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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 23, 2025, Vol. 29, No. 326
Headlines
A&D MORTGAGE 2025-NQM5: S&P Assigns Prelim 'B-' Rating on B-2 Certs
AGL CLO 45: Fitch Assigns 'BB-sf' Rating on Class E Notes
ALINEA CLO: Moody's Affirms Ba3 Rating on $25MM Cl. E-R Notes
APIDOS CLO XXIV: S&P Assigns B- (sf) Rating on Class E-R Notes
ARINI US CLO III: S&P Assigns BB- (sf) Rating on Class E Notes
BAIN CAPITAL 2018-2: S&P Affirms B- (sf) Rating on Class F Notes
BALLYROCK CLO 17: S&P Assigns BB- (sf) Rating on Class D-R Notes
BAMLL COMMERCIAL 2020-BOC: Fitch Affirms 'B-' Rating on Cl. D Certs
BANK 2025-5YR18: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches
BDS 2025-FL16: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes
BEECHWOOD PARK: Moody's Assigns Ba3 Rating to Class E-RR Notes
BENEFIT STREET XXI: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes
BRIDGE STREET VI: Fitch Assigns 'BB-sf' Rating on Class E Notes
BRYANT PARK 2025-28: S&P Assigns Prelim BB- (sf) Rating on E Notes
BUTTERMILK PARK: S&P Affirms 'BB- (sf)' Rating on Class E Notes
CANTOR COMMERCIAL 2011-C2: Fitch Affirms BB Rating on Class D Notes
CATHEDRAL LAKE VIII: S&P Affirms B (sf) Rating on Class E Notes
CAYUGA PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes
CD 2018-CD7: Fitch Lowers Rating on Class F-RR Certs to 'CCCsf'
COLT 2025-11: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs
CSTL COMMERCIAL 2025-GATE2: Fitch Rates Class HRR Certs 'Bsf'
DEEPHAVEN 2025-INV1: S&P Assigns B (sf) Rating on Class B-2 Notes
DIAMETER CAPITAL 12: S&P Assigns BB- (sf) Rating on Class E Notes
DRYDEN 112: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
DRYDEN CLO 65: S&P Raises Class E Notes Rating to 'B+ (sf)'
ELEVATION CLO 2023-17: S&P Assigns BB-(sf) Rating on Cl. E-R Notes
EXETER AUTOMOBILE 2025-5: S&P Assigns BB (sf) Rating on Cl. E Notes
FIDIUM LLC 2025-4: Fitch Assigns BB-(EXP)sf Rating on Class C Debt
FIGRE TRUST 2025-HE8: S&P Assigns Prelim B- (sf) Rating on F Notes
FREDDIE MAC 2025-MN12: Fitch Rates Class M-2 Notes 'BB-(EXP)'
GLS AUTO 2025-4: S&P Assigns BB (sf) Rating on Class E Notes
GREENSKY HOME 2025-3: Fitch Assigns BB(EXP)sf Rating on Cl. E Debt
GREYWOLF CLO VII: S&P Affirms BB- (sf) Rating on Class D Notes
GS MORTGAGE 2012-BWTR: Moody's Lowers Rating on 2 Tranches to B1
GS MORTGAGE 2025-NQM6: S&P Assigns Prelim 'B+' Rating on B-2 Certs
GS MORTGAGE 2025-PJ10: Fitch Gives B-(EXP) Rating on Class B5 Notes
HINNT 2025-B LLC: Moody's Assigns B3 Rating to Class E Notes
HINNT 2025-B: Fitch Assigns 'Bsf' Final Rating on Class E Notes
HOMES 2025-AFC4: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes
HOMES 2025-NQM5: S&P Assigns B (sf) Rating on Class B-2 Certs
JP MORGAN 2020-NNN: Fitch Affirms 'BB-' Rating on Class D-FX Certs
JP MORGAN 2025-10: Fitch Assigns 'B-(EXP)' Rating on Class B5 Certs
JP MORGAN 2025-10: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs
JPMBB COMMERCIAL 2015-C32: Fitch Lowers Rating on 2 Tranches to BB
KENNEDY LEWIS 23: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
KKR CLO 20: Moody's Affirms Ba3 Rating on $27MM Class E Notes
KKR CLO 31: S&P Lowers Class E Notes Rating to 'B+ (sf)'
KSL COMMERCIAL 2025-MH: Moody's Assigns (P)B2 Rating to Cl. F Certs
MADISON PARK LXXV: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E Notes
MAGNETITE LI: Fitch Assigns 'BBsf' Rating on Class E Notes
MAGNETITE LI: Moody's Assigns B3 Rating to $250,000 F Notes
MARKET STREET II: Fitch Assigns 'BB-sf' Rating on Class E Notes
MORGAN STANLEY 2015-C22: Fitch Lowers Rating on Class F Certs to 'D
MORGAN STANLEY 2019-PLND: Moody's Cuts Rating on 2 Tranches to C
MORGAN STANLEY 2025-5C2: Fitch Assigns 'B-sf' Rating on 2 Tranches
MORGAN STANLEY 2025-NQM9: S&P Assigns Prelim B Rating on B-2 Certs
MOSAIC SOLAR 2023-1: Fitch Affirms 'B-sf' Rating on Class C Notes
OCTAGON INVESTMENT 50: S&P Affirms B(sf) Rating on Class E-R Notes
OCTANE RECEIVABLES 2024-3: S&P Assigns BB (sf) Rating on E Notes
PALMER SQUARE 2020-3: S&P Assigns BB- (sf) Rating on D-R3 Notes
PALMER SQUARE 2025-5: S&P Assigns BB- (sf) Rating on Class E Notes
PMT LOAN 2025-INV11: Moody's Assigns B3 Rating to Cl. B-5 Certs
PPM CLO 6-R: Moody's Cuts Rating on $500,000 Cl. F-R Notes to Caa2
PRPM 2025-NQM5: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs
RCKT MORTGAGE 2025-CES11: Fitch Assigns B(EXP) Rating on 5 Tranches
ROCKFORD TOWER 2018-2: Moody's Affirms B1 Rating on $27.5MM E Notes
RR 42: Fitch Assigns 'BB-(EXP)sf' Rating on Class D-R Notes
SANTANDER MORTGAGE 2025-NQM6: S&P Assigns 'B' Rating on B-2 Notes
SEQUOIA MORTGAGE 2025-S2: Fitch Rates Class B5 Certificates 'Bsf'
SOUND POINT XXI: Moody's Affirms B1 Rating on $22.5MM Cl. D Notes
SUNNOVA HELIOS X: Fitch Lowers Rating on Cl. C Notes to BBsf
SYMPHONY CLO XXIII: Fitch Affirms 'BB-sf' Rating on Cl. E-R2 Notes
TOWD POINT 2024-2: Fitch Hikes Rating on Class B2 Notes to 'Bsf'
TRESTLES CLO IV: Fitch Assigns 'B-sf' Rating on Class F Notes
TRICOLOR AUTO 2025-2: S&P Lowers Class F Notes Rating to 'D (sf)'
TRTX 2025-FL7: Fitch Assigns 'B-sf' Final Rating on Class G Notes
TRYSAIL CLO 2021-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
UPG HI 2025-2: Fitch Assigns 'BB(EXP)sf' Rating on Class C Notes
VERUS SECURITIZATION 2025-11: Fitch Rates Class B2 Notes 'B-sf'
VOYA CLO 2019-3: S&P Affirms 'BB- (sf)' Rating on Class E-R Notes
WACHOVIA BANK 2005-C: Fitch Cuts Rating on Class E Debt to Dsf
WIND RIVER 2019-3: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes
ZAIS CLO 6: Moody's Lowers Rating on $25MM Class E Notes to Caa2
[] S&P Takes Various Actions on 8 Classes From Two US CLO Deals
*********
A&D MORTGAGE 2025-NQM5: S&P Assigns Prelim 'B-' Rating on B-2 Certs
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to A&D Mortgage
Trust 2025-NQM5's mortgage pass-through certificates.
The certificates are backed first- and second-lien, fixed- and
floating-rate, fully amortizing residential mortgage loans (some
with interest-only periods) to prime and nonprime borrowers. The
loans are secured by single-family residential properties, planned
unit developments, condominiums, two- to four-family residential
properties, mixed-use properties, manufactured housing, five- to
10-unit multifamily residences, and condotels. The pool consists of
1,163 loans, which are qualified mortgage (QM) safe harbor (average
prime offer rate [APOR]), QM rebuttable presumption (APOR),
non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans.
The preliminary ratings are based on information as of Nov. 19,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition and geographic
concentration;
-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;
-- The mortgage originator, A&D Mortgage LLC;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P said, "Our U.S. economic outlook, which considers our
current projections for economic growth, unemployment rates, and
interest rates, as well as our view of housing fundamentals. We
update our outlook as necessary when these projections change
materially."
Preliminary Ratings Assigned(i)
A&D Mortgage Trust 2025-NQM5
Class A-1A, $260,303,000: AAA (sf)
Class A-1B, $41,715,000: AAA (sf)
Class A-1, $302,018,000: AAA (sf)
Class A-2, $24,404,000: AA (sf)
Class A-3, $41,506,000: A (sf)
Class M-1, $17,938,000: BBB (sf)
Class B-1, $12,932,000: BB (sf)
Class B-2, $12,514,000: B- (sf)
Class B-3, $5,840,959: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, N/A: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period and is initially $417,152,960.
NR--Not rated.
N/A--Not applicable.
AGL CLO 45: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to AGL
CLO 45 Ltd.
Entity/Debt Rating
----------- ------
AGL CLO 45 Ltd.
A LT NRsf 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
AGL CLO 45 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by AGL
CLO Credit Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first-lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 22.92 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 73.22% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 40% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction 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 weighted average life (WAL) used for the transaction stress
portfolio and matrices analysis is 12 months less than the WAL
covenant to account for structural and reinvestment conditions
after the reinvestment period. In Fitch's opinion, these conditions
would reduce the effective risk horizon of the portfolio during
stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BB+sf' and 'A+sf' for class B, 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
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'A-sf' for
class D-1, '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 AGL CLO 45 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.
ALINEA CLO: Moody's Affirms Ba3 Rating on $25MM Cl. E-R Notes
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following note
issued by Alinea CLO, Ltd.:
US$33M Class D-R Deferrable Mezzanine Secured Floating Rate Notes,
Upgraded to Aa3 (sf); previously on Feb 6, 2025 Assigned A3 (sf)
Moody's have also affirmed the ratings on the following debt:
US$95.75M (Current outstanding amount US$1,986,061) Class A-R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Feb 6, 2025 Assigned Aaa (sf)
US$41.03M (Current outstanding amount US$851,149) Class A-R Loans
Notes, Affirmed Aaa (sf); previously on Feb 6, 2025 Assigned Aaa
(sf)
US$51M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Feb 6, 2025 Assigned Aaa (sf)
US$26M Class C-R Deferrable Mezzanine Secured Floating Rate Notes,
Affirmed Aaa (sf); previously on Feb 6, 2025 Assigned Aaa (sf)
US$25M Class E-R Deferrable Junior Secured Floating Rate Notes,
Affirmed Ba3 (sf); previously on Feb 6, 2025 Assigned Ba3 (sf)
Alinea CLO, Ltd., issued in July 2018, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured US loans. The portfolio is managed by Invesco Senior
Secured Management, Inc. The transaction's reinvestment period
ended in July 2023.
RATINGS RATIONALE
The rating upgrade on the Class D-R notes is primarily a result of
the deleveraging of the Class A-R notes and the Class A-R loan
following amortisation of the underlying portfolio since the last
rating action in February 2025.
The affirmations on the ratings on the Class A-R debt, the Class
B-R notes, the class C-R notes and the Class E-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 and the Class A-R loan have paid down in
aggregate by approximately USD133.9 million (97.93% of its original
total value) since the refinancing date in February 2025. As a
result of the deleveraging, over-collateralisation (OC) has
increased for the senior part of the capital structure. According
to the trustee report dated October 2025[1] the Senior Par
(representing the Class A/B), the Class C and Class D OC ratios are
reported at 191.72%, 152.85% and 121.56% compared to February
2025[2] levels of 155.35%, 136.46% and 118.21%.
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: USD150,099,410
Defaulted Securities: USD266,530
Diversity Score: 44
Weighted Average Rating Factor (WARF): 3133
Weighted Average Life (WAL): 2.97 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.36%
Weighted Average Recovery Rate (WARR): 46.59%
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 debt's performance is subject to uncertainty. The debt's
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the debt's
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.
APIDOS CLO XXIV: S&P Assigns B- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2F-RR,
A-2L-RR, B-RR, and C-RR notes from Apidos CLO XXIV. S&P also
removed these ratings from CreditWatch, where S&P placed them with
positive implications in October 2025. At the same time, S&P
affirmed its ratings on the class A-1A-RR, A-1A-F, D-R, and E-R
notes from the same transaction.
The rating actions follow its review of the transaction's
performance using data from the October 2025 trustee report.
The transaction has paid down $173.34 million in collective
paydowns to the class A-1A-RR and A-1A-F notes since its March 2021
rating actions. These paydowns resulted in improved reported
overcollateralization (O/C) ratios since the January 2021 trustee
report, which S&P used for its previous rating actions:
-- The class A O/C ratio improved to 149.43% from 129.55%.
-- The class B O/C ratio improved to 129.13% from 119.28%.
-- The class C O/C ratio improved to 114.74% from 111.15%.
-- The class D O/C ratio improved to 106.80% from 106.32%.
-- All O/C ratios improved, driven by lower senior note balances,
which in turn increased credit support.
While the O/C metrics have strengthened, the transaction has
incurred par losses over time, which has limited the benefit to the
more junior-rated classes because the uplift in credit enhancement
was modest. Offsetting this, the credit quality of the collateral
pool has improved since our January 2021 rating actions.
Specifically, obligations rated in the 'CCC' category declined to
$6.89 million in the October 2025 report from $28.85 million
reported in January 2021, and defaulted collateral was reduced to
$0.35 million from $1.91 million over the same period. In addition,
the transaction has benefited from collateral seasoning, with the
portfolio's weighted average life decreasing to 2.9 years as of
October 2025 from 4.41 years at the time of the March 2021 review.
Together, these factors support stronger asset performance
expectations relative to its prior review.
The upgraded rating reflects the improved credit support available
to the notes at the prior rating levels.
On a standalone basis, the results of the cash flow analysis
indicated a higher rating on the class C-RR notes. S&P said,
"However, our actions reflect our qualitative consideration of the
results of extra sensitivity analysis that we ran given the
portfolio's exposure to 'CCC (sf)'/'CCC- (sf)' rated collateral and
to some assets with low market values."
The affirmed ratings reflect adequate credit support at the current
rating levels, though any deterioration in the credit support
available to the notes could results in further ratings changes.
S&P said, "Although the cash flows point to a lower rating for the
class E-R note, we affirmed its rating to indicate our opinion that
the current rating reflects adequate credit support for now. Since
our last rating action, declines in the portfolio's
weighted-average recovery rate and weighted-average spread reduced
excess cash flow available to support the class E-R notes. Given
this class's more subordinate position in the capital structure, it
is inherently more sensitive to such changes as the transaction
amortizes, contributing to weaker modeled cash flow outcomes.
However, we considered that the 'CCC' bucket has improved from
prior report levels and that continued paydowns could potentially
improve credit support. Based on its current credit enhancement and
the portfolio's exposure to 'CCC'/'CCC-' rated obligors, we believe
that the class E-R notes are currently not dependent on favorable
conditions for repayment of their contractual obligations and,
hence, do not fit our 'CCC'/'CC' definitions yet.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each rated tranche. The results of the cash flow
analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and will take rating actions as we deem
necessary."
Ratings Raised And Removed From CreditWatch Positive
Apidos CLO XXIV
Class A-2F-RR to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class A-2L-RR to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class B-RR to 'AA+ (sf)' from 'A (sf)/Watch Pos'
Class C-RR to 'BBB+ (sf)' from 'BBB- (sf)/Watch Pos'
Ratings Affirmed
Apidos CLO XXIV
Class A-1A-F: AAA (sf)
Class A-1A-RR: AAA (sf)
Class D-R: BB- (sf)
Class E-R: B- (sf)
ARINI US CLO III: S&P Assigns BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Arini US CLO III
Ltd./Arini US CLO III 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 Arini Loan Management US 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
Arini US CLO III Ltd./Arini US CLO III LLC
Class A, $256.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $15.20 million: BB- (sf)
Subordinated notes, $36.45 million: NR
NR--Not rated.
BAIN CAPITAL 2018-2: S&P Affirms B- (sf) Rating on Class F Notes
----------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-R, C-R, and
D-R debt from Bain Capital Credit CLO 2018-2 Ltd. and removed them
from CreditWatch, where they had been placed with positive
implications on Oct. 10, 2025. At the same time, S&P affirmed its
ratings on the class A-1-R, E, and F debt from the same
transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the October 2025 trustee report.
The transaction has paid down approximately $240 million to the
class A-1-R debt since our August 2024 rating actions. These
paydowns resulted in improved reported overcollateralization (O/C)
ratios since the June 2024 trustee report, which S&P had used for
its previous rating actions:
-- The class A/B O/C ratio improved to 161.51% from 130.00%.
-- The class C O/C ratio improved to 1133.62% from 118.37%.
-- The class D O/C ratio improved to 117.26% from 110.39%.
-- The class E O/C ratio improved to 106.69% from 104.68%.
All O/C ratios experienced a positive movement due to the lower
balances of the senior debt, resulting in enhanced credit support.
S&P said, "While the O/C ratios improved, the collateral
portfolio's credit quality has slightly improved since our last
rating actions. Collateral obligations with ratings in the 'CCC'
category have decreased, with $21.18 million reported as of the
October 2025 trustee report, compared with $36.36 million reported
in the June 2024 trustee report. Over the same period, the par
amount of defaulted collateral has decreased to $1.11 million from
$4.61 million.
"However, despite the concentrations in the 'CCC' category and
defaulted collateral, the transaction, especially the senior
tranches, has also benefited from a drop in the weighted average
life due to underlying collateral's seasoning, with 3.52 years
reported as of the October 2025 trustee report, compared with 4.03
years reported at the time of our last rating actions."
The upgrades reflect the improved credit support available to the
debt at the prior rating levels.
The affirmations reflect adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the debt could result in further ratings
changes.
S&P said, "Although the cash flow results indicated a lower rating
for the class E and F debt, we view the overall credit seasoning as
an improvement to the transaction taking into consideration the
relatively stable O/C ratios, which currently have a significant
cushion over their minimum requirements. In addition, barring any
increase in defaults or par losses, we expect continued paydowns to
improve the credit support of both the notes. It is our view that
the class E and F debt are not currently dependent upon favorable
business, financial, or economic conditions to meets its
contractual obligations of timely interest and ultimate repayment
of principal by legal final maturity and, thus, does not meet our
definition of 'CCC' risk. However, any increase in defaults or par
losses could lead to negative rating actions on the class E and F
debt in the future.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
Ratings Raised And Removed From CreditWatch Positive
Bain Capital Credit CLO 2018-2 Ltd.
Class B-R to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class C-R to 'AA+ (sf)' from 'A (sf)/Watch Pos'
Class D-R to 'BBB+ (sf)' from 'BBB- (sf)/Watch Pos'
Ratings Affirmed
Bain Capital Credit CLO 2018-2 Ltd.
