMac Loan Services, LLC
(28.1%), Specialized Portfolio Servicing (19.3%), JPMorgan Chase
Bank, N.A. (12.7%), and loanDepot (3.8%). For the UWM serviced
loans, Cenlar will act as the subservicer. For the JPMorgan Chase
Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim
servicer until the loans transfer to JPMCB on the servicing
transfer date (December 1, 2025).
For certain Servicers in this transaction, the servicing fee
payable for mortgage loans is composed of three separate
components: the base servicing fee, the delinquent servicing fee,
and the additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.
Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable
trend by Morningstar DBRS) will act as Securities Administrator and
Delaware Trustee. Computershare Trust Company, N.A. (Computershare;
rated BBB (high) with a Stable trend) will act as Custodian.
Pentalpha Surveillance LLC (Pentalpha) will serve as the
Representations and Warranties (R&W) Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-9: Fitch Assigns B-(EXP)sf Rating on Cl. B5 Certs
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage
Trust 2025-9 (JPMMT 2025-9)
Entity/Debt Rating
----------- ------
JPMMT 2025-9
A1 LT AA+(EXP)sf Expected Rating
A10 LT AAA(EXP)sf Expected Rating
A10A LT AAA(EXP)sf Expected Rating
A10X LT AAA(EXP)sf Expected Rating
A11 LT AAA(EXP)sf Expected Rating
A11X LT AAA(EXP)sf Expected Rating
A12 LT AAA(EXP)sf Expected Rating
A13 LT AAA(EXP)sf Expected Rating
A13X LT AAA(EXP)sf Expected Rating
A14 LT AAA(EXP)sf Expected Rating
A14X LT AAA(EXP)sf Expected Rating
A14X2 LT AAA(EXP)sf Expected Rating
A14X3 LT AAA(EXP)sf Expected Rating
A14X4 LT AAA(EXP)sf Expected Rating
A15 LT AAA(EXP)sf Expected Rating
A15A LT AAA(EXP)sf Expected Rating
A15X LT AAA(EXP)sf Expected Rating
A16 LT AAA(EXP)sf Expected Rating
A16A LT AAA(EXP)sf Expected Rating
A16X LT AAA(EXP)sf Expected Rating
A17 LT AAA(EXP)sf Expected Rating
A17A LT AAA(EXP)sf Expected Rating
A17X LT AAA(EXP)sf Expected Rating
A18 LT AAA(EXP)sf Expected Rating
A18A LT AAA(EXP)sf Expected Rating
A18X LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A3X LT AAA(EXP)sf Expected Rating
A4 LT AAA(EXP)sf Expected Rating
A4A LT AAA(EXP)sf Expected Rating
A4X LT AAA(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A5A LT AAA(EXP)sf Expected Rating
A5X LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A6A LT AAA(EXP)sf Expected Rating
A6X LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A7A LT AAA(EXP)sf Expected Rating
A7X LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A8A LT AAA(EXP)sf Expected Rating
A8X LT AAA(EXP)sf Expected Rating
A9 LT AA+(EXP)sf Expected Rating
A9A LT AA+(EXP)sf Expected Rating
A9X LT AA+(EXP)sf Expected Rating
AX1 LT AA+(EXP)sf Expected Rating
B1 LT AA-(EXP)sf Expected Rating
B1A LT AA-(EXP)sf Expected Rating
B1X LT AA-(EXP)sf Expected Rating
B2 LT A-(EXP)sf Expected Rating
B2A LT A-(EXP)sf Expected Rating
B2X LT A-(EXP)sf Expected Rating
B3 LT BBB-(EXP)sf Expected Rating
B4 LT BB-(EXP)sf Expected Rating
B5 LT B-(EXP)sf Expected Rating
B6 LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed certificates
issued by J.P. Morgan Mortgage Trust 2025-9 (JPMMT2025-9) as
indicated above. The certificates are supported by 353 loans with a
scheduled balance of $430.60 million as of the cutoff date.
The pool consists of prime-quality, fixed-rate mortgages (FRMs)
solely originated mainly by United Wholesale Mortgage, LLC. The
loan-level representations and warranties (R&Ws) are provided by
the various sellers and originators. All mortgage loans in the pool
will be serviced by NewRez LLC dba Shellpoint Mortgage Servicing,
loaddepot.com; and United Wholesale Mortgage. Cenlar FSB will
subservice the loans for United Wholesale Mortgage. JPMCB will
service the loans that NewRez LLC dba Shellpoint Mortgage Servicing
is servicing after the servicer transfer date.
The collateral quality of the pool is extremely strong, with a
large percentage of loans over $1.0 million.
Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM)
average prime offer rate (APOR) loans. The collateral comprises
100% fixed-rate loans. The certificates are fixed rate and capped
at the net weighted average coupon (WAC) or based on the net WAC,
or they are floating rate or inverse floating rate based off the
SOFR index and capped at the net WAC.
KEY RATING DRIVERS
Credit Risk of Prime Credit Quality (Positive): RMBS transactions
are directly affected by the performance of the underlying
residential mortgages or mortgage-related assets. Fitch analyzes
loan-level attributes and macroeconomic factors to assess the
credit risk and expected losses.
The pool consists of fixed-rate, first-lien residential mortgage
loans with original terms to maturity of 30 years and 80.9% of the
loans are purchases, over 90% of the loans are single family/PUDs,
and the loans are owner occupied or second homes.
The loans are seasoned at an average of three months. The pool has
a weighted average (WA) original FICO score of 747, indicative of
very high credit-quality borrowers. The original WA combined
loan-to-value ratio (CLTV) of 73.4%, as determined by Fitch,
translates to a sustainable loan-to-value ratio (sLTV) of 81.1%.
This transaction has a Final PD of 11.30% in the 'AAA' rating
stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is
32.75%. The expected loss in the 'AAAsf' rating stress is 4.04%.
Structural Analysis (Mixed): JPMMT 2025-9 has a senior/subordinate
shifting interest structure with Full Advancing.
The mortgage cash flow and loss allocation in JPMMT 2025-9 are
based on a senior-subordinate, shifting-interest structure whereby
the subordinate classes receive only scheduled principal and are
locked out from receiving unscheduled principal or prepayments for
five years.
The lockout feature helps maintain subordination for a longer
period should losses occur later in the life of the transaction.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained.
This transaction has CE or subordination floors, The CE or senior
subordination floor of 1.05% has been considered to mitigate
potential tail-end risk and loss exposure for senior tranches as
the pool size declines and performance volatility increases due to
adverse loan selection and small loan count concentration. In
addition, a junior subordination floor of 0.75% has been considered
to mitigate potential tail-end risk and loss exposure for
subordinate tranches as the pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.
Losses on the non-retained portion of the loans will be allocated
first to the subordinate bonds (starting with class B-6). Once
class B-1-A is written off, losses will be allocated to class A-9-A
first, and then to the super-senior classes pro rata once class
A-9-A is written off.
This transaction has full advancing of DQ P&I until it is deemed
non-recoverable. As a result, the LS was increased in its cash flow
analysis to account for the servicer recouping the advances.
Fitch analyses the capital structure to determine the adequacy of
the transaction's Credit Enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings were sufficient for the
given rating levels. The CE for a given rating exceeded the
expected losses of that rating stress to address the structures
recoupment of advances and leakage of principal to more subordinate
classes.
Operational Risk Analysis (Positive): Fitch considers originator
and servicer capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by
the TPR firm and have a final grade of either 'A' or 'B'.
Counterparty and Legal Analysis (Neutral): Fitch expects all
relevant transaction parties to conform with the requirements
described in its Global Structured Finance Rating Criteria.
Relevant parties are those whose failure to perform could have a
material outcome on the performance of the transaction.
Additionally, all legal requirements should be satisfied to fully
de-link the transaction from any other entities. Fitch expects
JPMMT 2025-9 to be fully de-linked and the transaction will be
structured with a bankruptcy remote special-purpose vehicle (SPV).
All transaction parties and triggers align with Fitch
expectations.
Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may
include, but are not limited to, new product types with limited or
volatile historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to JPMMT 2025-9 and therefore Fitch is comfortable rating to the
highest possible rating at 'AAAsf' without any Rating Caps.
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 9.9%, in the base case. The analysis indicates 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 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) from
SitiusAMC, Consolidated Analytics, and Inglet Blair, all assessed
as 'Acceptable' TPR firms by Fitch. The third-party due diligence
described in Form 15E focused on three areas: compliance review,
credit review and valuation review.
Fitch considered this information in its analysis and, as a result,
Fitch applies an approximate 5-bp origination PD credit for loans
fully reviewed by the TPR firm and have a final grade of either "A"
or "B."
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.
JP MORGAN 2025-9: Fitch Assigns B-sf Final Rating on Cl. B5 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2025-9 (JPMMT 2025-9)
Entity/Debt Rating Prior
----------- ------ -----
JPMMT 2025-9
A1 LT AA+sf New Rating AA+(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A10A LT AAAsf New Rating AAA(EXP)sf
A10X LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A11X LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A13X LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A14X LT AAAsf New Rating AAA(EXP)sf
A14X2 LT AAAsf New Rating AAA(EXP)sf
A14X3 LT AAAsf New Rating AAA(EXP)sf
A14X4 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A15A LT AAAsf New Rating AAA(EXP)sf
A15X LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A16A LT AAAsf New Rating AAA(EXP)sf
A16X LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A17A LT AAAsf New Rating AAA(EXP)sf
A17X LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A18A LT AAAsf New Rating AAA(EXP)sf
A18X LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A3X LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A4A LT AAAsf New Rating AAA(EXP)sf
A4X LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A5A LT AAAsf New Rating AAA(EXP)sf
A5X LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A6A LT AAAsf New Rating AAA(EXP)sf
A6X LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A7A LT AAAsf New Rating AAA(EXP)sf
A7X LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A8A LT AAAsf New Rating AAA(EXP)sf
A8X LT AAAsf New Rating AAA(EXP)sf
A9 LT AA+sf New Rating AA+(EXP)sf
A9A LT AA+sf New Rating AA+(EXP)sf
A9X LT AA+sf New Rating AA+(EXP)sf
AX1 LT AA+sf New Rating AA+(EXP)sf
B1 LT AA-sf New Rating AA-(EXP)sf
B1A LT AA-sf New Rating AA-(EXP)sf
B1X LT AA-sf New Rating AA-(EXP)sf
B2 LT A-sf New Rating A-(EXP)sf
B2A LT A-sf New Rating A-(EXP)sf
B2X LT A-sf New Rating A-(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BB-sf New Rating BB-(EXP)sf
B5 LT B-sf New Rating B-(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
Transaction Summary
Fitch has rated the residential mortgage-backed certificates issued
by J.P. Morgan Mortgage Trust 2025-9 (JPMMT2025-9) as indicated
above. The certificates are supported by 353 loans with a scheduled
balance of $430.60 million as of the cutoff date.
The pool consists of prime-quality, fixed-rate mortgages (FRMs)
solely originated mainly by United Wholesale Mortgage, LLC. The
loan-level representations and warranties (R&Ws) are provided by
the various sellers and originators. All mortgage loans in the pool
will be serviced by NewRez LLC dba Shellpoint Mortgage Servicing,
loaddepot.com; and United Wholesale Mortgage. Cenlar FSB will
subservice the loans for United Wholesale Mortgage. JPMCB will
service the loans that NewRez LLC dba Shellpoint Mortgage Servicing
is servicing after the servicer transfer date.
The collateral quality of the pool is extremely strong, with a
large percentage of loans over $1.0 million.
Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM)
average prime offer rate (APOR) loans. The collateral comprises
100% fixed-rate loans. The certificates are fixed rate and capped
at the net weighted average coupon (WAC) or based on the net WAC,
or they are floating rate or inverse floating rate based off the
SOFR index and capped at the net WAC.
KEY RATING DRIVERS
Credit Risk of Prime Credit Quality (Positive): RMBS transactions
are directly affected by the performance of the underlying
residential mortgages or mortgage-related assets. Fitch analyzes
loan-level attributes and macroeconomic factors to assess the
credit risk and expected losses.
The pool consists of fixed-rate, first-lien residential mortgage
loans with original terms to maturity of 30 years and 80.9% of the
loans are purchases, over 90% of the loans are single family/PUDs,
and the loans are owner occupied or second homes.
The loans are seasoned at an average of three months. The pool has
a weighted average (WA) original FICO score of 747, indicative of
very high credit-quality borrowers. The original WA combined
loan-to-value ratio (CLTV) of 73.4%, as determined by Fitch,
translates to a sustainable loan-to-value ratio (sLTV) of 81.1%.
This transaction has a Final PD of 11.30% in the 'AAA' rating
stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is
32.75%. The expected loss in the 'AAAsf' rating stress is 4.04%.
Structural Analysis (Mixed): JPMMT 2025-9 has a senior/subordinate
shifting interest structure with Full Advancing.
The mortgage cash flow and loss allocation in JPMMT 2025-9 are
based on a senior-subordinate, shifting-interest structure whereby
the subordinate classes receive only scheduled principal and are
locked out from receiving unscheduled principal or prepayments for
five years.
The lockout feature helps maintain subordination for a longer
period should losses occur later in the life of the transaction.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained.
This transaction has CE or subordination floors, The CE or senior
subordination floor of 1.05% has been considered to mitigate
potential tail-end risk and loss exposure for senior tranches as
the pool size declines and performance volatility increases due to
adverse loan selection and small loan count concentration. In
addition, a junior subordination floor of 0.75% has been considered
to mitigate potential tail-end risk and loss exposure for
subordinate tranches as the pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.
Losses on the non-retained portion of the loans will be allocated
first to the subordinate bonds (starting with class B-6). Once
class B-1-A is written off, losses will be allocated to class A-9-A
first, and then to the super-senior classes pro rata once class
A-9-A is written off.
This transaction has full advancing of DQ P&I until it is deemed
non-recoverable. As a result, the LS was increased in its cash flow
analysis to account for the servicer recouping the advances.
Fitch analyses the capital structure to determine the adequacy of
the transaction's Credit Enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings were sufficient for the
given rating levels. The CE for a given rating exceeded the
expected losses of that rating stress to address the structures
recoupment of advances and leakage of principal to more subordinate
classes.
Operational Risk Analysis (Positive): Fitch considers originator
and servicer capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by
the TPR firm and have a final grade of either 'A' or 'B'.
Counterparty and Legal Analysis (Neutral): Fitch expects all
relevant transaction parties to conform with the requirements
described in its Global Structured Finance Rating Criteria.
Relevant parties are those whose failure to perform could have a
material outcome on the performance of the transaction.
Additionally, all legal requirements should be satisfied to fully
de-link the transaction from any other entities. Fitch expects
JPMMT 2025-9 to be fully de-linked and the transaction will be
structured with a bankruptcy remote special-purpose vehicle (SPV).
All transaction parties and triggers align with Fitch
expectations.
Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may
include, but are not limited to, new product types with limited or
volatile historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to JPMMT 2025-9 and therefore Fitch is comfortable rating to the
highest possible rating at 'AAAsf' without any Rating Caps.
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 9.9%, in the base case. The analysis indicates 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 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) from
SitiusAMC, Consolidated Analytics, and Inglet Blair, all assessed
as 'Acceptable' TPR firms by Fitch. The third-party due diligence
described in Form 15E focused on three areas: compliance review,
credit review and valuation review.
Fitch considered this information in its analysis and, as a result,
Fitch applies an approximate 5-bp origination PD credit for loans
fully reviewed by the TPR firm and have a final grade of either "A"
or "B."
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.
JP MORGAN 2025-CES6: S&P Assigns B- (sf) Rating on Cl. B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage
Trust 2025-CES6's mortgage-backed notes.
The note issuance is an RMBS securitization backed by closed-end,
second-lien, fixed-rate, fully amortizing residential mortgage
loans, to both prime and nonprime borrowers. The loans are secured
by single-family residential properties, planned-unit developments,
condominiums, two- to four-family residential properties,
townhouses, and condotels. The pool has 5,042 loans and comprises
qualified mortgage (QM)/non-higher-priced mortgage (safe harbor),
non-QM/compliant, QM rebuttable presumption, and ability-to-repay
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 framework, and geographic
concentration;
-- The mortgage aggregator and reviewed originators; 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.
Ratings Assigned
J.P. Morgan Mortgage Trust 2025-CES6(i)
Class A-1A, $371,428,000: AAA (sf)
Class A-1B, $31,804,000: AAA (sf)
Class A-1-X, $403,232,000: AAA (sf)
Class A-1, $403,232,000: AAA (sf)
Class A-2, $19,035,000: AA- (sf)
Class A-3, $14,393,000: A- (sf)
Class M-1, $11,143,000: BBB- (sf)
Class B-1, $7,196,000: BB- (sf)
Class B-2, $5,804,000: B- (sf)
Class B-3, $3,482,675: NR
Class A-IO-S, Notional(ii): NR
Class XS, Notional(iii): NR
Class PT, N/A(iv): NR
Class A-R, N/A(v): NR
(i)The 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 interim serviced by NewRez LLC, doing
business as Shellpoint Mortgage Servicing, before the servicer
transfer date on or about Dec. 3, 2025, and Nationstar Mortgage
LLC, doing business as Rushmore Servicing, on and after the
servicer transfer date.
(iii)The notional amount equals the aggregate unpaid principal
balance of loans in the pool as of the cutoff date.
(iv)Certain proportions of the class A-1-X, A-1A, A-1B, A-2, A-3,
M-1, B-1, B-2, B-3, A-IO-S, and XS notes are exchangeable for the
class PT notes, and vice versa.
(v)The class A-R notes will not have a class principal amount and
are the class of notes representing the residual interest in the
issuer. The class A-R notes are not expected to receive payments.
NR--Not rated.
JP MORGAN 2025-NQM4: DBRS Finalizes B(low) Rating on B-2 Certs
--------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on J.P. Morgan
Mortgage Trust 2025-NQM4 (the Trust) as follows:
-- $269.6 million Class A-1A at AAA (sf)
-- $42.6 million Class A-1B at AAA (sf)
-- $225.0 million Class A-1C at AAA (sf)
-- $312.2 million Class A-1 at AAA (sf)
-- $50.0 million Class A-1F at AAA (sf)
-- $50.0 million Class A-1IO at AAA (sf)
-- $65.7 million Class A-2 at AA (high) (sf)
-- $70.1 million Class A-3 at A (sf)
-- $29.7 million Class M-1A at BBB (sf)
-- $12.0 million Class M-1B at BBB (low) (sf)
-- $18.0 million Class B-1 at BB (low) (sf)
-- $13.6 million Class B-2 at B (low) (sf)
Class A-1 is an exchangeable certificate, while Class A-1A and A-1B
are the depositable certificates. These classes can be exchanged in
combinations as specified in the offering documents.
The AAA (sf) credit ratings on the Mortgage Pass-Through
Certificates, Series 2025-NQM4 (the Certificates) reflect 26.75% of
credit enhancement provided by the subordinated Certificates. The
AA (high) (sf), A (sf), BBB (sf), BBB (low) (sf), BB (low) (sf),
and B (low) credit ratings reflect 18.55%, 9.80%, 6.10%, 4.60%,
2.35%, and 0.65% of credit enhancement, respectively.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and non-prime first-lien residential
mortgages funded by the issuance of the Mortgage Pass-Through
Certificates, Series 2025-NQM4. The Certificates are backed by
2,159 loans with a total principal balance of approximately
$802,048,433 as of the Cut-Off Date (October 1, 2025).
The pool is, on average, three months seasoned with loan ages
ranging from one to twenty months. Approximately 27.7% of the
Mortgage Loans by balance were originated by from United Wholesale
Mortgage, LLC (UWM), 12.2% by Deephaven Mortgage LLC ("Deephaven"),
11.8% by Constructive Loans, LLC ("Constructive") and 10.4% OCMBC,
Inc. ("Loanstream"). The Mortgage Loan Seller acquired
approximately 24.2% from MAXEX Clearing LLC ("MAXEX"). All the
other originators individually comprised less than 5% of the
overall mortgage loans.
NewRez LLC, formerly known as New Penn Financial, LLC, doing
business as (dba) Shellpoint will service approximately 87.1% of
the loans and Selene Finance LP will service 12.2% of the loans.
Cenlar FSB will act as subservicer with respect to 0.7% of the
Mortgage Loans serviced by UWM. Computershare Trust Company, N.A.
(rated BBB (high) with a Stable trend by Morningstar DBRS) will act
as Master Servicer, Custodian, and Securities Administrator.
Wilmington Savings Fund Society, FSB will act as Owner Trustee.
As of the Cut-Off Date, 100.0% of the loans in the pool are
contractually current according to the Mortgage Bankers Association
(MBA) delinquency calculation method.
In accordance with the Consumer Financial Protection Bureau (CFPB)
Qualified Mortgage (QM) rules, 46.2% of the loans by balance are
designated as non-QM. Approximately 45.6% of the loans in the pool
were made to investors for business purposes and are exempt from
the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 7.7% of
the pool are designated as QM Safe Harbor, and 0.5% are QM
Rebuttable Presumption (by unpaid principal balance (UPB)).
Servicers will generally advance delinquent principal and interest
on the mortgage loans for four months. Each servicer is obligated
to make advances in respect of taxes and insurance, the cost of
preservation, restoration, and protection of mortgaged properties
and any enforcement or judicial proceedings, including foreclosures
and reasonable costs and expenses incurred in the course of
servicing and disposing of properties until otherwise deemed
unrecoverable.
The Retaining Sponsor will retain an eligible horizontal residual
interest in the transaction in the required amount of no less than
5.0% of the aggregate fair value of the Certificates (other than
the Class A-R Certificates) consisting of a portion of the Class
B-2, Class B-3, and Class XS Certificates to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
On any date following the date on which the aggregate UPB of the
mortgage loans is less than or equal to 10% of the Cut-Off Date
balance, the Optional Clean-Up Call Holder will have the option to
terminate the transaction by directing the master servicer to
purchase all of the mortgage loans and any real estate owned (REO)
property from the Issuer at a price equal to the sum of the
aggregate UPB of the mortgage loans (other than any REO property)
plus accrued interest thereon, the lesser of the fair market value
of any REO property and the stated principal balance of the related
loan, and any outstanding and unreimbursed servicing advances,
accrued and unpaid fees, any non-interest-bearing deferred amounts,
and expenses that are payable or reimbursable to the transaction
parties.
The holder of the Trust Certificates may, at its option, on any
Distribution Date on or after the date that is the earlier of (i)
three years after the Closing Date or (2) the date on which the
balance of mortgage loans and REO properties falls to or below 30%
of the loan balance as of the Cut-Off Date (Optional Redemption
Date), redeem the Certificates at the optional termination price
described in the transaction documents.
Master Servicer on behalf of the Issuer may require the Seller to
repurchase loans that become delinquent in the first three monthly
payments following the date of acquisition. Such loans will be
repurchased at the related repurchase price.
The transaction's cash flow structure is generally similar to that
of other non-QM securitizations. The transaction employs a
sequential-pay cash flow structure with a pro rata principal
distribution among the senior tranches subject to certain
performance triggers related to cumulative losses or delinquencies
exceeding a specified threshold (Credit Event). In the case of a
Credit Event, principal proceeds will be allocated to cover
interest shortfalls on the Class A-1A then A-1B, sequentially on
one hand and concurrently to the Class A-1F, Class A-1IO and Class
A-1C Certificates on the other hand. This then is followed by a
reduction of the Class A-1A then A-1B certificate balances then a
reduction of the Class A-1F, Class A-1IO and Class A-1C certificate
balances, before an allocation of interest then principal to the
Class A-2 (IPIP) followed by a similar allocation of funds to the
other classes. For the Class A-3 Certificates (only after a Credit
Event) and for the mezzanine and subordinate classes of
Certificates (both before and after a Credit Event), principal
proceeds will be available to cover interest shortfalls only after
the more senior Certificates have been paid off in full. Also, the
excess spread can be used to cover realized losses first before
being allocated to unpaid Cap Carryover Amounts due to Class A-1A,
A-1B, A-2, A-3, M-1A, and M-1B (and B-1 if issued with fixed
rate).
Of note, the Class A-1A, A-1B, A-2, and A-3 Certificates coupon
rates step up by 100 basis points on and after the payment date in
November 2029. Interest and principal otherwise payable to the
Class B-3 Certificates as accrued and unpaid interest may be used
to pay the Class A-1A, A-1B, A-1C, A-1F, A-1IO, A-2, and A-3
Certificates Cap Carryover Amounts after the Class A coupons step
up.
Natural Disasters/Wildfires
The mortgage pool contains loans secured by mortgage properties
that are located within certain disaster areas (such as those
affected by the Greater Los Angeles wildfires). The Sponsor of the
transaction has informed Morningstar DBRS that the servicer has
ordered (and intends to order) property damage inspections (PDI)
for any property located in a known disaster zone prior to the
transactions closing date. Loans secured by properties known to be
materially damaged will not be included in the final transaction
collateral pool. To the extent that a PDI was ordered prior to
closing, but notice of material damages were not available until
after closing, the sponsor will repurchase the related loan/loans
within 90 days of notification.
The transaction documents also include representations and
warranties regarding the property conditions, which state that the
properties have not suffered damage that would have a material and
adverse impact on the values of the properties (including events
such as fire, windstorm, flood, earth movement, and hurricane).
Notes: All figures are in U.S. dollars unless otherwise noted.
JP MORGAN 2025-NQM4: DBRS Gives Prov. B(low) Rating on B2 Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to J.P. Morgan
Mortgage Trust 2025-NQM4 (the Trust) as follows:
-- $269.6 million Class A-1A at (P) AAA (sf)
-- $42.6 million Class A-1B at (P) AAA (sf)
-- $225.0 million Class A-1C at (P) AAA (sf)
-- $312.2 million Class A-1 at (P) AAA (sf)
-- $50.0 million Class A-1F at (P) AAA (sf)
-- $50.0 million Class A-1IO at (P) AAA (sf)
-- $65.7 million Class A-2 at (P) AA (high) (sf)
-- $70.1 million Class A-3 at (P) A (sf)
-- $29.7 million Class M-1A at (P) BBB (sf)
-- $12.0 million Class M-1B at (P) BBB (low) (sf)
-- $18.0 million Class B-1 at (P) BB (low) (sf)
-- $13.6 million Class B-2 at (P) B (low) (sf)
Class A-1 is an exchangeable certificate, while the Class A-1A and
A-1B are the depositable certificates. These classes can be
exchanged in combinations as specified in the offering documents.
The (P) AAA (sf) credit ratings on the Mortgage Pass-Through
Certificates, Series 2025-NQM4 (the Certificates) reflect 26.75% of
credit enhancement provided by the subordinated Certificates. The
(P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BBB (low) (sf),
(P) BB (low) (sf), and (P) B (low) credit ratings reflect 18.55%,
9.80%, 6.10%, 4.60%, 2.35%, and 0.65% of credit enhancement,
respectively.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and non-prime first-lien residential
mortgages funded by the issuance of the Mortgage Pass-Through
Certificates, Series 2025-NQM4. The Certificates are backed by
2,159 loans with a total principal balance of approximately
$802,048,433 as of the Cut-Off Date (October 1, 2025).
The pool is, on average, three months seasoned with loan ages
ranging from one to 20 months. Approximately 27.7% of the Mortgage
Loans by balance were originated by from United Wholesale Mortgage,
LLC (UWM), 12.2% by Deephaven Mortgage LLC (Deephaven), 11.8% by
Constructive Loans, LLC (Constructive) and 10.4% by OCMBC, Inc.
(Loanstream). The Mortgage Loan Seller acquired approximately 24.2%
from MAXEX Clearing LLC (MAXEX). All the other originators
individually comprised less than 5% of the overall mortgage loans.
NewRez LLC, formerly known as New Penn Financial, LLC, doing
business as (dba) Shellpoint will service approximately 87.1% of
the loans and Selene Finance LP will service 12.2% of the loans.
Cenlar FSB will act as subservicer with respect to 0.7% of the
Mortgage Loans serviced by UWM. Computershare Trust Company, N.A.
(rated BBB (high) with a Stable trend by Morningstar DBRS) will act
as Master Servicer, Custodian, and Securities Administrator.
Wilmington Savings Fund Society, FSB will act as Owner Trustee.
As of the Cut-Off Date, 100.0% of the loans in the pool are
contractually current according to the Mortgage Bankers Association
(MBA) delinquency calculation method.
In accordance with the Consumer Financial Protection Bureau (CFPB)
Qualified Mortgage (QM) rules, 46.2% of the loans by balance are
designated as non-QM. Approximately 45.6% of the loans in the pool
were made to investors for business purposes and are exempt from
the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 7.7% of
the pool are designated as QM Safe Harbor, and 0.5% are QM
Rebuttable Presumption (by unpaid principal balance (UPB)).
Servicers will generally advance delinquent principal and interest
on the mortgage loans for four months. Each servicer is obligated
to make advances in respect of taxes and insurance, the cost of
preservation, restoration, and protection of mortgaged properties
and any enforcement or judicial proceedings, including foreclosures
and reasonable costs and expenses incurred in the course of
servicing and disposing of properties until otherwise deemed
unrecoverable.
The Retaining Sponsor will retain an eligible horizontal residual
interest in the transaction in the required amount of no less than
5.0% of the aggregate fair value of the Certificates (other than
the Class A-R Certificates) consisting of a portion of the Class
B-2, Class B-3, and Class XS Certificates to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
On any date following the date on which the aggregate UPB of the
mortgage loans is less than or equal to 10% of the Cut-Off Date
balance, the Optional Clean-Up Call Holder will have the option to
terminate the transaction by directing the master servicer to
purchase all of the mortgage loans and any real estate owned (REO)
property from the Issuer at a price equal to the sum of the
aggregate UPB of the mortgage loans (other than any REO property)
plus accrued interest thereon, the lesser of the fair market value
of any REO property and the stated principal balance of the related
loan, and any outstanding and unreimbursed servicing advances,
accrued and unpaid fees, any non-interest-bearing deferred amounts,
and expenses that are payable or reimbursable to the transaction
parties.
The holder of the Trust Certificates may, at its option, on any
Distribution Date on or after the date that is the earlier of (i)
three years after the Closing Date or (2) the date on which the
balance of mortgage loans and REO properties falls to or below 30%
of the loan balance as of the Cut-Off Date (Optional Redemption
Date), redeem the Certificates at the optional termination price
described in the transaction documents.
Master Servicer on behalf of the Issuer may require the Seller to
repurchase loans that become delinquent in the first three monthly
payments following the date of acquisition. Such loans will be
repurchased at the related repurchase price.
The transaction's cash flow structure is generally similar to that
of other non-QM securitizations. The transaction employs a
sequential-pay cash flow structure with a pro rata principal
distribution among the senior tranches subject to certain
performance triggers related to cumulative losses or delinquencies
exceeding a specified threshold (Credit Event). In the case of a
Credit Event, principal proceeds will be allocated to cover
interest shortfalls on the Class A-1A then A-1B, sequentially on
one hand and concurrently to the Class A-1F, Class A-1IO and Class
A-1C Certificates on the other hand. This then is followed by a
reduction of the Class A-1A then A-1B certificate balances then a
reduction of the Class A-1F, Class A-1IO and Class A-1C certificate
balances, before an allocation of interest then principal to the
Class A-2 (IPIP) followed by a similar allocation of funds to the
other classes. For the Class A-3 Certificates (only after a Credit
Event) and for the mezzanine and subordinate classes of
Certificates (both before and after a Credit Event), principal
proceeds will be available to cover interest shortfalls only after
the more senior Certificates have been paid off in full. Also, the
excess spread can be used to cover realized losses first before
being allocated to unpaid Cap Carryover Amounts due to Class A-1A,
A-1B, A-2, A-3, M-1A, and M-1B (and B-1 if issued with fixed
rate).
Of note, the Class A-1A, A-1B, A-2, and A-3 Certificates coupon
rates step up by 100 basis points on and after the payment date in
November 2029. Interest and principal otherwise payable to the
Class B-3 Certificates as accrued and unpaid interest may be used
to pay the Class A-1A, A-1B, A-1C, A-1F, A-1IO, A-2, and A-3
Certificates Cap Carryover Amounts after the Class A coupons step
up.
Natural Disasters/Wildfires
The mortgage pool contains loans secured by mortgage properties
that are located within certain disaster areas (such as those
affected by the Greater Los Angeles wildfires). The Sponsor of the
transaction has informed Morningstar DBRS that the servicer has
ordered (and intends to order) property damage inspections (PDI)
for any property located in a known disaster zone prior to the
transactions closing date. Loans secured by properties known to be
materially damaged will not be included in the final transaction
collateral pool. To the extent that a PDI was ordered prior to
closing, but notice of material damages were not available until
after closing, the sponsor will repurchase the related loan/loans
within 90 days of notification.
The transaction documents also include representations and
warranties regarding the property conditions, which state that the
properties have not suffered damage that would have a material and
adverse impact on the values of the properties (including events
such as fire, windstorm, flood, earth movement, and hurricane).