Class A-1-R: AAA (sf)
Class E: B+ (sf)
Class F: B- (sf)
BALLYROCK CLO 17: S&P Assigns BB- (sf) Rating on Class D-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1a-R, A-1b-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt from
Ballyrock CLO 17 Ltd./Ballyrock CLO 17 LLC, a CLO managed by
Ballyrock Investment Advisors LLC that was originally issued in
September 2021.
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.
On the Nov. 13, 2025, refinancing date, the proceeds from the
replacement debt were used to redeem the existing debt. At that
time, S&P assigned ratings to the replacement debt.
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
Ballyrock CLO 17 Ltd./Ballyrock CLO 17 LLC
Class A-1a-R, $320.00 million: AAA (sf)
Class A-1b-R, $10.00 million: AAA (sf)
Class A-2-R, $50.00 million: AA (sf)
Class B-R (deferrable), $30.00 million: A (sf)
Class C-1-R (deferrable), $25.00 million: BBB (sf)
Class C-2-R (deferrable), $10.00 million: BBB- (sf)
Class D-R (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $74.28 million: NR
NR--Not rated.
BAMLL COMMERCIAL 2020-BOC: Fitch Affirms 'B-' Rating on Cl. D Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed six classes of BAMLL Commercial Mortgage
Securities Trust 2020-BOC commercial mortgage pass-through
certificates, series 2020-BOC. The Rating Outlooks for classes A
and B were revised to Stable from Negative. The Rating Outlooks for
classes C, D, and X are Negative.
Entity/Debt Rating Prior
----------- ------ -----
BAMLL 2020-BOC
A 05551JAA8 LT A-sf Affirmed A-sf
B 05551JAE0 LT BBB-sf Affirmed BBB-sf
C 05551JAG5 LT BB-sf Affirmed BB-sf
D 05551JAJ9 LT B-sf Affirmed B-sf
E 05551JAL4 LT CCCsf Affirmed CCCsf
X 05551JAC4 LT BB-sf Affirmed BB-sf
KEY RATING DRIVERS
The affirmations reflect Fitch's view of sustainable property
performance, which remains in line with expectations from the prior
rating action. Fitch's sustainable property net cash flow (NCF)
factors in the significant leasing activity required to restabilize
the property after the single tenant's departure amid weak
submarket conditions.
The loan transferred to special servicing in September 2025 due to
imminent monetary default. A pre-negotiation agreement has been
executed, and the servicer is in discussion with the sponsor on a
potential resolution. As of the October 2025 reporting, the loan
was 30 days delinquent.
The Outlook revision to Stable from Negative for classes A and B
reflects market leasing interest and activity, along with
anticipated occupancy gains from the sponsor's planned property
renovations, which would include upgrades to amenities and common
areas to facilitate stabilization. The Negative Outlooks on classes
C, D and X reflect ongoing concerns about submarket fundamentals,
marked by limited sales activity and high vacancy, and the limited
detail on the scope and timing of the sponsor's planned renovations
as workout negotiations progress on this specially serviced loan.
The collateral comprises two vacant office buildings, formerly
leased to Microsoft Corporation, with leases that expired in June
2025 for the Bravern I building and August 2025 for Bravern II,
respectively. Prior to lease expiration, Microsoft had been
vacating space, triggering a cash sweep in July 2023 due to the
physical occupancy falling below 375,000 sf (approximately 47% of
NRA). As of the October 2025 remittance reporting, $30.0 million
has been collected in reserves. While the collected reserves are
expected to offset costs for re-tenanting the space, Fitch
anticipates significant expenditures beyond what will be reserved
to further stabilize performance and improve prospects for a sale
or refinance.
Fitch's updated sustainable property NCF of $24.0 million, compared
with $24.4 million at the prior rating action and 24% below Fitch's
issuance NCF of $31.4 million, incorporates higher vacancy and
leasing cost assumptions. Fitch's analysis reflects current market
rents of $45 psf, with the pass-through of expenses as a fully
net-lease structure. Fitch's sustainable long-term occupancy
assumption remains 80%, accounting for elevated submarket
availability and the Costar vacancy forecast through 2027. Fitch's
capital expenditures are estimated at $4.62 psf, reflecting $0.30
psf for replacement reserves plus $4.32 psf for tenant improvements
and leasing commissions.
As of 3Q25, Costar reports the submarket vacancy, availability rate
and average asking rent of 24.7%, 25.0% and $44.76 psf,
respectively. Excluding Amazon's occupied space, office vacancy in
the submarket is estimated to exceed 40%.
Fitch's analysis incorporated a stressed capitalization rate of
9.0%, unchanged from the last rating action and up from 8% at
issuance, to factor the increased office sector and submarket
performance concerns. This results in a Fitch-stressed valuation
decline approximately 55% below the issuance appraisal and 31%
below Fitch's issuance value.
High-Quality Office Collateral: The Bravern Office Commons is a
749,694-sf, class A office property located in downtown Bellevue,
WA. Developed in 2009, the property consists of two buildings
(Bravern I and Bravern II) and is part of a mixed-use development
that includes approximately 305,000 sf of luxury retail space
(non-collateral) and 455 high-end residential units
(non-collateral). The loan collateral includes a seven-level,
approximately 3,130-stall subterranean parking garage. Fitch
assigned a property quality grade of B+ at issuance.
Full Term, Interest-Only Loan: The loan is interest only for the
seven-year term, maturing January 2027, with a fixed-rate coupon of
3.20%. In its analysis, Fitch applied an upward loan-to-value (LTV)
hurdle adjustment due to the low coupon.
Fitch Leverage: The $304 million mortgage loan has a Fitch debt
service coverage ratio and loan-to-value of 0.79x and 114.0%,
respectively. The sponsor acquired the property in December 2019
for $608 million ($811 psf).
Institutional Sponsorship: Australian Retirement Trust, formed
through the merger of QSuper and Sunsuper in 2022, is one of
Australia's largest superannuation benefits funds with over AUD330
billion (USD 215 billion) in retirement savings. At issuance,
Invesco had served as investment advisor to QSuper, pursuant to an
investment advisory and management agreement.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to classes may occur should property NCF and occupancy
and/or market conditions deteriorate beyond Fitch's reassessed view
of sustainable performance, including if the property does not move
toward stabilizing to an 80% occupancy level and/or vacant space is
not leased at or above current Fitch assumptions as the loan
approaches maturity in January 2027, as well as limited leasing
progress or office valuations in the submarket deteriorate
further.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades are not expected given that the current ratings reflect
Fitch's view of sustainable performance. However, they are possible
with significant and sustained leasing that contributes to
stabilized performance and an improved Fitch NCF, and if the
prospect for refinance is more certain.
The Negative Outlooks on classes C, D and X could be revised to
Stable if property performance and market conditions stabilize and
capital market activity indicates positive sales trends in the
Bellevue office market.
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.
BANK 2025-5YR18: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Outlooks to BANK5
2025-5YR18 commercial mortgage pass-through certificates, Series
2025-5YR18 as follows:
- $8,577,000 Class A-1 'AAA(EXP)sf'; Outlook Stable;
- $100,000,000c Class A-2 'AAA(EXP)sf'; Outlook Stable;
- $363,484,000c Class A-3 'AAA(EXP)sf'; Outlook Stable;
- $472,061,000a Class X-A 'AAA(EXP)sf'; Outlook Stable;
- $65,751,000 Class A-S 'AAA(EXP)sf'; Outlook Stable;
- $33,719,000 Class B 'AA-(EXP)sf'; Outlook Stable;
- $99,470,000a Class X-B 'AA-(EXP)sf'; Outlook Stable;
- $26,975,000 Class C 'A-(EXP)sf'; Outlook Stable;
- $0e Class C-1 'A-(EXP)sf'; Outlook Stable;
- $0ae Class C-X1 'A-(EXP)sf'; Outlook Stable;
- $0e Class C-2 'A-(EXP)sf'; Outlook Stable;
- $0ae Class C-X2 'A-(EXP)sf'; Outlook Stable;
- $16,859,000 Class D 'BBB(EXP)sf'; Outlook Stable;
- $0e Class D-1 'BBB(EXP)sf'; Outlook Stable;
- $0ae Class D-X1 'BBB(EXP)sf'; Outlook Stable;
- $0e Class D-2 'BBB(EXP)sf'; Outlook Stable;
- $0ae Class D-X2 'BBB(EXP)sf'; Outlook Stable;
- $7,587,000 Class E 'BBB-(EXP)sf'; Outlook Stable;
- $0e Class E-1 'BBB-(EXP)sf'; Outlook Stable;
- $0ae Class E-X1 'BBB-(EXP)sf'; Outlook Stable;
- $0e Class E-2 'BBB-(EXP)sf'; Outlook Stable;
- $0ae Class E-X2 'BBB-(EXP)sf'; Outlook Stable;
- $7,586,000b Class F 'BB(EXP)sf'; Outlook Stable;
- $7,586,000ab Class X-F 'BB(EXP)sf'; Outlook Stable;
- $6,744,000b Class G 'BB-(EXP)sf'; Outlook Stable;
- $6,744,000ab Class X-G 'BB-(EXP)sf'; Outlook Stable;
- $10,959,000b Class H 'B-(EXP)sf'; Outlook Stable;
- $10,959,000ab Class X-H 'B-(EXP)sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
- $26,131,969b Class J;
- $26,131,969ab Class X-J;
- $24,784,403bd Class RR;
- $10,708,912bd Class RR Interest
a-Notional Amount and interest only.
b-Privately placed and pursuant to Rule 144a.
c-The initial certificate balances of A-2 and A-3 are unknown and
expected to be $463,484,000 in aggregate, subject to a 5% variance.
The certificate balances will be determined based on the final
pricing of those classes of certificates. The expected Class A-2
balance range is $0-$200,000,000 (net of the vertical risk
retention interest), and the expected Class A-3 balance range is
$263,484,000-$463,484,000 (net of the vertical risk retention
interest). Fitch's certificate balances for Classes A-2 and A-3
reflect the midpoint of each respective range. In the event the
Class A-3 certificates are issued at $463,484,000 the Class A-2
will not be issued.
d-Vertical risk retention.
e-Exchangeable Certificates. The Class C, Class D, and Class E are
exchangeable certificates. Each class of exchangeable certificates
may be exchanges for the corresponding classes of exchangeable
certificates, and vice versa. The dollar denomination of each of
the received classes of certificates must be equal to the dollar
denomination of each of the surrendered classes of certificates.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 29 loans secured by 72
commercial properties having an aggregate principal balance of
$709,866,284 as of the cut-off date. The loans were contributed to
the trust by Wells Fargo Bank, National Association, JPMorgan Chase
Bank, National Association, Morgan Stanley Mortgage Capital
Holdings LLC, and Bank of America, National Association.
The master servicer is expected to be Trimont LLC and the special
servicer is expected to be K-Star Asset Management LLC, and the
operating advisor is expected to be Park Bridge Lender Services
LLC. The trustee is expected to be Deutsche Bank National Trust
Company and certificate administrator is expected to be
Computershare Trust Company, National Association. The certificates
are expected to follow a sequential paydown structure. The
transaction is expected to close on Dec. 9, 2025.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans
totaling 92.4% by balance. Fitch's resulting net cash flow (NCF) of
$73.5 million represents an 13.4% decline from the issuer's
underwritten NCF.
Lower Leverage Compared to Recent Transactions: The pool has lower
leverage compared to recent U.S. Private Label Multiborrower
five-year transactions rated by Fitch. The pool's Fitch loan to
value ratio (LTV) of 96.6% is lower than the 2025 YTD five-year
multiborrower average of 100.6% and in line with the 2024 five-year
multiborrower average 95.2%. The pool's Fitch NCF debt yield (DY)
of 10.4% is higher than the 2025 YTD and 2024 averages of 9.7% and
10.2%, respectively.
Higher Pool Concentration: The pool is more concentrated than
recently rated Fitch transactions. The top 10 loans in the pool
make up 67.4% of the pool, higher than the 2025 YTD five-year
multiborrower average and 2024 five-year multiborrower average of
61.4% and 60.2%, respectively. The pool's effective loan count of
18.8 is lower the 2025 YTD and 2024 averages of 21.9 and 22.7,
respectively.
Investment-Grade Credit Opinion Loans: Two loans representing 11.3%
of the pool received an investment-grade credit opinion.
International Plaza (7.0% of pool) received a standalone credit
opinion of 'AAsf*' and Mall at Bay Plaza (4.2% of the pool)
received a standalone credit opinion of 'BBB-sf*'. The pool's total
credit opinion percentage is lower than the 2025 YTD average of
11.6% and the 2024 average of 12.6% for five-year multiborrower
transactions. Excluding credit opinion loans, the pool's Fitch LTV
and DY are 100.4% and 10.2%, respectively, compared with the
equivalent five-year multiborrower 2025 YTD averages of 105.2% and
9.3%, respectively.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/''BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B+'/'B-'/'less than
'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/''BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-'/'BB'/'Bsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis, and it did not
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.
BDS 2025-FL16: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
the BDS 2025-FL16 LLC notes as follows:
- $710,588,000 class A 'AAAsf'; Outlook Stable;
- $106,889,000 class A-S 'AAAsf'; Outlook Stable;
- $87,318,000a class B 'AA-sf'; Outlook Stable;
- $0b class B-E 'AA-sf'; Outlook Stable;
- $0c class B-X 'AA-sf'; Outlook Stable;
- $70,758,000a class C 'A-sf'; Outlook Stable;
- $0b class C-E 'A-sf'; Outlook Stable;
- $0c class C-X 'A-sf'; Outlook Stable;
- $43,659,000a class D 'BBBsf'; Outlook Stable;
- $0b class D-E 'BBBsf'; Outlook Stable;
- $0c class D-X 'BBBsf'; Outlook Stable;
- $21,077,000a class E 'BBB-sf'; Outlook Stable;
- $0b class E-E 'BBB-sf'; Outlook Stable;
- $0c class E-X 'BBB-sf'; Outlook Stable;
- $40,648,000d class F 'BB-sf'; Outlook Stable;
- $28,604,000d class G 'B-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $94,845,996de income notes.
(a) Exchangeable Notes: The class B, class C, class D and class E
notes are exchangeable notes and are exchangeable for proportionate
interests in the MASCOT notes, subject to the satisfaction of
certain conditions and restrictions, provided that at the time of
the exchange such notes are owned by a wholly owned subsidiary of
Bridge REIT. The principal balance of each of the exchangeable
notes received in an exchange will be equal to the principal
balance of the corresponding MASCOT P&I notes surrendered in such
exchange.
(b) MASCOT P&I notes.
(c) MASCOT interest-only notes.
(d) Retained notes.
(e) Horizontal risk retention interest, estimated to be 7.88% of
the notional amount of the notes.
The approximate collateral interest balance as of the cutoff date
is $1,004,386,996 and does not include future funding.
Transaction Summary
The primary assets of issuer are 20 loans secured by 25 commercial
properties having an aggregate principal balance of $1,004,386,996
as of the cutoff date. The pool includes ramp-up collateral
interest of $200,000,000. The pool includes one delayed-close loan
totaling $110.0 million that is expected to close within the
six-month ramp period. The loans will be contributed to the trust
by BDS V Loan Seller LLC.
Trimont LLC is expected to be the master and special servicer. The
trustee is expected to be Wilmington Trust, National Association
and certificate administrator is expected to be Computershare Trust
Company, National Association. The certificates are expected to
follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on
14 loans totaling 50.2% of the pool by balance, excluding loans for
which Fitch conducted an alternate value analysis. Fitch's
resulting NCF of $40.6 million represents an 3.8% decline from the
issuer's underwritten NCF of $42.2 million, excluding loans for
which Fitch conducted an alternate value analysis.
Multifamily Concentration: The pool comprises 94.3% multifamily
properties, compared with the 2025 YTD and 2024 CRE-CLO averages of
77.1% and 82.3%, respectively. The quality of the pool is
comparable to that of Fitch-rated Freddie Mac transactions.
Therefore, Fitch modeled the pool as such, removing the property
type concentration adjustment similar to Freddie Mac transactions.
Higher Fitch Leverage: The pool's Fitch leverage is higher than
recent CRE-CLO transactions rated by Fitch. The pool's Fitch
loan-to-value ratio (LTV) of 143.3% is higher than the 2025 YTD
five-year CRE-CLO transaction average of 140.5% and the 2024
five-year CRE-CLO transaction average of 143.0%. The pool's Fitch
NCF debt yield (DY) of 6.0% is lower than the 2025 YTD average of
6.4% and the 2024 average of 6.2%.
Higher Pool Concentration: The pool concentration is higher than
recently rated Fitch transactions. The top 10 loans make up 75.3%,
which is higher than the 2025 YTD five-year CRE-CLO average of
61.2% and the 2024 average of 62.6%. The pool's effective loan
count of 14.5 is below the 2025 YTD and 2024 10-year averages of
20.6 and 18.3, respectively. 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 IO loans. This is
worse than both the 2025 YTD and 2024 CRE-CLO averages of 73.3% and
13.5%, respectively, based on fully extended loan terms. As a
result, the pool is expected to have zero principal paydown by the
maturity of the loans. By comparison, the average scheduled
paydowns for Fitch-rated U.S. CRE-CLO transactions in 2025 YTD and
2024 were 0.5% and 1.5%, 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
debt service obligations. The model-implied rating sensitivity to
changes in one variable, Fitch NCF, are as follows:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'Bsf'/less than
'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF, are as follows:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'.
SUMMARY OF FINANCIAL ADJUSTMENTS
Cash Flow Modeling: This transaction utilizes note protection tests
to provide additional credit enhancement (CE) to the
investment-grade noteholders, if needed. The note protection tests
comprise an interest coverage test and a par value test at the
'BBB-' level (Class E) in the capital structure. Should either of
these metrics fall below a minimum requirement then interest
payments to the retained notes are diverted to pay down the senior
most notes. This diversion of interest payments continues until the
note protection tests are back above their minimums.
As a result of this structural feature, Fitch's analysis of the
transaction included an evaluation of the liabilities structure
under different stress scenarios. To undertake this evaluation,
Fitch used the cash flow modeling referenced in the Fitch criteria
"U.S. and Canadian Multiborrower CMBS Rating Criteria." Different
scenarios were run that stressed asset default timing distributions
and recovery timing assumptions. 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.
BEECHWOOD PARK: Moody's Assigns Ba3 Rating to Class E-RR Notes
--------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of refinancing
notes (the "Refinancing Notes") issued by Beechwood Park CLO, Ltd.
(the "Issuer").
Moody's rating action is as follows:
US$36,000,000 Class A-2-RR Senior Secured Floating Rate Notes Due
2035 (the "Class A-2-RR Notes"), Assigned Aaa (sf)
US$36,400,000 Class E-RR Junior Secured Deferrable Floating Rate
Notes Due 2035 (the "Class E-RR Notes"), Assigned Ba3 (sf)
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
Blackstone CLO Management LLC (the "Manager") will continue to
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period.
The Issuer previously issued one other class of secured notes and
one class of subordinated notes which will remain outstanding.
In addition to the issuance of the Refinancing Notes, the
Refinancing Notes' non-call period will be extended.
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: $788,645,895
Defaulted par: $5,087,487
Diversity Score: 77
Weighted Average Rating Factor (WARF): 2779
Weighted Average Spread (WAS): 3.10%
Weighted Average Coupon (WAC): 4.85%
Weighted Average Recovery Rate (WARR): 46.28%
Weighted Average Life (WAL): 5.46 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology 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 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.