Notes: All figures are in U.S. dollars unless otherwise noted.
KREF 2022-FL3: DBRS Confirms B(low) Rating on 3 Classes
-------------------------------------------------------
DBRS Limited confirmed credit ratings on all classes of notes
issued by KREF 2022-FL3 Ltd. as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at AA (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F at BB (sf)
-- Class G at B (low) (sf)
-- Class F-X at BB (sf)
-- Class G-X at B (low) (sf)
-- Class F-E at BB (sf)
-- Class G-E at B (low) (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
overall stable performance of the underlying loans, supported by
the 100% concentration of multifamily collateral. Morningstar DBRS
notes multifamily properties have historically exhibited lower
default rates compared with other property types. At the prior
credit rating action in May 2025, Morningstar DBRS upgraded the
credit ratings on Classes B, C, D, E, F, F-X, and F-E largely as a
result of the model impact with Morningstar DBRS' updated
methodology. While individual borrowers have had mixed success in
implementing their respective business plans to increase property
cash flows and asset values, Morningstar DBRS notes the transaction
continues to benefit from significant credit support to the
investment-grade bonds as the below investment-grade rated bonds,
Classes F and G, have a cumulative balance of $85.0 million, and
the unrated first loss piece also has a balance of $67.5 million.
These factors supported the credit rating confirmation throughout
the capital stack.
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 consisted of 16 floating-rate mortgage loans
secured by 18 mostly transitional properties with a cut-off balance
totaling $1.0 billion. The transaction had a reinvestment period
that expired with the February 2024 payment date. As of the October
2025 remittance, the pool comprised 13 loans secured by 14
properties with a cumulative trust balance of $735.5 million,
reflecting a collateral reduction of 26.5% since issuance. Since
Morningstar DBRS' previous credit rating action in May 2025, two
loans totaling $192.5 million have been repaid in full.
Leverage across the pool has remained relatively in line as of the
October 2025 reporting when compared with issuance metrics, as the
current weighted-average (WA) as-is appraised loan-to-value ratio
(LTV) is 71.1%, with a current WA stabilized LTV of 67.2%. In
comparison, these figures were 70.5% and 66.4%, respectively, at
issuance. Morningstar DBRS recognizes that select property values
may be inflated as the majority of the individual property
appraisals were completed in 2022 or earlier and may not fully
reflect the effects of increased interest rates and/or widening
capitalization rates (cap rates) in the current environment. In the
analysis for this review, Morningstar DBRS applied upward LTV
adjustments across a handful of the remaining loans, representing
55.3% of the current pool balance, to reflect generally higher cap
rate assumptions compared with the implied cap rates based on the
issuance appraisals; the resulting adjusted WA as-is LTV is
approximately 80.0%.
As of October 2025, no loans were in special servicing; however,
four loans, representing 27.4% of the current trust balance, are on
the servicer's watchlist primarily for upcoming maturities. The
largest loan on the servicer's watchlist, Outlook DTC (Prospectus
ID#2, 9.6% of the current trust balance), is secured by a 242-unit
multifamily property in the Denver Tech Center submarket of Denver.
The loan is on the servicer's watchlist for a low occupancy rate,
which was 79.8% at Q3 2025; however, the more pressing concern is
the past due maturity date as the loan matured in October 2025. Per
the servicer, the borrower did not qualify for the final extension
option but is in ongoing negotiations regarding a loan
modification. Occupancy levels have been declining over the past
few years; although the borrower has been successfully leasing-up
vacant units in the recent quarters, the average rental rate for
the newly executed leases was 16% lower than the in-place rent
roll, attributable to the submarket's new supply. 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 to reflect the increased credit
risk. The resulting expected losses (EL) for the loan were
comparable to the EL for the pool.
As a result of lagging business plans and loan exit strategies, 11
loans, representing 92.1% of the current trust balance, have been
modified. Terms for the modifications vary from loan to loan;
however, common terms include waiving the interest rate cap
agreement requirements and executing forbearance agreements to
facilitate further modification discussions between both the lender
and borrowers. The transaction also faces heightened maturity risk
as all of the outstanding loans are scheduled to mature by February
2027. However, most of the loans (65.7% of the current pool
balance) have extension options remaining. The exceptions are the
Aven (Prospectus ID#1, 15.6% of the pool), Eli Apartments
(Prospectus ID#6, 7.1% of the pool), Orchards Portfolio (Prospectus
ID#15, 5.6% of the pool), and Millennium at Metro Park (Prospectus
ID#18, 6.0% of the pool) loans, which have no extension options
left. As individual properties may not achieve the required metrics
borrowers need to exercise extension options, Morningstar DBRS
expects the collateral manager will continue to work with affected
sponsors to negotiate loan modifications to exercise the options.
Morningstar DBRS also expects lender to require borrowers to inject
additional capital to secure an extension.
Through September 2025, the lender had advanced cumulative loan
future funding of $39.8 million to nine outstanding individual
borrowers. The largest advance, $8.5 million, was for the borrower
of the Berkeley Place loan (Prospectus ID#4, 8.8% of the pool),
which is secured by a 368-unit garden-style multifamily property in
Charlotte, North Carolina. The advanced funds went toward
completing property renovations to achieve rental premiums. The Q3
2025 collateral manager report noted that all units have been
renovated, and the borrower has shifted focus on maintaining
current occupancy levels and rent growth through renewal leases.
The property was 93.8% occupied as of Q3 2025 with an average
rental rate of $1,490/unit. The loan has a scheduled maturity in
January 2026 with one extension option remaining.
An additional $7.3 million of loan future funding allocated to
three of the outstanding individual borrowers remains available.
The largest portion of available funding ($4.7 million) is
allocated to the borrower of The Bradford loan (Prospectus ID#17,
6.8% of the pool), which is secured by a 390-unit mid-rise
multifamily rental property in Cary, North Carolina. Future funding
is available to finance the borrower's light capital improvement
plan, implement fee programs, improve operating efficiencies, and
increase rents to market levels. As of October 2025, the borrower
had not yet commenced any unit renovations, and the entirety of the
future funding remained outstanding. Per the lender, the borrower
is not expected to use the future funding amount and will likely
forfeit it. The loan is also on the servicer's watchlist for
upcoming maturity in December 2025, though the borrower does have
two extension options remaining. Occupancy levels and cash flow at
the property continue to lag stabilization levels, with the Q3 2025
occupancy and net operating income (NOI) figures reported at 84.9%
and $5.9 million, respectively, compared with the issuer's
stabilized occupancy rate and NOI of 95.0% and $7.6 million,
respectively. Given the borrower will likely be unable to meet the
maturity extension requirements, Morningstar DBRS expects the
borrower and lender to come to an agreement, with the lender
requiring the borrower to deposit fresh equity into a debt service
reserve account and/or to purchase a new interest rate cap
agreement.
Notes: All figures are in U.S. dollars unless otherwise noted.
KRR CLO 28: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the KKR
CLO 28 Ltd. refinancing notes.
Entity/Debt Rating Prior
----------- ------ -----
KKR CLO 28 Ltd.
X-R 48253WAJ1 LT PIFsf Paid In Full AAAsf
X-R2 LT AAAsf New Rating
A-R 48253WAL6 LT PIFsf Paid In Full AAAsf
A-R2 LT AAAsf New Rating
B-R 48253WAN2 LT PIFsf Paid In Full AAsf
B-R2 LT AAsf New Rating
C-R 48253WAQ5 LT PIFsf Paid In Full Asf
C-R2 LT Asf New Rating
D-R 48253WAS1 LT PIFsf Paid In Full BBB-sf
D-R2 LT BBB-sf New Rating
E-R 48253VAE4 LT PIFsf Paid In Full BB-sf
E-R2 LT BB-sf New Rating
Transaction Summary
KKR CLO 28 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by KKR Financial
Advisors II, LLC. The deal originally closed in March 2020 and was
reset in February 2024. All the secured notes will be refinanced on
Oct. 29, 2025. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $417 million of primarily first lien senior secured
leveraged loans (including principal cash).
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 24.32, 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 95.9%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.92% 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 1.3-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.
Key Provision Changes
The refinancing is being implemented via the Amended and Restated
Indenture. The changes include but are not limited to:
- The spreads for classes X-R2, A-R2, B-R2, C-R2, D-R2, and E-R2
notes are 0.90%%, 1.12%, 1.65%, 1.90%, 3.40%, and 6.72% compared to
the spreads of 1.15%, 1.44%, 2.10%, 2.70%, 4.00%, and 7.40% for
classes X-R, A-R, B-R, C-R, D-R, and E-R notes, respectively,
before refinancing.
- The principal balance of the X-R2 notes is reset to $3.0
million.
- The Fitch Test Matrix is amended.
- The non-call period for the refinanced notes is extended to Oct.
29, 2026.
- Stated maturity on the refinanced notes and the reinvestment
period end date remain the same as the original notes.
FITCH ANALYSIS
The portfolio includes 363 assets from 312 primarily high yield
obligors. The portfolio balance (excluding defaults and including
principal cash) is approximately $417 million. As of the latest
trustee report prior to the refinance date the transaction was not
passing its Minimum Floating Spread test. All other collateral
quality tests, coverage tests, and concentration limitations were
passing. The weighted average rating of the current portfolio is
'B'.
Fitch has an explicit rating, credit opinion or private rating for
45.4% of the current portfolio par balance; ratings for 53.2% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map; 0.0% were unidentified assets and thus used
provided ratings; and 1.4% were unrated. The analysis focused on
the Fitch stressed portfolio (FSP), and cash flow model analysis
was conducted for this refinancing.
The FSP included the following concentrations, reflecting the
maximum limitations per the indenture or maintained at the current
level:
- Largest five obligors: 2.5% each, for an aggregate of 12.5%;
- Largest three industries: 17.0%, 14.0%, and 14.0%, respectively;
- Assumed risk horizon: 5.31 years;
- Minimum weighted average spread of 3.15%;
- Minimum weighted average recovery rate of 69.25%;
- Maximum weighted average rating factor of 25.00;
- Fixed rate Assets: 7.50%;
- Minimum weighted average coupon of 4.50%;
The transaction will exit its reinvestment period on 02-09-2027.
Fitch Asset and Cash Flow Analysis:
The Fitch model outputs are shown below. For each class, the notes
passed all nine cash flow scenarios under the assigned rating
scenarios with the minimum default cushions indicated.
Current Portfolio Model Outputs:
- Class X-R2: 'AAAsf' / Default 43.10% / Recovery 39.44% / Cushion
56.90%
- Class A-R2: 'AAAsf' / Default 43.10% / Recovery 39.44% / Cushion
11.50%
- Class B-R2: 'AAsf' / Default 40.30% / Recovery 48.39% / Cushion
10.10%
- Class C-R2: 'Asf' / Default 35.80% / Recovery 58.10% / Cushion
9.70%
- Class D-R2: 'BBB-sf' / Default 27.70% / Recovery 67.15% / Cushion
8.90%
- Class E-R2: 'BB-sf' / Default 23.20% / Recovery 72.84% / Cushion
6.60%
Fitch Stress Portfolio (FSP) Model Outputs:
- Class X-R2: 'AAAsf' / Default 48.60% / Recovery 36.22% / Cushion
51.40%
- Class A-R2: 'AAAsf' / Default 48.60% / Recovery 36.22% / Cushion
3.20%
- Class B-R2: 'AAsf' / Default 45.20% / Recovery 43.33% / Cushion
1.70%
- Class C-R2: 'Asf' / Default 40.20% / Recovery 53.33% / Cushion
1.80%
- Class D-R2: 'BBB-sf' / Default 31.20% / Recovery 62.75% / Cushion
3.20%
- Class E-R2: 'BB-sf' / Default 26.10% / Recovery 67.97% / Cushion
0.00%
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 'A-sf' and 'AA+sf' for
class A-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 'B+sf'
for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R2 and class
A-R2 notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, and
'Asf' 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 28 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.
LOANCORE 2025-CRE9: Fitch Assigns B-sf Final Rating on Cl. G Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
LoanCore 2025-CRE9 Issuer LLC as follows:
- $632,500,000a class A 'AAAsf'; Outlook Stable;
- $119,625,000a class A-S 'AAAsf'; Outlook Stable;
- $78,375,000a class B 'AA-sf'; Outlook Stable;
- $63,250,000a class C 'A-sf'; Outlook Stable;
- $38,500,000a class D 'BBBsf'; Outlook Stable;
- $19,250,000a class E 'BBB- sf'; Outlook Stable;
- $37,125,000b class F 'BB-sf'; Outlook Stable;
- $24,750,000b class G 'B-sf'; Outlook Stable;
The following class is not rated by Fitch:
- $86,625,000b Income Notes.
(a) Privately placed and pursuant to Rule 144A.
(b) Horizontal risk retention interest, totaling 13.500% of the
notional amount of the notes.
The approximate collateral interest balance as of the cutoff date
is $1,100,000,000 and does not include future funding.
The ratings are based on information provided by the issuer as of
Oct. 30, 2025.
Transaction Summary
The notes are collateralized by 22 loans secured by 26 commercial
properties with an aggregate principal balance of $955,975,000 as
of the cut-off date, including three delayed-close collateral
interests totaling $145.3 million that are expected to close within
90 days after the closing date. The pool also includes ramp-up
collateral interest of $144.0 million.
The loans were contributed to the trust by LoanCore CRE Seller LLC.
The servicer is Situs Asset Management LLC, and the special
servicer is Situs Holdings, LLC. The trustee is Wilmington Trust,
National Association, and the note administrator is Computershare
Trust Company, National Association. The notes follow a sequential
paydown structure.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 53.7% of the loans by
balance, and cash flow analysis and asset summary reviews on 100%
of the pool.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 16 loans
in the pool (82.9% by balance). Fitch's resulting aggregate net
cash flow (NCF) of $55.9 million represents a 14.6% decline from
the issuer's aggregate underwritten NCF of $65.5 million, excluding
loans for which Fitch utilized an alternate value analysis.
Aggregate cash flows include only the pro-rated trust portion of
any pari passu loan.
Lower Fitch Leverage: The pool has lower leverage than recent CRE
CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value
(LTV) ratio of 135.9% is lower than both the 2025 YTD and 2024 CRE
CLO average of 140.7%. The pool's Fitch NCF debt yield (DY) of 6.6%
is higher than both the 2025 YTD and 2024 CRE CLO averages of 6.4%
and 6.5%, respectively.
Better Pool Diversity: The pool diversity is better than recently
rated Fitch CRE CLO transactions. The top 10 loans make up 65.9% of
the pool, which is higher than the 2025 YTD average of 61.8% and
lower than the 2024 CRE CLO average 70.5%. Fitch measures loan
concentration risk using an effective loan count, which accounts
for both the number and size of loans in the pool. The pool's
effective loan count is 18.3. Fitch views diversity as a key
mitigant to idiosyncratic risk. Fitch raises the overall loss for
pools with effective loan counts below 40.
No Amortization: The pool is 100.0% comprised of interest-only
loans, based on fully extended loan terms. This is worse than both
the 2025 YTD and 2024 CRE CLO averages of 73.1% and 56.8%,
respectively. As a result, the pool is expected to have zero
principal paydown by fully extended maturity of the loans. By
comparison, the average scheduled paydowns for Fitch‐rated U.S.
CRE CLO transactions during 2025 YTD and 2024 were 0.5% and 0.6%,
respectively.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' /
'BBB-sf' / 'BB-sf' / 'B-sf';
- 10% NCF Decline: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' /
'BB-sf' / 'B-sf' / lower than 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' /
'BBB-sf' / 'BB-sf' / 'B-sf';
- 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+sf' /
'BBBsf' / 'BBsf' / 'B+sf'
SUMMARY OF FINANCIAL ADJUSTMENTS
Cash Flow Modeling
This transaction utilizes note protection tests to provide
additional credit enhancement (CE) to the investment-grade
noteholders, if needed. The note protection tests comprise an
interest coverage test and a par value test at the 'BBB-' level
(class E) in the capital structure. Should either of these metrics
fall below a minimum requirement then interest payments to the
retained notes are diverted to pay down the senior most notes. This
diversion of interest payments continues until the note protection
tests are back above their minimums.
As a result of this structural feature, Fitch's analysis of the
transaction included an evaluation of the liabilities structure
under different stress scenarios. To undertake this evaluation,
Fitch used the cash flow modeling referenced in the Fitch criteria
"U.S. and Canadian Multiborrower CMBS Rating Criteria". Different
scenarios were run where asset default timing distributions and
recovery timing assumptions were stressed.
Key inputs, including Rating Default Rate (RDR) and Rating Recovery
Rate (RRR), were based on the CMBS multiborrower model output in
combination with CMBS analytical insight. The cash flow modeling
results showed that the default rates in the stressed scenarios did
not exceed the available CE in any stressed scenario.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by KPMG LLP. The third-party due diligence described in
Form 15E focused on a comparison and re-computation of certain
characteristics with respect to each of the mortgage loans. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
MF1 2024-FL16: DBRS Confirms B(low) Rating on 3 Note Classes
------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the classes of notes
issued by MF1 2024-FL16 as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AAA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class F-E at BB (high) (sf)
-- Class F-X at BB (high) (sf)
-- Class G at BB (low) (sf)
-- Class G-E at BB (low) (sf)
-- Class G-X at BB (low) (sf)
-- Class H at B (low) (sf)
-- Class H-E at B (low) (sf)
-- Class H-X at B (low) (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
overall stable performance of the transaction since issuance, and
the transaction remains in line with Morningstar DBRS'
expectations. The trust continues to be secured by primarily
multifamily-backed collateral, which has historically exhibited
lower default rates and retained better values in recessionary
environments compared with other property types. 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 transaction closed in October 2024 with an initial collateral
pool of 27 floating-rate mortgages (two loans are
cross-collateralized and treated as a single loan) secured by 34
transitional properties and a cut-off date balance of $1.03
billion, excluding approximately $135.2 million in future funding
and $1.31 billion of funded pari passu debt. The transaction is a
managed vehicle, which includes a 30-month reinvestment period
expiring in April 2027. Since closing, three loans, representing
12.1% of the current pool balance, have been added to the trust.
As of the October 2025 remittance, the transaction is concentrated
by property type as 25 loans, representing 91.6% of the current
trust balance, are secured by multifamily properties, with three
loans, representing 8.4% of the current trust balance, being
secured by student housing properties. The pool is primarily
secured by properties in urban markets, as defined by Morningstar
DBRS, with 16 loans, representing 64.4% of the pool, assigned a
Morningstar DBRS Market Rank of 6, 7, or 8. Nine loans,
representing 29.7% of the pool, are secured by properties with a
Morningstar DBRS Market Rank of 3, 4, or 5, denoting suburban
markets.
Leverage across the pool remains elevated as of the October 2025
reporting when compared with issuance metrics. The current
weighted-average (WA) As-Is Appraised Loan-to-Value ratio (LTV) is
66.8%, with a current WA Stabilized LTV of 63.7%. In comparison,
these figures were 66.4% and 63.2%, respectively, at issuance.
As of the October 2025 remittance, there were no loans in special
servicing; however, 19 loans, representing 72.5% of the current
trust balance, are being monitored on the servicer's watchlist. The
majority of these loans have been flagged for occupancy and cash
flow concerns; however, Morningstar DBRS notes the majority of the
underlying properties are newly built and are in the early stages
of the respective business plans.
Through August 2025, the lender had advanced cumulative loan future
funding of $116.2 million to 20 outstanding individual borrowers to
aid in property stabilization efforts. The largest advance, $32.2
million, was to the borrower of the Carolina Crossing loan, which
is secured by a 249-home build-to-rent community in Bolivia, North
Carolina. The advanced funds have been used to fund the acquisition
of remaining homes and aid in offsetting amenity construction
costs. According to the collateral manager, the sponsor has
acquired all 249 planned units through eight advances on future
funding with the last draw funded in February 2025.
An additional $48.8 million of loan future funding is available,
allocated to 14 of the outstanding individual borrowers. The
largest portion of available funding ($10.1 million) is allocated
to the Rae on Sunset loan, which is secured by a newly built,
200-unit, Class A multifamily property in the Hollywood submarket
of Los Angeles. The property, which consists of two separate
buildings, also includes 27,953 square feet of ground-floor retail
space. The $15.4 million future funding component was established
in order to stabilize property occupancy, phase out concessions,
and lease-up the retail component. As of the May 2025 collateral
manager update, the residential component was 67.0% physically
occupied, up from 38.5% at closing, while the retail component was
23.0% leased.
Notes: All figures are in U.S. dollars unless otherwise noted.
MIDOCEAN CREDIT XXI: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean
Credit CLO XXI.
Entity/Debt Rating Prior
----------- ------ -----
MidOcean Credit
CLO XXI
A-1 LT NRsf New Rating NR(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-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
MidOcean Credit CLO XXI (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
MidOcean Credit RR Manager 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+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.14 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 96.06%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.2% 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 5.5% 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 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 and matrices
analysis is up to 12 months less than the Fitch 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
'BBB-sf' and 'A+sf' for class B, between 'BB-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 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, 'BBB+sf'
for class D-1, and 'BBB+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.
Date of Relevant Committee
23 October 2025
ESG Considerations
Fitch does not provide ESG relevance scores for MidOcean Credit CLO
XXI.
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.
MIDOCEAN CREDIT XXI: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Outlooks to
MidOcean Credit CLO XXI.
Entity/Debt Rating
----------- ------
MidOcean Credit
CLO XXI
A-1 LT NR(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D-1 LT BBB-(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
Transaction Summary
MidOcean Credit CLO XXI (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
MidOcean Credit RR Manager 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+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.14 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 96.06%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.2% 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 5.5% 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 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 and matrices
analysis is up to 12 months less than the Fitch 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
'BBB-sf' and 'A+sf' for class B, between 'BB-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 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, 'BBB+sf'
for class D-1, and 'BBB+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 MidOcean Credit CLO
XXI.
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.
MONROE CAPITAL XV: 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 and class A-R loans from Monroe
Capital MML CLO XV LLC, a CLO managed by Monroe Capital CLO Manager
II LLC, a subsidiary of Monroe Capital, that was originally issued
in September 2023 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 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."
Ratings Assigned
Monroe Capital MML CLO XV LLC
Class A-R, $175.60 million: AAA (sf)
Class A-R loans, $50.00 million: AAA (sf)
Class B-R, $39.90 million: AA (sf)
Class C-R (deferrable), $25.90 million: A (sf)
Class D-R (deferrable), $31.50 million: BBB- (sf)
Class E-R (deferrable), $26.30 million: BB- (sf)
Other Debt
Monroe Capital MML CLO XV LLC
Subordinated A notes, $49.00 million: NR
Subordinated B notes, $1.00 million: NR
NR--Not rated.
MORGAN STANLEY 2004-NC2: Moody's Cuts Rating on M-1 Certs to Caa1
-----------------------------------------------------------------
Moody's Ratings has downgraded the rating of Class M-1 issued by
Morgan Stanley ABS Capital I Inc. Trust 2004-NC2. The collateral
backing this deal consists of subprime mortgage loans.
The complete rating action is as follow:
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC2
Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020
Downgraded to Ba2 (sf)
RATINGS RATIONALE
The rating action reflects the current levels of credit enhancement
available to the bond, the recent performance, analysis of the
transaction structure, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for this bond.
The rating downgrade is the result of outstanding credit interest
shortfall that is unlikely to be recouped. The downgraded bond has
a weak interest recoupment mechanism where missed interest payments
will likely result in a permanent interest loss. Unpaid interest
owed to bonds with weak interest recoupment mechanisms are
reimbursed sequentially based on bond priority, from excess
interest, if available, and often only after the
overcollateralization has built to a pre-specified target amount.
The size and length of the outstanding interest shortfalls were
considered in Moody's analysis.
Principal Methodology
The principal methodology used in this rating was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
MORGAN STANLEY 2013-C7: DBRS Confirms C Rating on 4 Classes
-----------------------------------------------------------
DBRS Limited downgraded credit ratings on three classes of
Commercial Mortgage Pass-Through Certificates, Series 2013-C7
issued by Morgan Stanley Bank of America Merrill Lynch Trust
2013-C7 as follows:
-- Class C to CCC (sf) from BB (low) (sf)
-- Class X-B to CCC (sf) from BB (sf)
-- Class PST to CCC (sf) from BB (low) (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class G at C (sf)
All classes have a credit rating that do not typically carry a
trend in commercial mortgage-backed securities (CMBS) credit
ratings.
The credit rating downgrade on Classes C, X-B, and PST (which
previously had Negative trends) and remaining credit rating
confirmations reflect Morningstar DBRS' liquidated loss projections
for the four specially serviced loans in the pool as of the October
2025 reporting. The liquidation analysis assumptions are generally
based on conservative haircuts to the most recent appraised values
while accounting for accrued servicer advances and additional
projected expenses. Morningstar DBRS estimates total liquidated
losses of nearly $143.0 million, which would erode approximately
85.0% of the Class D certificate and significantly reduce the
credit support to Class C.
As of the October 2025 remittance, all classes were shorted
interest, and outstanding interest shortfalls totaled approximately
$14.9 million, an increase from the $9.2 million at the previous
credit rating action in December 2024. At that time, interest
shortfalls were contained to the Class D certificate and have now
increased up through the most senior Class C certificate. The
interest shortfalls for Class C have been ongoing for the last five
remittance cycles. The increased interest shortfalls are largely
the result of the servicer's nonrecoverability determination for
all four of the specially serviced loans. Morningstar DBRS'
tolerance for shorted interest at the BB (sf) and B (sf) credit
category is limited to six months. In addition to the loss
expectations as described above, Morningstar DBRS' expectation that
the servicer will continue to short interest beyond the tolerance
thresholds was also a contributing factor for the credit rating
downgrade for Class C.
As of the October 2025 remittance, 10 loans remain in the pool,
representing a collateral reduction of 88.7% since issuance. There
was one additional loan paydown since the last credit rating action
in December 2024. The four specially serviced loans are secured by
regional malls (75.6% of the pool balance) and smaller retail
properties (17.8% of the pool balance), which have reported
significant value declines from issuance. The remaining six loans,
representing 6.6% of the pool, are secured by single-tenant retail
properties, 100% leased to Walgreens on leases that expire between
September 2029 and March 2084. These loans are fully amortizing
fixed-rate loans with maturity dates ranging from July 2030 to
November 2035. None of these properties appeared on any Walgreens
store closure lists nor are any of the loans being monitored on the
servicer's watchlist as of the September 2025 reporting.
The largest remaining loan is Solomon Pond Mall (Prospectus ID#2,
51.8% of the pool), which is backed by a regional mall in
Marlborough, Massachusetts, approximately 30 miles west of downtown
Boston. The mall's department store anchors are not collateral and
include JCPenney and Macy's. Sears closed in 2021. The loan has
been in special servicing since 2020 and most recently, the
servicer has reported a sale, which is expected to close before
year-end. Although the property's occupancy rate has hovered near
80% for the past few years, cash flows remain significantly less
than issuance figures. A February 2025 appraisal valued the subject
at $11.1 million, a further decline from the January 2024 figure of
$29.7 million and the March 2023 value of $30.4 million. By
comparison, the mall had an issuance appraised value of $200.0
million. Morningstar DBRS liquidated the loan based on a 10.0%
haircut to the February 2025 value while accounting for outstanding
advances as well as expected future servicer expenses, resulting in
a 100% loss of $81.7 million.
The second-largest loan is Valley West Mall (Prospectus ID#7, 23.7%
of the pool), an 856,248-square-foot, regional mall in West Des
Moines, Iowa. The loan transferred to special servicing in August
2019 for imminent default and a receiver was appointed in 2020. As
of the September 2025 special servicer commentary, the receiver has
accepted a bid on the property with the receiver seeking the lender
and court approval of the sale. The due diligence period has begun
and a closing is expected in Q1 2026. As of the June 2025 rent
roll, the subject occupancy has declined further to 41.7% compared
with the June 2024 figure of 43.0% and significantly less than the
62% in September 2023. At issuance, the subject was anchored by
JCPenney, Younkers, and Von Maur; however, only JCPenney remains at
the property. The February 2025 appraisal valued the subject at
$13.0 million, a further decline from the $14.5 million as of the
January 2024 appraisal and significantly less than the $95.0
million valuation at issuance. Morningstar DBRS liquidated the loan
based on a 10.0% haircut to the February 2025 value while
accounting for outstanding advances as well as expected future
servicer expenses, resulting in a 100% loss of $37.4 million.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2013-C9: DBRS Hikes Class G Certs Rating to B(low)
-----------------------------------------------------------------
DBRS Limited upgraded credit ratings on nine classes of Commercial
Mortgage Pass-Through Certificates, Series 2013-C9 issued by Morgan
Stanley Bank of America Merrill Lynch Trust 2013-C9 as follows:
-- Class B to AA (sf) from BBB (sf)
-- Class C to A (sf) from CCC (sf)
-- Class D to BBB (sf) from CCC (sf)
-- Class E to BB (high) (sf) from CCC (sf)
-- Class F to BB (low) (sf) from CCC (sf)
-- Class G to B (low) (sf) from C (sf)
-- Class H to CCC (sf) from C (sf)
-- Class X-B to A (high) (sf) from CCC (sf)
-- Class PST to A (sf) from CCC (sf)
Class H has a credit rating that does not typically carry a trend
in commercial mortgage-backed securities (CMBS) credit ratings. All
other trends have been changed to Stable.
Morningstar DBRS upgraded all its outstanding credit ratings to
reflect the current risk profile of the transaction and lack of a
recurrence of interest shortfalls since the previous credit rating
action in January 2025. Trends were also changed to Stable to
reflect the overall stable outlook for the three remaining loans in
the pool, which have extended maturity dates between June 2028 and
March 2033. Morningstar DBRS previously downgraded its credit
ratings for the most senior classes in the transaction in September
2023 due to outstanding interest shortfalls, most of which were
tied to the largest loan in the pool, Milford Plaza Fee (Prospectus
ID#1, 73.7% of the pool). The credit rating upgrades with this
review follow the placement of Positive trends on all rated classes
with the January 2025 credit rating action, which was a reflection
of the improved outlook for the Milford Plaza Fee loan and the
repayment of outstanding shortfalls as part of a finalized loan
modification.
Previously, the master servicer was shorting interest for all bonds
below Class C for over a year, following the master servicer's
non-recoverability determination for the Milford Plaza Fee loan,
which had been in special servicing since June 2020. The loan was
ultimately modified in May 2024 and nearly all of the accumulated
unpaid bondholder interest was repaid. As of the October 2025
remittance, remaining outstanding interest shortfalls totaled
$61,318 and were contained to the unrated Class J certificate. In
addition, approximately $9.5 million in advances that were
previously deemed non-recoverable and had been passed through as a
realized trust loss were also recovered, reducing the actual
realized loss to the trust to $7.5 million as of the September 2025
remittance.
Only three of the original 60 loans remain in the pool with no
additional paydowns or liquidations since the last credit rating
action in January 2025. There are no loans in special servicing but
all three remain on the servicer's watchlist due to outstanding
servicer advances and performance-related concerns.
At issuance, the Milford Plaza Fee loan was secured by the
borrower's leased fee interest in the ground beneath the 1,331-key
hotel currently known as The Row NYC in the Times Square-Theatre
District in New York City. The $275 million whole loan has a pari
passu structure with pieces contributed to the subject transaction
($165 million) and to the non-Morningstar DBRS-rated MSBAM 2013-C10
transaction ($110 million). As noted at the previous review, the
loan was returned back to the master servicer following a loan
modification executed in May 2024. The loan is currently flagged
for outstanding servicer advances with funds slowly being remitted
back to the Trust. The previously delinquent tenant and owner of
the leasehold interest, Highgate Holdings, purchased the collateral
land parcel and assumed the subject loan in conjunction with the
acquisition and loan modification. Collateral for the loan now
consists of the new borrower's fee-simple interest in both the
ground and improvements of the Row NYC hotel. The modification
included an extension of the maturity date to June 2028, a
termination of the ground lease, and the installation of cash
management until a full payoff has occurred. The borrower has an
in-place agreement with the City of New York to house migrants at
the subject property through April 2026 at a rate of $175 per
night. According to numerous online news articles, the ongoing
contract at the subject will not be extended in 2026 and migrants
have started receiving notices to leave the property. The servicer
has also noted that the sponsor will begin renovations at the end
of the contract, in preparation for its reopening as a full-service
hotel.
The loan reported an annualized net cash flow (NCF) figure of $28.2
million (debt service coverage ratio (DSCR) of 1.45 times (x)) for
the trailing six-month period ended June 30, 2025, as compared to
the YE2024 NCF of $14.2 million (DSCR of 1.46x). Both of the
reported cash flows appear to include hotel operations. The
fee-simple value was appraised at $350 million in April 2024, which
is slightly below the May 2023 appraised value of $375 million and
the issuance-appraised value of $386 million. Although the loan has
been reinstated and is no longer in special servicing, Morningstar
DBRS' analysis included recoverability scenario based on a stress
to the most recent appraisal, which indicates that a full recovery
of the loan would be likely should liquidation ultimately occur.