BENEFIT STREET XXI: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt from Benefit Street
Partners CLO XXI Ltd./Benefit Street Partners CLO XXI LLC, a CLO
managed by BSP CLO Management LLC that was originally issued in
August 2020 and underwent a refinancing in September 2021.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2,
D-2-R2, and E-R2 debt was issued at a lower spread over three-month
SOFR than the existing debt.
-- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2,
D-2-R2, and E-R2 debt was issued at a floating spread, replacing
the current floating spread.
-- The stated maturity/weighted average life test date was
extended by four years.
-- The non-call period was extended to Jan. 15, 2028.
-- The reinvestment period was extended to Jan. 15, 2031.
The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to Jan. 15, 2039.
Additional assets were purchased on the Nov. 18, 2025, refinancing
date, and the target initial par amount remained at $450 million.
There is 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 were amended.
Additional subordinated notes amounting to $6.73 million 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 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
Benefit Street Partners CLO XXI Ltd./
Benefit Street Partners CLO XXI LLC
Class A-1-R2, $283.50 million: AAA (sf)
Class A-2-R2, $13.50 million: AAA (sf)
Class B-R2, $45.00 million: AA (sf)
Class C-R2 (deferrable), $27.00 million: A (sf)
Class D-1-R2 (deferrable), $27.00 million: BBB- (sf)
Class D-2-R2 (deferrable), $4.50 million: BBB- (sf)
Class E-R2 (deferrable), $13.50 million: BB- (sf)
Ratings Withdrawn
Benefit Street Partners CLO XXI Ltd./
Benefit Street Partners CLO XXI LLC
Class A-1-R to NR from AAA (sf)
Class A-2-R to NR from AAA (sf)
Class B-R to NR from AA (sf)
Class C-R (deferrable) to NR from A (sf)
Class D-R (deferrable) to NR from BBB- (sf)
Class E-R (deferrable) to NR from BB- (sf)
Other Debt
Benefit Street Partners CLO XXI Ltd./
Benefit Street Partners CLO XXI LLC
Subordinated notes, $41.73 million: NR
NR--Not rated.
BRIDGE STREET VI: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Bridge
Street CLO VI Ltd.
Entity/Debt Rating
----------- ------
Bridge Street
CLO VI Ltd.
A-1 LT NRsf New Rating
A-1 Loans 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
Bridge Street CLO VI Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by FS
Structured Products Advisor, 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', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.47 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 97.59%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.18% 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 6.25% 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 5.2-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, 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, 'Asf' for
class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Bridge Street CLO
VI 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.
BRYANT PARK 2025-28: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Bryant Park
Funding 2025-28 Ltd./Bryant Park Funding 2025-28 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 Marathon Asset Management L.P.
The preliminary ratings are based on information as of Nov. 14,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Bryant Park Funding 2025-28 Ltd./
Bryant Park Funding 2025-28 LLC
Class A, $248.0 million: AAA (sf)
Class B, $56.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1 (deferrable), $24.0 million: BBB- (sf)
Class D-2 (deferrable), $4.0 million: BBB- (sf)
Class E (deferrable), $12.0 million: BB- (sf)
Subordinated notes, $37.5 million: NR
NR--Not rated.
BUTTERMILK PARK: S&P Affirms 'BB- (sf)' Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1-R, B-2-R,
and C-R debt from Buttermilk Park CLO Ltd. and removed them from
CreditWatch, where S&P had placed them with positive implications
on Oct. 10, 2025. At the same time, it affirmed our ratings on the
class A-1-R, D-R, and E debt from the same transaction.
The rating actions follow its review of the transaction's
performance using data from the October 2025 trustee report.
The transaction has collectively paid down $133.79 million to the
class A-1-R debt since our June 2024 rating actions. These paydowns
resulted in improved reported overcollateralization (O/C) ratios
since the April 2024 trustee report, which S&P had used for our
June 2024 rating actions:
-- The class A/B O/C ratio improved to 144.55% from 130.61%.
-- The class C O/C ratio improved to 125.20% from 118.70%.
-- The class D O/C ratio improved to 112.94% from 110.53%.
-- The class E O/C ratio improved to 106.68% from 106.14%.
-- All O/C ratios improved, driven by lower senior debt balances,
which, in turn, increased credit support.
Although overcollateralization (O/C) metrics have strengthened,
cumulative par losses, over time, have tempered the benefit to the
more junior-rated classes, resulting in only a modest increase in
credit enhancement. Partly offsetting this, the collateral pool's
credit quality has improved in absolute terms since our June 2024
rating actions, albeit with only a marginal increase on a
percentage basis. Specifically, exposure to obligations rated in
the 'CCC' category declined to $28.42 million (8.2%) in the October
2025 report, from $38.35 million (8.0%) in April 2024, while
defaulted collateral was reduced to zero from $2.50 million over
the same period. The transaction has also benefited from collateral
seasoning, with the portfolio's weighted-average life decreasing to
3.09 years as of October 2025 from 3.94 years at the time of the
June 2024 review. Taken together, these factors support stronger
asset performance expectations relative to our prior review.
The upgrades reflect the improved credit support available to the
debt at the prior rating levels.
On a standalone basis, the results of the cash flow analysis
indicated a higher rating on the class C-R and D-R debt. However,
S&P's actions reflect its qualitative consideration of the results
of extra sensitivity analysis that S&P rans given the portfolio's
exposure to 'CCC' rated collateral and to some assets with low
market values.
The affirmations reflect adequate credit support at the current
rating levels, though any deterioration in the credit support
available to the debt could result in further ratings changes.
S&P said, "Although the cash flows point to a lower rating for the
class E debt, we affirmed its rating to indicate our opinion that
the current rating reflects adequate credit support for now. Since
our last rating action, declines in the portfolio's
weighted-average recovery rate and weighted-average spread reduced
excess cash flow available to support the class E debt. Given this
class's more subordinate position in the capital structure, it is
inherently more sensitive to such changes as the transaction
amortizes, contributing to weaker modeled cash flow outcomes.
However, exposure in the 'CCC' bucket has remained broadly stable
relative to prior reporting dates, and continued paydowns is likely
to help build credit enhancement over time. As a result, based on
the current level of credit enhancement and the portfolio's
relatively low exposure to 'CCC'/'CCC-' rated obligors, we believe
the rating on the class E debt appropriately reflects their credit
risk.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
Ratings Raised And Removed From CreditWatch
Buttermilk Park CLO Ltd.
Class B-1-R to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class B-2-R to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class C-R to 'AA- (sf)' from 'A (sf)/Watch Pos'
Ratings Affirmed
Buttermilk Park CLO Ltd.
Class A-1-R: 'AAA (sf)'
Class D-R: 'BBB- (sf)'
Class E: 'BB- (sf)'
CANTOR COMMERCIAL 2011-C2: Fitch Affirms BB Rating on Class D Notes
-------------------------------------------------------------------
Fitch Ratings has affirmed 12 classes in Deustche Bank Securities
COMM 2010-C1 commercial mortgage pass-through certificates (COMM
2010-C1), Cantor Commercial Real Estate (CFCRE) Commercial Mortgage
Trust 2011-C2 commercial mortgage pass-through certificates (CRCRE
2011-C2), and German American Capital Corp.'s COMM 2012-LC4 (COMM
2012-LC4) commercial mortgage pass-through certificates
transactions.
The Rating Outlook for class D in COMM 2010-C1 is revised to Stable
from Negative. The Outlook for class D in CRCRE 2011-C2 remains
Stable.
Entity/Debt Rating Prior
----------- ------ -----
CFCRE 2011-C2
D 12527DAF7 LT BBsf Affirmed BBsf
E 12527DAG5 LT Csf Affirmed Csf
F 12527DAH3 LT Csf Affirmed Csf
G 12527DAJ9 LT Csf Affirmed Csf
COMM 2010-C1
D 12622DAK0 LT BBsf Affirmed BBsf
E 12622DAL8 LT CCCsf Affirmed CCCsf
F 12622DAM6 LT CCsf Affirmed CCsf
G 12622DAN4 LT Csf Affirmed Csf
COMM 2012-LC4
C 126192AG8 LT CCsf Affirmed CCsf
D 126192AK9 LT Csf Affirmed Csf
E 126192AL7 LT Csf Affirmed Csf
F 126192AM5 LT Csf Affirmed Csf
KEY RATING DRIVERS
Pool Concentration; Adverse Selection: These transactions are
concentrated with three or fewer loans/assets remaining, the
majority of which are considered Fitch Loans of Concern (FLOCs).
Fitch conducted a look-through analysis to determine the loans'
expected recoveries and losses to assess the outstanding classes'
ratings relative to credit enhancement (CE). In some cases, this
analysis resulted in rating caps given the weak collateral quality
of the remaining loans and concerns with ultimate refinance ability
and/or workout resolutions. The affirmed classes reflect stable
pool performance and loss expectations since the last rating
action.
The Outlook revision to Stable from Negative on class D in COMM
2010-C1 reflects increased CE and consistent recovery expectations
for the remaining loan, Fashion Outlets of Niagara Falls. A
downgrade is not expected due to sufficient expected recovery to
pay class D in full.
FLOCs and Specially Serviced Loans: All five loans in COMM
2012-LC4, COMM-2010-C1, and CRCRE 2011-C2 transactions are FLOCs,
including two specially serviced loans in COMM 2012-LC4.
There is one loan remaining in COMM 2010-C1, Fashion Outlets of
Niagara Falls, sponsored by The Macerich Company. The loan was
previously transferred to special servicing in October 2023 for
imminent maturity default and subsequently returned to the master
servicer as a corrected mortgage loan on July 19, 2024. As the
result of a modification, the loan was extended through October
2026 and has remained current.
The loan is secured by an outlet mall consisting of 525,663 sf
located in Niagara, NY near the U.S. and Canada border. The
property is heavily reliant on tourism; prior to the pandemic, the
property suffered from significantly lower sales since issuance
along with fluctuating occupancy.
Per the servicer, the June 2025 DSCR was 0.77x with an occupancy of
69.7% compared to YE 2024 DSCR of 0.98x with an occupancy of 76.5%.
Fitch's 'Bsf' rating case loss of 28.2% (prior to a concentration
adjustment) is based on YE 2024 NOI and a 20% cap rate, which
resulted in a Fitch stressed value of $45.9M.
The largest contributor to loss in COMM 2012-LC4 is the Square One
Mall loan (74.4% of the pool), secured by a 542,751 sf portion of a
928,667 sf regional mall located in Saugus, MA. The loan
transferred to special servicing in July 2020 for imminent monetary
default related to the pandemic and was modified in early September
2021; modification terms included a five-year maturity extension to
January 2027. The loan returned to the master servicer in November
2021 and will be cash managed for the remainder of the term with a
hyper amortization from all excess cash flow.
Non-collateral anchors include Macy's and a former Sears box that
went dark in September 2020. Major collateral tenants include BD's
Furniture, Dick's Sporting Goods, T.J. Maxx and Best Buy. Inline
tenants include Old Navy, The Gap/Gap Kids, H&M, Express, American
Eagle Outfitters, Victoria's Secret, Hollister Co. and
Aeropostale.
As of June 2025, the collateral was 75% occupied with a DSCR of
1.02x compared to YE 2024 DSCR of 1.53x and an occupancy of 77%.
Fitch's 'Bsf' rating case loss of 39% (prior to a concentration
adjustment) is consistent with the prior rating action and reflects
a recovery value of $141 psf.
Changes to Credit Enhancement (CE): As of the October 2025
reporting, aggregated balances have reduced significantly since
issuance, with COMM 2010-C1 reduced by 90.9%, COMM 2012-LC4 reduced
89.1%, and CRCRE 2011-C2 reduced by 90.5%.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to 'BBsf' category rated classes are possible with
higher-than-expected losses from continued under-performance of the
FLOCs and with greater certainty of losses on the specially
serviced loans/assets or other FLOCs.
Downgrades to distressed ratings would occur as losses become more
certain and/or as losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Given the significant pool concentration and adverse selection of
these transactions, upgrades are not likely but may occur with
better-than-expected recoveries on specially serviced loans or
significantly higher values or recovery expectations on the FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CATHEDRAL LAKE VIII: S&P Affirms B (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R, A-2-R, and B-R debt and new class C-1-R and C-F-R debt,
which was split from the original class C debt from Cathedral Lake
VIII Ltd./Cathedral Lake VIII LLC, a CLO managed by Clearlake
Capital Asset Management LLC that was originally issued in December
2021. At the same time, S&P withdrew its ratings on the previous
class A-1, A-2, B, and C debt following payment in full on the Nov.
19, 2025, refinancing date. S&P also affirmed its ratings on the
class D-1, D-J, and E debt, which were not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to July 20, 2026.
-- No additional assets were purchased on the Nov. 19, 2025,
refinancing date, and the target initial par amount remains the
same. There was no additional effective date or ramp-up period and
the first payment date following the refinancing is Jan. 20, 2026.
-- The previous class C debt was split into the new floating-rate
debt class C-1-R and fixed-rate debt C-F-R notes. The replacement
debt is pro rata with the same combined total amount.
-- No additional subordinated notes were issued on the refinancing
date.
-- S&P said, "On a standalone basis, our cash flow analysis
indicated a lower rating on the class D-1 and E debt (which was not
refinanced). However, we affirmed our 'BBB+ (sf)' and 'B (sf)'
rating, respectively on the class D-1 and E debt after considering
the margin of failure and the relatively stable
overcollateralization ratio since our last rating action on the
transaction.
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-1-R, $240.00 million: Three-month CME term SOFR +
1.13%
-- Class A-2-R, $16.00 million: Three-month CME term SOFR + 1.42%
-- Class B-R, $44.00 million: Three-month CME term SOFR + 1.55%
-- Class C-1-R (deferrable), $18.00 million: Three-month CME term
SOFR + 2.15%
-- Class C-F-R (deferrable), $10.00 million: 5.559%
Previous debt
-- Class A-1, $240.00 million: Three-month CME term SOFR + 1.22% +
CSA(i)
-- Class A-2, $16.00 million: Three-month CME term SOFR + 1.50% +
CSA(i)
-- Class B, $44.00 million: Three-month CME term SOFR + 1.85% +
CSA(i)
-- Class C (deferrable), $28.00 million: Three-month CME term SOFR
+ 2.62% + CSA(i)
(i)The CSA is .26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Cathedral Lake VIII Ltd./Cathedral Lake VIII LLC
Class A-1-R, $240.00 million: AAA (sf)
Class A-2-R, $16.00 million: AAA (sf)
Class B-R, $44.00 million: AA (sf)
Class C-1-R (deferrable), $18.00 million: A (sf)
Class C-F-R (deferrable), $10.00 million: A (sf)
Ratings Withdrawn
Cathedral Lake VIII Ltd./Cathedral Lake VIII LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Ratings Affirmed
Cathedral Lake VIII Ltd./Cathedral Lake VIII LLC
Class D-1: BBB+ (sf)
Class D-J: BB+ (sf)
Class E: B (sf)
Other Debt
Cathedral Lake VIII Ltd./Cathedral Lake VIII LLC
Subordinated notes, $41.75 million: NR
NR--Not rated.
CAYUGA PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R2, B-1-R2, B-2-R2, C-R2, D-R2, and E-R2 debt
and proposed new class X-R2 debt from Cayuga Park CLO Ltd./Cayuga
Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that
was originally issued in August 2020 and underwent a refinancing in
August 2021.
The preliminary ratings are based on information as of Nov. 19,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Nov. 25, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the existing debt. At that
time, we expect to withdraw our ratings on the existing class A-R,
B-1-R, B-2-R, C-R, D-R, and E-R debt and assign ratings to the
replacement class A-R2, B-1-R2, B-2-R2, C-R2, D-R2, and E-R2 debt
and proposed new class X-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 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-R2, B-1-R2, C-R2, D-R2, and E-R2 debt
is expected to be issued at a lower spread over three-month SOFR
than the existing debt, while the class B-2-R2 debt is expected to
be issued at a higher coupon than the existing debt.
-- The non-call period will be extended to Nov. 25, 2027.
-- The reinvestment period will be extended to Oct. 17, 2030.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to Oct. 17, 2038.
-- The new class X-R2 debt will be issued on the refinancing date
and is expected to be paid down using interest proceeds during the
first 12 payment dates in equal installments of $333,333.33,
beginning on the April 17, 2026 payment date and ending Jan. 17,
2029.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- $9.21 million of additional subordinated notes will be issued
on the refinancing date for a new total of $41.00 million.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each 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
Cayuga Park CLO Ltd./Cayuga Park CLO LLC
Class X-R2, $4.00 million: AAA (sf)
Class A-R2 $254.00 million: AAA (sf)
Class B-1-R2 $35.00 million: AA (sf)
Class B-2-R2 $15.00 million: AA (sf)
Class C-R2 (deferrable), $24.00 million: A (sf)
Class D-R2 (deferrable), $24.00 million: BBB- (sf)
Class E-R2 (deferrable), $15.00 million: BB- (sf)
Other Debt
Cayuga Park CLO Ltd./Cayuga Park CLO LLC
Subordinated notes, $41.00 million: Not rated
CD 2018-CD7: Fitch Lowers Rating on Class F-RR Certs to 'CCCsf'
---------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 12 classes of
CD 2018-CD7 Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2018-CD7.
Fitch has also affirmed 14 classes of CD 2019-CD8 Mortgage Trust.
The Rating Outlooks for affirmed classes A-M, X-A and B have been
revised to Stable from Negative.
Entity/Debt Rating Prior
----------- ------ -----
CD 2019-CD8
A-3 12515BAD0 LT AAAsf Affirmed AAAsf
A-4 12515BAE8 LT AAAsf Affirmed AAAsf
A-M 12515BAG3 LT AAAsf Affirmed AAAsf
A-SB 12515BAC2 LT AAAsf Affirmed AAAsf
B 12515BAH1 LT AA-sf Affirmed AA-sf
C 12515BAJ7 LT A-sf Affirmed A-sf
D 12515BAR9 LT BBBsf Affirmed BBBsf
E 12515BAT5 LT BBsf Affirmed BBsf
F 12515BAV0 LT B-sf Affirmed B-sf
G-RR 12515BAX6 LT CCCsf Affirmed CCCsf
X-A 12515BAF5 LT AAAsf Affirmed AAAsf
X-B 12515BAK4 LT A-sf Affirmed A-sf
X-D 12515BAM0 LT BBsf Affirmed BBsf
X-F 12515BAP3 LT B-sf Affirmed B-sf
CD 2018-CD7
A-3 12512JAV6 LT AAAsf Affirmed AAAsf
A-4 12512JAW4 LT AAAsf Affirmed AAAsf
A-M 12512JAY0 LT AAAsf Affirmed AAAsf
A-SB 12512JAT1 LT AAAsf Affirmed AAAsf
B 12512JAZ7 LT AA-sf Affirmed AA-sf
C 12512JBA1 LT A-sf Affirmed A-sf
D 12512JAE4 LT BBB-sf Affirmed BBB-sf
E-RR 12512JAG9 LT BBsf Affirmed BBsf
F-RR 12512JAJ3 LT CCCsf Downgrade B-sf
G-RR 12512JAL8 LT CCCsf Affirmed CCCsf
X-A 12512JAX2 LT AAAsf Affirmed AAAsf
X-B 12512JAA2 LT AA-sf Affirmed AA-sf
X-D 12512JAC8 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Pool 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss
increased to 7.3% in CD 2018-CD7 from 6.3% at Fitch's prior rating
action, while loss expectations for CD 2019-CD8 have declined to
6.1% from 6.6%. Fitch Loans of Concern (FLOCs) comprise seven loans
(23.9% of the pool) in CD 2018-CD7, including four loans in special
servicing (14.6%), and seven loans (30.6%) in CD 2019-CD8, as well
as two loans (3.8%) in special servicing.