Although there will likely be a significant amount of work required
to bring the hotel back on line, the sponsor's commitment in
acquiring the land parcel and assuming the subject loan suggest
significant commitment and incentives for executing the business
plan by the extended maturity in 2028, supporting the credit rating
actions with this review.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2018-H4: Fitch Affirms CC Rating on Class G-RR Debt
------------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Morgan Stanley Capital I
Trust (MSC) commercial mortgage pass-through certificates series
2018-H4, as well as the 2018-H4 III Trust horizontal risk retention
pass-through certificate (MOA 2020-H4 E). The Rating Outlooks on
classes B, C, D, X-B and X-D have been revised to Stable from
Negative. The Outlooks on class E-RR remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
MSC 2018-H4
A-S 61691RAH9 LT AAAsf Affirmed AAAsf
A-SB 61691RAC0 LT AAAsf Affirmed AAAsf
A3 61691RAD8 LT AAAsf Affirmed AAAsf
A4 61691RAE6 LT AAAsf Affirmed AAAsf
B 61691RAJ5 LT AA-sf Affirmed AA-sf
C 61691RAK2 LT A-sf Affirmed A-sf
D 61691RAL0 LT BBB-sf Affirmed BBB-sf
E-RR 61691RAN6 LT BBsf Affirmed BBsf
F-RR 61691RAQ9 LT CCCsf Affirmed CCCsf
G-RR 61691RAS5 LT CCsf Affirmed CCsf
X-D 61691RBA3 LT BBB-sf Affirmed BBB-sf
XA 61691RAF3 LT AAAsf Affirmed AAAsf
XB 61691RAG1 LT AA-sf Affirmed AA-sf
MOA 2020-H4 E
E-RR 90216VAA0 LT BBsf Affirmed BBsf
KEY RATING DRIVERS
Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating
case losses are 6.6%, in line with 6.4% at Fitch's prior rating
action. Ten loans were flagged as Fitch Loans of Concern (FLOCs;
22.9% of the pool), including two loans (5.9%) in special
servicing.
The affirmations reflect the overall stable pool loss expectations
since the prior rating action. The Outlook revisions reflect the
unlikelihood that these classes will be downgraded in the next
12-24 months due to greater tenant certainty surrounding the
largest loan in the pool, Google Kirkland Campus Phase I (7.7%).
The single tenant's lease was scheduled to expire in 2026, but was
recently extended through January 2031.
The Negative Outlook on class E-RR reflects the potential for
future downgrades should FLOC performance continue to deteriorate,
primarily the specially serviced 300 North Greene (4.1%) and Mama
Shelter LA (1.8%) loans, as well as hotel FLOCs, including
Fairfield Inn Perimeter Center (1.6%) and Fairfield Inn Buckhead
(1.4%).
Largest Loss Contributors: The largest overall contributor to pool
loss is the 300 North Greene asset, a 325,771- sf, 21-story CBD
office building in Greensboro, NC. The asset has been REO since
December 2021. Occupancy was a reported 61% as of June 2025 a
decline from 71% at YE 2024. The special servicer is considering
disposition options while trying to increase occupancy and renew
existing tenants.
Fitch's 'Bsf' rating case loss of 30.4% (prior to concentration
adjustments) reflects a discount to the most recent appraisal
resulting in a Fitch stressed value of $88 psf.
The second largest overall contributor to pool loss is Fordham
Medical Office Portfolio (5.5%), which is secured by a portfolio of
two buildings totaling 58,924-sf in New York City; one building is
located in the Fordham area of the Bronx (49,895-sf) and one
building (9,029- sf) is located in Manhattan. The loan transferred
to special servicing in August 2024 due to a dispute between the
lender and borrower about the cost of forced place insurance
coverage. The dispute was resolved and the loan transferred back to
the Master Servicer in June 2025. 656-660 East Fordham (4,825-sf)
was released from the collateral as part of the December 2024
modification agreement; proceeds were utilized to pay a portion of
the principal and defaulted interest.
Fitch's 'Bsf' rating case loss of 11.8% (prior to concentration
adjustments) reflects a 9.75% cap rate and 10% stress to the
annualized 2nd quarter 2025 NOI.
The third largest contributor to overall pool loss expectations,
Mama Shelter LA , is secured by a 70-key boutique hotel located in
the Hollywood market of Los Angeles, CA. The loan was transferred
to special servicing again in December 2024 due to payment default.
The loan was previously in special servicing in July 2020 due to
pandemic-related performance declines. The property has yet to
recover. A receiver entered into an agreement with a broker to list
the asset for sale, and the broker is actively marketing the
asset.
Mama Shelter LA was designated a FLOC due to a low debt service
coverage ratio (DSCR).YE 2024 NOI DSCR was -0.27x, a decline from
-0.80 at YE 2023 and 1.49x at YE 2022. According to the TTM June
2024 STR report, the property had an occupancy rate of 82.7%, an
ADR of $175, and a RevPAR of $144.4, indicating penetration rates
of 127%, 66%, and 84%, respectively.
Fitch's 'Bsf' rating case loss of approximately 37.3% (prior to
concentration adjustments) reflects a Fitch-stressed value of
approximately $140,000/key.
Increased Credit Enhancement (CE): As of the September 2025
distribution date, the transaction balance has been reduced by 9.7%
since issuance. The transaction includes two loans (6.5%) that have
fully defeased. Cumulative interest shortfalls of $3.6 million are
affecting classes F-RR, G-RR and H-RR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the 'AAAsf' rated classes are not expected due to
their high CE, senior position in the capital stack and continued
expected amortization, but may occur if deal-level losses increase
significantly and/or interest shortfalls occur or are expected to
occur.
Downgrades of classes rated in the 'AAsf' and 'Asf' categories
would occur more loans than expected experience performance
deterioration or default at or prior to maturity and/or further
performance deterioration of the FLOCs, including 300 North Greene,
Mama Shelter LA, Fairfield Inn Perimeter Center and Fairfield Inn
Buckhead.
Downgrades of class rated in the 'BBBsf' and 'BBsf' categories
would occur should loss expectations increase on the FLOCs,
additional loans transfer to special servicing and/or with a
greater certainty of losses.
Further downgrades to the 'CCCsf' and 'CCsf' rated classes would
occur as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades of classes rated in the 'AAsf' and 'Asf' categories may
occur with significant improvement in CE and, or defeasance coupled
with stable-to-improved pool-level loss expectations and improved
FLOC performance.
Upgrades to classes in the 'BBBsf' and 'BBsf' categories could
occur but would be limited by sensitivity to current
concentrations, potential future concentration, and the need for
performance stabilization or improved recovery expectations on the
FLOCs—primarily 300 North Greene and Mama Shelter LA—and on
FLOCs secured by hotel collateral, including Fairfield Inn
Perimeter Center and Fairfield Inn Buckhead. Classes will not be
upgraded above 'AA+sf' if there interest shortfalls are likely.
Upgrades to the distressed classes are unlikely but possible if the
remaining pool performs stably, recoveries or valuations on the
FLOCs exceed expected, and the classes have sufficient CE.
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.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
MOA 2020-H4
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.
MORGAN STANLEY 2021-L7: Fitch Lowers Rating on Two Tranches to B-sf
-------------------------------------------------------------------
Fitch Ratings has downgraded seven classes and affirmed 32 classes
of Morgan Stanley Capital I Trust 2021-L7, commercial mortgage
pass-through certificates, series 2021-L7. Fitch has assigned
Negative Outlooks to Classes E, F, X-D and X-F following their
downgrades. The Outlook on class D has been revised to Negative
from Stable.
Entity/Debt Rating Prior
----------- ------ -----
MSC 2021-L7
A-1 61772TAY0 LT AAAsf Affirmed AAAsf
A-2 61772TAZ7 LT AAAsf Affirmed AAAsf
A-3 61772TBB9 LT AAAsf Affirmed AAAsf
A-4 61772TBC7 LT AAAsf Affirmed AAAsf
A-4-1 61772TBD5 LT AAAsf Affirmed AAAsf
A-4-2 61772TBE3 LT AAAsf Affirmed AAAsf
A-4-X1 61772TBF0 LT AAAsf Affirmed AAAsf
A-4-X2 61772TBG8 LT AAAsf Affirmed AAAsf
A-5 61772TBH6 LT AAAsf Affirmed AAAsf
A-5-1 61772TBJ2 LT AAAsf Affirmed AAAsf
A-5-2 61772TBK9 LT AAAsf Affirmed AAAsf
A-5-X1 61772TBL7 LT AAAsf Affirmed AAAsf
A-5-X2 61772TBM5 LT AAAsf Affirmed AAAsf
A-S 61772TBQ6 LT AAAsf Affirmed AAAsf
A-S-1 61772TBR4 LT AAAsf Affirmed AAAsf
A-S-2 61772TBS2 LT AAAsf Affirmed AAAsf
A-S-X1 61772TBT0 LT AAAsf Affirmed AAAsf
A-S-X20 61772TBU7 LT AAAsf Affirmed AAAsf
A-SB 61772TBA1 LT AAAsf Affirmed AAAsf
B 61772TBV5 LT AA-sf Affirmed AA-sf
B-1 61772TBW3 LT AA-sf Affirmed AA-sf
B-2 61772TBX1 LT AA-sf Affirmed AA-sf
B-X1 61772TBY9 LT AA-sf Affirmed AA-sf
B-X2 61772TBZ6 LT AA-sf Affirmed AA-sf
C 61772TCA0 LT A-sf Affirmed A-sf
C-1 61772TCB8 LT A-sf Affirmed A-sf
C-2 61772TCC6 LT A-sf Affirmed A-sf
C-X1 61772TCD4 LT A-sf Affirmed A-sf
C-X2 61772TCE2 LT A-sf Affirmed A-sf
D 61772TAG9 LT BBBsf Affirmed BBBsf
E 61772TAJ3 LT BB-sf Downgrade BBB-sf
F 61772TAL8 LT B-sf Downgrade BB+sf
G 61772TAN4 LT CCCsf Downgrade BB-sf
H-RR 61772TAQ7 LT CCCsf Downgrade B-sf
X-A 61772TBN3 LT AAAsf Affirmed AAAsf
X-B 61772TBP8 LT A-sf Affirmed A-sf
X-D 61772TAA2 LT BB-sf Downgrade BBB-sf
X-F 61772TAC8 LT B-sf Downgrade BB+sf
X-G 61772TAE4 LT CCCsf Downgrade BB-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
losses are 7.2%. Three loans have been designated as Fitch loans of
concern (FLOCs, 9.1%), including the largest loan in the pool One
Signature Office Portfolio (7.8%).
The downgrades reflect higher pool loss expectations primarily
driven by the transfer of One Signature Office Portfolio to special
servicing and its significant decline in Fitch-derived value since
issuance. The Negative Outlooks reflect the potential for further
downgrades with a prolonged workout or further valuation
deterioration of the asset.
Largest Contributor to Loss: The largest contributor to loss
expectations is the One Signature Office Portfolio, which is
secured by a portfolio of three class B suburban office buildings
in Basking Ridge, NJ. The loan transferred to special servicing in
March 2025 due to payment default. According to servicer updates,
foreclosure is being pursued while modification discussions with
the borrower are ongoing.
As of September 2025, the property was 62% occupied. Occupancy
declined from 93% at YE 2021 primarily due to the loss of large
tenants; Lexicon Pharmaceuticals (12.3% NRA) vacated at its 2022
lease expiration and Regeneron Pharmaceuticals (16.5% NRA;) vacated
at its August 2025 lease expiration. Fitch's 'Bsf' rating case loss
of 54.3% (prior to concentration adjustments) considers the decline
in occupancy and reflects a stressed recovery value of $75 psf, in
line with comparable properties in the submarket. Expected losses
at the prior rating action were 6%.
The second-largest contributor to overall pool loss expectations is
Havenwood Office Park (4.8%), which is secured by a 239,629-sf,
LEED Silver-certified office building located in suburban Spring,
TX. The largest tenant, the General Services Administration (GSA),
is investment-grade and occupies 25.6% of the NRA through June 2036
with no termination, contraction, or appropriation rights through
June 2026. As of June 2025, the property is 80% occupied an
increase from 76% at YE 2024, but below peak occupancy of 90% at YE
2023. The servicer reported YE 2024 NOI was 2.12x compared with
2.16x at YE 2023 and 1.65x at YE 2022. Fitch's 'Bsf' rating case
loss of approximately 5.7% (prior to concentration add-ons)
reflects a 10% stress to YE 2024 NOI and a 9.75% cap rate.
Credit Enhancement: As of the September 2025 distribution date, the
pool has paid down 1.5% to $907.3 million from $921.2 million at
issuance. Interest shortfalls of approximately $160,000 are
currently affecting the non-rated class J-RR. There have been no
realized losses to date.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the 'AAAsf' rated classes are not likely due to the
continued expected amortization, position in the capital structure
and sufficient CE relative to loss expectations, but may occur if
deal-level losses increase significantly and/or interest shortfalls
occur or are expected to occur.
Downgrades of classes rated in the 'AAsf', 'Asf' and 'BBBsf'
categories would occur if more loans than expected experience
performance deterioration or default at or prior to maturity and/or
further value deterioration of the Signature Office Portfolio II
loan.
Downgrades of class rated in the 'BBsf' and 'Bsf' category are
likely should loss expectations increase on the FLOCs, there is
additional loans transfer to special servicing and/or there is a
greater certainty of losses.
Further downgrades to the 'CCCsf' rated classes would occur as
losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades of classes rated in the 'AAsf', 'Asf' and 'BBBsf'
categories may occur with significant improvement in CE and/or
defeasance but would be limited based on sensitivity to
concentrations or the potential for future concentration and with
performance stabilization or improved recovery expectations on the
FLOCs, primarily the Signature Office Portfolio II loan. Classes
would not be upgraded above 'AA+sf' if there were likelihood of
interest shortfalls.
Upgrades of classes 'BBsf' and 'Bsf' 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 the specially
serviced loan 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.
NEUBERGER BERMAN 62: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger
Berman Loan Advisers CLO 62, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Neuberger Berman
Loan Advisers
CLO 62, Ltd.
A-1 64136GAA5 LT NRsf New Rating NR(EXP)sf
A-2 64136GAC1 LT AAAsf New Rating AAA(EXP)sf
B 64136GAE7 LT AAsf New Rating AA(EXP)sf
C 64136GAG2 LT Asf New Rating A(EXP)sf
D-1 64136GAJ6 LT BBB-sf New Rating BBB-(EXP)sf
D-2 64136GAL1 LT BBB-sf New Rating BBB-(EXP)sf
E 64136HAA3 LT BB-sf New Rating BB-(EXP)sf
Subordinated 64136HAC9 LT NRsf New Rating NR(EXP)sf
Transaction Summary
Neuberger Berman Loan Advisers CLO 62, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by Neuberger Berman Loan Advisers IV 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 24.25 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 99.81% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.66% 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 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 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 and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
Date of Relevant Committee
24 October 2025
ESG Considerations
Fitch does not provide ESG relevance scores for Neuberger Berman
Loan Advisers CLO 62, 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.
NEUBERGER BERMAN 62: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Neuberger Berman Loan Advisers CLO 62, Ltd.
Entity/Debt Rating
----------- ------
Neuberger Berman Loan
Advisers CLO 62, Ltd.
A-1 LT NR(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D-1 LT BBB-(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
Transaction Summary
Neuberger Berman Loan Advisers CLO 62, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by Neuberger Berman Loan Advisers IV 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 24.25 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 99.81% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.66% 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 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 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 and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Neuberger Berman
Loan Advisers CLO 62, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
NEW MOUNTAIN 8: Fitch Assigns 'BB-sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to New
Mountain CLO 8 Ltd.
Entity/Debt Rating
----------- ------
New Mountain
CLO 8 Ltd.
A-L LT AAAsf New Rating
A-1 LT AAAsf New Rating
A-2 LT AAAsf New Rating
B-1 LT AAsf New Rating
B-2 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
Subordinated LT NRsf New Rating
Transaction Summary
New Mountain CLO 8 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by New
Mountain Credit CLO Advisers, L.L.C. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: 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 23.82 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 99.58% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.87% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 42.5% of the portfolio balance in aggregate while the top five
obligors can represent up to 6.5% 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 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 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 'BBB+sf' and 'AA+sf' for class A-1 and class A-L
loans, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf'
and 'A+sf' for class B-1 and B-2 notes, between 'Bsf' and 'BBB+sf'
for class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-L loans, 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-1 and B-2 notes, 'AA+sf' for
class C, 'A+sf' 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 New Mountain CLO 8
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.
NEWSTAR FAIRFIELD: Fitch Lowers Rating on Class D-N Notes to 'B+sf'
-------------------------------------------------------------------
Fitch Ratings has downgraded Newstar Fairfield Fund CLO, Ltd.'s
(Newstar Fairfield) class D-N notes by one notch and assigned a
Negative Rating Outlook while also affirming the ratings for all
other rated classes of notes. Fitch revised the Outlooks on the
class B-1-N and B-2-N notes (collectively, the B-N notes) to
Positive from Stable. The Rating Outlook for the remaining classes
remains Stable.
Entity/Debt Rating Prior
----------- ------ -----
Newstar Fairfield Fund
CLO, Ltd. (F/K/A Fifth
Street SLF II, Ltd.)
A-2-N 65252BAC7 LT AAAsf Affirmed AAAsf
B-1-N 65252BAE3 LT A+sf Affirmed A+sf
B-2-N 65252BAJ2 LT A+sf Affirmed A+sf
C-N 65252BAG8 LT BBB+sf Affirmed BBB+sf
D-N 65252CAA9 LT B+sf Downgrade BB-sf
Transaction Summary
Newstar Fairfield is a middle-market (MM) collateralized loan
obligation (CLO) managed by First Eagle Alternative Credit, LLC.
Newstar Fairfield was a reset transaction in April 2018 and exited
its reinvestment period in April 2023. This CLO is secured
primarily by first-lien, senior secured loans.
KEY RATING DRIVERS
Increased Portfolio Losses and Rising Concentration Risk
The downgrade of the class D-N notes reflects increased tail risk
as rising par losses, growing concentration and a 47bp decline in
weighted average spread (WAS) since the March 2025 review, together
outweigh the benefit of higher credit enhancement from senior note
paydowns. The Negative Outlook on the class D-N notes reflects its
exposure to tail risk and higher cost of funding, as the
transaction deleverages.
Cumulative par losses rose to 5.6% from 4.3% at the March 2025
review, adjusted for amortization following the October 2025
payment, mainly driven by credit risk sales and haircuts on
defaulted assets. Following October 2025, Fitch classifies four
obligors totaling 8.2% of portfolio notional, including cash, as
defaulted, up from 3.7% at the last review. Fitch also considers
43.1% of the total portfolio to be in the 'CCC' category (including
non-rated issuers), up from 40.1%.
The portfolio now comprises 56 obligors, with the top 10
representing 35.9% of the performing portfolio (excluding cash), up
from 68 obligors and 28.5% at the last review. Issuers above 2%
exposure total 51.4% of the portfolio, up from 29.3%, indicating
increased concentration as amortization progresses.
Note Amortization
Following the October payment, class A-1-N was repaid in full and
class A-2-N amortized 28.1% of the original balance, increasing
credit enhancement levels for all notes across the capital
structure. Interest proceeds were diverted to cure class D-N
overcollateralization test failures since April; however, the
benefit is expected to diminish in the future, with a cost of
funding expected to increase with the continuing deleveraging.
In line with Fitch's CLOs and Corporate CDOs Rating Criteria, Fitch
evaluated the class B-N notes and C-N notes, which passed at higher
rating levels in the analysis based on the actual portfolio. Fitch
then considered the notes' performance under a stressed portfolio
analysis. The stress applied a one-notch downgrade to 7.3% of the
portfolio for issuers with a Negative Outlook and extended the
weighted-average life to 4.0 years to address concentration and
loan refinancing risk.
Fitch affirmed the ratings for B-N notes at two notches lower than
the model-implied ratings (MIRs). The affirmation is based on a
sensitivity scenario that incorporated two obligors' Fitch-derived
rating (FDR) overrides to 'CCC' based on updated credit event
information. It also incorporated five distressed obligors'
recovery overrides based on the CLO manager's market value
projections and market bids. Fitch assigned Positive Outlooks to
the B-N notes, reflecting its expectation that the positive impact
from deleveraging will outweigh increasing concentration and
potential deterioration in the remaining portfolio for these
notes.
Rating actions on all other classes of notes are in line with their
MIRs. Stable Outlooks on the class A-2-N and C-N notes reflect
Fitch's view that credit enhancement and further deleveraging for
these notes provides sufficient protection against the
aforementioned risks.
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 does 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 one rating category,
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.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
securities and markets authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Newstar Fairfield
Fund CLO, Ltd. (F/K/A Fifth Street SLF II, 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.
OCEAN TRAILS XVII: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ocean Trails CLO XVII
Ltd./Ocean Trails CLO XVII 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 Five Arrows Managers North America
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
Ocean Trails CLO XVII Ltd./Ocean Trails CLO XVII LLC
Class A-1, $240.00 million: AAA (sf)
Class A-2, $16.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $22.00 million: BBB+ (sf)
Class D-2 (deferrable), $6.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $37.32 million: Not rated
OCTAGON 54 LTD: Moody's Cuts Rating on $25MM Class E Notes to B1
----------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Octagon 54, Ltd.:
US$25,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2034, Downgraded to B1 (sf); previously on July 14, 2021
Assigned Ba3 (sf)
Octagon 54, Ltd., issued in July 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 will end in July 2026.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss and reduction
in spread observed in the underlying CLO portfolio. Based on the
trustee's October 2025 report[1], the OC ratio for the Class E
notes is reported at 104.57% versus an October 2024 [2] level of
106.07%. Based on Moody's calculations, the total collateral par
balance, including recoveries from defaulted securities, is
approximately $480.6 million, or $19.4 million less than the $500.0
million initial par amount targeted during the deal's ramp-up.
Furthermore, based on trustee's October 2025 report [3], the
weighted average spread (WAS) is reported at 3.19% compared to
3.50% reported in the trustee's October 2024 report [4].
No actions were taken on the Class A-1, Class A-2, Class B, Class
C, and Class D notes because their expected losses remain
commensurate with their current ratings, after taking into account
the CLO's latest portfolio information, its relevant structural
features and its actual over-collateralization and interest
coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
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: $479,831,948
Defaulted par: $2,234,981
Diversity Score: 86
Weighted Average Rating Factor (WARF): 2794
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.96%
Weighted Average Recovery Rate (WARR): 45.58%
Weighted Average Life (WAL): 4.7 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Collateralized
Loan Obligations" published in October 2025.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
OCTAGON 68: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Octagon
68, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Octagon 68, Ltd.
X-R LT AAAsf New Rating
A-1 675949AC5 LT PIFsf Paid In Full AAAsf
A-1-R LT AAAsf New Rating
A-2 675949AE1 LT PIFsf Paid In Full AAAsf
A-2-R LT AAAsf New Rating
B 675949AG6 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 675949AJ0 LT PIFsf Paid In Full Asf
C-R LT Asf New Rating
D 675949AL5 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E 675950AA7 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Octagon 68, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that originally closed in
November 2023 and is managed by Octagon Credit Investors, LLC. On
Oct. 24, 2025, the existing secured notes will be redeemed in full
using the refinancing proceeds. 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 23.74 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 96.91%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.58% 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 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 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-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B-sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R,
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, 'Asf'
for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Octagon 68, 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.
PMT LOAN 2025-CNF1: Moody's Assigns B3 Rating to Cl. B-5 Certs
--------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 67 classes of
residential mortgage-backed securities (RMBS) issued by PMT Loan
Trust 2025-CNF1, and sponsored by PennyMac Corp.
The securities are backed by a pool of owner occupied GSE-eligible
(100.0% by balance) residential mortgages aggregated by PennyMac
Corp. originated and serviced by PennyMac Corp.
The complete rating actions are as follows:
Issuer: PMT Loan Trust 2025-CNF1
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aaa (sf)
Cl. A-20, Definitive Rating Assigned Aaa (sf)
Cl. A-21, Definitive Rating Assigned Aaa (sf)
Cl. A-22, Definitive Rating Assigned Aaa (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. A-25, Definitive Rating Assigned Aaa (sf)
Cl. A-26, Definitive Rating Assigned Aaa (sf)
Cl. A-27, Definitive Rating Assigned Aaa (sf)
Cl. A-28, Definitive Rating Assigned Aa1 (sf)
Cl. A-29, Definitive Rating Assigned Aa1 (sf)
Cl. A-30, Definitive Rating Assigned Aa1 (sf)
Cl. A-31, Definitive Rating Assigned Aa1 (sf)
Cl. A-32, Definitive Rating Assigned Aa1 (sf)
Cl. A-33, Definitive Rating Assigned Aa1 (sf)
Cl. A-34, Definitive Rating Assigned Aaa (sf)
Cl. A-34X*, Definitive Rating Assigned Aaa (sf)
Cl. A-35, Definitive Rating Assigned Aaa (sf)
Cl. A-35X*, Definitive Rating Assigned Aaa (sf)
Cl. A-36, Definitive Rating Assigned Aaa (sf)
Cl. A-36X*, Definitive Rating Assigned Aaa (sf)
Cl. A-X1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X2*, Definitive Rating Assigned Aaa (sf)
Cl. A-X3*, Definitive Rating Assigned Aaa (sf)
Cl. A-X6*, Definitive Rating Assigned Aaa (sf)
Cl. A-X7*, Definitive Rating Assigned Aaa (sf)
Cl. A-X8*, Definitive Rating Assigned Aaa (sf)
Cl. A-X9*, Definitive Rating Assigned Aaa (sf)
Cl. A-X11*, Definitive Rating Assigned Aaa (sf)
Cl. A-X12*, Definitive Rating Assigned Aaa (sf)
Cl. A-X14*, Definitive Rating Assigned Aaa (sf)
Cl. A-X15*, Definitive Rating Assigned Aaa (sf)
Cl. A-X18*, Definitive Rating Assigned Aaa (sf)
Cl. A-X19*, Definitive Rating Assigned Aaa (sf)
Cl. A-X21*, Definitive Rating Assigned Aaa (sf)
Cl. A-X22*, Definitive Rating Assigned Aaa (sf)
Cl. A-X24*, Definitive Rating Assigned Aaa (sf)
Cl. A-X25*, Definitive Rating Assigned Aaa (sf)
Cl. A-X26*, Definitive Rating Assigned Aaa (sf)
Cl. A-X27*, Definitive Rating Assigned Aaa (sf)
Cl. A-X30*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X31*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X32*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X33*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A2 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba2 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
*Reflects Interest-Only Classes
Moody's are withdrawing the provisional rating for the Class A-1A
Loans, assigned on October 15th, 2025, because the Class A-1A Loans
were not funded on the closing date.
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.29%, in a baseline scenario-median is 0.12% and reaches 4.52% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "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 up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
POINT SECURITIZATION 2025-2: DBRS Finalizes B Rating on B2 Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Option-Backed Notes issued by Point Securitization Trust 2025-2 as
follows:
-- $254.2 million Class A-1 at A (low) (sf)
-- $46.6 million Class A-2 at BBB (low) (sf)
-- $45.9 million Class B-1 at BB (low) (sf)
-- $43.3 million Class B-2 at B (sf)
The A (low) (sf) credit rating reflects a cumulative advance rate
of 58.6% for the Class A-1 Notes, the BBB (low) (sf) credit rating
reflects a cumulative advance rate of 69.4% for the Class A-2
Notes, the BB (low) (sf) credit rating reflects a cumulative
advance rate of 80.0% for the Class B-1 Notes, and the (B) (sf)
credit rating reflects a cumulative advance rate of 90.0% for the
Class B-2 Notes.
Other than the specified classes above, Morningstar DBRS did not
rate any other classes in this transaction.
Home Equity Investments (HEIs) allow homeowners access to the
equity in their homes without having to sell their homes or make
monthly mortgage payments. HEIs provide homeowners with an
alternative to borrowing and are available to homeowners of any age
(unlike reverse mortgage loans, for example, for which there is
often a minimum age requirement). A homeowner receives an upfront
cash payment (an Advance or an Investment Amount) in exchange for
giving an Investor (i.e., an Originator) a stake in their property.
The homeowner retains sole right of occupancy of the property and
pays all upkeep and expenses during the term of the HEI, but the
Originator earns an investment return based on the future value of
the property, typically subject to a returns cap.
Like reverse mortgage loans, the HEI underwriting approach is asset
based, meaning there is greater emphasis placed on the value of the
underlying property and the amount of home equity than on the
credit quality of the homeowner. The property value is the main
focus for predicting investment return because it is the primary
source of funds to satisfy the obligation. HEIs are nonrecourse; in
a default situation a homeowner is not required to provide
additional funds when the HEI settlement amount exceeds the
remaining equity value in the property (after accounting for any
other obligations such as senior liens, if applicable). Recovery of
the Advance and any Originator return is primarily subject to the
amount of appreciation/depreciation on the property, the amount of
debt that may be senior to the HEI, and the cap on investor
return.
As of the cut-off date, 258 contracts in the transaction are
first-lien contracts, representing roughly $34.24 million in
current intrinsic value; 2,508 are second-lien contracts,
representing roughly $368.21 million in current intrinsic value;
and 222 are third-lien contracts, representing roughly $30.98
million in current intrinsic value.
Of the pool, 7.90% of the contracts are first lien and have a
weighted-average (WA) HEI percentage of 58.94%, 84.95% are
second-lien contracts and have a WA HEI percentage of 54.41%, and
the remaining 7.15% of the pool are third-lien contracts with a WA
HEI percentage of 57.34%. This brings the entire transaction's WA
HEI percentage to 54.97%. To better understand the contract math,
please see the example below, in the Contract Mechanics--Worked
Example section. The current unadjusted loan-to-value ratio (LTV)
of the pool is 35.98% (i.e., of senior liens ahead of the
contracts). At cut-off, the pool had a WA HEI Thickness of 17.52%,
and a current WA combined loan-to-value (CLTV) of 52.65%.
The transaction uses a sequential structure. For cash distributions
that are paid prior to the occurrence of a Credit Event, payments
are first made to the Interest Amounts and any Interest Carryover
on the Class A-1, Class A-2, Class B-1 (prior to the occurrence of
a Class B-1 payment-in-kind (PIK) Date), and Class B-2 (prior to
the occurrence of a Class B-2 PIK Date) Notes. Payments are then
made to the Note Amount of Class A-1 until such notes are paid off.
With respect to Class A-2, B-1, and B-2 Notes, payments are then
made to Note Amount until Note Amount of the Class A-2, Class B-1,
and Class B-2 Notes are paid off with an amount up to the amount of
Net Sale Proceeds (if any) that was included in the total Available
Funds on such Payment Date in sequential order. If a Class B-1 PIK
Date or Class B-2 PIK Date occurs then payments of interest that
would go to the Class B-1 and B-2 Notes will instead be redirected
first to the Advance Facility Provider, followed by principal to
the Class A-1 Notes until reduced to zero.
For cash distributions that are paid post the occurrence of a
Credit Event, payments are first made to the Interest Amounts and
any Interest Carryover on Class A-1 Notes. In the event that the
Class A-1 Notes have not been redeemed or paid in full, on or after
the Expected Redemption Date, the A-2 Notes Accrual Amount would be
paid first to Class A-1 Notes until its paid off and then as
Additional Accrued Amounts to Class A-1 Notes, until such amounts
have been reduced to zero. If the Class A-1 Notes have been
redeemed or paid in full prior to the Redemption Date, payments are
made to the Interest Amounts and any unpaid Interest Carryover on
Class A-2 Notes. The Class B-1 and B-2 Notes are accrual notes and
will not be entitled to any payments of principal until Classes A-1
and A-2 are paid down along with their respective Additional
Accrued Amounts that have accrued but were previously unpaid.
With respect to the Class A-1 Notes, payments are first made to the
Note Amount until such amounts are reduced to zero and then to the
Additional Accrued Amounts including any unpaid Additional Accrued
Amounts until such amounts are reduced to zero on Class A-1 Notes.
The Class A-2 Notes are then paid their respective Note Amount
until it's paid off and the Additional Accrued Amounts, including
any unpaid Additional Accrued Amounts until it's reduced to zero.
The Class B-1 Notes are then paid their respective Note Amount
until it's paid off and the Additional Accrued Amounts, including
any unpaid Additional Accrued Amounts until reduced to zero.
Lastly, the B-2 Notes are then paid their respective Note Amount
until it's paid off and the Additional Accrued Amounts including
any unpaid Additional Accrued Amounts until reduced to zero.
Notes: All figures are in U.S. dollars unless otherwise noted.
POST CLO 2023-1: Fitch Assigns BB-sf Rating on Class E-R Notes
--------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Post CLO
2023-1 Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Post CLO 2023-1 Ltd.
A-1-R LT NRsf New Rating
A-1-R Loans LT NRsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-1-R LT A+sf New Rating
C-2-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 Notes LT NRsf New Rating
Transaction Summary
Post CLO 2023-1 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Post Advisory Group
LLC. The transaction originally closed March 2023 and will
refinance on Oct. 31, 2025. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $397 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+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.16 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 97.26%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.97% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 43.5% 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 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 and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'Asf' for
class C-1-R, between 'B+sf' and 'BBB+sf' for class C-2-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, between less than 'B-sf' and
'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-1-R,
'AAsf' for class C-2-R, 'Asf' for class D-1-R, and 'A-sf' for class
D-2-R and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Post CLO 2023-1
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.
PRET TRUST 2025-RPL5: Moody's Assigns B2 Rating to Cl. B-2 Certs
----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to nine classes of
residential mortgage-backed securities (RMBS) issued by PRET
2025-RPL5 Trust and sponsored by Nomura Corporate Funding Americas,
LLC. The securities are backed by a pool of seasoned performing and
re-performing residential mortgages serviced by Selene Finance LP.
The complete rating actions are as follows:
Issuer: PRET 2025-RPL5 Trust
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aa2 (sf)
Cl. A-3, Definitive Rating Assigned Aa1 (sf)
Cl. A-4, Definitive Rating Assigned A1 (sf)
Cl. A-5, Definitive Rating Assigned A3 (sf)
Cl. M-1, Definitive Rating Assigned A2 (sf)
Cl. M-2, Definitive Rating Assigned Baa2 (sf)
Cl. B-1, Definitive Rating Assigned Ba2 (sf)
Cl. B-2, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
The ratings are based on the credit quality and historical
performance of the mortgage loans, the structural features of the
transaction, the origination quality, the servicing arrangement,
the third-party review, and the representations and warranties
framework.
Moody's expected loss for this pool in a baseline scenario is 4.2%,
and reaches 21.0% at a stress level consistent with Moody's Aaa
ratings.
PRINCIPAL METHODOLOGY
The methodologies used in these ratings were "Non-performing and
Re-performing Loan Securitizations" published in April 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
RADIAN MORTGAGE 2025-J4: Fitch Rates Class B-5 Certs 'Bsf'
----------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Radian Mortgage Capital
Trust 2025-J4 (RMCT 2025-J4).
Entity/Debt Rating Prior
----------- ------ -----
Radian Mortgage
Capital Trust
2025-J4
A-1 LT AAAsf New Rating AAA(EXP)sf
A-1-X LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-3-X LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-5-X LT AAAsf New Rating AAA(EXP)sf
A-6 LT AAAsf New Rating AAA(EXP)sf
A-7 LT AAAsf New Rating AAA(EXP)sf
A-7-X LT AAAsf New Rating AAA(EXP)sf
A-8 LT AAAsf New Rating AAA(EXP)sf
A-9 LT AAAsf New Rating AAA(EXP)sf
A-9-X LT AAAsf New Rating AAA(EXP)sf
A-10 LT AAAsf New Rating AAA(EXP)sf
A-11 LT AAAsf New Rating AAA(EXP)sf
A-11-X LT AAAsf New Rating AAA(EXP)sf
A-12 LT AAAsf New Rating AAA(EXP)sf
A-13 LT AAAsf New Rating AAA(EXP)sf
A-13-X LT AAAsf New Rating AAA(EXP)sf
A-14 LT AAAsf New Rating AAA(EXP)sf
A-15 LT AAAsf New Rating AAA(EXP)sf
A-15-X LT AAAsf New Rating AAA(EXP)sf
A-16 LT AAAsf New Rating AAA(EXP)sf
A-17 LT AAAsf New Rating AAA(EXP)sf
A-17-X LT AAAsf New Rating AAA(EXP)sf
A-18 LT AAAsf New Rating AAA(EXP)sf
A-19 LT AAAsf New Rating AAA(EXP)sf
A-19-X LT AAAsf New Rating AAA(EXP)sf
A-20 LT AAAsf New Rating AAA(EXP)sf
A-21 LT AAAsf New Rating AAA(EXP)sf
A-21-X LT AAAsf New Rating AAA(EXP)sf
A-22 LT AAAsf New Rating AAA(EXP)sf
A-23 LT AAAsf New Rating AAA(EXP)sf
A-23-X LT AAAsf New Rating AAA(EXP)sf
A-24 LT AAAsf New Rating AAA(EXP)sf
A-24-X LT AAAsf New Rating AAA(EXP)sf
A-25 LT AAAsf New Rating AAA(EXP)sf
A-25-X LT AAAsf New Rating AAA(EXP)sf
A-26 LT AAAsf New Rating AAA(EXP)sf
A-27 LT AAAsf New Rating AAA(EXP)sf
A-27-X LT AAAsf New Rating AAA(EXP)sf
A-28 LT AAAsf New Rating AAA(EXP)sf
A-28-X LT AAAsf New Rating AAA(EXP)sf
A-29 LT AAAsf New Rating AAA(EXP)sf
A-30 LT AAAsf New Rating AAA(EXP)sf
A-31 LT AAAsf New Rating AAA(EXP)sf
A-32 LT AAAsf New Rating AAA(EXP)sf
A-33 LT AAAsf New Rating AAA(EXP)sf
A-34 LT AAAsf New Rating AAA(EXP)sf
A-34-X LT AAAsf New Rating AAA(EXP)sf
A-35-X LT AAAsf New Rating AAA(EXP)sf
A-X LT AAAsf New Rating AAA(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-1-A LT AAsf New Rating AA(EXP)sf
B-1-X LT AAsf New Rating AA(EXP)sf
B-2 LT Asf New Rating A(EXP)sf
B-2-A LT Asf New Rating A(EXP)sf
B-2-X LT Asf New Rating A(EXP)sf
B-3 LT BBBsf New Rating BBB(EXP)sf
B-3-A LT BBBsf New Rating BBB(EXP)sf
B-3-X LT BBBsf New Rating BBB(EXP)sf
B-4 LT BBsf New Rating BB(EXP)sf
B-5 LT Bsf New Rating B(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
B LT BBBsf New Rating BBB(EXP)sf
B-X LT BBBsf New Rating BBB(EXP)sf
AIOS LT AAAsf New Rating AAA(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
Fitch rates the residential mortgage-backed notes issued by Radian
Mortgage Capital Trust 2025-J4, as indicated above. The transaction
is expected to close on Oct. 23, 2025. The notes were supported by
303 prime loans with a total balance of approximately $297.4
million as of the cutoff date. The pool consists of prime jumbo
fixed-rate mortgages acquired by Radian Mortgage Capital LLC from
various mortgage originators. Distributions of principal and
interest (P&I) and loss allocations are based on a
senior-subordinate, shifting-interest structure.
Collateral attributes are strong, with a WA FICO of 774, WA DTI of
36.8%, and WA mark-to-market CLTV of 72.0%; all loans are
first-lien, fully documented, and current with no delinquencies.
The pool is predominantly owner-occupied (94.0%) with second homes
at 6.0%, and property types are mainly single-family/PUD, with
limited condo exposure. Origination channels are diversified across
retail, correspondent, and broker, and the purpose mix is primarily
purchase (78.0%), with limited refi and cash-out.
There have been no changes to the collateral or structure since the
publication of the presale.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. RMCT 2025-J4 has a final probability of default (PD) of
11.8% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 36.7%. The expected loss in the
'AAAsf' rating stress is 4.3% (see Highlights and Asset Analysis
sections for more details).
Structural Analysis: The mortgage cash flow and loss allocation in
RMCT 2025-J4 are based on a senior-subordinate, shifting-interest
structure, whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years.
Fitch analyses the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios (see Highlights and Cash Flow Analysis sections for
more details). The credit enhancement for all ratings were
sufficient for the given rating levels. The credit enhancement for
a given rating exceeded the expected losses of that rating stress
to address the structures recoupment of advances and leakage of
principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by a
third-party review (TPR) firm, which have a final grade of either
"A" or "B".
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects RMCT 2025-J4 to be fully
de-linked and a bankruptcy remote special purpose vehicle (SPV).
All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to RMCT 2025-J4, and therefore, Fitch has assigned the highest
possible rating of 'AAAsf' without any rating caps.
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 37.8% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. A 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. A 10% gain in
home prices would result in a full category upgrade for the rated
class, excluding those assigned 'AAAsf' ratings.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Canopy, Incenter, Opus, and Phoenix. The third-party
due diligence described in Form 15E focused on credit, compliance
and property valuation review. Fitch considered this information in
its analysis and, as a result, made the following adjustment to its
analysis: a 5% credit was given at the loan level for each loan
where satisfactory due diligence was completed.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
RATE MORTGAGE 2025-J3: DBRS Gives Prov. B(low) Rating on B5 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the
Mortgage-Backed Notes, Series 2025-J3 (the Notes) to be issued by
RATE Mortgage Trust 2025-J3 (RATE 2025-J3, or the Trust) as
follows:
-- $150.8 million Class A-1 at (P) AAA (sf)
-- $150.8 million Class A-2 at (P) AAA (sf)
-- $150.8 million Class A-3 at (P) AAA (sf)
-- $113.1 million Class A-4 at (P) AAA (sf)
-- $113.1 million Class A-5 at (P) AAA (sf)
-- $113.1 million Class A-6 at (P) AAA (sf)
-- $90.5 million Class A-7 at (P) AAA (sf)
-- $90.5 million Class A-8 at (P) AAA (sf)
-- $90.5 million Class A-9 at (P) AAA (sf)
-- $22.6 million Class A-10 at (P) AAA (sf)
-- $22.6 million Class A-11 at (P) AAA (sf)
-- $22.6 million Class A-12 at (P) AAA (sf)
-- $60.3 million Class A-13 at (P) AAA (sf)
-- $60.3 million Class A-14 at (P) AAA (sf)
-- $60.3 million Class A-15 at (P) AAA (sf)
-- $37.7 million Class A-16 at (P) AAA (sf)
-- $37.7 million Class A-17 at (P) AAA (sf)
-- $37.7 million Class A-18 at (P) AAA (sf)
-- $38.7 million Class A-19 at (P) AAA (sf)
-- $38.7 million Class A-20 at (P) AAA (sf)
-- $38.7 million Class A-21 at (P) AAA (sf)
-- $189.5 million Class A-22 at (P) AAA (sf)
-- $189.5 million Class A-23 at (P) AAA (sf)
-- $189.5 million Class A-24 at (P) AAA (sf)
-- $189.5 million Class A-25 at (P) AAA (sf)
-- $38.7 million Class A-26 at (P) AAA (sf)
-- $150.8 million Class A-27 at (P) AAA (sf)
-- $150.8 million Class A-29 at (P) AAA (sf)
-- $150.8 million Class A-30 at (P) AAA (sf)
-- $340.2 million Class A-X-1 at (P) AAA (sf)
-- $150.8 million Class A-X-2 at (P) AAA (sf)
-- $150.8 million Class A-X-3 at (P) AAA (sf)
-- $150.8 million Class A-X-4 at (P) AAA (sf)
-- $113.1 million Class A-X-5 at (P) AAA (sf)
-- $113.1 million Class A-X-6 at (P) AAA (sf)
-- $113.1 million Class A-X-7 at (P) AAA (sf)
-- $90.5 million Class A-X-8 at (P) AAA (sf)
-- $90.5 million Class A-X-9 at (P) AAA (sf)
-- $90.5 million Class A-X-10 at (P) AAA (sf)
-- $22.6 million Class A-X-11 at (P) AAA (sf)
-- $22.6 million Class A-X-12 at (P) AAA (sf)
-- $22.6 million Class A-X-13 at (P) AAA (sf)
-- $60.3 million Class A-X-14 at (P) AAA (sf)
-- $60.3 million Class A-X-15 at (P) AAA (sf)
-- $60.3 million Class A-X-16 at (P) AAA (sf)
-- $37.7 million Class A-X-17 at (P) AAA (sf)
-- $37.7 million Class A-X-18 at (P) AAA (sf)
-- $37.7 million Class A-X-19 at (P) AAA (sf)
-- $38.7 million Class A-X-20 at (P) AAA (sf)
-- $38.7 million Class A-X-21 at (P) AAA (sf)
-- $38.7 million Class A-X-22 at (P) AAA (sf)
-- $189.5 million Class A-X-23 at (P) AAA (sf)
-- $189.5 million Class A-X-24 at (P) AAA (sf)
-- $189.5 million Class A-X-25 at (P) AAA (sf)
-- $339.7 million Class A-X-26 at (P) AAA (sf)
-- $150.8 million Class A-X-27 at (P) AAA (sf)
-- $38.7 million Class A-X-28 at (P) AAA (sf)
-- $150.8 million Class A-X-29 at (P) AAA (sf)
-- $150.8 million Class A-X-30 at (P) AAA (sf)
-- $4.6 million Class B-1 at (P) AA (sf)
-- $4.6 million Class B-1A at (P) AA (sf)
-- $4.6 million Class B-X-1 at (P) AA (sf)
-- $5.0 million Class B-2 at (P) A (low) (sf)
-- $5.0 million Class B-2A at (P) A (low) (sf)
-- $5.0 million Class B-X-2 at (P) A (low) (sf)
-- $2.0 million Class B-3 at (P) BBB (low) (sf)
-- $1.2 million Class B-4 at (P) BB (low) (sf)
-- $887.0 thousand Class B-5 at (P) B (low) (sf)
-- $150.8 million Class A-1L at (P) AAA (sf)
-- $150.8 million Class A-2L at (P) AAA (sf)
-- $150.8 million Class A-3L at (P) AAA (sf)
Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, A-X-26, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2
are interest-only (IO) notes. The class balances represent notional
amounts.
Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14,
A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-26, A-29,
A-30, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11,
A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25,
A-X-26, A-X-29, A-X-30, B-1, B-2, A-1L, A-2L, and A-3L are
exchangeable classes. These classes can be exchanged for
combinations of initial exchangeable notes as specified in the
offering documents.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-1L, A-2L, and
A-3L are super senior tranches. These classes benefit from
additional protection from the senior support notes (Classes A-19,
A-20, A-21, A-26, A-29, and A-30) with respect to loss allocation.
The (P) AAA (sf) credit ratings on the Certificates reflect 15.01%
of credit enhancement provided by subordinated certificates. The
(P) AA (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low)
(sf), and (P) B (low) (sf) credit ratings reflect 3.15%, 1.40%,
0.85%, 0.50%, 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 first-lien,
fixed-rate prime residential mortgages to be funded by the issuance
of the Notes. The Notes are backed by 344 loans with a total
principal balance of $354,773,048 as of the Cut-Off Date (November
1, 2025).
Guaranteed Rate, Inc. (Guaranteed Rate), as the Sponsor, began
issuing prime jumbo securitizations from its RATE shelf in early
2021 and this transaction represents the 12th prime jumbo RATE
deal. The pool consists of fully amortizing fixed-rate mortgages
with original terms to maturity of 30 years and a weighted-average
loan age of two months.
All of the mortgage loans were originated by Guaranteed Rate, which
is also the Servicing Administrator and Sponsor of the transaction.
The loans will be serviced by ServiceMac, LLC. Computershare Trust
Company, N.A. (rated BBB (high) with a Stable trend by Morningstar
DBRS) will act as the Master Servicer, Loan Agent, Paying Agent,
Note Registrar, and Certificate Registrar. Deutsche Bank National
Trust Company will act as the Custodian. Wilmington Savings Fund
Society, FSB will serve as Trustee.
In an arrangement similar to those of the prior RATE
securitizations, the Servicing Administrator will fund advances of
delinquent principal and interest (P&I) on any mortgage until such
loan becomes 120 days delinquent or such P&I advances are deemed
unrecoverable by the Servicer or the Master Servicer (Stop-Advance
Loan). The Servicing Administrator will also fund advances in
respect of taxes, insurance premiums, and reasonable costs incurred
in the course of servicing and disposing properties.
The interest entitlements for each class in this transaction are
reduced reverse sequentially by the delinquent interest that would
have accrued on the Stop-Advance Loans. In other words, investors
are not entitled to any interest on such severely delinquent
mortgages, unless such interest amounts are recovered. The
delinquent interest recovery amounts, if any, will be distributed
sequentially to the P&I notes.
The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 to 120 days delinquent
under the Mortgage Bankers Association method at a price equal to
par plus interest and unreimbursed servicing advance amounts,
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
This transaction allows for the issuance of Classes A-1L, A-2L, and
A-3L loans, which are the equivalent of ownership of Classes A-1,
A-2, and A-3 Notes, respectively. These classes are issued in the
form of a loan made by the investor to the issuer instead of a note
purchased by the investor. If these loans are funded at closing,
the holder may convert such class into an equal aggregate debt
amount of the corresponding Notes. There is no change to the
structure if these classes are elected.
Notes: All figures are in U.S. dollars unless otherwise noted.
RATE MORTGAGE 2025-J3: Moody's Assigns (P)B3 Rating to B-5 Certs
----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 71 classes of
residential mortgage-backed securities (RMBS) to be issued by RATE
Mortgage Trust 2025-J3, and sponsored by Guaranteed Rate, Inc.
(GRI).
The securities are backed by a pool of prime jumbo (100.0% by
balance) residential mortgages originated by GRI and serviced by
ServiceMac, LLC.
The complete rating actions are as follows:
Issuer: RATE Mortgage Trust 2025-J3
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aa1 (sf)
Cl. A-20, Assigned (P)Aa1 (sf)
Cl. A-21, Assigned (P)Aa1 (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. A-25, Assigned (P)Aaa (sf)
Cl. A-26, Assigned (P)Aa1 (sf)
Cl. A-27, Assigned (P)Aaa (sf)
Cl. A-29, Assigned (P)Aaa (sf)
Cl. A-30, Assigned (P)Aaa (sf)
Cl. A-X-1*, Assigned (P)Aa1 (sf)
Cl. A-X-2*, Assigned (P)Aaa (sf)
Cl. A-X-3*, Assigned (P)Aaa (sf)
Cl. A-X-4*, Assigned (P)Aaa (sf)
Cl. A-X-5*, Assigned (P)Aaa (sf)
Cl. A-X-6*, Assigned (P)Aaa (sf)
Cl. A-X-7*, Assigned (P)Aaa (sf)
Cl. A-X-8*, Assigned (P)Aaa (sf)
Cl. A-X-9*, Assigned (P)Aaa (sf)
Cl. A-X-10*, Assigned (P)Aaa (sf)
Cl. A-X-11*, Assigned (P)Aaa (sf)
Cl. A-X-12*, Assigned (P)Aaa (sf)
Cl. A-X-13*, Assigned (P)Aaa (sf)
Cl. A-X-14*, Assigned (P)Aaa (sf)
Cl. A-X-15*, Assigned (P)Aaa (sf)
Cl. A-X-16*, Assigned (P)Aaa (sf)
Cl. A-X-17*, Assigned (P)Aaa (sf)
Cl. A-X-18*, Assigned (P)Aaa (sf)
Cl. A-X-19*, Assigned (P)Aaa (sf)
Cl. A-X-20*, Assigned (P)Aa1 (sf)
Cl. A-X-21*, Assigned (P)Aa1 (sf)
Cl. A-X-22*, Assigned (P)Aa1 (sf)
Cl. A-X-23*, Assigned (P)Aaa (sf)
Cl. A-X-24*, Assigned (P)Aaa (sf)
Cl. A-X-25*, Assigned (P)Aaa (sf)
Cl. A-X-26*, Assigned (P)Aa1 (sf)
Cl. A-X-27*, Assigned (P)Aaa (sf)
Cl. A-X-28*, Assigned (P)Aa1 (sf)
Cl. A-X-29*, Assigned (P)Aaa (sf)
Cl. A-X-30*, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-X-1*, Assigned (P)Aa3 (sf)
Cl. B-1A, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-X-2*, Assigned (P)A3 (sf)
Cl. B-2A, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba2 (sf)
Cl. B-5, Assigned (P)B3 (sf)
Cl. A-1L Loans, Assigned (P)Aaa (sf)
Cl. A-2L Loans, Assigned (P)Aaa (sf)
Cl. A-3L Loans, Assigned (P)Aaa (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.29%, in a baseline scenario-median is 0.12% and reaches 4.42% at
a stress level consistent with Moody's Aaa ratings.
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 up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
RCKT MORTGAGE 2025-CES10: Fitch Assigns Bsf Rating on Five Tranches
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES10
(RCKT 2025-CES10).
Entity/Debt Rating Prior
----------- ------ -----
RCKT 2025-CES10
A-1A LT AAAsf New Rating AAA(EXP)sf
A1-B 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
A-1 LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAsf New Rating AA(EXP)sf
A-5 LT Asf New Rating A(EXP)sf
A-6 LT BBBsf New Rating BBB(EXP)sf
B-1A LT BBsf New Rating BB(EXP)sf
B-X-1A LT BBsf New Rating BB(EXP)sf
B-1B LT BBsf New Rating BB(EXP)sf
B-X-1B LT BBsf New Rating BB(EXP)sf
B-2A LT Bsf New Rating B(EXP)sf
B-X-2A LT Bsf New Rating B(EXP)sf
B-2B LT Bsf New Rating B(EXP)sf
B-X-2B LT Bsf New Rating B(EXP)sf
A-1L LT WDsf Withdrawn AAA(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
The notes are supported by 7,852 closed-end second-lien (CES) loans
with a total balance of approximately $707 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.
Fitch has withdrawn the expected rating of 'AAAsf' for the previous
class A-1L notes as the loan was not funded at close and is no
longer being offered.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. RCKT 2025-CES10 has a final probability of default (PD) of
18.36% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 95.93%. The expected loss in the
'AAAsf' rating stress is 18.06%.
Structural Analysis: The mortgage cash flow and loss allocation in
RCKT 2025-CES10 are based on a sequential payment structure, where
principal is used to pay down the bonds sequentially and losses are
allocated reverse sequentially. Monthly excess cash flow, derived
after the allocation of interest and principal payments, can be
used as principal first to repay any current or previously
allocated cumulative applied realized losses, then to repay
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.
Fitch analyses the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The credit enhancement for all ratings were
sufficient for the given rating levels. The CE for a given rating
exceeded the expected losses of that rating stress to address the
structures recoupment of advances and leakage of principal to more
subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 25.1% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by a
third-party review (TPR) firm, which have a final grade of "A" or
"B".
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria". Relevant parties
are those whose failure to perform could have a material impact on
the performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects RCKT 2025-CES10 to be fully
de-linked and a bankruptcy remote special purpose vehicle (SPV).
All transaction parties and triggers align with Fitch's
expectations.
Shortened Liquidation Timelines: Fitch's analysis for this
transaction assumed liquidation timelines of six months in the base
case up to 12 months in the 'AAAsf' stress compared to 18 months to
36 months for first lien collateral. RCKT 2025-CES10 incorporates
an optional loan charge off at 180 days delinquent. Based on
historical observations, second lien collateral typically
liquidates after 180 days delinquent. Fitch assumes in the Base
Case that the charge off feature will be exercised as soon as
possible with lower probabilities of charge off in the higher
rating cases. When taken together with its presumed modification
timelines of 12 months, Fitch's all-in timelines ranged from nine
months at the Base Case to 12 months at its 'AAAsf' Rating Case.
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 38.0% 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
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC and Consolidated Analytics. The third-party
due diligence described in Form 15E focused on credit, compliance,
and property valuation. Fitch considered this information in its
analysis and, as a result, Fitch applies an approximate 5-bp
origination PD credit for loans fully reviewed by the TPR firm and
have a final grade of either "A" or "B".
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.
RCKTL 2025-2: Fitch Assigns 'BB-sf' Rating on Class E Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the notes
issued by RCKTL 2025-2.
Entity/Debt Rating Prior
----------- ------ -----
RCKTL 2025-2
A LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D LT BBBsf New Rating BBB(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Transaction Summary
RCKTL trust is backed by a static pool of unsecured, fixed-rate
consumer loans originated by certain third-parties and sold to
RockLoans Marketplace LLC under the RockLoans technology platform.
Woodward Capital Management LLC is the sponsor. RockLoans
Marketplace LLC is the servicer and the administrator. Woodward
Capital Management has acted as a sponsor to securitization
transactions backed by residential loans since October 2019. RCKTL
2025-2 is the second Woodward Capital Management LLC-sponsored
personal loans ABS transaction.
KEY RATING DRIVERS
Solid Receivables Quality: The RCKTL 2025-2 pool consists of
unsecured consumer loans made to obligors with strong credit
scores. The weighted average (WA) FICO is 732, and WA income is
$144,631. The pool consists of amortizing loans with a WA net
interest rate of 14.04% and a WA original term of 52 months,
averaging two months of seasoning. Of the loans, 92.40% are
originated to borrowers who own a home.
Base Case Default Reflects Recent Performance Trends: RockLoans'
managed default rates increased in 2022 and 2023. The cumulative
gross default (CGD) rate in vintage 1Q22 was approximately 6.8% and
peaked at around 9.0% in vintage 4Q22. However, since initiating
corrective measures that included tightening credit standards,
performance in the second half of 2023 and 2024 vintages improved
quarter-over-quarter (qoq). Fitch's WA base case gross default
assumption (the default assumption) for RCKTL 2025-2 is 10.16%. The
default assumption was established based on data stratified by
RockLoans' default probability score band and loan term. In setting
the expected case (default assumption), Fitch considered
performance trends from vintage year 2020 and early trends of
default curves in vintage year 2025.
Credit Enhancement Mitigates Stressed Losses: Initial hard credit
enhancement (CE) totals 41.98%, 29.68%, 19.63%, 11.98% and 4.23% of
the initial pool balance for the class A, B, C, D and E notes,
respectively. The transaction amortizes the notes sequentially, and
excess cash is not released before the specified
overcollateralization (OC) amount of 8.75% is met. Fitch tested the
initial CE under stressed cash flow assumptions for all classes and
found that the classes pass all stresses at the rating level
assigned to the respective class of notes.
Fitch applied a 'AAAsf' rating stress of 4.5x the base case default
rate for consumer loans.
The stress multiples decrease for lower rating levels according to
the "higher" prescribed multiples described in Fitch's "Consumer
ABS Rating Criteria." The default multiple reflects the absolute
value of the default assumption, the length of default performance
history for the loans, the WA FICO score of the borrowers and the
WA original loan term, which increases the portfolio's exposure to
changing economic conditions.
Assurance for True Lender Status for Partner Bank-Loan Origination:
RockLoans' securitization transactions comprise consumer loans
originated by Cross River Bank, a New Jersey state-chartered
commercial bank. The bank's true lender status in the context of
RockLoans' loan acquisition is subject to legal and regulatory
uncertainty, especially if the loans' interest rates exceeded those
allowed by the borrowers' state usury laws.
If a court ruling or regulatory action deems that RockLoans, rather
than Cross River Bank, is the true lender, loans could be declared
unenforceable, void or subject to interest rate reductions and
other penalties. This would increase negative rating pressure.
Fitch's analysis and ratings reflect a review of the transaction's
eligibility criteria for selecting the receivables for RCKTL
2025-2, which reduces exposure to loans with interest rates above
usury caps. Fitch also performed an operational risk review and
deemed RockLoans' compliance, legal and operational capabilities as
acceptable to meet consumer protection regulations.
Adequate Servicing Capabilities: RockLoans has a strong record of
servicing consumer loans. Since launching of the RockLoans Platform
in 2016, RockLoans has acted as a subservicer of the consumer loans
originated by Cross River Bank. Starting in May 2025, RockLoans
became the sole servicer of certain personal loans originated
through the RockLoans Platform. The entity's credit risk profile is
mitigated by backup servicing provided by Systems & Services
Technologies, Inc. Fitch considers all parties to be adequate
servicers for this pool at their rating levels.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults or charge-offs
could produce loss levels higher than the base case and would
likely result in declines of CE and remaining net loss coverage
levels available to the notes. Decreased CE may make certain
ratings on the notes susceptible to potential negative rating
actions, depending on the extent of the decline in coverage.
Fitch conducts sensitivity analysis by stressing a transaction's
initial base case default assumption by an additional 10%, 25% and
50%, and examining rating implications. These increases of the base
case default rate are intended to provide an indication of the
rating sensitivity of the notes to unexpected deterioration of a
trust's performance.
During the sensitivity analysis, Fitch examines the magnitude of
multiplier compression by projecting expected cash flow and loss
coverage over the life of the investments. For this projection,
Fitch applies default assumptions that are higher than the initial
base-case default assumptions.Fitch models cash flow with the
revised default estimates while holding constant all other modeling
assumptions.
Rating sensitivity to increased defaults (class A/B/C/D/E):
Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB-sf'
Increased default base case by 10%:
'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'B-sf';
Increased default base case by 25%:
'AA+sf'/'A+sf'/'A-sf'/'BBB-sf'/'CCCsf';
Increased default base case by 50%:
'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'NRsf';
Reduced recovery base case by 10%:
'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'Bsf';
Reduced recovery base case by 25%:
'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'B-sf';
Reduced recovery base case by 50%:
'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'CCCsf';
Increased default base case by 10% and reduced recovery base case
by 10%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'B-sf';
Increased default base case by 25% and reduced recovery base case
by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'CCCsf';
Increased default base case by 50% and reduced recovery base case
by 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'NRsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance, driven by steady
delinquencies, would increase CE levels and lead to a potential
upgrade. If defaults are 20% less than the projected base case
default rate, the ratings for the class B and C notes could be
upgraded by up to one or two notches, respectively.
Rating sensitivity from decreased defaults (class A/B/C/D/E):
Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB-sf'.
Decreased default base case by 20%:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison of certain
characteristics with respect to 150 randomly selected preliminary
portfolio loans. Fitch considered this information in its analysis,
and the findings did not have an impact on its 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.
REALT 2018-1: Fitch Affirms Bsf Rating on Cl. G Debt
----------------------------------------------------
Fitch has upgraded four classes and affirmed three classes of
REAL-T 2016-1 Mortgage Trust. Following the upgrades, classes D and
E were assigned Positive Outlooks and classes C and F were assigned
Stable Outlooks. Following the affirmation, the Outlook for class G
was revised to Stable from Negative. The Outlooks for classes A-2
and B remain Stable.
Fitch has also upgraded three classes and affirmed five classes of
REAL-T 2018-1 Mortgage Trust. Following the upgrades, classes D-1
and D-2 were assigned Positive Outlooks and class C was assigned a
Stable Outlook. Following the affirmations, the Outlooks for
classes E and F were revised to Positive from Stable. The Outlooks
for classes A-2, B, and G remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
REAL-T 2018-1
A-2 75585RQF5 LT AAAsf Affirmed AAAsf
B 75585RQH1 LT AAAsf Affirmed AAAsf
C 75585RQJ7 LT AAAsf Upgrade AA+sf
D-1 75585RQK4 LT Asf Upgrade A-sf
D-2 LT Asf Upgrade A-sf
E LT BBB-sf Affirmed BBB-sf
F LT BBsf Affirmed BBsf
G LT Bsf Affirmed Bsf
REAL-T 2016-1
A-2 75585RMY8 LT AAAsf Affirmed AAAsf
B 75585RNC5 LT AAAsf Affirmed AAAsf
C 75585RNE1 LT AAAsf Upgrade AA-sf
D 75585RNG6 LT AAsf Upgrade BBB+sf
E 75585RNJ0 LT Asf Upgrade BBB-sf
F 75585RNL5 LT BBBsf Upgrade BBsf
G 75585RNM3 LT Bsf Affirmed Bsf
KEY RATING DRIVERS
Improved Performance and 'Bsf' Loss Expectations; Increasing CE:
Deal-level 'Bsf' rating case losses are 4.6% for REAL-T 2016- and
2.1% for REAL-T 2018-1. Fitch Loans of Concern (FLOCs) include two
loans (16.3% of the pool) in the REAL-T 2016-1 transaction, and two
loans (11.3%) in the REAL-T 2018-1 transaction. There are no loans
in special servicing for either transaction. As of the October 2025
distribution date, the aggregate pool balance has been reduced by
80.5% since issuance for the REAL-T 2016-1 transaction and by 64.2%
for the REAL-T 2018-1 transaction.
The upgrades to the REAL-T 2016-1 reflect the increased credit
enhancement (CE) from continued amortization, better-than-expected
recoveries on loans paying off at maturity including two former
FLOCs, the Revera Retirement Oakville and Bristol Building Office
St Johns, as well as the expectation that the majority of loans
will refinance at their upcoming maturities. In addition, there is
limited office exposure at 16.3%.
Due to the concentration of maturities (98.5% of the pool matures
by March 2026) and adverse selection concerns, Fitch conducted
sensitivity and liquidation analyses for REAL-T 2016-1 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 Positive Outlooks for REALT 2016-1 reflect the potential for
additional upgrades as loans pay off at maturity and if the FLOCs
stabilize or pay off with better-than-expected recoveries.