The downgrade of class F-RR in CD 2018-CD7 reflects the higher pool
loss expectations since Fitch's prior rating action, primarily
driven by valuation declines and/or increasing exposures on the
specially serviced loans, in addition to larger FLOCs with
continued performance concerns.
The Negative Outlooks in CD 2018-CD7 reflect the high FLOC exposure
in the pool, including office properties with occupancy and
performance concerns, the largest of which are the specially
serviced Bank of America Center (7.5% of the pool), 175 Park Avenue
(5.2%) and Riverwalk (2.8%) loans, in addition to the potential for
higher losses on the specially serviced NoLita Multifamily
Portfolio (4.8%).
The affirmations in CD 2019-CD8 reflects the slight decline in pool
loss expectations from Fitch's prior rating action, most notably
from the improved performance of The Woodlands Mall (9% of the
pool) and Uline Arena (5.4%) loans. The Outlook revisions for
classes A-M, X-A and B reflect the decreased loss expectations and
the low likelihood of a downgrade to these classes in the next
12-24 months. The Negative Outlooks reflect the performance
concerns on larger FLOCs, particularly 888 Figueroa (9.6%), Hilton
Penn's Landing (9%), 505 Fulton Street (5.1%) and the specially
serviced 63 Spring Street loan (2. 4%).
FLOCs; Largest Contributors to Expected Loss: The largest
contributor to modeled loss in CD 2018-CD7 is the specially
serviced NoLita Multifamily Portfolio loan, which is secured by
three multifamily properties and 5,528-sf of retail space. All
three properties are in the NoLita and SoHo neighborhoods of
Manhattan. The loan was transferred to special servicing in April
2021 for imminent monetary default, stemming from issues relating
to the pandemic.
The loan is reported as in foreclosure, with recent servicer
commentary indicating a foreclosure sale is expected in 4Q25.
Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of
approximately 51% is based on a discount to the most recently
reported appraisal value and factors the higher loan exposure since
the prior rating action, reflecting a stressed value of
approximately $784,800 per unit.
The second-largest contributor to overall loss expectations in CD
2018-CD7 is the specially serviced Bank of America Center loan,
which is secured by 501,384 sf office building located in Richmond,
VA. The property was built in 1974 and renovated in 2017 and serves
several Virginia government tenants. The loan transferred to
special servicing in September 2023 due to imminent monetary
default. The servicer provided June 2025 rent roll indicated an
occupancy of 73.5%, compared with 79% as of September 2023.
Previously, Bank of America extended a portion of its lease through
April 2033 but downsized to 8.4% of the NRA from 17% at issuance.
The trust loan was current as of the October 2025 remittance.
Fitch's Bsf' rating case loss (prior to concentration add-ons) of
approximately 31% reflects a 9.5% cap rate and a 15% stress to the
TTM 3Q23 NOI for the occupancy and rollover concerns.
The third-largest contributor to overall loss expectations is the
175 Park Avenue loan, which is secured by a 270,000-sf office
building, located in Madison, NJ. It was flagged a FLOC due to the
single tenant subleasing significant portion of its space. The
non-investment grade rated tenant, Anywhere Real Estate (fka
Realogy), has a lease expiration in 2029.
As of the October 2025 remittance, the loan has approximately $18.1
million in total reserves, in addition to a $11 million tenant
letter of credit. Fitch's 'Bsf' rating case loss of approximately
17% (prior to concentration add-ons) is based on a 10% stress to YE
2023 NOI, a 10% cap rate and increased probability of default given
concerns with a default prior to or at maturity.
The largest contributor to overall loss expectations in CD 2019-CD8
is the specially serviced 63 Spring Street loan, which is secured
by a mixed-use retail and multifamily property located in
Manhattan, near the neighborhoods of SoHo and Nolita. The
collateral consists of four residential units and approximately
1,100 sf of ground floor retail. The loan transferred to special
servicing in June 2020 for payment default and the servicer is
pursuing foreclosure. Per the recent servicer commentary, the
foreclosure sale has been rescheduled for December 2025.
The retail component is 100% leased by two tenants as of May 2025,
Blank Street Coffee (95.6% of retail NRA; with 69.6% expiring in
June 2028 and 26% expiring in January 2025) and Baked by Melissa
(leased through August 2027). The building also receives cell tower
revenue and billboard revenue, and revenue from the multifamily
component. Fitch's 'Bsf' rating case loss (prior to concentration
add-ons) is approximately 67%, which reflects a discount to the
most recently available appraisal value and factors the higher loan
exposure since Fitch's prior rating action.
The second-largest contributor to overall loss expectations in CD
2019-CD8 is the Hilton Penn's Landing loan, which is secured by a
350-key full service hotel located in Philadelphia, PA. The hotel's
NOI has declined due to an increase in operating expenses.
Additionally, the property's income has remained below its
pre-pandemic level per the servicer provided August 2025 STR
report, the property's TTM occupancy was 69.5%, average daily rate
(ADR) was $202 and revenue per available room (RevPAR) was $141
compared with the property's comp set TTM occupancy of 64.8%, ADR
of $214, and RevPAR of $139. Fitch's 'Bsf' rating case loss of 12%
(prior to concentration add-ons) reflects a 10% stress to the TTM
June 2025 NOI and an 11.25% cap rate.
Minimal Changes in Credit Enhancement (CE): As of the October 2025
distribution date, the pool's aggregate balance for CD 2018-CD7 has
been paid down by 6.3% to $672 million from $717.4 million at
issuance. Seven loans (10.7%) have been defeased.
As of the October 2025 distribution date, the pool's aggregate
balance for CD 2019-CD8 has been paid down by 3.9% to $780 million
from $811.1 million at issuance. Two loans (3.3%) have been
defeased.
Credit Opinion Loans: For the CD 2018-CD7 transaction, two loans,
Aventura Mall (8.9% of the pool) and Westside NYC Multifamily
Portfolio (6.2%) remain as credit opinion loans. For the CD
2019-CD8 transaction, Moffett Towers II - Buildings 3 & 4 (4.4%)
and Crescent Club (3.5%) loans remain as credit opinion loans,
while the Woodlands Mall loan (8.8%) is no longer considered to
have credit characteristics consistent with an investment-grade
credit opinion.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to 'AAAsf' rated classes with Stable Outlooks for both
transactions are not expected due to the position in the capital
structure and expected continued amortization and loan repayments,
but may occur if deal-level losses increase significantly and/or
interest shortfalls occur or are expected to occur;
Downgrades to 'AAsf' and 'Asf' category rated classes are possible
are possible with performance deterioration of the FLOCs, including
the specially serviced Bank of America Center, 175 Park Avenue,
NoLita Multifamily Portfolio and Riverwalk loans in CD 2018-CD7,
and the 888 Figueroa, Hilton Penn's Landing, 505 Fulton and 63
Spring Street loans in CD 2019-CD8, in addition to increased
expected pool losses and limited to no improvement in class CE.
Downgrades to 'BBBsf' category rated classes are possible are
possible with performance deterioration of the FLOCs, including
aforementioned loans above in CD 2018-CD7 and CD 2019-CD8, in
addition to an overall increase in pool expected losses.
Downgrades to 'BBsf' and 'Bsf' category rated classes are possible
with higher expected losses from underperforming loans or with
greater certainty of near-term losses on specially serviced
assets.
Downgrades to distressed classes could occur should additional
loans transfer to special servicing or should losses be realized or
become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to 'AAsf' and 'Asf' category rated classes are possible
with significantly increased CE from paydown, coupled with
stable-to-improved pool-level loss expectations and improved
performance of the aforementioned FLOCs. Upgrades of these classes
to 'AAAsf' will also consider the concentration of defeased loans
in the transactions. Classes would not be upgraded above 'AA+sf' if
there is likelihood for interest shortfalls.
Upgrades to the 'BBBsf' category rated classes could be limited
based on sensitivity to concentrations or the potential for future
concentration and performance volatility of larger assets,
including FLOCs.
Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable, recoveries on and there is
sufficient CE to the classes.
Upgrades to distressed ratings are possible with better than
expected recoveries on specially serviced loans or significantly
higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
COLT 2025-11: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by COLT 2025-11 Mortgage Loan
Trust (COLT 2025-11).
Entity/Debt Rating Prior
----------- ------ -----
COLT 2025-11
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-1 LT AAAsf New Rating AAA(EXP)sf
A-1F LT WDsf Withdrawn AAA(EXP)sf
A-1IO LT WDsf Withdrawn 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-IO-S LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
Transaction Summary
The certificates are supported by 541 nonprime loans with a total
balance of approximately $310.6 million as of the cutoff date.
Loans in the pool were originated by The Loan Store, Inc. and
others. The loans were aggregated by Hudson Americas L.P. and are
currently being serviced by Select Portfolio Servicing, Inc. (SPS)
and Fay Servicing.
The borrowers in the pool exhibit a moderate credit profile, with a
weighted-average (WA) Fitch FICO of 740 and 33.0% debt-to-income
(DTI) ratio. The borrowers also have moderate leverage, with a
72.2% mark-to-market combined LTV (cLTV). Overall, 46.6% of the
pool loans are for primary residences, while the remainder are
second homes or investment properties. Additionally, 100% of the
loans are clean and current.
COLT 2025-11 is the first Hudson transaction analyzed and rated
under Fitch's updated U.S. RMBS Rating Criteria published on Oct.
1, 2025. Since the publication of the presale and expected ratings,
the issuer provided an updated pricing structure. Fitch reviewed
the expected rating analysis and confirmed there were no changes
from its expected ratings.
The issuer withdrew the A-1F and A-1IO classes and Fitch withdrew
the expected ratings.
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. COLT 2025-11 has a final probability of default (PD) of
45.4% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 43.1%. The expected loss in the
'AAAsf' rating stress is 19.6%.
Structural Analysis: The mortgage cash flow and loss allocation in
COLT 2025-11 are based on a modified sequential-payment structure,
whereby principal is distributed pro rata among the senior notes
while shutting out the subordinate bonds from principal until all
senior classes are reduced to zero. If a cumulative loss trigger
event or delinquency trigger event occurs in a given period,
principal will be distributed sequentially to class A1A then A-1B,
followed by class A-2 and A-3 notes until they are reduced to
zero.
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 in the form of subordination and excess
spread 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% of the loans in the transaction. Fitch applies a
5bps 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 as described
in its "Global Structured Finance Rating Criteria". Relevant
parties are those whose failure to perform could have a material
impact on transaction performance. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. COLT 2025-11 is fully de-linked and serves
as 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 COLT 2025-11; as such, 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 MSA 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 37.9% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. 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 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 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 SitusAMC, Clarifii, Clayton, Consolidated Analytics,
Maxwell, Opus, and Selene. 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.
CSTL COMMERCIAL 2025-GATE2: Fitch Rates Class HRR Certs 'Bsf'
-------------------------------------------------------------
Fitch Ratings has assigned the following final ratings and Rating
Outlooks to CSTL Commercial Mortgage Trust 2025-GATE2, commercial
mortgage pass-through certificates, series 2025-GATE2:
- $277,600,000 class A 'AAAsf'; Outlook Stable;
- $46,500,000 class B 'AAsf'; Outlook Stable;
- $42,300,000 class C 'Asf'; Outlook Stable;
- $77,000,000 class D 'BBB-sf'; Outlook Stable;
- $79,100,000 class E 'BB-sf'; Outlook Stable;
- $27,500,000(a) class HRR 'Bsf'; Outlook Stable.
(a) Horizontal risk retention interest representing at least 5.0%
of the estimated fair value of all classes.
Transaction Summary
The certificates represent the beneficial interests in a trust that
holds a five-year, fixed-rate, interest-only (IO) mortgage loan.
The mortgage is secured by the borrowers' fee simple and leasehold
interests in eight multifamily properties with a total of 3,241
units located across six states. The portfolio is 93.4% leased as
of the August 2025 rent rolls.
Loan proceeds were used to pay off $252.8 million in debt on five
loans, fund acquisition of The Quarry, Ironwood and Turnbury at
Palm Beach Gardens for $334.5 million, and pay closing costs of
$12.7 million.
The loan was originated by Citi Real Estate Funding Inc. Trimont
LLC who acts as servicer, and Argentic Services Company LP acts as
special servicer. Deutsche Bank National Trust Company, N.A. acts
as the trustee, and Computershare Trust Company, National
Association acts as the certificate administrator. Park Bridge
Lender Services LLC acts as operating advisor. The certificates
follow a standard senior-sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the
portfolio is estimated at $41.2 million. This is 7.2% lower than
the issuer's NCF but 3.8% above the TTM ended in August 2025 NCF.
Fitch's NCF is higher than the TTM ended in August 2025 NCF due to
lower administrative expenses and greater other income from the
newly acquired properties included in the portfolio, as well as
lower insurance premiums resulting from the portfolio being added
to the borrower's blanket insurance policy.
Assuming TTM other income, administrative and insurance expenses,
Fitch's NCF would be 2.2% below the TTM ended in August 2025 NCF.
Fitch applied a 7.5% cap rate, resulting in a Fitch value of
approximately $549.2 million.
Fitch Leverage: The $550 million total mortgage loan ($169,701 per
unit) has a Fitch stressed debt service coverage ratio (DSCR),
loan-to-value ratio (LTV) and debt yield (DY) of 0.88x, 100.2% and
7.5%, respectively. Based on total debt of $600 million ($185,128
per unit), inclusive of the $50 million mezzanine loan, the Fitch
stressed DSCR, LTV and DY are 0.81x, 109.3% and 6.9%, respectively.
The mortgage loan represents approximately 70.1% of the portfolio
appraised value of $785.1 million. The total debt represents
approximately 76.4% of the portfolio appraised value.
Geographically Diverse Portfolio: The portfolio is secured by 3,241
units across eight multifamily properties located in six states
across seven markets. The largest property contains 22.9% of all
units and 22.7% of the allocated loan amount (ALA). No other
property constitutes more than 20.8% of all units or 18.6% of the
ALA. No state or market represents more than 25.3% of the ALA. The
portfolio's effective geographic count is 6.15.
Institutional Sponsorship and Management: The loan sponsor and
property manager, West Shore, is a fully integrated real estate
investment firm focused on acquiring and managing multifamily
assets. West Shore currently owns and operates a portfolio
comprising over 15,000 units across 46 multifamily properties. West
Shore's portfolio spans the U.S., with a focus on the Sunbelt
region. Led by Steve and Lee Rosenthal, who have decades of
experience in the multifamily market, West Shore has raised over
$1.0 billion across six funds. Investors in these funds include
ultra-high-net-worth individuals and family offices.
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'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf';
- 10% NCF Decline: 'AA+sf'/'Asf'/'BBBsf'/'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 in one variable,
Fitch NCF:
- Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf';
- 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'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 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.
DEEPHAVEN 2025-INV1: S&P Assigns B (sf) Rating on Class B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its 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 primarily have 30-year maturities,
with some having 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 ability-to-repay -exempt
loans, 12 of which, are cross-collateralized loans backed by 62
properties, and a total property count of 1,113.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's provided credit enhancement, 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.
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(iii): NR
Class XS, Notional(iii): NR
Class R, N/A: NR
(i)The collateral and structural information reflect the private
placement memorandum dated Nov. 12, 2025. The 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.
NR--Not rated.
DIAMETER CAPITAL 12: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Diameter Capital CLO 12
Ltd./Diameter Capital CLO 12 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 Diameter CLO Advisors LLC.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Diameter Capital CLO 12 Ltd./Diameter Capital CLO 12 LLC
Class A, $231.000 million: AAA (sf)
Class A-L loans, $25.000 million: AAA (sf)
Class B, $48.000 million: AA (sf)
Class C (deferrable), $24.000 million: A (sf)
Class D-1 (deferrable), $24.000 million: BBB- (sf)
Class D-2 (deferrable), $2.000 million: BBB- (sf)
Class E (deferrable), $14.000 million: BB- (sf)
Subordinated notes, $34.607 million: NR
NR--Not rated.
DRYDEN 112: S&P Assigns BB- (sf) Rating on Class E-R2 Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement A-R2,
B-R2, C-R2, D-1R2, D-2R2, and E-R2 debt from Dryden 112 CLO Ltd., a
CLO managed by PGIM Inc., that was originally issued in August 2022
and reset in 2023. At the same time, S&P withdrew its ratings on
the previous class A-R, B-R, C-R, D-R, and E-R debt following
payment in full on the Nov. 17, 2025, refinancing date.
The replacement debt was issued via a conformed indenture, which
outlines the terms of the replacement debt. According to the
conformed indenture:
-- The class D-1R2 debt is senior to the class D-2R2 debt.
-- The non-call period was extended to Aug. 15, 2026.
-- No additional assets were purchased on the Nov. 17, 2025
refinancing date, and the target initial par amount remains the
same. There is no additional effective date or ramp-up period.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-R2, $248.00 million: Three-month CME term SOFR + 1.14%
-- Class B-R2, $56.00 million: Three-month CME term SOFR + 1.70%
-- Class C-R2 (deferrable), $24.00 million: Three-month CME term
SOFR + 2.00%
-- Class D-1R2 (deferrable), $18.00 million: Three-month CME term
SOFR + 3.00%
-- Class D-2R2 (deferrable), $6.00 million: Three-month CME term
SOFR + 3.80%
-- Class E-R2 (deferrable), $15.80 million: Three-month CME term
SOFR + 7.25%
Previous debt
-- Class A-R, $248.00 million: Three-month CME term SOFR + 1.70%
-- Class B-R, $56.00 million: Three-month CME term SOFR + 2.60%
-- Class C-R (deferrable), $24.00 million: Three-month CME term
SOFR + 3.05%
-- Class D-R (deferrable), $24.00 million: Three-month CME term
SOFR + 4.50%
-- Class E-R (deferrable), $15.80 million: Three-month CME term
SOFR + 7.75%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"On a standalone basis, our cash flow analysis indicated a lower
rating on the class E-R2 debt. Given the portfolio's overall credit
quality, the passing coverage tests along with the benefit from a
reduction in spreads from this refinancing, we assigned our 'BB-
(sf)' rating to the class E-R2 debt.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Dryden 112 CLO Ltd./Dryden 112 CLO LLC
Class A-R2, $248.00 million: AAA (sf)
Class B-R2, $56.00 million: AA (sf)
Class C-R2 (deferrable), $24.00 million: A (sf)
Class D-1R2 (deferrable), $18.00 million: BBB- (sf)
Class D-2R2 (deferrable), $6.00 million: BBB- (sf)
Class E-R2 (deferrable), $15.80 million: BB- (sf)
Ratings Withdrawn
Dryden 112 CLO Ltd./Dryden 112 CLO LLC
Class A-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-R to NR from 'A (sf)'
Class D-R to NR from 'BBB- (sf)'
Class E-R to NR from 'BB- (sf)'
Other Debt
Dryden 112 CLO Ltd./Dryden 112 CLO LLC
Subordinated notes, $35.10 million: NR
NR--Not rated.
DRYDEN CLO 65: S&P Raises Class E Notes Rating to 'B+ (sf)'
-----------------------------------------------------------
S&P Global Ratings raised its ratings on the class B and C debt
from Dryden CLO 65 Ltd., a U.S. CLO managed by PGIM Inc, and
removed them from CreditWatch with positive implications. At the
same time, S&P also lowered its rating on the class E debt and
removed it from CreditWatch with negative implications. At the same
time, S&P affirmed its ratings on the class A-1 and D debt from the
same transaction.
The rating actions follow its review of the transaction's
performance using data from the September 2025 trustee report.
S&P had placed its ratings on the class E debt on CreditWatch
negative on October 10, 2025, due primarily to their respective
declining overcollateralization (O/C) levels and cash flows.
The transaction has paid down $247 million to the class A-1 debt,
which reduced its outstanding balance to 20.34% of its original
balance. Following are the changes in the reported
overcollateralization (O/C) ratios since the October 2018 rating
actions:
-- The class A/B O/C ratio increased to 150.64% from 131.29%.
-- The class C O/C ratio increased to 127.73% from 121.12%.
-- The class D O/C ratio declined to 112.25% from 113.17%.
-- The class E O/C ratio declined to 104.80% from 108.98%.
While the senior O/C ratios experienced a positive movement due to
the lower balances of the senior notes, the junior O/C ratios
declined due to a combination of par losses, defaults, and O/C
haircuts. Although the September trustee report showed the class E
O/C ratio below its required threshold by 0.10%, the test was cured
on the October payment date.
S&P said, "Although paydowns have helped the senior classes, the
collateral portfolio's credit quality has deteriorated since our
last rating actions. Collateral obligations with ratings in the
'CCC' category are at $17.8 million as of the September 2025
trustee report, compared with $6.7 million reported as of the
October 2018 portfolio that we used at the time of issuance. Given
that the collateral pool has been amortizing, this has increased
the proportion of the pool constituting 'CCC' assets to 8.04% from
1.35%." Also, according to the trustee reports, there has been an
increase in defaulted assets to $1.2 million from $0.0 million over
the same period. As a percentage of the pool, this represents an
increase to 0.53% from 0.00%.
The lowered rating reflects the underlying portfolio's deteriorated
credit quality and a decrease in the credit support available to
the class E debt. In addition, the cash flow runs were failing at
the prior rating level. Although the scenario default rates (SDRs)
benefitted from the seasoning of the pool and the decline in the
weighted average life to 3.2 years from 6.41 years, the increase in
exposure to the 'CCC' category assets has offset this benefit. The
results of the cash flow analysis have declined due to the increase
in defaults and par losses. Another factor contributing to the
failing cash flow runs is a decrease in the weighted average
recovery rates (WARR) of the portfolio. Lower recovery expectations
imply that in the event of defaults, the value recovered from the
assets will be less than what was previously estimated.
S&P said, "Although our cash flow analysis indicated higher ratings
for the class B and C debt, our rating actions consider that the
manager, as permitted under the transaction documents, has been
retaining part of the unscheduled principal proceeds for further
reinvestment. Since such investments could potentially alter the
portfolio's characteristics and slow the pace of deleveraging the
debt, we preferred more cushion to offset that potential risk.
Also, since the transaction currently has elevated exposure to
assets in the 'CCC' category, long-dated assets, and deferring
assets, we limited the upgrade on these classes to offset future
potential credit migration in the underlying collateral.
"The affirmed ratings on the class A-1 and D debt reflect adequate
credit support at the current rating levels. Although the cash flow
analysis indicated a higher rating for the class D debt, we did not
upgrade the rating this time due to the reasons stated above. Any
further deterioration in the credit support available to the notes
could result in further rating changes.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary."
Ratings Raised And Removed From CreditWatch Positive
Dryden CLO 65 Ltd./Dryden CLO 65 LLC
Class B to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class C to 'AA (sf)' from 'A (sf)/Watch Pos'
Rating Lowered And Removed From CreditWatch Negative
Dryden CLO 65 Ltd./Dryden CLO 65 LLC
Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg'
Ratings Affirmed
Dryden CLO 65 Ltd./Dryden CLO 65 LLC
Class A-1: AAA (sf)
Class A-2: NR
Class D: BBB- (sf)
NR--Not rated.
ELEVATION CLO 2023-17: S&P Assigns BB-(sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
X-R, A-2-R, B-R, C-R, D-R, and E-R debt from Elevation CLO 2023-17
Ltd./Elevation CLO 2023-17 LLC., a CLO managed by ArrowMark
Colorado Holdings LLC that was originally issued in November 2023.
At the same time, S&P withdrew its ratings on the previous class X,
A-2, B, C, D, and E debt following payment in full on the Nov. 18,
2025, refinancing date. S&P also affirmed its rating on the class
A-1 debt, which was not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Oct. 20, 2026.
-- No additional assets were purchased on the Nov. 18, 2025,
refinancing date, and the target initial par amount remains the
same. There was no additional effective date or ramp-up period and
the first payment date following the refinancing is Jan. 20, 2026.
The replacement class E-R debt was increased to $14 million from
$11.375 million.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Previous Debt Issuances
Replacement debt
-- Class X-R notes, $0.45 million: Three-month CME term SOFR +
0.85%
-- Class A-2-R notes, $14.00 million: Three-month CME term SOFR +
1.50%
-- Class B-R notes, $42.00 million: Three-month CME term SOFR +
1.65%
-- Class C-R notes (deferrable), $21.00 million: Three-month CME
term SOFR + 2.05%
-- Class D-R notes (deferrable), $19.25 million: Three-month CME
term SOFR + 3.20%
-- Class E-R notes (deferrable), $14.00 million: Three-month CME
term SOFR + 6.40%
Previous debt
-- Class X, $0.45 million: Three-month CME term SOFR + 1.60% +
CSA(i)
-- Class A-2, $140.00 million: Three-month CME term SOFR + 1.87% +
CSA(i)
-- Class B, $42.00 million: Three-month CME term SOFR + 2.70% +
CSA(i)
-- Class C (deferrable), $21.00 million: Three-month CME term SOFR
+ 3.50% + CSA(i)
-- Class D (deferrable), $19.25 million: Three-month CME term SOFR
+ 5.69% + CSA(i)
-- Class E (deferrable), $11.375 million: Three-month CME term
SOFR + 8.16% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC.
Class X-R, $0.45 million: AAA (sf)
Class A-2-R, $14.00 million: AAA (sf)
Class B-R, $42.00 million: AA (sf)
Class C-R (deferrable), $21.00 million: A (sf)
Class D-R (deferrable), $19.25 million: BBB- (sf)
Class E-R (deferrable), $14.00 million: BB- (sf)
Ratings Withdrawn
Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC.
Class X to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Ratings Affirmed
Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC.
Class A-1: AAA (sf)
Other Debt
Elevation CLO 2023-17 Ltd./Elevation CLO 2023-17 LLC.
Subordinated notes, $30.10 million: NR
NR--Not rated.
EXETER AUTOMOBILE 2025-5: S&P Assigns BB (sf) Rating on Cl. E Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Exeter Automobile
Receivables Trust 2025-5's automobile receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect:
-- The availability of approximately 56.37%, 50.28%, 42.32%,
32.18%, and 25.95% credit support (hard credit enhancement and
haircut to excess spread) for the class A (A-1, A-2, and A-3,
collectively), B, C, D, and E notes, respectively, based on final
post-pricing stressed break-even cash flow scenarios. These credit
support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, and
1.20x coverage of S&P's expected cumulative net loss of 20.75% for
classes A, B, C, D, and E, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.50x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on
the class A, B, C, D, and E notes, respectively, will be within our
credit stability limits.
-- The timely payment of interest and principal repayment by the
designated legal final maturity dates under S&P's stressed cash
flow modeling scenarios for the assigned ratings.
-- The collateral characteristics of the series' subprime
automobile loans, S&P's view of the collateral's credit risk, its
updated macroeconomic forecast and forward-looking view of the auto
finance sector.
-- S&P's assessment of the series' bank accounts at Citibank N.A.,
which do not constrain the ratings.
-- S&P's operational risk assessment of Exeter Finance LLC as
servicer, along with our view of the company's underwriting and its
backup servicing arrangement with Citibank.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with our sector benchmark.
-- The transaction's payment and legal structures.
Ratings Assigned
Exeter Automobile Receivables Trust 2025-5
Class A-1, $122.00 million: A-1+ (sf)
Class A-2, $264.28 million: AAA (sf)
Class A-3, $245.48 million: AAA (sf)
Class B, $132.33 million: AA (sf)
Class C, $135.51 million: A (sf)
Class D, $173.69 million: BBB (sf)
Class E, $141.87 million: BB- (sf)
FIDIUM LLC 2025-4: Fitch Assigns BB-(EXP)sf Rating on Class C Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Fidium, LLC (f/k/a Consolidated Communications, LLC) Series 2025-4
as follows:
- $977,800,000 series 2025-4, class A-2 'A-sf'/Outlook Stable;
- $144,500,000 series 2025-4, class B 'BBB-sf'/Outlook Stable;
- $160,600,000 series 2025-4, class C 'BB-sf'/Outlook Stable.
Transaction Summary
The securitization is managed by Fidium, LLC and Fidium Finance
Holdco LLC under the master trust and follows the 2025-1, 2025-2
and 2025-3 issuance in May 2025. The transaction is a
securitization of subscription and contract payments derived from
an existing enterprise and fiber-to-the-premises (FTTP) network.
Collateral assets include conduits, cables, network-level
equipment, access rights, customer agreements, transaction accounts
and a pledge of equity from the asset entities. The notes are
serviced by net revenue from the operation of the collateral
assets.
The collateral consists of high-quality fiber lines that support
the provision of data (97.0% of monthly recurring revenue [MRR])
and voice (3.0%) services to residential (48.6%), commercial
(27.4%) and wireless, wireline carrier (24.1%) customers. The fiber
network serves 310,000 residential fiber broadband subscribers,
including 1,335,000 households passed across 19 states, primarily
located in Maine (26.1% of MRR), New Hampshire (25.4%) and Texas
(14.4%). These assets represent about 65.9% of the sponsor's
revenue for the month ended on August 2025. The collateral does not
include Fidium, LLC copper assets.
The expected ratings reflect Fitch's structured finance analysis of
cash flow from the collateral assets, rather than an assessment of
the corporate default risk of the ultimate parent, Condor Holdings
LLC.
The ratings on the 2025-1, 2025-2 and 2025-3 notes are subject to
affirmation concurrent with the transaction close and the
assignment of final ratings.
The legal name of the issuer has been changed from Consolidated
Communications, LLC to Fidium, LLC.
KEY RATING DRIVERS
Net Cash Flow and Leverage: Fitch's base case net cash flow (NCF)
on the pool is $290.6 million, implying a 17.1% haircut to issuer
NCF. The debt multiple relative to Fitch's NCF on the rated classes
is 10.0x, versus the debt-to-issuer NCF leverage of 8.3x. Fitch's
base-case NCF scenario assumes the most conservative leverage
scenario wherein the series 2025-4 class C note is upsized to the
preapproved maximum amount of $260.6 million from $160.6 million,
and the VFN is drawn to the maximum capacity available at closing
of $36.5 million.
Inclusive of the future cash flow required to draw upon the initial
maximum variable funding note (VFN) balance of $500 million,
Fitch's NCF would be $347.8 million, implying a 18.4% haircut to
the implied issuer NCF. The debt multiple relative to Fitch's NCF
on the rated classes is 9.7x, compared with the debt-to-issuer NCF
leverage of 7.9x.
Based on the Fitch NCF and no additional revenue growth, and
following the transaction's ARD, the notes would be repaid 20.1
years from the closing date.
Credit Risk Factors: The major factors affecting Fitch's
determination of cash flow and maximum potential leverage include
the high quality of the underlying collateral networks, which are
100% fiber; the low historical churn rates compared to peers; the
geographic diversification of the collateral and low customer
concentration; strong competitive positioning; seasoned markets
with adequate operating history; the capability of the operator;
lower penetration as compared to peers, and the transaction
structure.
Technology-Dependent Credit: This transaction's senior classes do
not achieve ratings above 'Asf' for reasons that include the
specialized nature of the collateral and the potential for changes
in technology to affect net revenue from the collateral assets. The
securities have a rated final payment date 30 years after closing,
and the long-term tenor of the securities increases the risk that
an alternative technology will render the current transmission of
data through fiber optic cables obsolete. That said, data providers
continue to invest in and utilize this technology, given that fiber
optic cable networks are currently the fastest, highest-capacity
and most reliable means to transmit information.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Declining cash flow due to higher expenses, customer churn, lower
market penetration, declining contract rates or the development of
an alternative technology for the transmission of data could lead
to downgrades.
- Fitch's base case NCF was 17.1% below the issuer's underwritten
cash flow. A further 10% decline in Fitch's NCF indicates the
following ratings based on Fitch's determination of MPL: class A-2
to 'BBBsf' from 'A-sf'; class B to 'BBsf' from 'BBB-sf'; class C to
'B-sf' from 'BB-sf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Increasing cash flow from rate increases, additional customers,
or contract amendments could lead to upgrades.
- A 20% increase in Fitch's NCF indicates the following ratings
based on Fitch's determination of MPL: class A-2 to 'Asf' from
'A-sf'; class B to 'Asf' from 'BBB-sf'; class C to 'BBB-sf' from
'BB-sf'.
- Upgrades, however, are unlikely, given the issuer's ability to
issue additional pari passu notes. In addition, the senior classes
are capped at the 'Asf' category.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
FIGRE TRUST 2025-HE8: S&P Assigns Prelim B- (sf) Rating on F Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to FIGRE Trust
2025-HE8's mortgage-backed notes.
The transaction is an RMBS securitization backed by first- and
subordinate-lien, simple-interest, fixed-rate, fully amortizing
residential mortgage loans that are open-ended home equity lines of
credit (HELOCs). The loans are secured by single-family residences,
condominiums, townhouses, and two- to four-family residential
properties. The pool is composed of 5,127 initial HELOCs plus 855
subsequent draws (5,982 HELOC mortgage loans), which are all
ability-to-repay exempt.
The preliminary ratings are based on information as of Nov. 19,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, and geographic
concentration;
-- The mortgage originator, Figure Lending LLC ;
-- Sample due diligence results consistent with represented loan
characteristics; and
-- S&P's outlook that considers our current projections for U.S.
economic growth, unemployment rates, and interest rates, as well as
its view of housing fundamentals. S&P's outlook is updated, if
necessary, when these projections change materially.
Preliminary Ratings Assigned
FIGRE Trust 2025-HE8(i)
Class A, $290,148,000: AAA (sf)
Class B, $28,775,000: AA- (sf)
Class C, $50,575,000: A- (sf)
Class D, $24,415,000: BBB- (sf)
Class E, $20,491,000: BB- (sf)
Class F, $14,170,000: B- (sf)
Class G, $7,412,234: Not rated
Class XS, notional(ii): Not rated
Class FR(iii): Not rated
Class R, not applicable: Not rated
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address the payment of the cap carryover
amounts.
(ii)The class XS notes will have a notional amount equal to the
aggregate principal balance of the mortgage loans and any real
estate owned properties as of the first day of the related
collection period.
(iii)The initial class FR certificate balance is zero. In certain
circumstances, class FR is obligated to remit funds to the reserve
account to reimburse the servicer for funding subsequent draws in
the event there is insufficient available funds or amounts on
deposit in the reserve account. Any amounts remitted by the class
FR certificates will be added to and increase the balance of the
class FR certificates.
FREDDIE MAC 2025-MN12: Fitch Rates Class M-2 Notes 'BB-(EXP)'
-------------------------------------------------------------
Fitch Ratings has assigned expected ratings and issued a presale
report for the Freddie Mac Multifamily Structured Credit Risk
(MSCR) Notes, Series 2025-MN12.
Entity/Debt Rating
----------- ------
MSCR 2025-MN12
A-H LT NR(EXP)sf Expected Rating
M-1 LT BBB-(EXP)sf Expected Rating
M-1H LT NR(EXP)sf Expected Rating
M-2 LT BB-(EXP)sf Expected Rating
M-2H LT NR(EXP)sf Expected Rating
B-1 LT NR(EXP)sf Expected Rating
B-1H LT NR(EXP)sf Expected Rating
B-2H LT NR(EXP)sf Expected Rating
- $125,659,000a,c class M-1 'BBB-(EXP)sf'; Outlook Stable;
- $172,781,000a,c class M-2 'BB-(EXP)sf'; Outlook Stable;
Fitch does not expect to rate the following classes:
- $19,896,101,535a,b class A-H;
- $188,489,971a,b class M-1H;
- $115,188,891a,b class M-2H;
- $141,367,000a,c class B-1;
- $94,244,729a,b class B-1H;
- $209,432,648a,b class B-2H.
(a) Class balances are approximate and may change before pricing.
Freddie Mac may adjust the class balance of any notes and the
notional amounts of the related reference tranches up or down, with
corresponding opposite adjustments to the reference tranches.
However, class M-1H will be at least 5% of the combined initial
notional amount of M-1 and M-1H. Class M-2H will be at least 5% of
the combined initial notional amount of M-2 and M-2H. Class B-1H
will be at least 5% of the combined initial notional amount of B-1
and B-1H.
(b) Class A-H, M-1H, M-2H, B-1H and B-2H are reference tranches and
will not have corresponding notes. Reference tranches will be
referenced only in connection with making calculations of principal
payments required to be made on the notes, and reductions and
increases in the class balances of the notes.
(c) Class M-1, M-2 and B-1 will have corresponding reference
tranches for the purpose of making calculations of principal
payments required to be made by the trust, and reductions and
increases in the class balances of the notes.
Transaction Summary
MSCR 2025-MN12 serves as a credit risk transfer (CRT) mechanism,
where the credit risk of a reference pool of loans held and/or
guaranteed by Freddie Mac are transferred to the notes' investors.
The reference pool consists of 890 obligations totaling $20.9
billion. The reference pool loans were originated in connection
with Freddie Mac's Multi PC (398; 56.0%), K Series (280; 38.5%),
Targeted Affordable Housing Bond Credit Enhancement (TAH BCE; 7;
2.8%) and small balance loan (205; 2.7%) programs. When a first-
and second-lien loan are both included in the reference pool, Fitch
modeled them as one loan; therefore, loan counts may vary slightly
from those in offering documents.
Notes' proceeds will be used by the trust to purchase eligible
investments (EIs), as defined under the transaction documents. On
each payment date, the trust will use earnings from EIs to pay
interest due, with Freddie Mac (rated AA+ by Fitch) acting as a
backstop to provide any additional funds to when earnings from the
EIs are insufficient to pay amounts due.
The transaction is intended to mimic traditional CMBS cash flows
for investors. On each payment date, noteholders will receive
interest payment based on the note's interest rate and outstanding
notional balance. The notional balance can be reduced by losses to
the trust from liquidations or modifications. Noteholders will also
be entitled to principal paydowns from corresponding principal
payments on the reference pool.
On the closing date, the issuer will enter into a collateral
administration agreement (CAA) and capital contribution agreement
(CCA) with the trust, which will provide credit protection to
Freddie Mac on the reference loan pool. According to the CAA, the
trust is required to pay the issuer based on credit events and
modification events, as defined under the transaction documents.