The upgrades in REAL-T 2018-1 reflect improved pool performance and
increasing CE from continued amortization. The transaction also has
limited office concentration of only 1.2%.
The Positive Outlooks for REALT 2018-1 reflect upgrade potential if
FLOC performance stabilizes, overall pool performance remains
stable and if CE continues to increase.
Largest Contributor to Loss Expectations: The largest contributor
to overall loss expectations in the REAL-T 2016-1 transaction is
the Richmond Street Office loan (8.7%), which is secured by a
50,895-sf office property in Toronto, ON. The property's occupancy
declined to 23.7% as of YE 2023 after Cardinia Real Estate Canada
(78.1% of the NRA) vacated. As a result, the loan's NOI DSCR
declined to -0.53x as of YE 2023 from 2.01x at YE 2021. Performance
has modestly improved by a newly signed lease for 10.2% of NRA,
increasing occupancy to 37.8% as of March 2025. The YE 2024 NOI
DSCR remains insufficient to cover debt service at 0.24x. Despite
these declines, the loan is current and is scheduled to mature in
January 2026. The loan is full recourse to the sponsor.
Fitch's 'Bsf' rating-case loss of 22.5% (prior to concentration
adjustments) reflects a 10% cap rate and 50% stress to the YE 2021
NOI and also factors an elevated probability of default to account
for the loan's heightened maturity default risk given the large
vacancy and low DSCR.
The second-largest FLOC and loss in the REAL-T 2016-1 transaction
is the Walker's Line Offices Burlington loan (7.6%), secured by a
55,401-sf office building in Burlington, ON. The loan was
identified as a FLOC due to lower operating cash flow and upcoming
rollover coinciding with loan maturity in January 2026. As of
August 2024, occupancy remained stable at 95%. However, the TTM
January 2024 and TTM January 2023 NOI DSCR were lower, at 1.25x and
1.29x, respectively, compared to the issuer's underwritten DSCR of
1.52x. Additionally, based on the August 2024 rent roll, upcoming
lease rollover includes 20.5% of the NRA in 2025 and 35.2% in
2026.
Fitch's 'Bsf' rating-case loss of 19.7% (prior to concentration
adjustments) reflects a 10% cap rate and a 15% stress to the TTM
January 2024 NOI, and factors in an increased probability of
default to account for the loan's heightened maturity default
risk.
The largest FLOC and largest contributor to loss in the REAL-T
2018-1 transaction is the Joliette Retirement loan (10.8% of the
pool), which is secured by a 145-unit senior housing property in
Saint-Charles-Borromée, QC. The loan was identified as a FLOC due
to sustained performance deterioration as occupancy fell to 75% as
of YE 2024, down from 87.3% at YE 2022, and below occupancy of 99%
at issuance. As of YE 2024, NOI DSCR was 0.56x, reflecting a 64%
decline in NOI from issuance. The deterioration in NOI has been
driven by rising operating expenses, most notably elevated
insurance and G&A costs. The loan remains current and is full
recourse to the sponsor.
Fitch's 'Bsf' rating-case loss of 8.7% (prior to concentration
adjustments) reflects a 11% cap rate, and no haircut to the YE 2024
NOI.
Canadian Loan Attributes: The ratings reflect strong historical
Canadian commercial real estate loan performance, including a low
delinquency rate and low historical losses of less than 0.1%, as
well as positive loan attributes, such as short amortization
schedules, recourse to the borrower and additional guarantors on
many loans. Approximately 59.4% of the REAL-T 2016-1 transaction
(10 out of 17 loans) and 48.2% of the REAL-T 2018-1 transaction (12
out of 22 loans) features full or partial recourse to the borrowers
and/or sponsors.
Increased Credit Enhancement (CE): As of the October 2025
distribution date, the aggregate pool balances have been reduced by
80.5% since issuance for the REAL-T 2016-1 transaction and 64.2%
for the REAL-T 2018-1 transaction. There are no realized losses or
cumulative interest shortfalls to date for the REAL-T 2016-1
transaction and $12,417 in interest shortfall for the non-rated
class H in the REAL-T 2018-1 transaction.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the 'AAAsf' rated classes are not expected due to the
senior position in the capital structure, increasing CE and
expected continued paydown from loan repayments, but may occur
should deal level losses increase significantly and/or interest
shortfalls occur or are expected to affect these classes.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories
could occur if deal-level losses increase significantly and/or
larger FLOCs incur outsized losses.
Downgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf'
categories are possible with an increase in loss expectations
including outsized losses on the FLOCs Richmond Street Office loan,
and the Walker's Line Offices Burlington loan in the REAL-T 2016-1
transaction, and Joliette Retirement in REAL-T 2018-1, and/or more
loans than expected are unable to refinance and default at or prior
to maturity.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to the 'AAsf' and 'Asf' rated classes are possible with
increased credit enhancement resulting from amortization and
paydowns, coupled with stable pool-level losses expectations and/or
performance stabilization of FLOCs. However, adverse selections,
and increased concentrations of the pool could cause this trend to
reverse. Classes would not be upgraded above 'AA+sf' if there is a
likelihood for interest shortfalls.
Upgrades to the 'BBBsf' 'BBsf', and 'Bsf' rated classes would be
limited based on sensitivity to concentrations of the pools,
including loan maturities, as well as adverse selection of
remaining loans in the pool and concentrations to the FLOCs.
Upgrades would also be limited due to the thin tranche size of the
subordinate 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.
REPUBLIC FINANCE 2024-A: DBRS Confirms BB Rating on Class D Notes
-----------------------------------------------------------------
DBRS, Inc. upgraded four credit ratings and confirmed eight credit
ratings from Three Republic Finance Issuance Trust transactions.
Republic Finance Issuance Trust 2024-A
-- Class A Notes AA (sf) Confirmed
-- Class B Notes A (sf) Confirmed
-- Class C Notes BBB (sf) Confirmed
-- Class D Notes BB (sf) Confirmed
Republic Finance Issuance Trust 2024-B
-- Class A Notes AA (sf) Confirmed
-- Class B Notes A (low) (sf) Confirmed
-- Class C Notes BBB (low) (sf) Confirmed
-- Class D Notes BB (low) (sf) Confirmed
The credit rating actions are based on the following analytical
considerations:
-- Republic Finance Issuance Trust 2021-A began to amortize on the
payment date which took place in December 2024. Current credit
enhancement (CE) levels have increased compared to initial levels.
-- Republic Finance Issuance Trust 2024-A and Republic Finance
Issuance Trust 2024-B are currently within the initial revolving
terms. Current CE levels are in line with initial levels.
-- Current charge-offs for the transactions are in line with
initial expectations.
-- For Republic Finance Issuance Trust 2021-A, as a percentage of
the current collateral balances, total delinquencies have increased
in recent months.
-- For Republic Finance Issuance Trust 2024-A and Republic Finance
Issuance Trust 2024-B, as a percentage of the initial collateral
balances, total delinquencies have been stable in recent months.
-- The level of hard CE is in the form of overcollateralization,
subordination, and amounts held in reserve fund available in the
transactions. Hard CE and estimated excess spread are sufficient to
support Morningstar DBRS' current credit rating levels.
-- The collateral performance to date and Morningstar DBRS'
assessment of future performance.
-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios For Rated
Sovereigns: September 2025 Update," published on September 30,
2025. These baseline macroeconomic scenarios replace Morningstar
DBRS' moderate and adverse COVID-19 pandemic scenarios, which were
first published in April 2020.
Notes: The principal methodology applicable to the credit ratings
is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025).
SALUDA GRADE 2025-RRTL1: DBRS Finalizes B(low) Rating on M2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized the provisional credit ratings on the
Mortgage-Backed Notes, Series 2025-RRTL1 (the Notes) to be issued
by Saluda Grade Alternative Mortgage Trust 2025-RRTL1 (the Issuer)
as follows:
-- $151.6 million Class A-1 at A (low) (sf)
-- $16.7 million Class A-2 at BBB (low) (sf)
-- $15.6 million Class M-1 at BB (low) (sf)
-- $16.5 million Class M-2 at B (low) (sf)
The A (low) (sf) credit rating reflects 27.80% of credit
enhancement (CE) provided by the subordinated notes and
overcollateralization. The BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 19.85%, 12.40%, and 4.55% of CE,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
This transaction is a securitization of a two-year revolving
portfolio of residential transition loans (RTLs) funded by the
issuance of the Notes. As of the Initial Cut-Off Date, the Notes
are backed by:
-- 256 mortgage loans with a total principal balance of
approximately $125,083,420
-- Approximately $84,916,580 in the Revolving Period Reinvestment
Account
-- Approximately $750,000 in the Pre-Funding Interest Reserve
Account
Additional RTLs may be added to the revolving portfolio on future
additional transfer dates, subject to the transaction's eligibility
criteria.
GRADE 2025-RRTL1 represents the sixteenth RTL securitization (and
first rated RTL securitization) issued by the Sponsor, Saluda Grade
Opportunities Fund LLC. The Asset Manager, Saluda Grade Asset
Management, LLC, is a capital solutions provider to the alternative
real estate asset origination market owned by Saluda Grade
Investments LLC, a privately owned company with approximately $3.3
billion of assets under management as of September 1, 2025. Founded
in 2019, Saluda Grade Investments LLC is a vertically integrated
advisory and asset management platform that operates across three
business lines that work together synergistically: Saluda Grade
Advisory, Saluda Grade Ventures, and Saluda Grade Asset Management,
LLC.
The revolving portfolio generally consists of first-lien, fixed-
and adjustable-rate, interest-only (IO) balloon RTL with original
terms to maturity of 5 to 24 months. The loans may be extended,
which can lengthen maturities beyond the original terms. The
characteristics of the revolving pool will be subject to
eligibility criteria specified in the transaction documents and
include, but are not limited to:
-- A minimum non-zero weighted-average (NZ WA) FICO score of 735.
-- A maximum NZ WA loan-to-cost (LTC) ratio of 83.0%.
-- A maximum NZ WA as repaired loan-to-value (ARV LTV) ratio of
67.5%.
RTL Features
RTLs, also known as fix-and-flip mortgage loans, are short-term
bridge, construction, or renovation loans designed to help real
estate investors purchase and renovate residential or multifamily
5+ (limited to 5.0% of the revolving portfolio) and mixed used
properties (limited to 0.0% of the revolving portfolio), generally
within 12 to 36 months. RTLs are similar to traditional mortgages
in many aspects but may differ significantly in terms of initial
property condition, construction draws, and the timing and
incentives by which borrowers repay principal. For traditional
residential mortgages, borrowers are generally incentivized to pay
principal monthly, so they can occupy the properties while building
equity in their homes. In the RTL space, borrowers repay their
entire loan amount when they (1) sell the property with the goal to
generate a profit or (2) refinance to a term loan and rent out the
property to earn income.
In general, RTLs are short-term IO balloon loans with the full
amount of principal (balloon payment) due at maturity. The
repayment of an RTL is mainly based on the ability to sell the
related mortgaged property or to convert it into a rental property.
In addition, many RTL lenders offer extension options, which
provide additional time for borrowers to repay their mortgage
beyond the original maturity date. For the loans in this
transaction, such extensions may be granted, subject to certain
conditions, at the direction of the Servicer.
In the GRADE 2025-RRTL1 revolving portfolio, RTLs may be:
Fully funded:
-- With no obligation of further advances to the borrower,
-- With a portion of the loan proceeds allocated to a
rehabilitation (rehab) escrow account for future disbursement to
fund construction draw requests upon the satisfaction of certain
conditions, or
-- With a portion of the loan proceeds held back by the Servicers
for future disbursement to fund interest draw requests upon the
satisfaction of certain conditions.
Partially funded:
-- With a commitment to fund borrower-requested draws for
construction, rehabilitation, or repair on the mortgaged property
upon the satisfaction of certain conditions.
After completing certain construction/repairs using their own
funds, the borrower usually seeks reimbursement by making draw
requests. Generally, construction draws are disbursed only upon the
completion of approved construction/repairs and after a
satisfactory construction progress inspection. Based on the GRADE
2025-RRTL1 eligibility criteria and concentration limits, unfunded
commitments are limited to 50.0% of the assets of the issuer, which
includes (1) the unpaid principal balance (UPB) of the mortgage
loans and (2) amounts in the Revolving Period Reinvestment
Account.
Cash Flow Structure and Draw Funding
The transaction employs a sequential-pay cash flow structure.
During the reinvestment period, the Notes will generally be IO.
After the reinvestment period, principal will be applied to pay
down the Notes, sequentially. If the Issuer does not redeem the
Notes by the payment date in April 2028, the Class A-1 and A-2
fixed rates listed in the Credit Ratings table will step up by
1.000% the following month.
There will be no advancing of delinquent (DQ) interest on any
mortgage by the Servicers or any other party to the transaction.
However, the Servicers are obligated to fund Servicing Advances
which include taxes, insurance premiums, and reasonable costs
incurred in the course of servicing and disposing properties. The
Servicers will be entitled to reimburse themselves for Servicing
Advances from available funds prior to any payments on the Notes.
The Servicers will satisfy borrower draw requests by (1) for loans
with funded commitments, releasing funds from the Rehab Escrow
Account to the applicable borrower; or (2) for loans with unfunded
commitments, directing funds from principal collections on deposit
in the related collection account. If there are any draw shortfall
amounts not covered by principal collections, the Asset Manager or
the Master Servicer (or a secured third party via the Master
Servicer) will fund such amounts. The advancing party will be
entitled to reimbursements for rehab advances from time to time
from the Revolving Period Reinvestment Account.
The Revolving Period Reinvestment Account is replenished from the
transaction cash flow waterfall, after payment of interest to the
Notes, to maintain a minimum required funding balance. During the
reinvestment period, amounts held in the Revolving Period
Reinvestment Account, along with the mortgage collateral, must be
sufficient to maintain a minimum credit enhancement (CE) of
approximately 4.55% (the initial subordination) to the most
subordinate rated class. The transaction incorporates this via a
Minimum Credit Enhancement Test during the reinvestment period,
which if breached, redirects available funds to pay down the Notes,
sequentially, prior to replenishing the Revolving Period
Reinvestment Account, to maintain CE for the rated Notes.
The transaction also employs the Expense Reserve Account, which
will be available to cover fees and expenses. The Expense Reserve
Account is replenished from the transaction cash flow waterfall,
before payment of interest to the Notes, to maintain a minimum
reserve balance.
A Pre-Funding Interest Reserve Account is in place to help cover
three months of interest payments to the Notes. Such account is
funded upfront in an amount equal to $750,000. On the payment dates
occurring in November 2025, December 2025 and January 2026, the
Paying Agent will withdraw a specified amount to be included in
available funds.
Historically, RTL originations reviewed by Morningstar DBRS have
generated robust mortgage repayments, which have been able to cover
unfunded commitments in securitizations. In the RTL space, because
of the lack of amortization and the short-term nature of the loans,
mortgage repayments (paydowns and payoffs) tend to occur closer to
or at the related maturity dates when compared with traditional
residential mortgages. Morningstar DBRS considers paydowns to be
unscheduled voluntary balance reductions (generally repayments in
full) that occur prior to the maturity date of the loans, while
payoffs are scheduled balance reductions that occur on the maturity
or extended maturity date of the loans. In its cash flow analysis,
Morningstar DBRS evaluated mortgage repayments relative to draw
commitments for Saluda Grade's historical aggregations and
incorporated several stress scenarios where paydowns may or may not
sufficiently cover draw commitments. Please see the Cash Flow
Analysis section of this report for more details.
Other Transaction Features
Optional Redemption
On any date on or after the earlier of (1) the Payment Date in
April 2028 or (2) the date on which the aggregate Note Amount of
Class A-1, A-2, M-1, and M-2 falls to 20% or less of the initial
Closing Date Note Amount, the Issuer, at its option, may purchase
all of the outstanding Notes at price equal to par plus interest
and fees.
Purchase Option
The Sponsor will have the option to purchase any DQ or defaulted
mortgage loan at the Repurchase Price, which is equal to par plus
interest and fees. During the reinvestment period, if the Depositor
repurchases DQ or defaulted loans, this could potentially delay the
natural occurrence of an early amortization event based on the DQ
or default trigger. Morningstar DBRS' revolving structure analysis
assumes the repayment of Notes is reliant on the amortization of an
adverse pool regardless of whether it occurs early or not.
Repurchases
A mortgage loan may be repurchased under the following
circumstances:
-- There is a material R&W breach, a material document defect, or
a diligence defect that the Sponsor or the related Originator is
unable to cure,
-- The Sponsor elects to exercise its Purchase Option, or
-- An optional redemption occurs.
U.S. Credit Risk Retention
As the Sponsor, Saluda Grade Opportunities Fund LLC, through a
majority-owned affiliate, will initially retain an eligible
vertical interest comprising at least 5% of the aggregate fair
value of the securities to satisfy the credit risk retention
requirements.
Natural Disasters/Wildfires
The pool may contain loans secured by properties that are located
within certain disaster areas. Although many RTL already have a
rehab component, the original scope of rehab may be affected by
such disasters. After a disaster, the Servicers follow standard
protocol, which includes a review of the impacted area, borrower
outreach, and filing insurance claims as applicable. Moreover,
additional loans added to the trust must comply with R&W specified
in the transaction documents, including the damage R&W, as well as
the transaction eligibility criteria.
Notes: All figures are in U.S. dollars unless otherwise noted.
SANTANDER 2025-NQM6: 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-NQM6's mortgage-backed notes.
The note issuance is an RMBS securitization 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, two- to four-family units,
condominiums, condotels, townhouses, a cooperative, and
manufactured housing properties. The pool consists of 598 loans,
which are qualified mortgage (QM) safe harbor (average prime offer
rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability to
repay (ATR)-compliant, or ATR-exempt.
The preliminary ratings are based on information as of Nov. 3,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The 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 outlook that considers our 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
Santander Mortgage Asset Receivable Trust 2025-NQM6
Class A-1, $222,006,000: AAA (sf)
Class A-1A, $190,448,000: AAA (sf)
Class A-1B, $31,558,000: AAA (sf)
Class A-2, $20,985,000: AA (sf)
Class A-3, $32,820,000: A (sf)
Class M-1, $15,147,000: BBB (sf)
Class B-1, $10,730,000: BB (sf)
Class B-2, $8,678,000: B (sf)
Class B-3, $5,207,745: NR
Class A-IO-S, Notional(ii): NR
Class XS, Notional(ii): NR
Class PT, $315,573,745: NR
Class R, N/A: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address payment of the net WAC 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.
N/A--Not applicable.
SANTANDER MORTGAGE 2025-CES1: Fitch Rates B-2 Notes 'Bsf'
---------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes issued by Santander Mortgage Asset Receivable
Trust 2025-CES1 (SAN 2025-CES1).
Entity/Debt Rating Prior
----------- ------ -----
SAN 2025-CES1
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
R LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
Fitch rates rate the residential mortgage-backed certificates
backed by 100% closed-end second lien (CES) loans on residential
properties to be issued by Santander Mortgage Asset Receivable
Trust 2025-CES1 (SAN 2025-CES1), as indicated above. This is the
first transaction to be rated by Fitch that includes 100% CES loans
from SAN.
The pool consists of 3,741 fixed rate non-seasoned performing CES
loans with a current outstanding balance (as of the cutoff date) of
$289.33 million, with terms in the 10-30 year range. The mortgaged
are secured by the following residential properties: single-family
detached or attached dwelling units, planned unit developments,
two- to- four family residential properties, individual townhouse
unit, and individual condominium units.
The loans in the pool are solely originated by PennyMac Loan
Services (Acceptable) and serviced solely by PennyMac Loan Services
(RPS2). The master servicer is NewRez LLC (RMS3)
Distributions of interest and principal are based on a sequential
structure, while losses are allocated reverse sequentially,
starting with the most subordinate class.
The servicers will not be advancing delinquent monthly payments of
principal and interest (P&I).
The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B,
A-2 and A-3 certificates with respect to any distribution date
prior to the distribution date in November 2029 will have an annual
rate equal to the lower of (i) the applicable fixed rate set forth
for such class of certificates or (ii) the net weighted average
coupon (WAC) for such distribution date. On and after November
2029, the pass-through rate will be a per annum rate equal to the
lower of the sum of the applicable fixed rate set forth in the
table above for such class of certificates, and the step-up rate
(1.0%), or net WAC rate for the related distribution date.
The pass-through rate on the class M-1, B-1 and B-2 certificates
with respect to any distribution date and the related accrual
period will be an annual rate equal to the lower of the applicable
fixed rate set forth for such class of certificates or the net WAC
for such distribution date. The pass-through rate on class B-3
certificates with respect to any distribution date and the related
accrual period will be an annual rate equal to the net WAC for such
distribution date.
KEY RATING DRIVERS
Credit Risk of High-Quality Prime Mortgage Second Lien Assets
(Positive): RMBS transactions are directly affected by the
performance of the underlying residential mortgages or
mortgage-related assets. Fitch analyzes loan-level attributes and
macroeconomic factors to assess the credit risk and expected
losses.
The pool consists of 3,741 performing, fixed-rate loans secured by
CES on primarily one- to four-family residential properties
(including planned unit developments [PUDs]) condos, and townhouses
totaling $289.33 million. All loans are fully documented. The loans
were made to borrowers with strong credit profiles and relatively
low leverage.
The loans are seasoned at an average of four months, according to
Fitch, and three months, per the transaction documents. The pool
has a weighted average (WA) original FICO score of 743, indicative
of very high credit-quality borrowers. The original WA combined
loan-to-value ratio (CLTV) of 67.0%, as determined by Fitch,
translates to a sustainable loan-to-value ratio (sLTV) of 75.2%.
These strong collateral attributes are reflected in Fitch's loss
analysis.
SAN 2025-CES1 has a Final PD of 17.73% in the 'AAA' rating stress.
Fitch's Final Loss Severity in the 'AAAsf' rating stress is 96.53%.
The expected loss in the 'AAAsf' rating stress is 17.48%.
Structural Analysis (Mixed): SAN 2025-CES1 has a Sequential
Structure with No Advancing of Delinquent P&I.
The proposed structure is a sequential structure in which principal
is distributed, first, to the A-1A and A-1B classes (pro-rata) and
then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes.
Interest is prioritized in the principal waterfall, and any unpaid
interest amounts are paid prior to principal being paid.
If the transaction is not called in November 2029, the class
coupons on the A-1A, A-1B, A-2, and A-3 will step up by 1.00%.
The transaction has monthly excess cash flows that are used to
repay any realized losses incurred and then unpaid cap carryover
interest shortfalls.
A realized loss will occur if, after giving effect to the
allocation of the principal remittance amount and monthly excess
cash flow on any distribution date, the aggregate collateral
balance is less than the aggregate outstanding balance of the
outstanding classes. Realized losses will be allocated reverse
sequentially, with the losses allocated, first, to class B-3 and,
once the A-2 class is written off, the class A-1B will take losses
first and then losses will be allocated to A-1A.
The transaction will have subordination and excess spread,
providing credit enhancement (CE) and protection from losses.
Operational Risk Analysis (Positive): Fitch considers originator
and servicer capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by
the TPR firm and have a final grade of either 'A' or 'B'.
Counterparty and Legal Analysis (Neutral): Fitch expects all
relevant transaction parties to conform with the requirements
described in its Global Structured Finance Rating Criteria.
Relevant parties are those whose failure to perform could have a
material outcome on the performance of the transaction.
Additionally, all legal requirements should be satisfied to fully
de-link the transaction from any other entities. SAN 2025-CES1 is a
fully de-linked and bankruptcy remote SPV and all transaction
parties and triggers align with Fitch's expectations.
Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may
include, but are not limited to, new product types with limited or
volatile historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to SAN 2025-CES1 and therefore Fitch is comfortable rating to the
highest possible rating at 'AAAsf' without any Rating Caps.
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 10.5% in the base case.
The analysis indicates that there is some potential rating
migration with higher MVDs for all rated classes, compared with the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics. The third-party due diligence
described in Form 15E focused on credit, regulatory compliance, and
property valuation. Third-party due diligence was performed on
100.0% of the loans in the transaction by loan count. Fitch applies
a 5bp z-score reduction for loans fully reviewed by the TPR firm
and have a final grade of either 'A' or 'B'.
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.
SEQUOIA MORTGAGE 2025-11: Fitch Rates Cl. B5 Certs 'Bsf'
--------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2025-11 (SEMT 2025-11).
Entity/Debt Rating Prior
----------- ------ -----
SEMT 2025-11
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A19 LT AAAsf New Rating AAA(EXP)sf
A20 LT AAAsf New Rating AAA(EXP)sf
A21 LT AAAsf New Rating AAA(EXP)sf
A22 LT AAAsf New Rating AAA(EXP)sf
A23 LT AAAsf New Rating AAA(EXP)sf
A24 LT AAAsf New Rating AAA(EXP)sf
A25 LT AAAsf New Rating AAA(EXP)sf
A26F LT AAAsf New Rating AAA(EXP)sf
A27 LT AAAsf New Rating AAA(EXP)sf
A28 LT AAAsf New Rating AAA(EXP)sf
A29 LT AAAsf New Rating AAA(EXP)sf
A30 LT AAAsf New Rating AAA(EXP)sf
A31 LT AAAsf New Rating AAA(EXP)sf
A58 LT AAAsf New Rating
A81 LT AAAsf New Rating
AIO1 LT AAAsf New Rating AAA(EXP)sf
AIO2 LT AAAsf New Rating AAA(EXP)sf
AIO3 LT AAAsf New Rating AAA(EXP)sf
AIO4 LT AAAsf New Rating AAA(EXP)sf
AIO5 LT AAAsf New Rating AAA(EXP)sf
AIO6 LT AAAsf New Rating AAA(EXP)sf
AIO7 LT AAAsf New Rating AAA(EXP)sf
AIO8 LT AAAsf New Rating AAA(EXP)sf
AIO9 LT AAAsf New Rating AAA(EXP)sf
AIO10 LT AAAsf New Rating AAA(EXP)sf
AIO11 LT AAAsf New Rating AAA(EXP)sf
AIO12 LT AAAsf New Rating AAA(EXP)sf
AIO13 LT AAAsf New Rating AAA(EXP)sf
AIO14 LT AAAsf New Rating AAA(EXP)sf
AIO15 LT AAAsf New Rating AAA(EXP)sf
AIO16 LT AAAsf New Rating AAA(EXP)sf
AIO17 LT AAAsf New Rating AAA(EXP)sf
AIO18 LT AAAsf New Rating AAA(EXP)sf
AIO19 LT AAAsf New Rating AAA(EXP)sf
AIO20 LT AAAsf New Rating AAA(EXP)sf
AIO21 LT AAAsf New Rating AAA(EXP)sf
AIO22 LT AAAsf New Rating AAA(EXP)sf
AIO23 LT AAAsf New Rating AAA(EXP)sf
AIO24 LT AAAsf New Rating AAA(EXP)sf
AIO25 LT AAAsf New Rating AAA(EXP)sf
AIO26 LT AAAsf New Rating AAA(EXP)sf
AIO27 LT AAAsf New Rating AAA(EXP)sf
AIO27F LT AAAsf New Rating AAA(EXP)sf
AIO28 LT AAAsf New Rating AAA(EXP)sf
AIO29 LT AAAsf New Rating AAA(EXP)sf
AIO31 LT AAAsf New Rating AAA(EXP)sf
AIO69 LT AAAsf New Rating AAA(EXP)sf
AIO70 LT AAAsf New Rating
AIO81 LT AAAsf New Rating
B1 LT AAsf New Rating AA(EXP)sf
B1A LT AAsf New Rating AA(EXP)sf
B1X LT AAsf New Rating AA(EXP)sf
B2 LT A+sf New Rating A+(EXP)sf
B2A LT A+sf New Rating A+(EXP)sf
B2X LT A+sf New Rating A+(EXP)sf
B3 LT BBBsf New Rating BBB(EXP)sf
B4 LT BBsf New Rating BB(EXP)sf
B5 LT B+sf New Rating B+(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
Transaction Summary
The certificates are supported by 409 loans with a total balance of
approximately $498.17 million as of the cutoff date. The pool
consists of prime jumbo fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. (RRAC) and originated by Rocket
Mortgage and various originators. Servicing is performed by SPS and
Cornerstone Servicing. Distributions of principal and interest
(P&I) and loss allocations are based on a senior-subordinate,
shifting-interest structure, with full advancing.
The borrowers in the pool exhibit a strong credit profile, with a
weighted-average (WA) Fitch FICO of 775 and 35.5% debt-to-income
(DTI) ratio. The borrowers also have moderate leverage, with a
72.3% mark-to-market combined LTV (cLTV). Overall, 92.2% of the
pool loans are for primary residences, while the remainder are
second homes or investment properties. Additionally, 100% of the
loans were underwritten to full documentation.
Following the publication of Fitch's expected ratings, the issuer
provided an updated collateral tape that included one loan drop
along with an updated structure which added four additional rated
exchangeable notes (A-58, A-81, AIO70 and AIO81). Fitch re-ran its
asset and cashflow analysis and confirmed there were no changes
from its expected ratings. Additionally, the four new exchangeable
classes are passing Fitch's highest stress and proposed to be rated
'AAAsf' / Outlook Stable.
SEMT 2025-11 is the third Redwood transaction to be analyzed and
rated under Fitch's updated U.S. RMBS Rating Criteria published on
Oct. 1, 2025.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. SEMT 2025-11 has a final probability of default (PD) of
9.40% in the 'AAAsf' rating stress test. Fitch's final loss
severity in the 'AAAsf' rating stress test is 35.33%. The expected
loss in the 'AAAsf' rating stress test is 3.32%.
Structural Analysis: The mortgage cash flow and loss allocation in
SEMT 2025-11 are based on a senior-subordinate, shifting-interest
structure, whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings were sufficient for the
given rating levels. The CE for a given rating exceeded the
expected losses of that rating stress to address the structures
recoupment of advances and leakage of principal to more subordinate
classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 98.5% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by a
third-party review (TPR) firm, which have a final grade of either
"A" or "B".
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects SEMT 2025-11 to be fully
de-linked and a bankruptcy remote special-purpose vehicle (SPV).
All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to SEMT 2025-11, and therefore, Fitch is comfortable assigning the
highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 38.0% 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, Fitch applies an
approximate 5-bp z-score reduction for loans fully reviewed by the
TPR firm and have a final grade of either 'A' or 'B'.
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.
SEQUOIA MORTGAGE 2025-S2: Fitch Assigns 'B(EXP)' Rating on B5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2025-S2 (SEMT 2025-S2).
Entity/Debt Rating
----------- ------
SEMT 2025-S2
A1 LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A4 LT AAA(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A9 LT AAA(EXP)sf Expected Rating
A10 LT AAA(EXP)sf Expected Rating
A11 LT AAA(EXP)sf Expected Rating
A12 LT AAA(EXP)sf Expected Rating
A13 LT AAA(EXP)sf Expected Rating
A14 LT AAA(EXP)sf Expected Rating
A15 LT AAA(EXP)sf Expected Rating
A16 LT AAA(EXP)sf Expected Rating
A17 LT AAA(EXP)sf Expected Rating
A18 LT AAA(EXP)sf Expected Rating
A19 LT AAA(EXP)sf Expected Rating
A20 LT AAA(EXP)sf Expected Rating
A21 LT AAA(EXP)sf Expected Rating
A22 LT AAA(EXP)sf Expected Rating
A23 LT AAA(EXP)sf Expected Rating
A24 LT AAA(EXP)sf Expected Rating
A25 LT AAA(EXP)sf Expected Rating
AIO1 LT AAA(EXP)sf Expected Rating
AIO2 LT AAA(EXP)sf Expected Rating
AIO3 LT AAA(EXP)sf Expected Rating
AIO4 LT AAA(EXP)sf Expected Rating
AIO5 LT AAA(EXP)sf Expected Rating
AIO6 LT AAA(EXP)sf Expected Rating
AIO7 LT AAA(EXP)sf Expected Rating
AIO8 LT AAA(EXP)sf Expected Rating
AIO9 LT AAA(EXP)sf Expected Rating
AIO10 LT AAA(EXP)sf Expected Rating
AIO11 LT AAA(EXP)sf Expected Rating
AIO12 LT AAA(EXP)sf Expected Rating
AIO13 LT AAA(EXP)sf Expected Rating
AIO14 LT AAA(EXP)sf Expected Rating
AIO15 LT AAA(EXP)sf Expected Rating
AIO16 LT AAA(EXP)sf Expected Rating
AIO17 LT AAA(EXP)sf Expected Rating
AIO18 LT AAA(EXP)sf Expected Rating
AIO19 LT AAA(EXP)sf Expected Rating
AIO20 LT AAA(EXP)sf Expected Rating
AIO21 LT AAA(EXP)sf Expected Rating
AIO22 LT AAA(EXP)sf Expected Rating
AIO23 LT AAA(EXP)sf Expected Rating
AIO24 LT AAA(EXP)sf Expected Rating
AIO25 LT AAA(EXP)sf Expected Rating
AIO26 LT AAA(EXP)sf Expected Rating
B1 LT AA+(EXP)sf Expected Rating
B1A LT AA+(EXP)sf Expected Rating
B1X LT AA+(EXP)sf Expected Rating
B2 LT A+(EXP)sf Expected Rating
B2A LT A+(EXP)sf Expected Rating
B2X LT A+(EXP)sf Expected Rating
B3 LT BBB(EXP)sf Expected Rating
B4 LT BB(EXP)sf Expected Rating
B5 LT B(EXP)sf Expected Rating
B6 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 676 loans with a total balance of
approximately $554.7 million as of the cutoff date. The pool
consists of seasoned performing, fixed-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 senior-subordinate, shifting-interest
structure.