KEY RATING DRIVERS
Fitch Property Cash Flow: Fitch performed cash flow analyses on 82
loans totaling 16.95% of the pool by balance. Fitch's resulting net
cash flow (NCF) of $1.7 billion represents a 10.1% decline from the
issuer's underwritten NCF of $1.855 billion.
GSE Multifamily Programs Historical Performance: Historical losses
under GSE multifamily programs are much lower than those of conduit
transactions. This is the 12th issuance under Freddie's MSCR
series, and as of August 2025, the delinquency rate for the series
was 0.1%, with 27 of approximately 3,377 loans in special
servicing. Under its seven multifamily issuance programs, aggregate
issuance was about $840 billion, with aggregate losses of about
$195 million (0.02%).
Loan Diversity: The pool's loan concentration is highly diverse. It
has an effective loan count of 253.6, materially higher than the
average for 2025 YTD Fitch-rated 10-year Freddie Mac transactions
(K Series) of 18.6. The top 10 loans represent 10.8% of the pool,
compared with 2025 YTD Fitch-rated 10-year Freddie Mac
transactions' (K Series) 60.9%. The pool is also more
geographically diverse, with an effective geographic count of 27.8,
compared with the 2025 YTD Fitch-rated 10-year Freddie Mac
transactions' (K Series) 13.9. Fitch applied QRS of '1', instead of
'3', to most of the loans in the pool, reflecting the additional
benefit of the diversity of the pool and strong historical Freddie
Mac loan performance.
Ratings Cap: The ratings are capped at the lower of the credit
protection buyer (Freddie Mac, rated AA+ by Fitch) and account
holder of the charged assets (U.S. Bank National Association, rated
A+ by Fitch). Although the current ratings are not constrained by a
rating cap, a downgrade of either party may affect the ratings, and
upgrades due to improvement in underlying asset performance may be
limited based on the caps.
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: 'BBB-sf'/'BB-sf'
- 10% NCF Decline: 'BB-sf'/'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 in one variable,
Fitch NCF:
- Original Rating: 'BBB-sf'/'BB-sf'
- 10% NCF Increase: 'BBB-sf'/'BB-sf
CRITERIA VARIATION
The loan term was capped at 13 years, consistent with early payoff
data provided by a frequent issuer.
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 BB (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its 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 ratings reflect S&P's view of:
-- The availability of approximately 54.72%, 46.31%, 36.32%,
27.82%, and 24.04% of credit support (hard credit enhancement and
haircut to excess spread) for the class A (A-1, A-2, and A-3,
collectively), B, C, D, and E notes, respectively, based on
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 '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
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 ratings.
-- S&P's operational risk assessment of Global Lending Services
LLC as servicer, and its view of the company's underwriting and
backup servicing arrangement with UMB Bank N.A.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors that are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
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)
GREENSKY HOME 2025-3: Fitch Assigns BB(EXP)sf Rating on Cl. E Debt
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
GreenSky Home Improvement Issuer Trust 2025-3 (GSKY 2025-3).
Entity/Debt Rating
----------- ------
GreenSky Home
Improvement Issuer
Trust 2025-3
A1 LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D LT BBB(EXP)sf Expected Rating
E LT BB(EXP)sf Expected Rating
KEY RATING DRIVERS
Consistent Receivable Quality: GSKY 2025-3 is backed by economic
participations in an asset pool of fixed-rate unsecured home
improvement loans, including advances made on the loans after the
closing date (see the next Key Rating Driver), extended mainly to
prime obligors (FICO scores below 700 account for 4.2% of IPB) in
the U.S. originated by Goldman Sachs Bank USA and Synovus Bank
through the GreenSky Program.
The GreenSky Program offers three core loan products: reduced rate
loans, zero-interest loans and deferred interest loans, as further
described throughout this report. Loan proceeds are earmarked for
heating, ventilation and air conditioning (HVAC) systems; kitchens
and bathrooms; basement projects; and windows, solar/energy
efficiency products and other home improvement products and
services.
The characteristics of the initial asset pool are generally in line
with those of prior GreenSky transactions as well as peer home
improvement lenders. The weighted average (WA) FICO score of the
asset pool is 783. The WA original term of the asset pool is 119
months and WA loan seasoning is four months.
Loans with Future Advances: As of the asset pool cutoff date of
Sept. 7, 2025, around 10.0% of the initial asset pool was composed
of open purchase window loans (OPWLs). OPWLs have a remaining
purchase window during which the borrower can draw additional
funds, increasing the loan amount up to a contractual maximum, to
cover additional expenses or purchases related to home improvement
projects with the merchant. Participations in loans in the initial
asset pool feature a remaining purchase window of up to six months
from the final cutoff date. The issuer commits to purchasing all
remaining draws on OPWLs up to a maximum drawable amount of
approximately $97 million through a part of periodic available
collections on the asset pool and funding provided by the funding
interest.
Fitch assigned a 'AAAsf' rating case default multiple that was
0.25x higher than that for other loans to account for OPWLs'
possible performance volatility in the event that the related home
improvement project is not complete as of the closing date and the
risk that the additional funding may not be provided to the
borrower upon insolvency of Synovus Bank, as the originator partner
funding the loan to the borrower, or the funding interest holder,
which (together with the Retained Interest Holder) provides the
funding required by the transaction to purchase participations in
the additional draws to the extent there are insufficient available
funds in the issuer's account.
Asset Pool Assumptions: Fitch's WA lifetime base case default rate
assumption is 5.9% for the initial pool, based on the mix of
product type and FICO scores. Given the open loans' mechanism
explained above, pool composition may change slightly over the
initial six months after the final cutoff, possibly leading to a
maximum base case default rate of 6.0%. Fitch assumed a WA rating
case default multiple of 5.24x at the 'AAAsf' rating level,
assessed at the median-high end of the range of Fitch's applicable
rating criteria. It primarily reflects the limited
origination-specific performance data history. As a consequence,
the assumed lifetime default rate for the asset pool is 31.5% at
the 'AAAsf' rating level.
Fitch applied an 18% base case recovery rate on defaulted loans,
based on historical recoveries and forward-looking expectations.
Fitch applies a rating-dependent recovery haircut at the higher end
of the range provided by Fitch's consumer ABS rating criteria,
equal to 60% at 'AAAsf', hence resulting in an assumed recovery
rate at 'AAAsf' of 7.2%.
In its analysis, Fitch differentiated prepayment rates according to
product type, as the deferred products feature a promotional period
during which either no principal or interest is due or just no
interest, depending on the type of product. The assumed base-case
WA prepayment rate is 20.2% per annum (pa) during the promotional
period and 16.1% pa thereafter, also based on the mix of FICO
scores in the asset pool. All other asset pool and cash flow
modeling assumptions are as described in Fitch's applicable rating
criteria and throughout this report.
Transaction Structure: GSKY 2025-3 financed the purchase of the
participations in the asset pool via seven classes of rated notes
(class A-1, A-2, A-3 [together the class A notes], B, C, D, and E
notes; together, the notes). The notes pay a monthly fixed interest
rate set at closing, with the first payment date in December 2025.
Credit enhancement (CE) to the notes is provided by
overcollateralization (OC; initially equal to 5.5% of 95% of the
asset pool at closing), OC via the subordination of more junior
notes, a fully funded non-amortizing reserve fund sized at 0.50% of
the initial note balance over 95%, as well as excess spread to the
extent generated by the asset pool (initially estimated at 6.8%
pa).
The structure envisages an OC build-up to a target of 6.0% of 95%
of the outstanding asset pool, with a floor of 0.50% of 95% of the
initial asset pool. Additionally, the target OC for class A is
36.5%. Total hard CE at closing (as a percentage of 95% of the
initial asset pool, including reserve fund and excluding excess
spread) is 30.8%, 21.3%, 16.3%, 10.7% and 6.0% for Class A, B, C,
D, and E notes, respectively.
Funding Interest and Unhedged Interest Rate Risk: The transaction
includes a funding interest, serving as a variable funding note
(VFN), to fund the portion of the purchase price for participations
in future advances made on the loans after the closing date (the
OPWLs) that is not funded via collections received by the issuer
with respect to the asset pool. As of the cutoff date, the
aggregate amount of potential future advances on OPWLs is equal to
approximately $97.6 million. Interest on funded amounts under the
funding interest will carry a variable-interest rate equal to
one-month term SOFR plus a margin, payable in priority to class A
interest payments.
As the loans in the asset pool pay a fixed interest rate; the
variable-rate interest on the funding interest exposes the
transaction to interest rate risk, which Fitch considered a
residual risk given the funding interest can represent no more than
13% of the rated bonds (11.25% of the asset pool, assuming all
OPWLs are fully funded) and the repayment of the funding interest
is due to occur by no later than month seven from closing in
Fitch's modeling of rating case scenarios. Fitch applied interest
rate stresses under its "Structured Finance and Covered Bonds
Interest Rate Stresses Rating Criteria.")
Adequate Servicing Capabilities: Under the transaction structure,
Synovus Bank will hold the legal title and servicing rights to the
underlying home improvement loans. GreenSky, together with its
subsidiary, GreenSky Servicing, LLC and other affiliates will act
servicer for the transaction; Systems & Services Technologies, Inc.
(SST), will act as backup servicer for the transaction upon closing
and on behalf of and as agent for the origination partner (Synovus
Bank).
The servicer causes collections from the asset pool to be
transferred to an origination partner designated account within two
business days of receipt, and then to the payment account held with
Wilmington Trust, National Association (classified as a transaction
account bank under Fitch's counterparty criteria) on the following
business day. Fitch reviewed the potential commingling exposure of
three days of collections, sized at about 20 bps of the initial
asset pool, and considered the exposure immaterial in light of the
credit protection available to the notes. Minimum counterparty
ratings as well as replacement and other counterparty-related
provisions in the transaction documents are in line with Fitch's
counterparty criteria. Fitch views backup servicing arrangements
and mitigants to servicer disruption risk as in line with ratings
up to 'AAAsf'.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
For its sensitivity analysis, Fitch examined the magnitude of the
multiplier compression by projecting expected cash flows and loss
coverage levels over the life of investments under default
assumptions that are higher than, and recovery assumptions that are
lower than, the initial base case.
An increase in base case defaults by 50% may lead to downgrades up
to -2 notches.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance driven by reduced
delinquencies and defaults would lead to increasing CE levels and
consideration for potential upgrades.
A decrease in base case defaults by 50% may lead to upgrades up to
three categories.
CRITERIA VARIATION
In its analysis of the transaction, Fitch applied a criteria
variation to its "Consumer ABS Rating Criteria." Fitch's "Consumer
ABS Rating Criteria" stipulates a maximum of one-notch deviation
between the model implied rating (MIR) derived under Fitch's cash
flow modeling (via Fitch's Solar Loans ABS Cash Flow Model) and
assigned ratings, when assigning ratings to a new ABS issuance.
For Class C, D and E notes, Fitch assigned ratings below the MIR in
excess of one notch (up to three notches), given the additional
risk arising from the funding interest structure, the reliance of
the structure to the cumulative net loss trigger, and related
sensitivity of the model-implied ratings to default timing
assumptions.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and recalculation of
certain characteristics with respect to 155 randomly selected
statistical receivables. 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.
GREYWOLF CLO VII: S&P Affirms BB- (sf) Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2, B, and C
debt from Greywolf CLO VII Ltd. and removed them from CreditWatch,
where S&P had placed them with positive implications on Oct. 10,
2025. At the same time, S&P affirmed its ratings on the class A-1
and D debt from the same transaction.
The rating actions follow its review of the transaction's
performance using data from the October 2025 trustee report.
The transaction has paid down $227 million to the class A-1 debt
since S&P's January 2019 review. These paydowns resulted in
improved reported overcollateralization (O/C) ratios when compared
with the January 2019 trustee report, which we had used for its
previous review:
-- The class A O/C ratio improved to 160.46% from 132.43%.
-- The class B O/C ratio improved to 135.16% from 122.74%.
-- The class C O/C ratio improved to 116.79% from 114.38%.
-- The class D O/C ratio declined to 108.43% from 110.12%.
While the senior O/C ratios experienced positive movement due to
the lower balances of the senior debt, the class D O/C ratio
declined, primarily due to increased haircuts following the
portfolio's increased exposure to 'CCC' or lower quality assets.
Though paydowns have helped the senior classes, the collateral
portfolio's credit quality has deteriorated since S&P's last rating
actions. Collateral obligations with ratings in the 'CCC' category
have increased to $26.4 million reported as of the October 2025
trustee report, compared with $5.4 million reported as of the
January 2019 trustee report.
However, despite the larger concentrations in the 'CCC' category,
the transaction, especially the senior tranches, has also benefited
from a drop in the weighted average life due to the underlying
collateral's seasoning, with 2.72 years reported as of the October
2025 trustee report, compared with 5.38 years reported at the time
of S&P's 2019 rating actions.
The upgrades reflect the improved credit support available to the
debt at the prior rating levels.
The affirmations reflect adequate credit support at the current
rating levels, though any deterioration in the credit support
available to the debt could result in further ratings changes.
S&P said. "Our cash flow analysis indicates the potential for
higher ratings for the class B, C, and D debt. However, we believe
that their subordinated position may result in a greater likelihood
of rating migration, than that of the more senior classes, in the
event of portfolio volatility. We also considered the transaction's
higher exposure to 'CCC' collateral obligations, as well as to some
assets with low market values. Our rating actions reflect the
credit enhancement available for these classes under additional
sensitivity analyses that considered these exposures.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them, and will take rating actions as we deem
necessary."
Ratings Raised And Removed From CreditWatch
Greywolf CLO VII Ltd.
Class A-2 to 'AAA (sf)' from 'AA (sf)/Watch Pos'
Class B to 'AA+ (sf)' from 'A (sf)/Watch Pos'
Class C to 'A- (sf)' from 'BBB- (sf)/Watch Pos'
Ratings Affirmed
Greywolf CLO VII Ltd.
Class A-1: AAA (sf)
Class D: BB- (sf)
GS MORTGAGE 2012-BWTR: Moody's Lowers Rating on 2 Tranches to B1
----------------------------------------------------------------
Moody's Ratings has downgraded six classes in GS Mortgage
Securities Corporation Trust 2012-BWTR, Commercial Pass-Through
Certificates, Series 2012-BWTR as follows:
Cl. A, Downgraded to Ba1; previously on Apr 25, 2023 Downgraded to
Baa2
Cl. B, Downgraded to B1; previously on Apr 25, 2023 Downgraded to
Ba2
Cl. C, Downgraded to Caa1; previously on Apr 25, 2023 Downgraded to
B2
Cl. D, Downgraded to Caa3; previously on Apr 25, 2023 Downgraded to
Caa1
Cl. X-A*, Downgraded to Ba1; previously on Apr 25, 2023 Downgraded
to Baa2
Cl. X-B*, Downgraded to B1; previously on Apr 25, 2023 Downgraded
to Ba2
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on four P&I classes were downgraded due to the increase
in Moody's LTV ratio driven by the property's performance and cash
flow trends. The action also reflects Moody's refinance concerns at
the extended maturity date given the decline in cash flow since the
initial loan modification in April 2023 and the higher interest
rate environment. The property's net cash flow (NCF) previously
experienced a significant drop between 2020 and 2021 due to a
combination of lower revenue and higher expenses and the cash flow
has continued to marginally weaken year over year since 2021
hovering between $23 million and $24 million.
After failing to pay off at its original scheduled maturity date in
November 2022, the loan was assumed at par by Pacific Retail
Capital Partners in 2023. As part the assumption the loan was
modified to include a 2-year extension (initial maturity date in
November 2024) with three additional 1- year extension options (for
a fully extended maturity of November 2027) with staggered debt
yield tests and cash trap to remain in place for the life of the
loan.
The property's annualized NCF for the period ending June 2025 was
approximately 6% lower than year-end 2024 level, and 30% lower than
that in 2012. Despite the drop in cash flow in recent years, the
property continues to generate enough cashflow to service the debt
due to its low fixed interest rate of 3.339% and Moody's
anticipates the loan will remain current on its monthly interest
only debt service payments. The loan has maintained a DSCR of above
2.28X allowing for excess cash flow to accumulate in the cash trap
account and the loan has been paid down by approximately $11
million. Based on the annualized Q2 2025 NOI of $23.3 million, the
loan's Debt Yield was 8.02%, below the required Debt Yield of 8.5%
for the Second Extension Option (from November 2025 to October
2026), however, the loan remained current as of its November 2025
remittance statement.
The ratings on two interest-only (IO) classes, Cl. X-A and Cl. X-B,
were downgraded due to decline in the credit quality of their
respective referenced classes.
In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and quality of the asset, and Moody's analyzed multiple loss and
recovery scenarios to reflect the loan's recovery value, the
current cash flow at the property and timing to ultimate
resolution.
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 what Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization or a
significant improvement in the loan's performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan or
interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
January 2025.
DEAL PERFORMANCE
As of the November 2025 distribution date the transaction's
certificate balance was approximately $289 million, down from $300
million at securitization. The initial 10-year, fixed rate loan is
secured by fee simple interest in Bridgewater Commons Mall and had
an original maturity date on November 1, 2022. The loan was
transferred to special servicer in August 2022 due to imminent
default at the upcoming balloon maturity date and the loan was
subsequently assumed at par and modified in April 2023. The loan
was assumed by Pacific Retail Capital Partners, and the loan
modification included a 2-year initial extension with three
additional 1- year extension options resulting in a final extended
maturity in November 2027.
The collateral for the loan is 546,511 square feet (SF) portion
within Bridgewater Commons Mall, an 898,762 SF super-regional mall
and an adjacent 93,799 SF lifestyle center (The Village at
Bridgewater Commons), located in Bridgewater, New Jersey. The
property benefits from its location in Somerset County, one of the
most affluent in the US with very strong demographics.
The property was originally constructed in 1988 and renovated and
expanded between 2005 and 2010. The current mall anchors include
Macy's and Bloomingdales. Lord & Taylor closed its store at this
location in January 2022, and the space remains vacant. Macy's and
the former Lord & Taylor's improvements are not collateral for the
loan. As of the June 2025 rent roll the collateral was 93% leased.
The property's NCF for 2021, 2022, 2023 and 2024 were $25.3
million, $24.5 million, $23.6 million and $24.0 million,
respectively. The NCF for the first half of 2025 was $11.3 million.
Prior to 2020, the performance for the loan has been very stable
since securitization with NCF having ranged between a low of
$31.1MM (in 2014) and a high of $36.0 million (in 2017) between
2012 and 2019 period. Given the recent trends in performance,
Moody's have lowered Moody's NCF to $22.0 million from $25.0
million at last review and applied Moody's cap rate of 9.25%.
Moody's loan to value (LTV) ratio is 122%, and Moody's stressed
debt service coverage ratio (DSCR) is 0.82X. There are no interest
shortfalls or servicer advances outstanding as of the current
distribution date.
GS MORTGAGE 2025-NQM6: S&P Assigns Prelim 'B+' Rating on B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to GS
Mortgage-Backed Securities Trust 2025-NQM6's mortgage-backed
certificates.
The note 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, two- to four-family residential
properties and cooperatives. The pool consists of 848 loans backed
by 848 properties, which are non-qualified
mortgage/ability-to-repay-compliant (ATR-compliant) and ATR-exempt
loans.
The preliminary ratings are based on information as of Nov. 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty (R&W) 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.
Preliminary Ratings(i) Assigned
GS Mortgage-Backed Securities Trust 2025-NQM6
Class A-1A, $202,676,000: AAA (sf)
Class A-1B, $30,802,000: AAA (sf)
Class A-1, $233,478,000: AAA (sf)
Class A-2, $18,173,000: AA (sf)
Class A-3, $26,798,000: A (sf)
Class M-1, $10,473,000: BBB (sf)
Class B-1, $8,008,000: BB (sf)
Class B-2, $4,312,000: B+ (sf)
Class B-3, $6,776,778: Not rated
Class X, notional(ii): Not rated
Class SA, (iii): Not rated
Class PT, $308,018,778: Not rated
Class R, not applicable: Not rated
(i)The preliminary ratings address the ultimate payment of interest
and principal and do not address payment of the cap carryover
amounts.
(ii)The notional amount for the class X certificates equals the
non-retained interest percentage (95%) of the loans' aggregate
unpaid principal balance, initially $308,018,778.
(iii)The balance is equal to the non-retained interest percentage
of the amount of preexisting servicing advances as of the closing
date. Class SA is entitled to the class SA monthly remittance
amount, if any.
GS MORTGAGE 2025-PJ10: Fitch Gives B-(EXP) Rating on Class B5 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the notes issued by
GS Mortgage-Backed Securities Trust 2025-PJ10 (GSMBS 2025-PJ10).
Entity/Debt Rating
----------- ------
GSMBS 2025-PJ10
A1 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
A2 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
A27 LT AAA(EXP)sf Expected Rating
A28 LT AAA(EXP)sf Expected Rating
A29 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A30 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
AX1 LT AAA(EXP)sf Expected Rating
AX10 LT AAA(EXP)sf Expected Rating
AX11 LT AAA(EXP)sf Expected Rating
AX12 LT AAA(EXP)sf Expected Rating
AX13 LT AAA(EXP)sf Expected Rating
AX14 LT AAA(EXP)sf Expected Rating
AX15 LT AAA(EXP)sf Expected Rating
AX16 LT AAA(EXP)sf Expected Rating
AX17 LT AAA(EXP)sf Expected Rating
AX18 LT AAA(EXP)sf Expected Rating
AX19 LT AAA(EXP)sf Expected Rating
AX2 LT AAA(EXP)sf Expected Rating
AX20 LT AAA(EXP)sf Expected Rating
AX21 LT AAA(EXP)sf Expected Rating
AX22 LT AAA(EXP)sf Expected Rating
AX23 LT AAA(EXP)sf Expected Rating
AX24 LT AAA(EXP)sf Expected Rating
AX25 LT AAA(EXP)sf Expected Rating
AX27 LT AAA(EXP)sf Expected Rating
AX28 LT AAA(EXP)sf Expected Rating
AX29 LT AAA(EXP)sf Expected Rating
AX3 LT AAA(EXP)sf Expected Rating
AX30 LT AAA(EXP)sf Expected Rating
AX31 LT AAA(EXP)sf Expected Rating
AX32 LT AAA(EXP)sf Expected Rating
AX4 LT AAA(EXP)sf Expected Rating
AX5 LT AAA(EXP)sf Expected Rating
AX6 LT AAA(EXP)sf Expected Rating
AX7 LT AAA(EXP)sf Expected Rating
AX8 LT AAA(EXP)sf Expected Rating
AX9 LT AAA(EXP)sf Expected Rating
B1 LT AA-(EXP)sf Expected Rating
B1A LT AA-(EXP)sf Expected Rating
B2 LT A-(EXP)sf Expected Rating
B2A 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
BX1 LT AA-(EXP)sf Expected Rating
BX2 LT A-(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The classes are supported by 386 prime loans with a total balance
of approximately $471 million as of the cut-off date.
KEY RATING DRIVERS
Credit Risk of 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. GSMBS 2025-PJ10 has a Final PD of 11.56% in the
'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf'
rating stress is 34.94%. The expected loss in the 'AAAsf' rating
stress is 4.04%.
Structural Analysis (Mixed): The mortgage cash flow and loss
allocation in GSMBS 2025-PJ10 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-PJ10 to be 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-PJ10 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 37.2% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC 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.
HINNT 2025-B LLC: Moody's Assigns B3 Rating to Class E Notes
------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to the notes issued
by HINNT 2025-B LLC. HINNT 2025-B LLC is backed by a pool of
timeshare loans originated by Royal Resorts, a group of Mexican
originators, and Holiday Inn Club Vacations Incorporated (HICV),
who also services the transaction. HICV began operations in 1982
and is an experienced sponsor and servicer of timeshare loans.
Computershare Trust Company, National Association (Computershare;
Baa2) will serve as the backup servicer and Indenture Trustee for
the transaction.
The complete rating actions are as follows:
Issuer: HINNT 2025-B LLC
Timeshare Loan-Backed Notes, Series 2025-B, Class A, Definitive
Rating Assigned Aaa (sf)
Timeshare Loan-Backed Notes, Series 2025-B, Class B, Definitive
Rating Assigned A3 (sf)
Timeshare Loan-Backed Notes, Series 2025-B, Class C, Definitive
Rating Assigned Baa3 (sf)
Timeshare Loan-Backed Notes, Series 2025-B, Class D, Definitive
Rating Assigned Ba2 (sf)
Timeshare Loan-Backed Notes, Series 2025-B, Class E, Definitive
Rating Assigned B3 (sf)
RATINGS RATIONALE
The rating is based on the quality of the underlying collateral and
its expected performance, the capital structure, and the experience
and expertise of HICV as servicer and the back-up servicing
arrangement with Computershare.
Moody's expected median cumulative net loss expectation for HINNT
2025-B LLC is 24.8% and the loss at a Aaa stress is 65.0%. Moody's
based its net loss expectations on an analysis of the credit
quality of the underlying collateral; the historical performance of
similar collateral, including securitization performance and
managed portfolio performance; the ability of HICV to perform the
servicing functions and Computershare to perform the backup
servicing functions; and current expectations for the macroeconomic
environment during the life of the transaction.
At closing, the Class A notes, Class B notes, Class C notes, Class
D notes, and Class E notes are expected to benefit from 71.13%,
35.77%, 18.79%, 9.75%, and 4.50% of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a reserve account and
subordination. For the purpose of calculating initial hard credit
enhancement, Moody's uses a reserve of 2.50%. The notes may also
benefit from excess spread.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "US Vacation
Timeshare Loan Securitizations" published in April 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the Class B, C, D, and E notes if, given
current expectations of portfolio losses, levels of credit
enhancement are consistent with higher ratings. This transaction
has a pro-rata structure with sequential pay triggers. Moody's
expectations of pool losses could decline as a result of better
than expected improvements in the economy, changes to servicing
practices that enhance collections or refinancing opportunities
that result in prepayments.
Down
Moody's could downgrade the ratings of the notes if pool losses
exceed its expectations and levels of credit enhancement are
consistent with lower ratings. Credit enhancement could decline if
excess spread is not sufficient to cover losses in a given month.
Moody's expectations of pool losses may increase, for example, due
to performance deterioration stemming from a downturn in the US
economy, deficient servicing, errors on the part of transaction
parties, inadequate transaction governance or fraud.
HINNT 2025-B: Fitch Assigns 'Bsf' Final Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
notes issued by HINNT 2025-B LLC (HINNT 2025-B).
Entity/Debt Rating Prior
----------- ------ -----
HINNT 2025-B LLC
A LT AAAsf New Rating AAA(EXP)sf
B LT A-sf New Rating A-(EXP)sf
C LT BBBsf New Rating BBB(EXP)sf
D LT BB-sf New Rating BB-(EXP)sf
E LT Bsf New Rating B(EXP)sf
KEY RATING DRIVERS
Borrower Risk—Strong Collateral Composition: The weighted-average
(WA) FICO score of the statistical pool is 742, lower than the 748
for HINNT 2025-A, but higher than the 734 for HINNT 2024-A.
Approximately 14% of collateral from the 2020 securitization is
contributing to significant seasoning of 14 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 71.13%, 35.77%, 18.79%, 9.75%, and 4.50% 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 of 8.1% 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 the class B, C, D
and E 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.
HOMES 2025-AFC4: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HOMES
2025-AFC4 Trust's series 2025-AFC4 mortgage-backed notes.
The note issuance is an RMBS securitization backed by a pool of
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods) to
both prime and nonprime borrowers. The loans are primarily secured
by single-family residential properties, townhomes, planned-unit
developments, condominiums, and two- to four-family residential
properties. The pool consists of 1,098 loans, comprising qualified
mortgage (QM) safe harbor (average prime offer rate), QM rebuttable
presumption, non-QM/ability-to-repay (ATR) compliant, and
ATR-exempt loans.
The preliminary ratings are based on information as of Nov. 14,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage originator, AmWest Funding Corp.;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's U.S. economic outlook, which considers its current
projections for economic growth, unemployment rates, and interest
rates, as well as its view of housing fundamentals, and is updated,
if necessary, when these projections change materially.
Preliminary Ratings Assigned(i)
HOMES 2025-AFC4 Trust
Class A-1A, $299,986,000: AAA (sf)
Class A-1B, $46,152,000: AAA (sf)
Class A-1, $346,138,000: AAA (sf)
Class A-2, $39,921,000: AA (sf)
Class A-3, $44,998,000: A (sf)
Class M-1, $12,461,000: BBB (sf)
Class B-1, $8,307,000: BB (sf)
Class B-2, $5,769,000: B (sf)
Class B-3, $3,923,656: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, N/A: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal.
(ii)The notional amount is initially $461,517,656 and will equal
the aggregate stated principal balance of the mortgage loans as of
the first day of the related due period.
NR--Not rated.
N/A--Not applicable.
HOMES 2025-NQM5: S&P Assigns B (sf) Rating on Class B-2 Certs
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to HOMES 2025-NQM5 Trust's
mortgage pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans, including some with interest-only
features, secured by single-family residences, townhouses,
planned-unit developments, two- to four-family homes, condominiums,
manufactured housing, and condotel properties to both prime and
nonprime borrowers. The pool has 763 loans, which are qualified
mortgage (QM) safe harbor (average prime offer rate [APOR]), QM
rebuttable presumption (APOR), ability-to-repay (ATR)-exempt loans,
and non-QM/ATR-compliant loans.
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 mortgage originators;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's economic outlook, which considers its current projections
for U.S. economic growth, unemployment rates, and interest rates,
as well as its view of housing fundamentals, and is updated, if
necessary, when these projections change materially.
Ratings Assigned(i)
HOMES 2025-NQM5 Trust
Class A-1, $311,707,000: AAA (sf)
Class A-1A, $269,613,000: AAA (sf)
Class A-1B, $42,094,000: AAA (sf)
Class A-2, $26,520,000: AA (sf)
Class A-3, $39,147,000: A (sf)
Class M-1, $16,628,000: BBB (sf)
Class B-1, $12,207,000: BB (sf)
Class B-2, $9,261,000: B (sf)
Class B-3, $5,472,343: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, N/A: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the loans' aggregate stated
principal balance.
NR--Not rated.
N/A--Not applicable.
JP MORGAN 2020-NNN: Fitch Affirms 'BB-' Rating on Class D-FX Certs
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust 2020-NNN commercial mortgage
pass-through certificates, series 2020-NNN. The Rating Outlooks for
all classes remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
JPMCC 2020-NNN
A-FX 46652BAY5 LT AAAsf Affirmed AAAsf
B-FX 46652BBE8 LT A-sf Affirmed A-sf
C-FX 46652BBG3 LT BBB-sf Affirmed BBB-sf
D-FX 46652BBJ7 LT BB-sf Affirmed BB-sf
XA-FX 46652BBA6 LT AAAsf Affirmed AAAsf
Transaction Summary
At issuance, the J.P. Morgan Chase Commercial Mortgage Securities
Trust 2020-NNN commercial mortgage pass-through certificates
represented the beneficial interests in the $775.0 million trust
portion of a $925.0 million mortgage loan. At issuance, the
mortgage included a $647.6 million fixed-rate component with a
61-month term and a $277.5 million floating-rate component with an
initial two-year term and three one-year extension options. There
are no extension options remaining on the non-rated floating rate
component which has a current balance of $17.1 million.
KEY RATING DRIVERS
Fitch Net Cash Flow (NCF): The affirmations reflect performance
in-line with expectations and no changes to Fitch's view of
sustainable NCF since the prior rating action. Fitch's analysis
applied a 25% vacancy assumption and a stressed capitalization rate
of 10.0%, up from 9% at issuance. Fitch's sustainable NCF is $39.3
million which is 25% below the servicer-reported YE 2024 portfolio
NCF and 37% below Fitch's issuance NCF.
Specially Serviced Loan: The loan transferred to special servicing
in January 2025, just ahead of final maturity. A receiver was
appointed in July 2025 and is marketing current and anticipated
vacancies for lease. The loan is under cash management. The special
servicer expects to pursue a deed-in-lieu of foreclosure with the
borrower, followed by a staged disposition of the collateral
properties in the portfolio, which is likely to take several years
to fully execute.
The Negative Outlooks reflect the potential for downgrades if
portfolio occupancy drops beyond expectations due to significant
upcoming lease rollover concerns, including dark or subleased
space, or if the workout plan does not proceed as intended,
creating uncertainty surrounding the ultimate disposition
timeline.
Single Tenant Concentration; Rollover: The portfolio consists of
single-tenant NNN leased properties with the top five tenants by
contribution to base rent representing approximately 42% of NRA and
52% of base rent. The portfolio was 99% leased overall as of
September 2025. Six of the 23 bank branch properties are currently
dark, and there are large blocks of dark space and spaces listed
for sublease at the various office properties, resulting in an
overall physical occupancy estimated at approximately 50%.
The single tenant rolling at YE 2025 (8.7% of portfolio NRA) has
indicated that it will be downsizing its space in downtown St.
Louis from approximately 336,000 sf to approximately 45,000 sf.
Additional upcoming rollover includes 1.5% of the portfolio NRA in
2026 and larger concentrations of 53.2% in 2027, 18.7% in 2029 and
16.8% in 2030.
Property Releases: Since issuance, 25 properties and a non-adjacent
parking lot have been released, resulting in a paydown of
approximately $260.3 million (33.6% of the original transaction).
As of the October 2025 distribution date, the trust's aggregate
certificate balance has decreased to $514,691,053 due to the
releases. The total mortgage balance is $664,691,053.
The prepayments paid off classes A-FL, B-FL, C-FL, D-FL, E-FL, F-FL
and G-FL in full and partially paid down classes H-FL. There have
been no collateral releases since Fitch's last rating action in
December 2024. The released properties consisted of three
industrial properties leased to DST Output (12.2% of allocated loan
amount at issuance), three industrial properties leased to
Eby-Brown (4.3%), an industrial property leased to SKF USA (1.3%),
an industrial property leased to Weatherford Artificial Lift
Systems (3.9%), 17 bank branches leased to First Midwest Bank
(5.6%) and a non-adjacent parking lot with 170 parking spaces at
1831 Chestnut Street.
High Overall Fitch Leverage: Based on the remaining portfolio, the
Fitch debt service coverage ratio (DSCR) and loan to value ratio
(LTV) for the outstanding senior mortgage of $647.6 million are
0.54x and 169.2%, respectively, compared to the Fitch DSCR and LTV
of 0.67x and 133.4%, respectively, at issuance. The Fitch DSCR and
LTV on the lowest-rated tranche by Fitch (BBB-) are 1.15x and
78.8%, respectively. At issuance, in addition to the trust debt,
there was approximately $104.4 million of preferred equity.
Remaining Portfolio: The collateral consists of 40 properties
comprised of 17 office buildings and 23 retail (bank branches)
properties totaling 3.85 million sf, The subject properties range
in size from 18,000 sf to 517,000 sf. The collateral is located in
13 different states (Delaware, Illinois, Indiana, Maine, Minnesota,
Missouri, New Jersey, New York, Ohio, Rhode Island, Virginia,
Vermont and Wisconsin). The three largest state concentrations are
Illinois (23 properties; 34.1% of remaining NRA), New Jersey (two
properties; 12.9% NRA) and Virginia (two properties; 11.6% NRA). No
other state represents more than 8.7% of NRA. The tenants operate
in a variety of industries including financial services,
healthcare, pharmaceuticals and technology.
Investment Grade Tenancy: Out of the remaining 40 properties in the
portfolio, 14 properties representing 90% of the remaining
portfolio NRA are leased to investment-grade or creditworthy
tenants or to tenants with an investment-grade or creditworthy
parent company that guarantees the lease. Of the 40 properties, 10
properties representing 34% of NRA have leases that expire at least
three years beyond the original loan maturity date without any
termination options.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades are possible if the portfolio continues to exhibit an
increase in vacancies or subleased space, if the receiver is unable
to lease vacant space or if there is a prolonged workout which
leads to value deterioration in the assets.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades are not expected, but possible with a sustained increase
in physical property occupancy and/or better than expected
recoveries on the disposition of assets.
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.
JP MORGAN 2025-10: Fitch Assigns 'B-(EXP)' Rating on Class B5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage
Trust 2025-10 (JPMMT 2025-10).