The borrowers in the pool exhibit a strong credit profile, with a
weighted-average (WA) Fitch original FICO of 757 and updated Fitch
FICO of 741, and 36.9% debt-to-income (DTI) ratio. The borrowers
also have moderate leverage, with a 70.8% mark-to-market combined
LTV (cLTV). Overall, 85.3% of the pool loans are for primary
residences, while the remainder are second homes or investment
properties. Additionally, 100% of the loans were underwritten to
full documentation.
SEMT 2025-S2 is the first seasoned performing and third Redwood
transaction to be analyzed and rated under Fitch's updated U.S.
RMBS Rating Criteria published on Oct. 1, 2025.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. SEMT 2025-S2 has a final probability of default (PD) of
15.21% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 32.28%. The expected loss in the
'AAAsf' rating stress is 4.91% (see Highlights and Asset Analysis
sections for more details).
Structural Analysis: The mortgage cash flow and loss allocation in
SEMT 2025-S2 are based on a senior-subordinate, shifting-interest
structure, whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years. Fitch analyses the capital structure
to determine the adequacy of the transaction's credit enhancement
(CE) to support payments on the securities under multiple scenarios
incorporating Fitch's loss projections derived from the asset
analysis. Fitch applies its assumptions for defaults, prepayments,
delinquencies and interest rate scenarios (see Highlights and Cash
Flow Analysis sections for more details). The credit enhancement
for all ratings were sufficient for the given rating levels. The
credit enhancement for a given rating exceeded the expected losses
of that rating stress to address the structures recoupment of
advances and leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 99.6% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by a
third-party review (TPR) firm, which have a final grade of either
"A" or "B".
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects SEMT 2025-S2 to be fully
de-linked and a bankruptcy remote special purpose vehicle (SPV).
All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to SEMT 2025-S2, and therefore, Fitch is comfortable assigning the
highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 37.2% 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, Consolidated Analytics, Opus, and
Digital Risk. The third-party due diligence described in Form 15E
focused on credit, compliance, and property valuation. Fitch
considered this information in its analysis and, as a result, Fitch
applies an approximate 5-bp z-score reduction for loans fully
reviewed by the TPR firm and have a final grade of either 'A' or
'B'.
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.
SHRN TRUST 2025-MF18: Fitch Assigns 'Bsf' Rating on Class HRR Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
SHRN Trust 2025-MF18 commercial mortgage pass-through certificates,
series 2025-MF18 as follows:
- $534,670,000 class A 'AAAsf'/Stable;
- $84,900,000 class B 'AA-sf'/Stable;
- $66,800,000 class C 'A-sf'/Stable;
- $94,000,000 class D 'BBB-sf'/Stable;
- $143,000,000 class E 'BB-sf'/Stable;
- $48,600,000(a) class HRR 'Bsf'/Stable.
(a) Horizontal risk retention interest representing at least 5.0%
of the estimated fair value of all classes.
The ratings are based on information provided by the issuer as of
Oct. 24, 2025.
Transaction Summary
The certificates represent beneficial interests in a trust that
will hold a $972 million, two-year, floating-rate, interest-only
(IO) mortgage loan with three one-year extension options. The
mortgage is secured by 18 different borrowers' fee simple interest
in 18 garden-style and midrise apartment complexes with a total of
5,963 units located across eight states and 10 markets.
The sponsorship, which is a joint venture between Starlight
Investments Ltd., Public Sector Pension Investment Board (PSPIB)
and Future Fund Board of Guardians, acquired the portfolio through
a series of transactions between 2015 and 2023; the sponsorship has
a reported cost basis of approximately $1.8 billion. Mortgage loan
proceeds, together with $50 million in mezzanine debt and
approximately $73 million in sponsor equity, were used to refinance
approximately $1.07 billion in prior debt and pay an estimated $22
million in closing-related costs.
The loan was co-originated by JPMorgan Chase Bank, National
Association, Citi Real Estate Funding Inc. and Wells Fargo Bank,
National Association, which act as mortgage loan sellers. KeyBank
National Association serves as both the servicer and special
servicer. Deutsche Bank National Trust Company acts as the trustee,
while Computershare Trust Company, N.A. is the certificate
administrator. Pentalpha Surveillance LLC serves as operating
advisor.
The certificates will follow a pro rata paydown structure for the
initial 30% of the loan amount and a standard senior sequential
paydown structure thereafter. To the extent the mezzanine loan is
outstanding, and no mortgage loan event of default (EOD) is
continuing, voluntary prepayments would be applied pro rata between
the mortgage and the mezzanine loan.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch's net cash flow (NCF) for the portfolio
is estimated at $68.3 million, which is 7.1% lower than the
issuer's NCF. Fitch applied a 7.5% cap rate to derive a Fitch value
of $910.1 million.
High Fitch Leverage: The $972 million loan has a Fitch stressed
debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and
debt yield of 0.83, 106.8% and 7.0%, respectively. Inclusive of the
$50.0 million mezzanine loan, total debt would amount to have a
Fitch DSCR, LTV and debt yield of 0.79, 112.3% and 6.7%,
respectively.
Portfolio Diversity: The portfolio consists of 18 multifamily
properties with a total of 5,963 units located across 10 MSAs in
eight states. The top three MSAs in the portfolio are Tampa, FL
(17.5% of the ALA and 16.8% of the total units), Raleigh, NC
(15.5%; 16.1%), and Atlanta, GA (14.4%; 14.6%). The portfolio has a
current effective property count of 17.2 and effective geographical
count of 9.8.
Substantial Renovation Plan: Since acquisition of the properties,
the sponsor has invested over $103.9 million ($17,422/unit) in
capital improvements at the property. Investments include $47.2
million in unit renovations, $13.2 million in amenity improvements
and $43.5 million in site work. Approximately 3,313 units (55.6% of
the portfolio) have been upgraded since acquisition; unit
renovations have included new stainless-steel appliances, bathroom
upgrades, refreshed cabinetry/countertops and new flooring.
Institutional Sponsorship: The loan is sponsored by a joint venture
between Starlight Investments Ltd., PSPIB and Future Fund Board of
Guardians. Starlight Investments Ltd. is a privately held global
real estate investment and asset management company with over $22
billion in assets under management. PSPIB, founded in1999, is one
of Canada's largest pension investment managers. Future Fund Board
of Guardians, founded in 2006, is a sovereign wealth fund that
manages money on behalf of the Australian federal government.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the model
implied rating sensitivity to changes in one variable, Fitch NCF:
- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf';
- 10% NCF Decline: 'AAsf'/'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model implied rating sensitivity to changes to the same one
variable, Fitch NCF:
- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf';
- 10% NCF Increase:
'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'BB-sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on 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.
SLM PRIVATE 2003-B: Moody's Lowers Rating on Class B Certs to B2
----------------------------------------------------------------
Moody's Ratings has downgraded 2 classes of bonds issued by three
SLM Private Credit Student Loan Trusts (SLM) sponsored and
administered by Navient Solutions, LLC. The securitizations are
backed by private student loans, which are loans the US government
does not guarantee.
Issuer: SLM Private Credit Student Loan Trust 2003-B
Class B, Downgraded to B2 (sf); previously on Feb 23, 2022 Affirmed
B1 (sf)
Issuer: SLM Private Credit Student Loan Trust 2003-C
Class C, Downgraded to C (sf); previously on Mar 22, 2024
Downgraded to Ca (sf)
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
RATINGS RATIONALE
The downgrades actions are primarily driven by the continuous
deterioration in the total parity levels for the two SLM
transactions. Parity ratio in these transactions has declined
further to 66.9%, and 62.6% in August 2025 from 71.8% and 67.9% in
August 2024 distribution for the 2003-B, and 2003-C trusts,
respectively. These transactions have high funding costs because
they are funded in part with auction rate securities which failed
the auctions and were reset to pay higher rates. The high coupon
rates on the auction-rate securities significantly reduced excess
spread and eroded overcollateralization levels, thus exposing the
notes in these transaction to default risk. The downgrade actions
also take into account legal final maturity risk and the likelihood
of classes not being paid down prior to the legal final maturity
date.
Moody's expected lifetime defaults as a percentage of original pool
balance are approximately 18.90% and 20.00% for SLM 2003-B and SLM
2003-C trusts respectively. The default expectations reflect
updated performance trends on the underlying pools.
No action was taken on the other rated class in this deal because
its expected loss remain commensurate with its current rating,
after taking into account the updated performance information,
structural features, credit enhancement and other qualitative
considerations.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "US Private
Student Loan Securitizations" published in December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings of the bonds if net losses are
lower than Moody's expectations or if levels of credit enhancement
are consistent with higher ratings.
Down
Moody's could downgrade the ratings of the bonds if net losses are
higher than Moody's expectations, if levels of credit enhancement
are consistent with lower ratings, or if the servicer's financial
stability or quality of servicing deteriorates. Other reasons for
worse-than-expected performance include error on the part of
transaction parties, inadequate transaction governance, and fraud.
SREIT 2021-MFP2: DBRS Confirms B(low) Rating on Class G Certs
-------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-MFP2
issued by SREIT Commercial Mortgage Trust 2021-MFP2 as follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, as evidenced by the net cash flow
(NCF) growth since issuance and stable occupancy rates across the
collateral multifamily portfolio. The portfolio properties are
generally within desirable submarkets in North Carolina and
Florida, which continue to exhibit steady occupancy rates and
increased average rental rates.
The transaction's underlying loan is secured by the borrower's
fee-simple interest in nine garden-style multifamily properties,
totaling 3,441 units across North Carolina (six properties, 58.0%
of the allocated loan amount (ALA)) and Florida (three properties,
42.0% of the ALA). The sponsor, Starwood Real Estate Income Trust,
Inc. (SREIT), contributed $380.1 million of equity to acquire the
portfolio. The interest-only, floating-rate loan had an initial
maturity of December 2023 and was structured with three one-year
extension options. Each of the extension options requires the
purchase of a new interest rate cap agreement, but are not subject
to performance triggers or financial covenants. According to the
most recent servicer commentary, the borrower plans to exercise the
third and final extension, bringing the final maturity date to
November 2026.
The transaction has a partial pro rata/sequential-pay structure
that allows for pro rata paydowns for the first 20% of the original
principal balance, with debt yield and loan-to-value ratio (LTV)
tests required as part of the release provisions. The prepayment
premium for the release of individual assets is 105% of the ALA for
the first 20% of the principal amount, and 110% of the ALA
thereafter. Morningstar DBRS considers the release premium to be
weaker than the generally credit-neutral standard of 115.0%. To
date, there have been no property releases.
According to the YE2024 financials, the subject reported an NCF of
$41.1 million and a debt service coverage ratio (DSCR) of 1.66
times (x). For comparison, the YE2023 NCF was $39.5 million with a
DSCR of 1.69x, and the Morningstar DBRS NCF derived at issuance was
$31.8 million with a DSCR of 2.14x. Despite the increase in NCF,
the DSCR declined because of the increased debt service obligation
given the floating-rate nature of the loan. However, as noted
above, there is an interest rate cap agreement in place, and the
loan documents require a strike rate that results in a floor DSCR
of 1.10x. As of December 2024, the portfolio was 93.0% occupied
with a weighted-average rental rate of $1,800 per unit, compared
with issuance figures of 95.0% and $1,368 per unit, respectively.
Morningstar DBRS has observed increasing property insurance costs
for the properties in areas prone to climate risk, particularly in
Florida. Although the reported cash flows for the portfolio have
not shown significant increases in insurance expenses year over
year, Morningstar DBRS remains cautious about the possibility of
volatility for that and other expenses through the remainder of the
loan term. Additionally, while the purchase of an interest rate cap
agreement mitigates against interest rate volatility, it poses a
significant cost to the borrower. Related to that risk factor, the
refinance risks have increased since issuance given the rise in
interest rates in the years since closing. However, the significant
equity contribution and the cash flow growth since issuance, as
well as the overall desirability of the portfolio are mitigating
factors. The Federal Reserve's rate cuts over the past year have
also eased some of the pressure for borrowers looking to refinance
loans originated during the very low rate environment that was in
place in the early part of the pandemic.
At issuance, Morningstar DBRS derived a value of $470.5 million
based on the Morningstar DBRS NCF of $31.8 million and a
capitalization rate of 6.75%, resulting in a Morningstar DRBS LTV
of 134.6%, compared with the LTV of 65.0% based on the appraised
value at issuance. Morningstar DBRS applied positive qualitative
adjustments totaling 5.75% to the LTV Sizing Benchmarks for cash
flow volatility, property quality, and market fundamentals. It also
maintained the penalties to reflect the increased risks with the
pro rata paydown structure and the relatively weak release
premiums. Although the portfolio has reported consistent cash flow
growth from issuance, Morningstar DBRS considered the near-term
maturity and possibility for increased expenses in maintaining the
LTV Sizing inputs from issuance and credit rating confirmations
with this review.
Notes: All figures are in U.S. dollars unless otherwise noted.
STWD 2025-FL4: DBRS Gives Prov. B(low) Rating on 3 Classes
----------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of notes (the Notes) to be issued by STWD 2025-FL4, LLC
(the Issuer).
-- Class A at (P) AAA (sf)
-- Class A-S at (P) AAA (sf)
-- Class B at (P) AA (low) (sf)
-- Class C at (P) A (low) (sf)
-- Class D at (P) BBB (sf)
-- Class E at (P) BBB (low) (sf)
-- Class E-E at (P) BBB (low) (sf)
-- Class E-X at (P) BBB (low) (sf)
-- Class F at (P) BB (low) (sf)
-- Class F-E at (P) BB (low) (sf)
-- Class F-X at (P) BB (low) (sf)
-- Class G at (P) B (low) (sf)
-- Class G-E at (P) B (low) (sf)
-- Class G-X at (P) B (low) (sf)
All trends are Stable.
The Class F, Class F-E, Class F-X, Class G, Class G-E, and Class
G-X Notes are non-offered notes.
The Class E, Class F, and Class G Notes are exchangeable notes. The
exchangeable notes are exchangeable for proportionate interests in
modifiable and splitable or combinable notes (MASCOT Notes),
subject to the satisfaction of certain conditions and restrictions
described in the Offering Memorandum. All or a portion of each
class of exchangeable notes may be exchanged as follows: the Class
E Notes may be exchanged for proportionate interests in the Class
E-E Notes and the Class E-X Notes, the Class F Notes may be
exchanged for proportionate interests in the Class F-E Notes and
the Class F-X Notes, and the Class G Notes may be exchanged for
proportionate interests in the Class G-E Notes and the Class G-X
Notes. Payments on the MASCOT Notes are made at the same priority
as the reference note and the Morningstar DBRS credit ratings on
the MASCOT Notes match the credit rating on the reference note.
The transaction's initial collateral consists of 22 floating-rate
mortgage loans, participations in mortgage loans, and
mortgage/mezzanine loan combinations secured by 35 transitional
multifamily, mixed-use, industrial, hotel, and student housing
properties. The collateral is encumbered by $2.1 billion of debt,
composed of $1.0 billion going into the trust, $38.6 million of
future funding, and $1.1 billion of funded pari passu debt. Of the
$1.0 billion trust cut-off balance, $68.1 million (6.8%) is
mezzanine debt, as part of the trust debt stack for six loans in
the pool. Comprising 52.2% of the pool, 10 loans are structured
with future funding of $38.6 million. Two loans in the pool, Apex @
Meadows and Marina Club (Prospectus ID #6 and #10), representing
10.1% of the initial pool balance, are delayed-close mortgage
assets, which are identified in the data tape and included in
Morningstar DBRS' analysis. The Issuer has 90 days after the
transaction closing date to acquire the delayed-close assets.
The transaction is a managed vehicle, which includes a 30-month
reinvestment period. Reinvestment of principal proceeds during the
reinvestment period is subject to eligibility criteria, which,
among other criteria, includes a credit rating agency no-downgrade
confirmation (RAC) from Morningstar DBRS for any contribution to
the trust over a $5.0 million threshold, unless such contribution
is a participation in a loan the Issuer already owns. Morningstar
DBRS will confirm that a proposed action, failure to act, or other
specified event will not, in and of itself, result in the downgrade
or withdrawal of the current credit ratings during the reinvestment
period. All tables, charts, and metrics referenced in this report
reflect the $1.0 billion initial pool and cut-off balance.
If a delayed-close asset is not expected to close or fund on or
before the delayed-close purchase termination date, which occurs 90
days after transaction close, then the Issuer may acquire such
delayed-close collateral interest at any time during the
transaction reinvestment period upon satisfying the transaction
eligibility criteria, acquisition criteria, and acquisition and
disposition requirements. The eligibility criteria establishes
maximum trust concentrations for certain property types and
corresponding maximum Loan-to-Value Ratios (LTV) and minimum Debt
Service Coverage Ratios (DSCR) by property type among other
requirements.
The loans are secured by properties with plans to stabilize and
improve the asset value. Ten of the loans, representing 52.2% of
the pool, have remaining future funding totaling $38.6 million.
Twelve loans do not have remaining future funding, and the path to
stabilization for such loans is primarily based on increasing
occupancy, achieving operational efficiencies, or receiving tax
abatements by aligning with set criteria at the secured
properties.
All of the loans in the pool have floating rates, and Morningstar
DBRS incorporates an interest rate stress that is based on the
lower of (1) a Morningstar DBRS stressed rate that corresponds to
the remaining fully extended term of the loans or (2) the strike
price of an interest rate cap with the respective contractual loan
spread added to determine a stressed interest rate over the loan
term. When the debt service payments were measured against the
Morningstar DBRS As-Is net cash flow (NCF), 15 of the 22 loans,
representing 70.7% of the initial pool balance, had a Morningstar
DBRS As-Is DSCR of below 1.00x, a threshold indicative of default
risk. The Morningstar DBRS Stabilized NCF for the 15 loans,
representing 70.7% of the initial pool balance, had a Morningstar
DBRS Stabilized DSCR of 1.00x or below, which is indicative of
refinance risk. The properties are often transitioning with
potential upside in cash flow; however, Morningstar DBRS does not
give full credit to the stabilization if there are no holdbacks or
if other structural features in place are insufficient to support
such treatment. Furthermore, even with the structure provided,
Morningstar DBRS generally does not assume the assets will
stabilize above market levels.
Notes: All figures are in U.S. dollars unless otherwise noted.
STWD TRUST 2021-LIH: DBRS Confirms B(low) Rating on Class F Certs
-----------------------------------------------------------------
DBRS Limited confirmed the credit ratings on all classes of the
Commercial Mortgage Pass-Through Certificates, Series 2021-LIH
issued by STWD Trust 2021-LIH as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, as evidenced by the
stable-to-improving collateral cash flows reported since issuance.
The underlying loan is collateralized by a multifamily portfolio
composed of properties in strong performing submarkets of Florida,
a factor that has contributed to the overall performance trends
remaining in line with Morningstar DBRS' expectations at issuance.
The $380 million loan is secured by the fee-simple interest in 12
affordable housing multifamily properties totaling 3,082 units
throughout five Florida markets including Orlando, Tampa, Daytona
Beach, West Palm Beach, and Jacksonville. The properties qualify
for and receive 100% exemption from ad valorem taxes pursuant to
the Property Tax Exemption Statute (Florida Statute 196.1978(2)).
The two-year interest-only floating-rate loan had an initial
maturity in November 2023; however, the borrower most recently
submitted notice to exercise the third and final annual extension
option, extending the maturity date to November 2026. There are no
performance-contingent tests for the extension option; however, the
borrower must maintain an interest rate cap agreement with a
minimum resulting debt service coverage ratio (DSCR) of 1.10 times
(x). According to the most recent information on file with
Morningstar DBRS, the current interest rate cap agreement runs
through November 2026.
The prepayment premium for the release of individual assets is
105.0% of the allocated loan amount (ALA) for the first 15.0% of
the original principal balance (until the outstanding principal
balance has been reduced to no less than $323.0 million), and
110.0% of the ALA for the release of individual assets thereafter.
In addition, the transaction structure allows for pro rata paydowns
for the first 20.0% of the original principal balance. Morningstar
DBRS considers the release premium to be weaker than a generally
credit-neutral standard of 115.0%, especially given the borrower's
ability and sole discretion to obtain an updated appraisal and
request a reallocation of the ALAs by property based on the updated
appraised value. To date, there have been no property releases.
The portfolio reported a consolidated occupancy rate of 99.0% in
June 2025, in line with the occupancy rate of 98.6% at issuance.
Per the financial statement for the trailing six months ended June
30, 2025, the annualized net cash flow (NCF) was $28.7 million,
compared with $26.7 million at YE2024 and the Morningstar DBRS NCF
of $18.4 million at issuance. The in-place DSCR for the same time
periods were reported at 1.14x, 0.93x, and 2.03x, respectively;
however, as previously mentioned, the floating-rate loan requires
an interest rate cap agreement that would result in a minimum
coverage of 1.10x.
For Q2 2025, Reis' reports indicated that the represented
submarkets exhibited strong fundamentals, with a weighted-average
(WA) vacancy rate of approximately 1.3% and an average five-year WA
vacancy rate forecast of 1.1% by December 2030. Although the
underlying properties are in strong, high-growth markets with
favorable multifamily demand trends, Morningstar DBRS notes the
portfolio's increasing insurance costs, which rose by approximately
85% overall since closing. Morningstar DBRS expects insurance costs
to remain elevated through maturity given the trends in insurance
pricing and the locations of the underlying properties.
At issuance, the Morningstar DBRS Value was $334.2 million, based
on a concluded cash flow of $18.4 million and a capitalization rate
of 5.5%, resulting in a Morningstar DBRS Loan-to-Value Ratio (LTV)
of 113.7%, compared with the 72.1% LTV based on the appraised value
at issuance. Morningstar DBRS made positive qualitative adjustments
totaling 7.5% to the LTV sizing benchmarks to account for the
portfolio's historical performance and strong submarket
fundamentals. Given the stable-to-improved performance since
issuance, with revenue growth outpacing the portfolio's increased
expenses, Morningstar DBRS maintained its value approach from
issuance and LTV sizing benchmarks.
Notes: All figures are in U.S. dollars unless otherwise noted.
SYMPHONY CLO XXV: Moody's Cuts Rating on $18.8MM Cl. E Notes to B1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Symphony CLO XXV, Ltd.:
US$65,000,000 Class B Senior Secured Floating Rate Notes due 2034,
Upgraded to Aa1 (sf); previously on Apr 15, 2021 Assigned Aa2 (sf)
Class B-1 Floating Rate MASCOT Notes due 2034, Upgraded to Aa1
(sf); previously on Apr 15, 2021 Assigned Aa2 (sf)
Class B-1X Interest Only Notes due 2034, Upgraded to Aa1 (sf);
previously on Apr 15, 2021 Assigned Aa2 (sf)
Class B-2 Floating Rate MASCOT Notes due 2034, Upgraded to Aa1
(sf); previously on Apr 15, 2021 Assigned Aa2 (sf)
Class B-2X Interest Only Notes due 2034, Upgraded to Aa1 (sf);
previously on Apr 15, 2021 Assigned Aa2 (sf)
Class B-3 Floating Rate MASCOT Notes due 2034, Upgraded to Aa1
(sf); previously on Apr 15, 2021 Assigned Aa2 (sf)
Class B-3X Interest Only Notes due 2034, Upgraded to Aa1 (sf);
previously on Apr 15, 2021 Assigned Aa2 (sf)
Class B-4 Floating Rate MASCOT Notes due 2034, Upgraded to Aa1
(sf); previously on Apr 15, 2021 Assigned Aa2 (sf)
Class B-4X Interest Only Notes due 2034, Upgraded to Aa1 (sf);
previously on Apr 15, 2021 Assigned Aa2 (sf)
Moody's have also downgraded the rating on the following note:
US$18,800,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2034, Downgraded to B1 (sf); previously on Apr 15, 2021
Assigned Ba3 (sf)
Symphony CLO XXV, Ltd. issued in April 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 will end in April 2026.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating actions reflect an expectation that the senior
notes will begin to be repaid in order of seniority, given the end
of the deal's reinvestment period in April 2026. Based on the
trustee's October 2025 report[1], the weighted average rating
factor (WARF) is currently 2796, compared to 2880 in October
2024[2].
The downgrade rating action on the Class E note reflects the
specific risks to the junior note posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's October 2025 report[3], the OC ratio for the Class E
notes is reported at 105.87% versus October 2024 [4] level of
107.94%. Furthermore, the trustee-reported weighted average spread
(WAS) has been deteriorating and the current level is 3.00%[5],
compared to 3.55% in October 2024[6].
No actions were taken on the Class A, Class A-1, Class A-1X, Class
A-2, Class A-2X, Class A-3, Class A-3X, Class A-4, Class A-4X,
Class C-1, Class C-1X, Class C-2, Class C-2X, Class C-3, Class
C-3X, Class C-4, Class C-4X, Class D-1, Class D-1X, Class D-2,
Class D-2X, Class D-3, Class D-3X, Class D-4 and Class D-4X 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 the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $482,769,658
Defaulted par: $6,124,134
Diversity Score: 89
Weighted Average Rating Factor (WARF): 2759
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.73%
Weighted Average Coupon (WAC): 3.98%
Weighted Average Recovery Rate (WARR): 46.04%
Weighted Average Life (WAL): 4.75 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 "Collateralized
Loan Obligations" published in October 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.
TOWD POINT 2025-FIX2: DBRS Gives Prov. B Rating on 5 Classes
------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Asset-Backed Securities, Series 2025-FIX2 (the Notes) to be issued
by Towd Point Mortgage Trust 2025-FIX2 (TPMT 2025-FIX2 or the
Trust):
-- $310.8 million Class A1 at (P) AAA (sf)
-- $19.9 million Class A2 at (P) AA (high) (sf)
-- $17.8 million Class M1 at (P) A (high) (sf)
-- $16.6 million Class M2A at (P) A (low) (sf)
-- $10.2 million Class M2B at (P) BBB (high) (sf)
-- $10.2 million Class B1 at (P) BB (sf)
-- $4.5 million Class B2 at (P) B (sf)
-- $19.9 million Class A2A at (P) AA (high) (sf)
-- $19.9 million Class A2AX at (P) AA (high) (sf)
-- $19.9 million Class A2B at (P) AA (high) (sf)
-- $19.9 million Class A2BX at (P) AA (high) (sf)
-- $19.9 million Class A2C at (P) AA (high) (sf)
-- $19.9 million Class A2CX at (P) AA (high) (sf)
-- $19.9 million Class A2D at (P) AA (high) (sf)
-- $19.9 million Class A2DX at (P) AA (high) (sf)
-- $17.8 million Class M1A at (P) A (high) (sf)
-- $17.8 million Class M1AX at (P) A (high) (sf)
-- $17.8 million Class M1B at (P) A (high) (sf)
-- $17.8 million Class M1BX at (P) A (high) (sf)
-- $17.8 million Class M1C at (P) A (high) (sf)
-- $17.8 million Class M1CX at (P) A (high) (sf)
-- $17.8 million Class M1D at (P) A (high) (sf)
-- $17.8 million Class M1DX at (P) A (high) (sf)
-- $16.6 million Class M2AA at (P) A (low) (sf)
-- $16.6 million Class M2AAX at (P) A (low) (sf)
-- $16.6 million Class M2AB at (P) A (low) (sf)
-- $16.6 million Class M2ABX at (P) A (low) (sf)
-- $16.6 million Class M2AC at (P) A (low) (sf)
-- $16.6 million Class M2ACX at (P) A (low) (sf)
-- $16.6 million Class M2AD at (P) A (low) (sf)
-- $16.6 million Class M2ADX at (P) A (low) (sf)
-- $10.2 million Class M2BA at (P) BBB (high) (sf)
-- $10.2 million Class M2BAX at (P) BBB (high) (sf)
-- $10.2 million Class M2BB at (P) BBB (high) (sf)
-- $10.2 million Class M2BBX at (P) BBB (high) (sf)
-- $10.2 million Class M2BC at (P) BBB (high) (sf)
-- $10.2 million Class M2BCX at (P) BBB (high) (sf)
-- $10.2 million Class M2BD at (P) BBB (high) (sf)
-- $10.2 million Class M2BDX at (P) BBB (high) (sf)
-- $10.2 million Class B1A at (P) BB (sf)
-- $10.2 million Class B1AX at (P) BB (sf)
-- $10.2 million Class B1B at (P) BB (sf)
-- $10.2 million Class B1BX at (P) BB (sf)
-- $4.5 million Class B2A at (P) B (sf)
-- $4.5 million Class B2AX at (P) B (sf)
-- $4.5 million Class B2B at (P) B (sf)
-- $4.5 million Class B2BX at (P) B (sf)
The (P) AAA (sf) credit rating reflects 20.50% of credit
enhancement provided by subordinate notes. The (P) AA (high) (sf),
(P) A (high) (sf), (P) A (low) (sf), (P) BBB (high) (sf), (P) BB
(sf), and (P) B (sf) credit ratings reflect 15.40%, 10.85%, 6.60%,
4.00%, 1.40%, 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-rate, prime
and near-prime, and junior-lien revolving home equity line of
credit (HELOCs) funded by the issuance of the Asset-Backed
Securities, Series 2025-FIX2 (the Notes). The Notes are backed by
3,960 mortgage loans with a total principal balance of
$390,925,673.
The portfolio, on average, is nine months seasoned, though
seasoning ranges from three months to 14 months. All the loans were
underwritten with Morningstar DBRS-defined full documentation
standards. All the loans are current and 100.0% have never been
delinquent since origination.
Transaction and Other Counterparties
TPMT 2025-FIX2 is a 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. Newrez, LLC will act
as Master Servicer and will be responsible for making interest
advances on each mortgage loan until deemed unrecoverable.
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. The
Issuer may enter into a credit agreement, pursuant to which the
Issuer may borrow up to $19,549,000 in the aggregate from the Risk
Retention Holder on the Closing Date (the CVR Loan).
HELOC Features
All the mortgage loans are HELOCs with three-year initial draw
periods, and 15-, 20-, or 30-year original terms to maturity. Each
HELOC loan is fully amortizing and has no interest only (IO)
period. All HELOCs in this transaction are fixed rate loans and do
not 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 sequential cash flow structure. The
Interest remittance will be distributed concurrently to the Notes
and the Funding Interest Owner. Accrued interest and unpaid
interest shortfall will be distributed sequentially to the Notes.
The Funding Interest Owner, as further described below, will
receive its principal distribution 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 or CVR Loan 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 October 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 HELOC, that is 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 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 November 7,
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.
TRESTLES CLO IX: Fitch Assigns 'B-(EXP)sf' Rating on Class F Notes
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Trestles CLO IX, Ltd.
Entity/Debt Rating
----------- ------
Trestles CLO IX,
Ltd.
A-1 LT NR(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D-1 LT BBB-(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
F LT B-(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
Transaction Summary
Trestles CLO IX, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by APC
Asset Development II, LP. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: 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 100% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.34% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 43.5% 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 that of 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 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 'Bsf' 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, between less
than 'B-sf' and 'B+sf' for class E, and between less than 'B-sf'
and 'B+sf' for class F.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, 'BBB+sf' for class E, and 'BBB-sf'
for class F.
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 Trestles CLO IX,
Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
TRESTLES CLO IX: Fitch Assigns 'B-sf' Rating on Class F Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Trestles
CLO IX, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Trestles CLO IX, Ltd.
A-1 LT NRsf New Rating NR(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-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
F LT B-sf New Rating B-(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
Transaction Summary
Trestles CLO IX, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by APC
Asset Development II, LP. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: 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 100% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.34% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 43.5% 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 that of 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 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 'Bsf' 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, between less
than 'B-sf' and 'B+sf' for class E, and between less than 'B-sf'
and 'B+sf' for class F.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, 'BBB+sf' for class E, and 'BBB-sf'
for class F.
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.
Date of Relevant Committee
23-Oct-2025
ESG Considerations
Fitch does not provide ESG relevance scores for Trestles CLO IX,
Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
UBS COMMERCIAL 2018-C14: Fitch Affirms CCC Rating on 4 Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of UBS Commercial Mortgage
Trust 2018-C14. The Rating Outlook for classes C, D, E and X-D was
revised to Stable from Negative.
Entity/Debt Rating Prior
----------- ------ -----
UBS 2018-C14
A-3 90278KAZ4 LT AAAsf Affirmed AAAsf
A-4 90278KBA8 LT AAAsf Affirmed AAAsf
A-S 90278KBD2 LT AAAsf Affirmed AAAsf
A-SB 90278KAY7 LT AAAsf Affirmed AAAsf
B 90278KBE0 LT AA-sf Affirmed AA-sf
C 90278KBF7 LT A-sf Affirmed A-sf
D 90278KAJ0 LT BBBsf Affirmed BBBsf
E 90278KAL5 LT BBsf Affirmed BBsf
F 90278KAN1 LT CCCsf Affirmed CCCsf
G 90278KAQ4 LT CCCsf Affirmed CCCsf
X-A 90278KBB6 LT AAAsf Affirmed AAAsf
X-B 90278KBC4 LT AA-sf Affirmed AA-sf
X-D 90278KAA9 LT BBsf Affirmed BBsf
X-F 90278KAC5 LT CCCsf Affirmed CCCsf
X-G 90278KAE1 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Stable to Improved 'Bsf' Loss Expectations and Performance:
Deal-level 'Bsf' rating case loss is 4%, down from 5.1% at Fitch's
prior rating action. Nine loans (25.9%) were flagged as Fitch Loans
of Concern (FLOCs), including three loans (8.1%) in special
servicing. The affirmations reflect that, aside from the FLOCs, the
pool has experienced stable to improved performance since the last
rating action.
The Outlook revisions to classes C, D, E and X-D reflect the
decline in expected pool losses, driven primarily by improved net
cash flow of the largest loan in the pool, GNL Portfolio (8.4%), as
well as continued increases in credit enhancement (CE) and three
newly defeased loans (9.2%). In additional to its base case
analysis, Fitch ran a sensitivity scenario that increased the
probability of default on two office FLOCs, Orchard Ridge Corporate
Park and 1670 Broadway, which recently transferred to special
servicing after failing to refinance at its September 2025
maturity. This scenario contributed to the affirmations and Outlook
revisions.
Loss Contributors: The largest contributor to overall pool loss
expectations and the largest loan in the pool, GNL Portfolio, is
secured by seven cross-collateralized, single-tenant
office/industrial properties totaling 647,713 sf located across six
states and seven distinct markets. The loan, sponsored by Global
Net Lease, was designated a FLOC due to occupancy declines.
The GNL Portfolio's Nimble Storage property (25% of portfolio NRA;
San Jose, CA) remains vacant after the sole tenant Nimble Storage
vacated at lease expiration in October 2021. The borrower has a
contract for the sale of the vacated Nimble Storage property, with
an estimated closing date by the end of 2025. A partial release
will be required. Once the vacant property release is settled and
performance improves, the loan may no longer be considered a FLOC.
TTM March 2025 NOI DSCR increased to 1.20x from 1.17x at YE 2024,
1.15x at YE 2023, 1.10x at YE 2022, 2.14x at YE 2021 and 2.10x at
YE 2020. Fitch's Bsf' rating-case loss (prior to concentration
add-on) of 13.8% reflects a 10% cap rate and a 10% stress to the
TTM March 2025 NOI. Expected losses at the prior rating action were
18.7%.
The second-largest contributor to overall pool loss expectations is
Clevelander South Beach (6%), which is secured by a 59-key
full-service hotel located in Miami Beach, FL. The
servicer-reported occupancy and NOI DSCR were 70% and 1.51x,
respectively at YE 2023, compared to 65% and 1.62x at YE 2022. YE
2024 financials were requested but were not provided. Fitch's 'Bsf'
rating case loss of 9.5% (prior to concentration adjustments) is
based on a 11.75% cap rate and a 15% stress to YE 2023 NOI.
Orchard Ridge Corporate Park (2.5%) is secured by a 156,948-sf
mixed-use (office/industrial/R&D) property located in Brewster, NY.
The loan was designated a FLOC due to low DSCR and upcoming
rollover. The largest tenant, Worth Imports, L (22% NRA and 24%
rent) has a lease expiration of March 31, 2026. A leasing update
was requested but was not provided. The servicer-reported occupancy
and NOI DSCR were 94% and 1.0x, respectively at YE 2024, compared
to 97.8% and 0.82x at YE 2023. Fitch's 'Bsf' rating case loss of
8.9% (prior to concentration adjustments) is based on a 9.25% cap
rate and a 15% stress to YE 2024 NOI due to upcoming rollover
concerns.
Increasing Credit Enhancement (CE): As of the September 2025
remittance report, the transaction has been reduced by 19% since
issuance including $4.8 million in realized losses to date. Seven
loans (15.4%) are defeased. Interest shortfalls of approximately
$344,000 are impacting non-rated class NR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the 'AAAsf' rated classes are not expected due to
high CE and senior position in the capital structure, continued
expected amortization and loan repayments, but may occur if
deal-level losses increase significantly and/or interest shortfalls
occur or are expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories are
not expected but could occur should performance of the FLOCs
deteriorate further or if more loans than expected default at or
prior to maturity.
Downgrades to classes rated in the 'BBBsf' and 'BBsf' categories
are possible with higher-than-expected losses from continued
underperformance of the FLOCs, particularly 1670 Broadway, Crowne
Plaza - Jacksonville (Airport) and Orchard Ridge Corporate Park and
with greater certainty of losses on the specially serviced loans or
other FLOCs.
Downgrades to distressed ratings of '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 'AAsf' and 'Asf' category rated classes are possible
with continued stable to improved pool-level loss expectations and
continued increased CE.
Upgrades to the 'BBBsf' category rated class would be limited based
on sensitivity to concentrations or the potential for future
concentration and would only occur following sustained improved
performance of the FLOCs, particularly GNL Portfolio. Classes would
not be upgraded above 'AA+sf' if interest shortfalls are likely.
Upgrades to the 'BBsf' category rated classes are unlikely until
the later years of a transaction. These upgrades will only occur if
the remaining pool's performance is stable and there is sufficient
CE for the classes.
Upgrades to distressed ratings are not expected, but possible with
better-than-expected recoveries of specially serviced loans or
improved performance of 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.
UNLOCK HEA 2025-2: DBRS Gives Prov. BB Rating on C Notes
--------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the Asset-Backed
Notes, Series 2025-2 (the Notes) to be issued by Unlock HEA Trust
2025-2 as follows:
-- $167.7 million Class A at (P) A (low) (sf)
-- $47.8 million Class B at (P) BBB (low) (sf)
-- $39.7 million Class C at (P) BB (sf)
The (P) A (low) (sf) credit rating reflects credit enhancement of
47.51% for Class A, the (P) BBB (low) (sf) credit rating reflects
credit enhancement of 32.55% for Class B, and the (P) BB (sf)
credit rating reflects credit enhancement of 20.13% for Class C.
Other than the specified classes above, Morningstar DBRS did not
rate any other classes in this transaction.
Home equity investments (HEIs) allow homeowners access to the
equity in their homes without having to sell their homes or make
monthly mortgage payments. HEIs provide homeowners with an
alternative to borrowing and are available to homeowners of any age
(unlike reverse mortgage loans, for example, for which there is
often a minimum age requirement). A homeowner receives an upfront
cash payment (an Advance or an Investment Payment) in exchange for
giving an Investor (i.e., an Originator) a stake in their property.
The homeowner retains sole right of occupancy of the property and
pays all upkeep and expenses during the term of the HEI, but the
Originator earns an investment return based on the future value of
the property, typically subject to a returns cap.
Like reverse mortgage loans, the HEI underwriting approach is
asset-based, meaning there is greater emphasis placed on the value
of the underlying property and the amount of home equity than on
the credit quality of the homeowner. The property value is the main
focus for predicting investment return because it is the primary
source of funds to satisfy the obligation. HEIs are nonrecourse; in
a default situation a homeowner is not required to provide
additional funds when the HEI settlement amount exceeds the
remaining equity value in the property (after accounting for any
other obligations such as senior liens, if applicable). Recovery of
the Advance and any Originator return is driven by the structure of
the agreement, the amount of appreciation/depreciation on the
property, the amount of debt that may be senior to the HEA, and the
cap on investor return.
As of the cut-off date, the collateral consists of approximately
$319.5 million in current exercise value from 2,276 nonrecourse HEI
agreements secured by first, second, third and fourth liens on
single-family detached, multifamily (two- to four-family),
condominium, and townhouse properties. All of the contracts in the
asset pool were originated between 2020 and 2025.
Of the pool, 318 contracts in the transaction are first-lien
contracts, representing roughly $57.5 million in current exercise
value; 1,657 are second-lien contracts, representing roughly $225.4
million in current exercise value, 300 are third-lien contracts,
representing roughly $36.6 million in current exercise value, and
one contract is a fourth-lien contract, representing roughly
$84,700 in current exercise value.
Of the pool, 18.1% of the contracts are first lien and have a
weighted-average (WA) exchange rate of 1.71 times (x), 70.5% are
second-lien contracts and have a WA exchange rate of 1.73x, 11.4%
of the pool are third-lien contracts with a WA exchange rate of
1.74x, and the remaining 0.02% of the pool includes one fourth-lien
contract with a WA exchange rate of 1.60x. This brings the entire
transaction's WA exchange rate to 1.73x. To better understand the
impact and mechanics of exchange rates, please see the example in
the Contract Mechanics--Worked Example section of the related
presale report. The current unadjusted loan-to-value ratio of the
pool is 34.46% (i.e., of senior liens ahead of the contracts). At
cut-off, the pool had a WA contract-to-value (also known as
option-to-value) of 20.89%, and a WA loan plus contract-to-value
(also known as loan plus option-to-value, or LOTV) of 55.35%.
The transaction uses a sequential structure in which cash
distributions are first made to reduce the interest payment amount
and any interest carryforward amount on Class A-IO, Class A, Class
B (as long as a trigger event is not in effect), and Class C Notes
(as long as a trigger event is not in effect). Payments are then
made to reduce the note principal balance on Class A Notes until
such notes are paid off. With respect to the Class B Notes,
payments are first made to any remaining Interest Payment Amount
and Interest Carryforward Amount and then to reduce the note
principal balance until such notes are paid off. With respect to
the Class C Notes, payments are first made to any remaining
Interest Payment Amount and Interest Carryforward Amount and then
to reduce the note principal balance until such notes are paid off.
The Class D Notes are principal only and will not be entitled to
any payments until the Class A, B, and C Notes have been paid
down.
A Trigger Event will occur if (1) the payment date on which the
Reserve Fund is less than 50% of the Reserve Fund Target Amount or
(2) the payment date on which the average home price valuation of
the outstanding HEA is less than 80% of the starting home valuation
as of the cut-off date. During a Trigger Event, the Class B and C
Notes shall not receive any interest or principal payments until
the Class A Notes are fully paid down. The Class C Notes shall not
receive any interest or principal payments until both the Class A
and B Notes are fully paid down.
Notes: All figures are in U.S. dollars unless otherwise noted.
VENTURE XXVI CLO: Moody's Cuts Rating on $25.7MM E Notes to Caa3
----------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Venture XXVI CLO, Limited:
US$25,700,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (current balance of $22,860,175.71), Downgraded to Caa3
(sf); previously on Apr 9, 2025 Downgraded to Caa1 (sf)
Venture XXVI CLO, Limited, originally issued in February 2017 and
partially refinanced in January 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 2022.
RATINGS RATIONALE
The rating action reflects the transaction's recent deal
performance, analysis of the transaction structure, Moody's updated
loss expectations on the underlying pool and Moody's revised
loss-given-default expectation.
The Class E notes are currently undercollateralized. Moody's
expectations of loss-given-default assesses losses experienced by,
and expected future losses on the notes, as a percent of the
original notes balance.
Methodology Used for the Rating Action:
The principal methodology used in this rating was "Collateralized
Loan Obligations" published in October 2025.
Factors that would lead to an upgrade or downgrade of the rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
VISTA POINT 2025-CES3: DBRS Finalizes B Rating on B2 Notes
----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following Asset-Backed Securities, Series 2025-CES3 (the Notes)
issued by Vista Point Securitization Trust 2025-CES3 (VSTA
2025-CES3 or the Trust):
-- $253.3 million Class A-1 at AAA (sf)
-- $17.5 million Class A-2 at AA (sf)
-- $17.7 million Class A-3 at A (sf)
-- $18.9 million Class M-1 at BBB (sf)
-- $17.4 million Class B-1 at BB (sf)
-- $11.7 million Class B-2 at B (sf)
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The AAA (sf) credit rating on the Notes reflects 27.75% of credit
enhancement provided by subordinate Notes. The AA (sf), A (sf), BBB
(sf), BB (sf), and B (sf) credit ratings reflect 22.75%, 17.70%,
12.30%, 7.35%, and 4.00% of credit enhancement, respectively.
VSTA 2025-CES3 is a securitization of a portfolio of fixed, prime,
expanded-prime, closed-end second-lien (CES) residential mortgages
funded by the issuance of the Notes. The Notes are backed by 1,398
mortgage loans with a total principal balance of $350,522,946 as of
the Cut-Off Date (September 30, 2025).
The portfolio, on average, is two months seasoned, though seasoning
ranges from zero to seven months. Borrowers in the pool represent
prime and expanded-prime credit quality--weighted-average
Morningstar DBRS-calculated FICO score of 734, Issuer-provided
original combined loan-to-value ratio of 65.7%. The loans were
generally originated with Morningstar DBRS-defined full
documentation standards.
As of the Cut-Off Date, all but seven loans (0.4% of the pool),
were current. Since then, four loans (0.1%) that were 30 days
delinquent have self-cured, leaving 0.3% of the pool 30 days
delinquent under the Mortgage Bankers Association (MBA) delinquency
method. Additionally, none of the borrowers are in active
bankruptcy.
VSTA 2025-CES3 represents the sixth CES securitization by Vista
Point Mortgage, LLC. Vista Point Mortgage, LLC (19.1%) and
FundLoans Capital, Inc. (10.2%) are the top originators for the
mortgage pool. The remaining originators each comprise less than
10.0% of the mortgage loans.
Carrington Mortgage Services, LLC (Carrington; 100.0%) 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,
Note Registrar, and Certificate Registrar. U.S. Bank National
Association will act as the Custodian. U.S. Bank Trust National
Association will act as the Delaware Trustee.
On or after the earlier of (1) the Payment Date occurring in
October 2028 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Controlling Holder (majority holder of the Class XS
Notes; initially expected to be affiliate of the Sponsor), may
terminate the Issuer at a price equal to the greater of (A) the
class balances of the related Notes plus accrued and unpaid
interest, including any cap carryover amounts and (B) the principal
balances of the mortgage loans plus accrued and unpaid interest,
including fees, expenses, and indemnification amounts. The
Controlling Holder must complete a qualified liquidation, which
requires (1) a complete liquidation of assets within the Trust and
(2) proceeds to be distributed to the appropriate holders of
regular or residual interests.
The Controlling Holder will have the option, but not the
obligation, to repurchase any mortgage loan (other than loans under
forbearance plan as of the Closing Date) that becomes 90 or more
days delinquent at the repurchase price (par plus interest),
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.
Although the majority of the mortgage loans were originated to
satisfy the Consumer Financial Protection Bureau's Ability-to-Repay
(ATR) rules, they were made to borrowers who generally do not
qualify for agency, government, or private-label nonagency prime
jumbo products for various reasons. In accordance with the
Qualified Mortgage (QM)/ATR rules, 73.1% of the loans are
designated as non-QM, 6.2% are designated as QM Safe Harbor, and
0.2% are designated as QM Rebuttable Presumption. Approximately
20.5% of the mortgages are loans were not subject to the QM/ATR
rules as they are made to investors for business purposes.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction. In addition, the related servicer is not obligated to
make advances in respect of homeowner association fees, taxes, and
insurance, installment payments on energy improvement liens, and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties unless a determination is made that
there will be material recoveries.
For this transaction, any loan that 180 days delinquent under the
MBA delinquency method, upon review by the related Servicer, may be
considered a Charged Off Loan. With respect to a Charged Off Loan,
the total unpaid principal balance will be considered a realized
loss and will be allocated reverse sequentially to the Noteholders.
If there are any subsequent recoveries for such Charged Off Loans,
the recoveries will be included in the principal remittance amount
and applied in accordance with the principal distribution
waterfall; in addition, any class principal balances of Notes that
have been previously reduced by allocation of such realized losses
may be increased by such recoveries sequentially in order of
seniority. Morningstar DBRS' analysis assumes reduced recoveries
upon default on loans in this pool.
This transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls after
the more senior tranches are paid in full (IPIP).
Notes: All figures are in U.S. dollars unless otherwise noted.
WELLFLEET CLO 2021-4: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
WellFleet CLO 2021-4, LTD reset transaction.
Entity/Debt Rating
----------- ------
Wellfleet CLO
2021-4, Ltd.
X LT NRsf New Rating
A-1-R LT NRsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT A+sf 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
F-R LT NRsf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
WellFleet CLO 2021-4, LTD. Reset (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
Blue Owl Liquid Credit Advisors LLC originally closed in March
2021. This is the first refinancing of the deal where all the
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 $399.77 million
(excluding defaulted loans) 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 95.06%
first-lien senior secured loans and has a weighted average recovery
assumption of 74.68%. 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 five-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting to
the indicative portfolio to reflect permissible concentration
limits and collateral quality test levels.
Cash Flow Analysis: 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,
and between less than 'B-sf' and 'BB+sf' for class D-2-R and
between less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'Asf'
for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Wellfleet CLO
2021-4, 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.
WELLFLEET CLO 2021-4: Moody's Assigns B3 Rating to $1MM F-R Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of
refinancing notes (the Refinancing Notes) issued by Wellfleet CLO
2021-4, Ltd. (the Issuer):
US$2,400,000 Class X Senior Secured Floating Rate Notes due 2038,
Definitive Rating Assigned Aaa (sf)
US$256,000,000 Class A-1-R Senior Secured Floating Rate Notes due
2038, Definitive Rating Assigned Aaa (sf)
US$1,000,000 Class F-R Junior Secured 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%
of the portfolio must consist of first lien senior secured loans
and up to 10% of the portfolio may consist of permitted non-loan
assets, second lien loans, senior unsecured loans and first-lien
last out loans.
Blue Owl Liquid Credit Advisors LLC (the Manager) will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing Notes and the other
classes of secured notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: 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 the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:
Portfolio par (including any principal proceeds): $400,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2901
Weighted Average Spread (WAS): 3.00%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
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.
WELLINGTON MANAGEMENT 1: S&P Assigns BB- (sf) Rating on ER Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, B-R, C-R, D-1-R, D-2-R, and E-R notes and class A-R loans from
Wellington Management CLO 1 Ltd./Wellington Management CLO 1 LLC, a
CLO managed by Wellington Management CLO Advisors LLC, that was
originally issued in October 2023. At the same time, S&P withdrew
its ratings on the previous class A, B, C, D, and E notes and class
A loans following payment in full on the Nov. 3, 2025, refinancing
date.
The replacement debt was 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
notes and A-R loans were issued at a lower spread over three-month
SOFR than the existing debt.
-- The non-call period was extended to Oct. 20, 2027.
-- The reinvestment period was extended to Oct. 20, 2030.
-- The legal final maturity date for the replacement debt was
extended to Oct. 20, 2038.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- No additional subordinated notes were issued on the refinancing
date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Wellington Management CLO 1 Ltd./Wellington Management CLO 1 LLC
Class A-R, $150.0 million: AAA (sf)
Class A-R loans(i), $100.0 million: AAA (sf)
Class B-R, $54.0 million: AA (sf)
Class C-R (deferrable), $24.0 million: A (sf)
Class D-1-R (deferrable), $20.0 million: BBB (sf)
Class D-2-R (deferrable), $5.0 million: BBB- (sf)
Class E-R (deferrable), $13.4 million: BB- (sf)
Ratings Withdrawn
Wellington Management CLO 1 Ltd./Wellington Management CLO 1 LLC
Class A to NR from 'AAA (sf)'
Class A loans to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
Wellington Management CLO 1 Ltd./Wellington Management CLO 1 LLC
Subordinated notes, $42.0 million: NR
(i)The class A loans may not be convertible to class A notes and
class A notes may not be convertible to class A loans.
WELLS FARGO 2016-C37: DBRS Puts B(high) Rating on H Certs on Review
-------------------------------------------------------------------
DBRS Limited placed the credit ratings for 13 classes Under Review
with Negative Implication as follows:
Commercial Mortgage Pass-Through Certificates, Series 2016-C37
issued by Wells Fargo Commercial Mortgage Trust 2016-C37
-- Class D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class X-EF at BBB (sf)
-- Class F at BBB (low) (sf)
-- Class X-G at BBB (low) (sf)
-- Class G at BB (high) (sf)
-- Class X-H at BB (low) (sf)
-- Class H at B (high) (sf)
Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE15
issued by COMM 2014-CCRE15 Mortgage Trust
-- Class C at AA (sf)
-- Class PEZ at AA (sf)
-- Class X-B at A (low) (sf)
-- Class D at BBB (high) (sf)
-- Class E at CCC (sf)
With this credit rating action, these classes no longer carry
trends, as applicable.
Morningstar DBRS has varying tolerance thresholds for unpaid
interest relative to a bond's assigned credit rating, limited at
one to two remittance periods at the AA and A credit rating
categories, three to four remittance periods for the BBB credit
rating category, and five to six remittance periods for the BB and
B credit rating categories. As of the October 2025 remittance,
these certificates were either exposed to interest shortfalls or
the potential of future interest shortfalls. Given the
concentration of loans that are in special servicing in the
respective transactions, and the uncertainty surrounding the timing
of disposition of those loans and the servicer's decision making
through the remaining workout period with regard to interest
advances and future interest shortfalls, Morningstar DBRS placed
those classes Under Review with Negative Implications. Morningstar
DBRS is gathering information from the servicer to evaluate the
likelihood that the outstanding shortfalls will be repaid and/or if
shortfalls are expected to continue to grow. Should interest
shortfalls continue to accrue and/or persist beyond Morningstar
DBRS' shortfall tolerance levels, credit rating downgrades may be
warranted.
Notes: All figures are in U.S. dollars unless otherwise noted.
WFRBS 2014-C20: DBRS Cuts Class C Certs Rating to C
---------------------------------------------------
DBRS, Inc. downgraded its credit ratings on two classes of
Commercial Mortgage Pass-Through Certificates, Series 2014-C20
issued by WFRBS Commercial Mortgage Trust 2014-C20 as follows:
-- Class B to CCC (sf) from BB (high) (sf)
-- Class C to C (sf) from CCC (sf)
Classes B and C have credit ratings that do not typically carry
trends in commercial mortgage-backed securities (CMBS)
transactions.
The credit rating downgrades reflect Morningstar DBRS' increased
loss projections for the five remaining loans in the pool, all of
which are specially serviced as of the October 2025 reporting.
Based on a recoverability analysis, which incorporates conservative
haircuts to the most recent appraised values for individual
properties, servicer advances, and additional projected expenses,
implied losses totaled nearly $89.4 million, eroding nearly 75% of
the Class C certificate balance and significantly decreasing the
credit enhancement provided to Class B, supporting the credit
rating downgrades. In addition, all remaining loans have
non-recoverability determinations, with the entirety of interest
due to the trust being shorted. Given this and the uncertainty
regarding the timing for the disposition of the remaining assets,
Morningstar DBRS expects there is a high likelihood that shortfalls
will persist, further supporting the credit rating downgrade of
Class B.
The largest remaining loan, Sugar Creek I & II (Prospectus ID#4,
35.4% of the pool), is secured by two adjacent Class A office
buildings in Sugar Land, Texas, totaling 409,618 square feet (sf).
The loan has been real estate owned since February 2023, and the
lender has experienced continued issues in leasing up space, with
the March 2025 occupancy reported at 36.1%, down from 55.2% the
prior year, primarily due to the departure of the former
second-largest tenant, Noble Drilling Services (17.7% of the net
rentable area (NRA), lease expiry in December 2024), which vacated
at lease expiry. The property is located in the distressed
southwest Houston submarket, which according to Reis reported a Q2
2025 vacancy of 28.2%. The property was appraised in June 2025 for
$24.9 million, marking the fourth consecutive decline in appraised
value since the issuance value of $83.5 million. As part of the
recoverability analysis considered for this review, Morningstar
DBRS liquidated this loan from the pool, applying a 20% haircut to
the March 2025 appraised value, which resulted in a loss severity
in excess of 75%.
The second-largest remaining loan, Worldgate Centre (Prospectus
ID#3, 32.0% of the pool), is secured by a 229,326 sf anchored
retail center in suburban Herndon, Virginia, near Dulles
International Airport. The loan was previously in forbearance with
a July 2026 maturity date; however, it subsequently defaulted on
the January 2025 payment and the borrower expressed a desire to
hand back the keys. As of the October 2025 reporting, the special
servicer is working to establish receivership and transfer of
title. Loan performance has been distressed and covering below a
breakeven debt service coverage ratio since 2020, coinciding with
the chapter 7 bankruptcy of the former largest tenant, Sport &
Health (approximately 45.0% of the NRA). While the borrower
re-opened the gym with management assistance and invested over $3.0
million in capital improvements, a new fitness center tenant has
not been secured. Occupancy has remained quite stable, with the
June 2025 rent roll reporting an occupancy of 99.9%; however, the
landlord continues to operate the fitness center and is not
collecting rent, with an implied economic occupancy rate of just
54%. According to the most recent appraisal dated July 2025, the
as-is value was reported at $23.9 million, down from $37.1 million
at last review and $88.5 million at issuance. Morningstar DBRS
applied a 10% haircut to the July 2025 appraisal in the liquidation
analysis considered for the loan as part of this review, resulting
in loss severity above 60%.
Notes: All figures are in U.S. dollars unless otherwise noted.
WFRBS COMMERCIAL 2012-C10: Moody's Cuts Cl. B Certs Rating to Ba1
-----------------------------------------------------------------
Moody's Ratings has affirmed the ratings on two classes and
downgraded the ratings on four classes in WFRBS Commercial Mortgage
Trust 2012-C10 ("WFRBS 2012-C10"), Commercial Mortgage Pass-Through
Certificates, Series 2012-C10 as follows:
Cl. B, Downgraded to Ba1 (sf); previously on August 13, 2024
Affirmed Baa2 (sf)
Cl. C, Downgraded to Caa1 (sf); previously on August 13, 2024
Affirmed B3 (sf)
Cl. D, Downgraded to Ca (sf); previously on August 13, 2024
Affirmed Caa3 (sf)
Cl. E, Affirmed C (sf); previously on August 13, 2024 Affirmed C
(sf)
Cl. F, Affirmed C (sf); previously on August 13, 2024 Affirmed C
(sf)
Cl. X-B*, Downgraded to B2 (sf); previously on August 13, 2024
Downgraded to Ba3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on three P&I classes were downgraded due to increased
risk of interest shortfalls and higher anticipated losses from
specially serviced and troubled loans. All three remaining loans in
the pool failed to pay off at their original scheduled maturity
dates in late 2022. As of the October 2025 remittance date, two
loans, representing 53% of the pool, are in special servicing and
are secured by poorly performing regional mall loans that have had
a decline in performance since last review and securitization. The
two regional malls have both had receivers appointed and the master
servicer has recognized an appraisal reduction on both loans. One
loan, representing 47% of the pool, is secured by an office
property that failed to pay off at its original maturity date and
has since been extended through March 2026. In Moody's rating
analysis Moody's also analyzed loss and recovery scenarios to
reflect the recovery value, the current cash flow of the property
and timing to ultimate resolution on the remaining loans and
properties in the pool.
The ratings on two P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO Class (Cl. X-B) was downgraded due to a
decline in the credit quality of its referenced classes.
Moody's regard e-commerce competition as a social risk under
Moody's ESG framework. The rise in e-commerce and changing consumer
behavior presents challenges to brick-and-mortar discretionary
retailers. The transaction's Issuer Profile Score (IPS) is S-4 and
the transaction's Credit Impact Score is CIS-4.
Moody's rating action reflects a base expected loss of 55.0% of the
current pooled balance, compared to 47.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 9.9% of the
original pooled balance, compared to 8.8% at the last review.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
January 2025.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 53% of the pool is in
special servicing and Moody's have identified one additional
troubled loan representing 47% of the pool. In this approach,
Moody's determines a probability of default for each specially
serviced and troubled loan that it expects will generate a loss and
estimates a loss given default based on a review of broker's
opinions of value (if available), other information from the
special servicer, available market data and Moody's internal data.
The loss given default for each loan also takes into consideration
repayment of servicer advances to date, estimated future advances
and closing costs. Translating the probability of default and loss
given default into an expected loss estimate, Moody's then apply
the aggregate loss from specially serviced and troubled loans to
the most junior class(es) and the recovery as a pay down of
principal to the most senior class(es).
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool and an increase in realized
and expected losses from specially serviced and troubled loans or
interest shortfalls.
DEAL PERFORMANCE
As of the October 20, 2025 distribution date, the transaction's
aggregate certificate balance has decreased by 83% to $217 million
from $1.31 billion at securitization. The certificates are
collateralized by three mortgage loans ranging in size from 20% to
47% of the pool.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $9.4 million (for an average loss
severity of 16.5%). Two loans, constituting 53% of the pool, are
currently in special servicing.
The largest specially serviced loan is the Dayton Mall Loan ($70.0
million – 32.2% of the pool), which is secured by a 778,500
square foot (SF), component of a 1.45 million SF, two-story
regional mall located in Dayton, Ohio. The property is sponsored by
Washington Prime Group (WPG). The mall's current anchor tenants
include JC Penney (collateral), Dick's Sporting Goods (collateral)
and Crossroads Church Dayton (non-collateral). Sears, a prior
non-collateral anchor, closed at this location during 2018 and was
replaced with Crossroads Church Dayton. Macy's, a prior
non-collateral anchor, will be closing at this location and their
space is currently listed for sale. Elder Beerman, a prior
non-collateral anchor, closed in 2018. The mall collateral was 90%
leased as of March 2025, compared to 92% as of December 2022 and
92% at securitization. Property performance has steadily declined
since securitization. Year-end 2024 NOI was 64% lower than the
underwritten NOI and 39% lower than year-end 2019 NOI. The loan
transferred to special servicing in June 2021 due to the sponsor
filing for bankruptcy. WPG has deemed the property as a non-core
asset and requested the lender to consider taking title to the
property via a Deed in Lieu or appoint a receiver to the property.
A receiver was appointed in December 2021 and is working to
stabilize occupancy at the property, as well as collect past due
rents. The loan has passed its original maturity date of August
2022 and is now non-performing.
The second largest specially serviced loan is the Rogue Valley Mall
Loan ($44.4 million – 20.5% of the pool), which is secured by a
453,935 SF component of an approximately 640,000 SF two-story
regional mall located in Medford, Oregon. The mall has two
non-collateral anchors, Macy's and Kohl's, and two collateral
anchors, JCPenney and Macy's Home Store. The mall is the dominant
mall in the trade area and the only enclosed regional mall within a
100-mile radius. Performance has declined since securitization,
with March 2025 trailing twelve- month NOI down 46% compared to
underwriting and 27% compared to year-end 2019. The collateral was
85% leased as of March 2025, compared to 94% as of December 2023
and 95% at securitization. The loan transferred to special
servicing in June 2020 for payment default and returned to the
master servicer in October 2021 as a corrected mortgage. The loan
transferred back to special servicing again in October 2022 for
imminent monetary default and passed its original maturity date in
October 2022. A receiver was appointed and began managing the
property in February 2024.
Moody's have also assumed a high default probability for the
remaining loan not in special servicing, the Republic Plaza Loan
($102.7 million – 47.3% of the pool), which represents a
pari-passu portion of a $230.1 million loan. The loan is secured by
a 56-story office tower and a separate 12-story parking garage
located in downtown Denver, Colorado. The two largest tenants at
securitization, Encana Oil & Gas and DCP Midstream LP, have both
vacated. The property was 69% leased as of June 2025, compared to
80% in September 2021 and 96% in December 2019. The loan passed its
original maturity date in December 2022. The loan was modified to
interest-only payments and extended to March 2026. The loan has
amortized 17.8% since securitization and was current on P&I
payments as of the October 2025 payment date.
As of the October 20, 2025 remittance statement cumulative interest
shortfalls were $4.98 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
WFRBS COMMERCIAL 2012-C9: DBRS Confirms B(high) Rating on F Certs
-----------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2012-C9 issued by WFRBS
Commercial Mortgage Trust 2012-C9 as follows:
-- Class E at AA (low) (sf)
-- Class F at B (high) (sf)
All trends are Stable.
The credit rating confirmations reflect Morningstar DBRS'
recoverability expectations for the only remaining loan in the
pool, Chesterfield Towne Centre (Prospectus ID#1; 100% of the
current trust balance). The loan, which is secured by a 1.0
million-square-foot (sf) regional mall in the Richmond suburb of
North Chesterfield, Virginia, transferred to special servicing in
September 2022 because of maturity default. In August 2023, a
retroactive forbearance was executed, pushing the maturity first to
October 2023 and later to October 2024. In the last year, the
borrower has submitted principal curtailments, reducing the
principal balance by more than $4.0 million as part of the terms of
the loan modification. The borrower failed to repay at the October
2024 maturity and the loan is currently in default, with the
special servicer in negotiations with the borrower regarding the
workout strategy.
The collateral mall is anchored by JCPenney (in place on a ground
lease through 2050), Macy's, and At Home (lease expirations in 2026
and 2030, respectively), with a dark Sears anchor in place, as
well. The mall is owned and operated by affiliates of Brookfield
Property Partners LP. The servicer reported a physical occupancy
rate of about 82.0% and a debt service coverage ratio of 1.78 times
(x) as of June 2025; both are relatively in line with the YE2024
figures of 82.0% and 1.86x, respectively, and the YE2023 figures of
82.0% and 1.65x, respectively. The Sears rent is still being paid
and the ground lease runs through 2046. According to the tenant
sales report for the trailing 12-month (T-12) period ended June 30,
2025, the property reported in-line sales of about $394 per square
foot (psf), down from $415 psf for the T-12 period ended July 31,
2024. Although the subject is not considered the dominant mall in
the area, it is well located within a commercial corridor that
includes prominent retailers such as Costco Wholesale, Target, and
Sam's Club.
The underlying collateral was reappraised for $83.2 million as of
July 2025, a decline of about 5.0% from the October 2024 appraisal
value estimate of $87.8 million, but relatively in line with the
appraisal value estimate of $84.1 million as of March 2024. The
implied loan-to-value ratio is 84.2% on the July 2025 appraisal and
the current exposure; a de minimis change from the figures
considered as part of Morningstar DBRS' last credit rating action,
given the principal paydown. According to the servicer, the
borrower has a pending sales contract for the property with an
anticipated execution date by YE2025. Although the July 2025
appraised value of $83.2 million is well short of the issuance
appraised value of $170.0 million, Morningstar DBRS is cautiously
optimistic as the property's value has stabilized given the
patterns with the last three appraisals. However, we remain
cautious given increased risk factors, including the near-term
rollover scheduled for Macy's, as well as some in-line tenants, and
the downward trend in the reported tenant sales psf figures for
some time. While these factors are noteworthy, Morningstar DBRS
also notes that the appraised value could be reduced by more than
half before a liquidation scenario analysis would suggest a full
erosion of the unrated Class G balance of $37.5 million, supporting
the credit rating confirmations with this review.
Notes: All figures are in U.S. dollars unless otherwise noted.
[] DBRS Reviews 259 Classes From 94 US RMBS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 259 classes from 94 U.S. residential
mortgage-backed securities (RMBS) transactions. The reviewed
transactions are classified as net interest margin (NIM)
transactions. Morningstar DBRS confirmed its credit ratings on 259
classes.
The Affected Ratings are available at https://tinyurl.com/emc4366d
The Issuers are:
Soundview CI-17 & Soundview Asset Holdings CI-17 Corp., Series
2006-3
Soundview CI-10 & Soundview Asset Holdings CI-10 Corp., Series
2006-2
Soundview CI-7 & Soundview Asset Holdings CI-7 Corp., Series
2005-CTX1
Soundview CI-21 & Soundview Asset Holdings CI-21 Corp., Series
2006-WF2
Soundview CI-13 & Soundview Asset Holdings CI-13 Corp., Series
2006-RS3
Soundview CI-18 & Soundview Asset Holdings CI-18 Corp., Series
2006-EQ1
Soundview CI-19 & Soundview Asset Holdings CI-19 Corp., Series
2006-WF1
Soundview CI-16 & Soundview Asset Holdings CI-16 Corp., Series
2006-KS5
Soundview CI-11 & Soundview Asset Holdings CI-11 Corp., Series
2006-OPT1
Soundview CI-12 & Soundview Asset Holdings CI-12 Corp., Series
2006-OPT2
Soundview CI-14 & Soundview Asset Holdings CI-14 Corp., Series
2006-OPT3
Soundview CI-15 & Soundview Asset Holdings CI-15 Corp., Series
2006-OPT5
First Franklin CI-17 & First Franklin Asset Holdings CI-17 Corp.,
Series 2006-FF16
Meritage CI-4 & Meritage Asset Holdings CI-4 Corp., Series 2005-2
First Franklin CI-16 & First Franklin Asset Holdings CI-16 Corp.,
Series 2006-FF8
Bear Stearns Structured Products Inc. RAMP 2005-RZ3 NIM Trust,
Series BSSP 2005-26
First Franklin CI-15 & First Franklin Asset Holdings CI-15 Corp.,
Series 2005-FFH4
New Century Cayman 2005-B & New Century Asset Holdings 2005-B
Corp.
Fremont CI-6
Fremont CI-7
Fremont CI-8
SB Finance CI-05-ARW4
Argent NIM Trust 2005-WN5
BNC NIMS Trust 2007-3
Alliance NIM Trust 2007-OA1
DSLA NIM CI-3 Corp.
GreenPoint NIM Trust 2005-HE1
SB Finance NIM Trust 2006-NC1
SB Finance NIM Trust 2005-HE4
SB Finance NIM Trust 2007-AMC1
Fremont NIM Trust 2005-D
HASCO NIM Trust, 2005-OPT1
Soundview NIM 2005-KS3 Trust
Fremont CI-4 Series 2005-1
Securitized Asset Backed NIM 2007-BR5
Equifirst NIM Securitization Trust 2007-1
Ameriquest NIM Trust 2006-M3
Nomura Home Equity Loan NIM 2006-HE3
Nomura Home Equity Loan NIM 2006-FM2
Securitized Asset Backed NIM Trust 2006-HE1
Securitized Asset Backed NIM Trust 2006-FR4
Securitized Asset Backed NIM Trust 2007-WF1
Securitized Asset Backed NIM Trust 2007-BR1
Securitized Asset Backed NIM Trust 2006-WF3
Securitized Asset Backed NIM Trust 2005-FR4
Securitized Asset Backed NIM Trust 2006-HE2
Securitized Asset Backed NIM Trust 2006-KS8
Securitized Asset Backed NIM Trust 2007-NC1
Securitized Asset Backed NIM Trust 2007-BR2
Securitized Asset Backed NIM Trust 2006-NC2
Securitized Asset Backed NIM Trust 2006-KS9
Securitized Asset Backed NIM Trust 2007-NC2
Securitized Asset Backed NIM Trust 2005-FR5
Securitized Asset Backed NIM Trust 2006-NC3
Securitized Asset Backed NIM Trust 2005-OP2
Securitized Asset Backed NIM Trust 2007-BR3
Securitized Asset Backed NIM Trust 2006-FR2
Securitized Asset Backed NIM Trust 2007-BR4
Securitized Asset Backed NIM Trust 2005-HE1
Securitized Asset Backed NIM Trust 2005-FR3
Securitized Asset Backed NIM Trust 2006-FR1
Securitized Asset Backed NIM Trust 2006-FR3
Securitized Asset Backed NIM Trust 2006-WM1
HarborView NIM CI-3 Corp.
HarborView NIM CI-4 Corp.
HarborView NIM CI-6 Corp.
Sharps SP I LLC Net Interest Margin 2007-HE5N
HarborView NIM CI-5 Corp.
SASCO NIM Company 2006-BC6 & SASCO ARC Corporation
SASCO NIM Company 2007-BC2 & SASCO ARC Corporation
GreenPoint CI-1 & GreenPoint Asset Holdings CI-1 Corp., Series
2005-HE4
Bear Stearns Structured Products Inc. NIM Trust 2006-3
Bear Stearns Structured Products Inc. NIM Trust 2006-6
Long Beach Asset Holdings Corp. CI 2006-2
Long Beach Asset Holdings Corp. CI 2006-3
Bear Stearns Structured Products Inc. NIM Trust 2007-N3
Bear Stearns Structured Products Inc. NIM Trust 2006-24
Bear Stearns Structured Products Inc. NIM Trust 2006-16
Bear Stearns Structured Products Inc. NIM Trust 2006-21
Bear Stearns Structured Products Inc. NIM Trust 2007-N1
Bear Stearns Structured Products Inc. NIM Trust 2005-27
Bear Stearns Structured Products Inc. NIM Trust 2006-17
Bear Stearns Structured Products Inc. NIM Trust 2007-N5
Bear Stearns Structured Products Inc. NIM Trust 2007-N2
Bear Stearns Structured Products Inc. NIM Trust 2006-22
Bear Stearns Structured Products Inc. NIM Trust 2005-29
Bear Stearns Structured Products Inc. NIM Trust 2006-18
Bear Stearns Structured Products Inc. NIM Trust 2005-32
Bear Stearns Structured Products Inc. NIM Trust 2006-19
Bear Stearns Structured Products Inc. NIM Trust 2006-23
Bear Stearns Structured Products Inc. NIM Trust 2006-20
Bear Stearns Structured Products Inc. NIM Trust 2006-11
Bear Stearns Structured Products Inc. NIM Trust 2006-10
Long Beach Asset Holdings Corp. CI 2005-WL1
CREDIT RATING RATIONALE/DESCRIPTION
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 September 2025 Update" published on September 30, 2025
(https://dbrs.morningstar.com/research/463860). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
The credit rating actions are the result of Morningstar DBRS'
application of its "U.S. RMBS Surveillance Methodology," published
on June 28, 2024.
Notes: All figures are in U.S. dollars unless otherwise noted.
[] DBRS Reviews 262 Classes From 28 US RMBS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 262 classes from 28 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 28
transactions reviewed, four are classified as a small-balance
commercial mortgage transaction collateralized by various types of
commercial, multifamily rental, and mixed-use properties, five are
classified as reperforming mortgages, one is classified as
securitization of a revolving portfolio of residential transition
loans (RTLs) and the remaining 18 deals are classified as
non-qualified mortgages (non-QM). Of the 262 classes reviewed,
Morningstar DBRS upgraded its credit ratings on 46 classes and
confirmed its credit ratings on the remaining 216 classes.
The Affected Ratings are available at https://tinyurl.com/2hbh8zeu
The Issuers are:
PRPM 2023-NQM3 Trust
PRKCM 2021-AFC2 Trust
OBX 2018-1 Trust
MFA 2024-RTL3 Trust
PRPM 2023-RCF2, LLC
PRPM 2024-NQM4 Trust
ATLX 2024-RPL2 Trust
Arroyo Mortgage Trust 2022-1
PRKCM 2023-AFC4 Trust
Deephaven Residential Mortgage Trust 2022-1
Arroyo Mortgage Trust 2021-1R
Towd Point Mortgage Trust 2024-4
Verus Securitization Trust 2022-2
Galton Funding Mortgage Trust 2017-1
Galton Funding Mortgage Trust 2019-H1
Bunker Hill Loan Depositary Trust 2019-3
Saluda Grade Alternative Mortgage Trust 2022-INV1
Deephaven Residential Mortgage Trust 2022-2
Velocity Commercial Capital Loan Trust 2024-6
Velocity Commercial Capital Loan Trust 2021-4
Velocity Commercial Capital Loan Trust 2023-4
Velocity Commercial Capital Loan Trust 2023-1
Verus Securitization Trust 2023-INV3
Homeward Opportunities Fund Trust 2020-2
Chase Home Lending Mortgage Trust 2023-RPL3
New Residential Mortgage Loan Trust 2019-NQM4
GS Mortgage-Backed Securities Trust 2024-RPL6
New Residential Mortgage Loan Trust 2019-NQM5
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 September 2025 Update" published on September 30, 2025
(https://dbrs.morningstar.com/research/463860). 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),
North American CMBS Surveillance Methodology (February 28, 2025)
https://dbrs.morningstar.com/research/448963 and Rating U.S.
Structured Finance Transactions (Appendix XVIII: U.S. Small
Business) (October 27, 2025)
https://dbrs.morningstar.com/research/465621..
Notes: All figures are in U.S. dollars unless otherwise noted.
[] DBRS Takes Actions on 382 Classes From 67 Freddie Mac Deals
--------------------------------------------------------------
DBRS, Inc. took credit rating actions on 382 classes across 67
Freddie Mac commercial mortgage-backed securities (CMBS) Freddie
Mac K-series transactions, 249 classes across 69 Freddie Mac
Structured Pass-Through Certificate transactions, 11 classes from
one low-income housing tax credit (LIHTC) transaction, three
classes from one Freddie Mac credit risk transfer transaction, and
73 classes across nine ReREMIC transactions. Of the 718 total
classes across the transaction types, Morningstar DBRS upgraded its
credit ratings on 51 classes and confirmed its credit ratings on
667 classes. All trends are Stable. The credit rating upgrades
generally reflect increased credit support to the transactions,
whether through principal repayments or increased defeasance, as
well as the lack of a concentration of loans showing performance
declines since issuance. The credit rating confirmations reflect
the overall stable performance of the transactions, with the
reported cash flows and other performance metrics for most loans
generally in line with Morningstar DBRS' expectations as of the
most recent servicer reporting available for each transaction.
The Affected Ratings are available at https://bit.ly/4oEqXbe
The Issuers are:
Freddie Mac Structured Pass-Through Certificates, Series K-141
Freddie Mac Structured Pass-Through Certificates, Series K-736
Freddie Mac Structured Pass-Through Certificates, Series K-738
Freddie Mac Structured Pass-Through Certificates, Series K-128
Freddie Mac Structured Pass-Through Certificates, Series K-739
Freddie Mac Structured Pass-Through Certificates, Series K-125
Freddie Mac Structured Pass-Through Certificates, Series K-115
Freddie Mac Structured Pass-Through Certificates, Series K-741
Freddie Mac Structured Pass-Through Certificates, Series K-129
Freddie Mac Structured Pass-Through Certificates, Series K-117
Freddie Mac Structured Pass-Through Certificates, Series K-114
Freddie Mac Structured Pass-Through Certificates, Series K-079
Freddie Mac Structured Pass-Through Certificates, Series K-086
Freddie Mac Structured Pass-Through Certificates, Series K-075
Freddie Mac Structured Pass-Through Certificates, Series K-082
Freddie Mac Structured Pass-Through Certificates, Series K-064
Freddie Mac Structured Pass-Through Certificates, Series K-123
Freddie Mac Structured Pass-Through Certificates, Series K-074
Freddie Mac Structured Pass-Through Certificates, Series K-089
Freddie Mac Structured Pass-Through Certificates, Series K-093
Freddie Mac Structured Pass-Through Certificates, Series K-092
Freddie Mac Structured Pass-Through Certificates, Series K-143
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust
2014-1
Freddie Mac Structured Pass-Through Certificates, Series K-145
Freddie Mac Structured Pass-Through Certificates, Series K-144
Freddie Mac Structured Pass-Through Certificates, Series K-158
Freddie Mac Structured Pass-Through Certificates, Series K-746
Freddie Mac Structured Pass-Through Certificates, Series K-098
Freddie Mac Structured Pass-Through Certificates, Series K-081
Freddie Mac Structured Pass-Through Certificates, Series K-057
Freddie Mac Structured Pass-Through Certificates, Series K-063
Freddie Mac Structured Pass-Through Certificates, Series K-069
Freddie Mac Structured Pass-Through Certificates, Series K-084
Freddie Mac Structured Pass-Through Certificates, Series K-052
Freddie Mac Structured Pass-Through Certificates, Series K-055
Freddie Mac Structured Pass-Through Certificates, Series K-078
Freddie Mac Structured Pass-Through Certificates, Series K-734
Freddie Mac Multifamily Structured Credit Risk (MSCR) Notes, Series
2025-MN11
CFMT 2021-FRR1
BMD2 RE-REMIC Trust 2019-FRR1
BAMLL Re-REMIC Trust 2024-FRR4
NW RE-REMIC TRUST 2021-FRR1
RFM RE-REMIC TRUST 2022-FRR1
GAM RE-REMIC TRUST 2022-FRR3
GAM RE-REMIC TRUST 2021-FRR2
FREMF 2017-K61 Mortgage Trust, Series 2017-K61
BAMLL Re-REMIC Trust 2024-FRR3
FREMF 2022-K747 Mortgage Trust, Series 2022-K747
FREMF 2020-K118 Mortgage Trust, Series 2020-K118
FREMF 2025-K171 Mortgage Trust, Series 2025-K171
FREMF 2022-K143 Mortgage Trust, Series 2022-K143
FREMF 2021-K742 Mortgage Trust, Series 2021-K742
FREMF 2024-K164 Mortgage Trust, Series 2024-K164
FREMF 2022-K152 Mortgage Trust, Series 2022-K152
FREMF 2021-K136 Mortgage Trust, Series 2021-K136
FREMF 2021-K131 Mortgage Trust, Series 2021-K131
FREMF 2025-K168 Mortgage Trust, Series 2025-K168
FREMF 2021-K133 Mortgage Trust, Series 2021-K133
FREMF 2022-K145 Mortgage Trust, Series 2022-K145
FREMF 2023-K158 Mortgage Trust, Series 2023-K158
FREMF 2023-K751 Mortgage Trust, Series 2023-K751
FREMF 2025-K170 Mortgage Trust, Series 2025-K170
GAM RE-REMIC TRUST 2021-FRR1
FREMF 2017-K64 Mortgage Trust, Series 2017-K64
FREMF 2020-K122 Mortgage Trust, Series K-122
FREMF 2019-K90 Mortgage Trust, Series 2019-K90
FREMF 2019-K92 Mortgage Trust, Series 2019-K92
FREMF 2019-K93 Mortgage Trust, Series 2019-K93
FREMF 2017-K63 Mortgage Trust, Series 2017-K63
FREMF 2017-K69 Mortgage Trust, Series 2017-K69
FREMF 2016-K55 Mortgage Trust, Series 2016-K55
FREMF 2018-K84 Mortgage Trust, Series 2018-K84
FREMF 2016-K57 Mortgage Trust, Series 2016-K57
FREMF 2016-K52 Mortgage Trust, Series 2016-K52
FREMF 2018-K78 Mortgage Trust, Series 2018-K78
FREMF 2018-K81 Mortgage Trust, Series 2018-K81
FREMF 2019-K88 Mortgage Trust, Series 2019-K88
FREMF 2019-K89 Mortgage Trust, Series 2019-K89
FREMF 2018-K74 Mortgage Trust, Series 2018-K74
FREMF 2020-K114 Mortgage Trust, Series 2020-K114
FREMF 2020-K738 Mortgage Trust, Series 2020-K738
FREMF 2020-K106 Mortgage Trust, Series 2020-K106
FREMF 2022-K141 Mortgage Trust, Series 2022-K141
FREMF 2021-K134 Mortgage Trust, Series 2021-K134
FREMF 2021-K128 Mortgage Trust, Series 2021-K128
FREMF 2021-K132 Mortgage Trust, Series 2021-K132
FREMF 2020-K739 Mortgage Trust, Series 2020-K739
FREMF 2021-K125 Mortgage Trust, Series 2021-K125
FREMF 2024-K163 Mortgage Trust, Series 2024-K163
FREMF 2020-K115 Mortgage Trust, Series 2020-K115
FREMF 2021-K741 Mortgage Trust, Series 2021-K741
FREMF 2022-K748 Mortgage Trust, Series 2022-K748
FREMF 2022-K144 Mortgage Trust, Series 2022-K144
FREMF 2019-K734 Mortgage Trust, Series 2019-K734
FREMF 2021-K129 Mortgage Trust, Series 2021-K129
FREMF 2019-K735 Mortgage Trust, Series 2019-K735
FREMF 2020-K112 Mortgage Trust, Series 2020-K112
FREMF 2024-K166 Mortgage Trust, Series 2024-K166
FREMF 2020-K117 Mortgage Trust, Series 2020-K117
FREMF 2021-K127 Mortgage Trust, Series 2021-K127
FREMF 2020-K113 Mortgage Trust, Series 2020-K113
FREMF 2020-K105 Mortgage Trust, Series 2020-K105
FREMF 2019-K101 Mortgage Trust, Series 2019-K101
FREMF 2021-K746 Mortgage Trust, Series 2021-K746
FREMF 2020-K107 Mortgage Trust, Series 2020-K107
FREMF 2021-K123 Mortgage Trust, Series 2021-K123
FREMF 2019-K736 Mortgage Trust, Series 2019-K736
Freddie Mac Structured Pass-Through Certificates, Series K-747
Freddie Mac Structured Pass-Through Certificates, Series K-122
Freddie Mac Structured Pass-Through Certificates, Series K-127
Freddie Mac Structured Pass-Through Certificates, Series K-061
Freddie Mac Structured Pass-Through Certificates, Series K-077
FREMF 2018-K79 Mortgage Trust, Series 2018-K79
FREMF 2018-K86 Mortgage Trust, Series 2018-K86
FREMF 2018-K75 Mortgage Trust, Series 2018-K75
FREMF 2018-K77 Mortgage Trust, Series 2018-K77
FREMF 2018-K82 Mortgage Trust, Series 2018-K82
Freddie Mac Structured Pass-Through Certificates, Series K-132
Freddie Mac Structured Pass-Through Certificates, Series K-171
Freddie Mac Structured Pass-Through Certificates, Series K-170
Freddie Mac Structured Pass-Through Certificates, Series K-101
Freddie Mac Structured Pass-Through Certificates, Series K-164
Freddie Mac Structured Pass-Through Certificates, Series K-163
Freddie Mac Structured Pass-Through Certificates, Series K-168
Freddie Mac Structured Pass-Through Certificates, Series K-166
Freddie Mac Structured Pass-Through Certificates, Series K-742
Freddie Mac Structured Pass-Through Certificates, Series K-152
Freddie Mac Structured Pass-Through Certificates, Series K-131
Freddie Mac Structured Pass-Through Certificates, Series K-751
Freddie Mac Structured Pass-Through Certificates, Series K-106
Freddie Mac Structured Pass-Through Certificates, Series K-134
Freddie Mac Structured Pass-Through Certificates, Series K-090
Freddie Mac Structured Pass-Through Certificates, Series K-118
Freddie Mac Structured Pass-Through Certificates, Series K-136
Freddie Mac Structured Pass-Through Certificates, Series K-133
Freddie Mac Structured Pass-Through Certificates, Series K-100
Freddie Mac Structured Pass-Through Certificates, Series K-112
Freddie Mac Structured Pass-Through Certificates, Series K-113
Freddie Mac Structured Pass-Through Certificates, Series K-105
Freddie Mac Structured Pass-Through Certificates, Series K-107
Freddie Mac Structured Pass-Through Certificates, Series K-735
FREMF 2019-K98 Mortgage Trust, Series 2019-K98
Freddie Mac Structured Pass-Through Certificates, Series K-088
FREMF 2019-K100 Mortgage Trust, Series 2019-K100
Freddie Mac Structured Pass-Through Certificates, Series Q-001
The full list of the credit ratings on each class, along with the
performance metrics for these transactions, is available at the end
of this press release.
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions reflect Morningstar DBRS' expanded review
process as outlined in its "North American CMBS Surveillance
Methodology" (the Methodology). Based on the September 2025
remittance reports, Morningstar DBRS analyzed the affected
transactions to identify changes since the most recent Morningstar
DBRS credit rating action for each. Applicable changes included
developments such as loan repayments, increased defeasance, cash
flow and/or occupancy changes for the collateral properties, new
values for loans in special servicing, or additions to the
servicer's watchlist. Morningstar DBRS also incorporated a stressed
refinance analysis scenario for all loans, which considered the
property's performance trajectory as well as interest rates in the
current lending environment to identify loans that may have
increased maturity default risk. Where loans were exhibiting
performance declines from issuance and/or were reporting metrics
that suggested increased refinance risk in the analysis,
Morningstar DBRS made probability of default (POD) adjustments on a
sliding scale, with the severity of the POD penalty increasing
based on the specifics of the increased risks. In some cases,
Morningstar DBRS also made loss given default (LGD) adjustments,
reflecting Morningstar DBRS' concerns surrounding potential
performance-based value declines from the issuance figures.
The analysis generally reflected that Morningstar DBRS excluded (1)
all defeased loans from North American CMBS Insight Model runs and
liquidated them at 100% recovery and (2) specially serviced loans
that were expected to be resolved with a loss to the respective
trusts runs and liquidated them based on recent information, such
as updated appraised values. The combination of these two actions
resulted in a liquidated credit enhancement for the bond stack,
which Morningstar DBRS compared with the multiple ranges in the
Methodology. Morningstar DBRS then overlaid this analysis with its
stressed refinance analysis scenario on a cumulative basis to
measure each transaction's exposure to potential increased
refinance risk.
The credit rating actions included nine ReREMIC transactions
collateralized by underlying Freddie Mac K-Series transactions,
some of which Morningstar DBRS does not rate. The credit ratings
depend on the performance of the underlying transactions. In
general, the Freddie Mac K-Series transactions exhibited healthy
performance metrics evidenced by a weighted-average (WA) debt
service coverage ratio (DSCR) exceeding 1.68 times (x) based on the
most recent financials. Based on the September 2025 remittance
reports, only five Morningstar DBRS-rated Freddie Mac K-Series
transactions had delinquent and/or specially serviced loans, with
the largest concentration representing 1.5% of the subject pool
balance. In addition, realized losses across all transactions to
date have been generally minimal and total defeasance was
approximately 9.8% of the aggregate principal amount, with
transaction-level defeasance concentrations ranging from 0.0% to
65.6%.
Loans on the servicer's watchlist totaled approximately 9.6% of the
aggregate principal amount, ranging between 0.0% and 62.9% for the
respective transaction pool balance. The two deals with the largest
concentrations of loans on the servicer's watchlist are FREMF
2019-K734 Mortgage Trust, Series 2019-K734 and FREMF 2016-K55
Mortgage Trust, Series 2016-K55. The majority of loans on the
servicer's watchlist in each transaction have been flagged for
upcoming maturity. Morningstar DBRS expects transactions with
upcoming concentrations of loans scheduled to mature throughout
2025 to similarly result in increased numbers of loans on the
servicer watchlist; however, Morningstar DBRS does not deem this to
be an increased credit risk for transactions as a whole as most
borrowers should successfully execute loan exit strategies by
selling properties or securing refinance debt. For more information
on the performance metrics for each deal, please refer to Appendix
B at the end of this press release.
Morningstar DBRS also applied its criteria for rating CMBS
interest-only (IO) certificates (referenced in the previously
stand-alone "Rating North American CMBS Interest-Only Certificates"
methodology, which was incorporated into the Methodology, the
Surveillance Methodology, and the "North American
Single-Asset/Single-Borrower Ratings Methodology" in December
2024). Credit rating changes on the applicable reference
obligations may have also triggered a credit rating action on the
CMBS IO certificate.
Notes: All figures are in U.S. dollars unless otherwise noted.
[] Moody's Upgrades Ratings on 27 Bonds from 4 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 27 bonds from four US
residential mortgage-backed transactions (RMBS). OBX 2022-J2 Trust
is backed by prime jumbo and agency eligible mortgage loans.
Citigroup Mortgage Loan Trust 2021-INV3, Provident Funding Mortgage
Trust 2021-INV2, and Bayview MSR Opportunity Master Fund Trust
2021-INV4 are backed by agency eligible investor (INV) mortgage
loans.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Bayview MSR Opportunity Master Fund Trust 2021-INV4
Cl. B-2, Upgraded to Aa2 (sf); previously on Dec 23, 2024 Upgraded
to Aa3 (sf)
Cl. B-3A, Upgraded to A2 (sf); previously on Dec 23, 2024 Upgraded
to A3 (sf)
Issuer: Citigroup Mortgage Loan Trust 2021-INV3
Cl. B-2, Upgraded to Aa2 (sf); previously on Mar 6, 2024 Upgraded
to Aa3 (sf)
Cl. B-2-IO*, Upgraded to Aa2 (sf); previously on Mar 6, 2024
Upgraded to Aa3 (sf)
Cl. B-2-IOW*, Upgraded to Aa2 (sf); previously on Mar 6, 2024
Upgraded to Aa3 (sf)
Cl. B-2-IOX*, Upgraded to Aa2 (sf); previously on Mar 6, 2024
Upgraded to Aa3 (sf)
Cl. B-2W, Upgraded to Aa2 (sf); previously on Mar 6, 2024 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on Mar 6, 2024 Upgraded to
A2 (sf)
Cl. B-3-IO*, Upgraded to A1 (sf); previously on Mar 6, 2024
Upgraded to A2 (sf)
Cl. B-3-IOW*, Upgraded to A1 (sf); previously on Mar 6, 2024
Upgraded to A2 (sf)
Cl. B-3-IOX*, Upgraded to A1 (sf); previously on Mar 6, 2024
Upgraded to A2 (sf)
Cl. B-3W, Upgraded to A1 (sf); previously on Mar 6, 2024 Upgraded
to A2 (sf)
Cl. B-4, Upgraded to A3 (sf); previously on Dec 23, 2024 Upgraded
to Baa1 (sf)
Cl. B-5, Upgraded to Baa3 (sf); previously on Dec 23, 2024 Upgraded
to Ba1 (sf)
Issuer: OBX 2022-J2 Trust
Cl. B-1, Upgraded to Aa1 (sf); previously on Dec 23, 2024 Upgraded
to Aa2 (sf)
Cl. B-1A, Upgraded to Aa1 (sf); previously on Dec 23, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Dec 23, 2024 Upgraded
to A1 (sf)
Cl. B-2A, Upgraded to Aa3 (sf); previously on Dec 23, 2024 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on Dec 23, 2024 Upgraded
to Baa1 (sf)
Cl. B-4, Upgraded to Baa2 (sf); previously on Dec 23, 2024 Upgraded
to Baa3 (sf)
Cl. B-5, Upgraded to Ba1 (sf); previously on Dec 23, 2024 Upgraded
to Ba3 (sf)
Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Dec 23, 2024
Upgraded to Aa2 (sf)
Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Dec 23, 2024
Upgraded to A1 (sf)
Issuer: Provident Funding Mortgage Trust 2021-INV2
Cl. B-1, Upgraded to Aa1 (sf); previously on Mar 11, 2024 Upgraded
to Aa2 (sf)
Cl. B-2, Upgraded to Aa3 (sf); previously on Mar 11, 2024 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Mar 11, 2024 Upgraded
to Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Mar 11, 2024 Upgraded
to Ba1 (sf)
*Reflects Interest-Only Classes.
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, and Moody's updated loss expectations on
the underlying pools.
These transactions Moody's reviewed continue to display strong
collateral performance, with cumulative losses for each transaction
under .01% and a small percentage of loans in delinquencies. In
addition, enhancement levels for the tranches in these transactions
have grown significantly, as the pools amortize relatively quickly.
The credit enhancement since closing has grown, on average, 1.2x
for the non-exchangeable tranches upgraded.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
No actions were taken on the other rated classes in these deals
because the expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, and credit
enhancement.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "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.
[] Moody's Upgrades Ratings on 7 Bonds from 4 US RMBS Deals
-----------------------------------------------------------
Moody's Ratings has upgraded the ratings of seven bonds from four
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
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Ellington Loan Acquisition Trust 2007-2
Cl. M-1a, Upgraded to Caa1 (sf); previously on Jan 29, 2025
Upgraded to Caa2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FF12
Cl. M-2, Upgraded to Baa1 (sf); previously on Jan 30, 2025 Upgraded
to Baa2 (sf)
Issuer: Impac CMB Trust Series 2005-2 Collateralized Asset-Backed
Bonds, Series 2005-2
Cl. 1-A-2, Upgraded to A3 (sf); previously on May 23, 2023 Upgraded
to Baa2 (sf)
Cl. 1-M-1, Upgraded to Baa2 (sf); previously on Jan 14, 2025
Upgraded to Ba2 (sf)
Cl. 1-M-2, Upgraded to Baa3 (sf); previously on Jan 14, 2025
Upgraded to Ba2 (sf)
Cl. 1-M-3, Upgraded to Ba1 (sf); previously on Jan 14, 2025
Upgraded to Ba3 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2007-AR1
Cl. II-A-1, Upgraded to Ba2 (sf); previously on Mar 19, 2024
Upgraded to Ba3 (sf)
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.
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. Credit enhancement grew by 12% on average for these
bonds upgraded over the past 12 months. Moody's analysis also
reflects the potential for collateral volatility given the number
of deal-level and macro factors that can impact collateral
performance, the potential impact of any collateral volatility on
the model output, and the ultimate size or any incurred and
projected loss.
The rating action of Class M-1a from Ellington Loan Acquisition
Trust 2007-2 is the result of missed or delayed disbursement of an
interest payment and is expected to become undercollateralized,
which will be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
*********
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