Entity/Debt Rating
----------- ------
JPMMT 2025-10
A1 LT AA+(EXP)sf Expected Rating
A10 LT AAA(EXP)sf Expected Rating
A10A LT AAA(EXP)sf Expected Rating
A10B LT AAA(EXP)sf Expected Rating
A10X1 LT AAA(EXP)sf Expected Rating
A10X2 LT AAA(EXP)sf Expected Rating
A10X3 LT AAA(EXP)sf Expected Rating
A11 LT AAA(EXP)sf Expected Rating
A11A LT AAA(EXP)sf Expected Rating
A11B LT AAA(EXP)sf Expected Rating
A11X1 LT AAA(EXP)sf Expected Rating
A11X2 LT AAA(EXP)sf Expected Rating
A11X3 LT AAA(EXP)sf Expected Rating
A12 LT AAA(EXP)sf Expected Rating
A12A LT AAA(EXP)sf Expected Rating
A12B LT AAA(EXP)sf Expected Rating
A12X1 LT AAA(EXP)sf Expected Rating
A12X2 LT AAA(EXP)sf Expected Rating
A12X3 LT AAA(EXP)sf Expected Rating
A13 LT AAA(EXP)sf Expected Rating
A13A LT AAA(EXP)sf Expected Rating
A13B LT AAA(EXP)sf Expected Rating
A13X1 LT AAA(EXP)sf Expected Rating
A13X2 LT AAA(EXP)sf Expected Rating
A13X3 LT AAA(EXP)sf Expected Rating
A14 LT AAA(EXP)sf Expected Rating
A14A LT AAA(EXP)sf Expected Rating
A14B LT AAA(EXP)sf Expected Rating
A14X1 LT AAA(EXP)sf Expected Rating
A14X2 LT AAA(EXP)sf Expected Rating
A14X3 LT AAA(EXP)sf Expected Rating
A1A LT AA+(EXP)sf Expected Rating
A2 LT AA+(EXP)sf Expected Rating
A2A LT AA+(EXP)sf Expected Rating
A2B LT AA+(EXP)sf Expected Rating
A2X1 LT AA+(EXP)sf Expected Rating
A2X2 LT AA+(EXP)sf Expected Rating
A2X3 LT AA+(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A3A LT AAA(EXP)sf Expected Rating
A3B LT AAA(EXP)sf Expected Rating
A3X1 LT AAA(EXP)sf Expected Rating
A3X2 LT AAA(EXP)sf Expected Rating
A3X3 LT AAA(EXP)sf Expected Rating
A4 LT AAA(EXP)sf Expected Rating
A4A LT AAA(EXP)sf Expected Rating
A4B LT AAA(EXP)sf Expected Rating
A4X1 LT AAA(EXP)sf Expected Rating
A4X2 LT AAA(EXP)sf Expected Rating
A4X3 LT AAA(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A5A LT AAA(EXP)sf Expected Rating
A5B LT AAA(EXP)sf Expected Rating
A5X1 LT AAA(EXP)sf Expected Rating
A5X2 LT AAA(EXP)sf Expected Rating
A5X3 LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A6A LT AAA(EXP)sf Expected Rating
A6B LT AAA(EXP)sf Expected Rating
A6X1 LT AAA(EXP)sf Expected Rating
A6X2 LT AAA(EXP)sf Expected Rating
A6X3 LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A7A LT AAA(EXP)sf Expected Rating
A7B LT AAA(EXP)sf Expected Rating
A7X1 LT AAA(EXP)sf Expected Rating
A7X2 LT AAA(EXP)sf Expected Rating
A7X3 LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A8A LT AAA(EXP)sf Expected Rating
A8B LT AAA(EXP)sf Expected Rating
A8X1 LT AAA(EXP)sf Expected Rating
A8X2 LT AAA(EXP)sf Expected Rating
A8X3 LT AAA(EXP)sf Expected Rating
A9 LT AA+(EXP)sf Expected Rating
A9A LT AA+(EXP)sf Expected Rating
A9B LT AA+(EXP)sf Expected Rating
A9X1 LT AA+(EXP)sf Expected Rating
A9X2 LT AA+(EXP)sf Expected Rating
A9X3 LT AA+(EXP)sf Expected Rating
AX1 LT AA+(EXP)sf Expected Rating
AX2 LT AA+(EXP)sf Expected Rating
AX3 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 JPMMT 2025-10 as indicated above. The certificates are
supported by 219 loans with a scheduled balance of $319.19 million
as of the cutoff date.
The pool consists of prime-quality, fixed-rate mortgages (FRMs)
originated mainly by Crosscountry Mortgage, LLS and United
Wholesale Mortgage, LL. 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
JPMCB and United Wholesale Mortgage. Cenlar FSB will subservice the
loans for United Wholesale Mortgage. Nationstar is the master
servicer.
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.
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 79.3% 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 776, indicative of
very high credit-quality borrowers. The original WA combined
loan-to-value ratio (CLTV) of 72.9%, as determined by Fitch,
translates to a sustainable loan-to-value ratio (sLTV) of 81.4%.
This transaction has a Final PD of 10.24% in the 'AAA' rating
stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is
35.04 %. The expected loss in the 'AAAsf' rating stress is 3.59%.
Structural Analysis (Mixed): JPMMT 2025-10 has a senior/subordinate
shifting interest structure with full advancing. The mortgage cash
flow and loss allocation in JPMMT 2025-10 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 2.50% 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 2.10% 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 nonretained 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 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 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 as
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 5-bp 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 2025-10 to be fully de-linked and the transaction will be
structured with a bankruptcy remote 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 2025-10 and therefore Fitch rates 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 10.2%, in the 'Bsf' 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 Maxwell, all assessed as
'Acceptable' TPR firms by Fitch. Fitch was proved Form 15E by the
TPR firms. The third-party due diligence described in Form 15E
focused on three areas: compliance review, credit review and
valuation review. All the loans in the pool had a grade of 'A' or
'B'.
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 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC,
Maxwell, and Consolidated Analytics were engaged to perform the
review. Loans reviewed under this engagement were given compliance,
credit and valuation grades and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports. Please refer to the "Third-Party Due Diligence"
section for more detail.
Fitch also utilized data fi les 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.
JP MORGAN 2025-10: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 92 classes of
residential mortgage-backed securities (RMBS) to be issued by J.P.
Morgan Mortgage Trust 2025-10, and sponsored by JPMorgan Chase
Bank, N.A. (JPMCB).
The securities are backed by a pool of prime jumbo (86.8% by
balance) and GSE-eligible (13.2% by balance) residential mortgages
aggregated by JPMorgan Chase Bank, N.A. (JPMCB), originated and
serviced by multiple entities.
The complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2025-10
Cl. A-1, Assigned (P)Aa1 (sf)
Cl. A-1-A, Assigned (P)Aa1 (sf)
Cl. A-2, Assigned (P)Aa1 (sf)
Cl. A-2-A, Assigned (P)Aa1 (sf)
Cl. A-2-B, Assigned (P)Aa1 (sf)
Cl. A-2-X1*, Assigned (P)Aa1 (sf)
Cl. A-2-X2*, Assigned (P)Aa1 (sf)
Cl. A-2-X3*, Assigned (P)Aa1 (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-3-A, Assigned (P)Aaa (sf)
Cl. A-3-B, Assigned (P)Aaa (sf)
Cl. A-3-X1*, Assigned (P)Aaa (sf)
Cl. A-3-X2*, Assigned (P)Aaa (sf)
Cl. A-3-X3*, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-4-A, Assigned (P)Aaa (sf)
Cl. A-4-B, Assigned (P)Aaa (sf)
Cl. A-4-X1*, Assigned (P)Aaa (sf)
Cl. A-4-X2*, Assigned (P)Aaa (sf)
Cl. A-4-X3*, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-5-A, Assigned (P)Aaa (sf)
Cl. A-5-B, Assigned (P)Aaa (sf)
Cl. A-5-X1*, Assigned (P)Aaa (sf)
Cl. A-5-X2*, Assigned (P)Aaa (sf)
Cl. A-5-X3*, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-6-A, Assigned (P)Aaa (sf)
Cl. A-6-B, Assigned (P)Aaa (sf)
Cl. A-6-X1*, Assigned (P)Aaa (sf)
Cl. A-6-X2*, Assigned (P)Aaa (sf)
Cl. A-6-X3*, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-7-A, Assigned (P)Aaa (sf)
Cl. A-7-B, Assigned (P)Aaa (sf)
Cl. A-7-X1*, Assigned (P)Aaa (sf)
Cl. A-7-X2*, Assigned (P)Aaa (sf)
Cl. A-7-X3*, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-8-A, Assigned (P)Aaa (sf)
Cl. A-8-B, Assigned (P)Aaa (sf)
Cl. A-8-X1*, Assigned (P)Aaa (sf)
Cl. A-8-X2*, Assigned (P)Aaa (sf)
Cl. A-8-X3*, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aa1 (sf)
Cl. A-9-A, Assigned (P)Aa1 (sf)
Cl. A-9-B, Assigned (P)Aa1 (sf)
Cl. A-9-X1*, Assigned (P)Aa1 (sf)
Cl. A-9-X2*, Assigned (P)Aa1 (sf)
Cl. A-9-X3*, Assigned (P)Aa1 (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-10-A, Assigned (P)Aaa (sf)
Cl. A-10-B, Assigned (P)Aaa (sf)
Cl. A-10-X1*, Assigned (P)Aaa (sf)
Cl. A-10-X2*, Assigned (P)Aaa (sf)
Cl. A-10-X3*, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-11-A, Assigned (P)Aaa (sf)
Cl. A-11-B, Assigned (P)Aaa (sf)
Cl. A-11-X1*, Assigned (P)Aaa (sf)
Cl. A-11-X2*, Assigned (P)Aaa (sf)
Cl. A-11-X3*, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-12-A, Assigned (P)Aaa (sf)
Cl. A-12-B, Assigned (P)Aaa (sf)
Cl. A-12-X1*, Assigned (P)Aaa (sf)
Cl. A-12-X2*, Assigned (P)Aaa (sf)
Cl. A-12-X3*, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-13-A, Assigned (P)Aaa (sf)
Cl. A-13-B, Assigned (P)Aaa (sf)
Cl. A-13-X1*, Assigned (P)Aaa (sf)
Cl. A-13-X2*, Assigned (P)Aaa (sf)
Cl. A-13-X3*, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-14-A, Assigned (P)Aaa (sf)
Cl. A-14-B, Assigned (P)Aaa (sf)
Cl. A-14-X1*, Assigned (P)Aaa (sf)
Cl. A-14-X2*, Assigned (P)Aaa (sf)
Cl. A-14-X3*, Assigned (P)Aaa (sf)
Cl. A-X-1*, Assigned (P)Aa1 (sf)
Cl. A-X-2*, Assigned (P)Aa1 (sf)
Cl. A-X-3*, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-1-A, Assigned (P)Aa3 (sf)
Cl. B-1-X*, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-2-A, Assigned (P)A3 (sf)
Cl. B-2-X*, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba2 (sf)
Cl. B-5, Assigned (P)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
0.29%, in a baseline scenario-median is 0.11% and reaches 4.58% 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.
JPMBB COMMERCIAL 2015-C32: Fitch Lowers Rating on 2 Tranches to BB
------------------------------------------------------------------
Fitch Ratings has downgraded five classes of JPMBB Commercial
Mortgage Securities Trust 2015-C32 (JPMBB 2015-C32) commercial
mortgage pass-through certificates. Fitch assigned Negative
Outlooks to three of the downgraded classes.
Fitch has also affirmed 12 classes of JPMBB Commercial Mortgage
Securities Trust commercial mortgage pass-through certificates
series 2015-C33 (JPMBB 2015-C33). The Outlook for five classes were
revised to Stable from Negative. The Outlooks for two classes
remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
JPMBB 2015-C33
A-4 46645JAD4 LT AAAsf Affirmed AAAsf
A-S 46645JAF9 LT AAAsf Affirmed AAAsf
B 46645JAG7 LT AAsf Affirmed AAsf
C 46645JAH5 LT A-sf Affirmed A-sf
D 46645JAS1 LT BBB-sf Affirmed BBB-sf
D-1 46645JBG6 LT BBBsf Affirmed BBBsf
D-2 46645JBJ0 LT BBB-sf Affirmed BBB-sf
E 46645JAU6 LT BB-sf Affirmed BB-sf
F 46645JAW2 LT B-sf Affirmed B-sf
X-A 46645JAJ1 LT AAAsf Affirmed AAAsf
X-B 46645JAL6 LT AAsf Affirmed AAsf
X-D 46645JAQ5 LT BBB-sf Affirmed BBB-sf
JPMBB 2015-C32
A-5 46590JAW7 LT Asf Downgrade AAAsf
A-S 46590JBA4 LT BBsf Downgrade Asf
B 46590JBB2 LT CCCsf Downgrade BBB-sf
X-A 46590JAY3 LT BBsf Downgrade Asf
X-B 46590JAZ0 LT CCCsf Downgrade BBB-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations, Pool Concentration: Deal-level
'Bsf' rating case losses have increased since Fitch's prior rating
action to 47.1% for JPMBB 2015-C32 up from 27.5%, and to 9.0% for
JPMBB 2015-C33 up from 4.7%. Both transactions are highly
concentrated with 15 remaining loans in JPMBB 2015-C32, of which 12
are specially serviced (95.4%), and 18 loans in JPMBB 2015-C33, of
which five are FLOCs (49.6%), including two specially serviced
loans (44.7%).
The downgrades in JPMBB 2015-C32 reflect the continued refinance
concerns, high loss expectations and high exposure to special
serviced loans as all loans in the pool are past their scheduled
maturity dates. Additionally, the downgrades reflect the recent
reduction in appraisal values, mainly with the largest four loans
in the pool (representing approximately 58.8% of the pool): Civic
Opera Building (16.6% of the pool), Hilton Suites Chicago
Magnificent Mile (16.1%), Palmer House Retail Shops (14.4%), and
Gateway Business Park (11.6%). The downgrades also reflect the
potential for interest shortfalls to impact class A-5 as servicer
advances are reduced and previous advances are being clawed back.
The Negative Outlooks in JPMBB 2015-C32 reflect the potential for
further downgrades if the recovery prospects on the remaining loans
worsen and if credit enhancement from realized losses declines more
than currently anticipated.
The affirmations in JPMBB 2015-C33 reflect the generally stable
performance since Fitch's prior rating action. The Outlook
revisions to Stable for classes C, D-1, D-2, D and X-D reflect the
expectation of increased CE from loan repayments.
The Negative Outlooks reflect the potential for downgrades with
continued performance deterioration of FLOCs such as the New Center
One Building loan (4.9%) and the pool's high exposure to office
loans of 44.7%.
In both transactions, due to the high concentration of FLOCs and
specially serviced loans that were not able to refinance or payoff
at maturity and adverse selection, Fitch performed a recovery and
liquidation analysis that grouped the remaining loans based on
their status and collateral quality and then ranked them by their
perceived likelihood of repayment and/or loss expectation.
JPMBB 2015-C32, Non-Recoverable Advances: Class A-5 and Interest
Only (IO) classes X-A, X-B, X-C and X-D are the only classes
receiving interest payments as of the October 2025 remittance
report. To date, the pool has incurred $13.7 million of realized
losses resulting from three loans being disposed of at a loss,
along with $48.4 million of losses from the claw-back of
non-recoverable advances and payment of special servicing fees,
impacting classes E, F, G, and NR. The servicer has deemed the
following loans as non-recoverable: Civic Opera Building, Hilton
Suites Chicago Magnificent Mile, Palmer House Retail Shops, Gateway
Business Park, Hilton Atlanta Perimeter and Market Square at
Montrose. Given the large remaining balance of class A-5, the
limited servicer advancing and non-recoverable determinations,
interest shortfalls may impact this class prior to recovery. In
addition, the paydown of class A-5 would require proceeds from
loans in special servicing, some of which may have prolonged
workouts.
Largest Increases in Loss Expectations/Largest Loss Contributors:
The largest contributor to overall loss expectations in JPMBB
2015-C32 is the Palmer House Retail Shops loan, which is secured by
a 134,536-sf mixed use building located in downtown Chicago. The
property contains a mix of parking garage (66k-sf, 49% of NRA),
retail space (52k-sf, 40%) and office space (14k-sf, 11%). The
property is in the same location as the Palmer House Hilton Hotel
(non-collateral), which is currently under an easement agreement
which addresses the use/maintenance of the common/shared
facilities.
The loan transferred in July 2020 due to monetary default as a
result of the impacts of the coronavirus pandemic and became REO in
2024. Operational performance was not only affected by tenant
bankruptcies and retail related performance declines but access to
the property was affected as the adjacent hotel which provides
access to the retail through the lobby was closed from March 2020
to June 2021. In addition, System Parking (49.1% of the NRA)
exercised their one-time termination option and vacated the
property in July 2020. The new parking operator, SP Plus, is
engaged under an operating agreement where rental payments are tied
to a percentage of rental income the operator generates.
Major office/retail tenants include Hilton Domestic Operating
Company (10.7% of the NRA through September 2027); Triple Shot
Palmer, LLC (1.7%; December 2038), and PH Fresh Food, LLC (1.4%;
July 2027). The office lease with Hilton was renewed from October
2024 to September 2027 with a termination right after September
2026. The subject serves as the Midwest regional sales office for
Hilton.
As of Q2 2025, the overall property was 68% occupied, compared to
55% at YE 2022, 66% at YE 2021, and 98% at YE 2019. Per the May
2025 rent roll, the retail and office portion of the subject was
only 36.6% occupied. The NOI DSCR has remained under 1.00x since
2020. As of Q2 2025, the servicer-reported NOI DSCR was -0.36x,
compared to -0.14x at YE 2023, 0.29x at YE 2022, and 0.08x at YE
2021. Per the June 2025 special servicer commentary, there are no
current disposition plans.
Fitch's 'Bsf' rating case loss of 86.6% (prior to a concentration
adjustment) is based on a discount to the most recent appraisal and
reflects a stressed value of $81 psf.
The second largest contributor to overall loss expectations in
JPMBB 2015-C32 is the Civic Opera Building loan, which is secured
by a 915,162-sf office property located in downtown Chicago. The
loan transferred to special servicing in July 2020 for imminent
monetary default as a result of the impacts of the coronavirus
pandemic. The special servicer has initiated the foreclosure
process, and a receiver is currently managing the property. The
loan failed to repay upon its scheduled August 2025 maturity date.
The property's major tenants include Teamworking COB LLC (5.2% of
the NRA, leased through April 2028), TechNexus Facilities (5.2%;
December 2026), and Natural Resources Defense Council (2.8%; March
2038). The property was 45.7% occupied as of the April 2025 rent
roll, compared to 50% at YE 2023, 74% in September 2020, and 80% at
YE 2019. Near term lease rollover includes 3.8% of NRA in 2025
across 13 leases, and 10.3% in 2026 across 12 leases.
Per CoStar, the property lies within the West Loop office submarket
of the Chicago, IL market. As of 3Q25, submarket asking rents
averaged $42.96 psf and the submarket vacancy rate was 20.7%.
The servicer-reported NOI DSCR was 0.38x at YE 2023, compared to
0.73x in March 2021, 0.86x in September 2020, and 1.08x at YE
2019.
Fitch's 'Bsf' rating case loss of 53.9% (prior to a concentration
adjustment) is based on a discount to the most recent appraisal and
reflects a stressed value of $77 psf.
The third largest contributor to overall loss expectations in JPMBB
2015-C32 is Hilton Suites Chicago Magnificent Mile loan, secured by
a 345-room full-service hotel located adjacent to the Michigan
Avenue shopping district.
The loan transferred to the special servicer due to imminent
monetary default in May 2020, ahead of its scheduled October 2020
maturity date, and became REO in May 2023. According to the most
recent special servicer commentary, there are no plans to sell the
asset right now and the asset manager expects to market the
property after the tax appeal is resolved.
Per the TTM June 2025 STR report, the property reported occupancy,
ADR, and RevPAR of 68.7%, $214.86, and $147.60, respectively,
compared to the TTM December 2023 STR report of 57%, $198.41, and
$113.09, respectively. The servicer-reported NOI DSCR was 0.52x at
YE 2024, compared to 1.07x at YE 2023, 1.08x at YE 2029, and 1.50x
at YE 2018.
Fitch's 'Bsf' rating case loss of 47.5% (prior to a concentration
adjustment) is based on a discount to the most recent appraisal and
reflects a stressed value of $111k per key.
The fourth largest contributor to overall loss expectations and
largest increase in loss expectations in JPMBB 2015-C32 is the
Gateway Business Park loan, which is secured by a 514,047-sf
suburban office building located in Mount Laurel, NJ. The loan
transferred to special servicing in April 2025 for payment default.
Additionally, the loan failed to repay upon its scheduled September
2025 maturity date.
Major tenants at the property include Canon Financial Services
(9.7% of the NRA through June 2026); PNC Bank (7.0%; November
2028), and Peresante Continuing Care (5.0%; June 2029). As of YE
2024, the property was 71% occupied, compared to 68% at YE 2023,
77% at YE 2022, 81% at YE 2021 and 79% at YE 2020. The
servicer-reported NOI DSCR was 0.97x at YE 2024, compared to 0.84x
at YE 2023, 1.23x at YE 2022, 1.22x at YE 2021, and 1.25x at YE
2020.
Per CoStar, the property lies within the North Burlington County
office submarket of the Philadelphia, PA market. As of 3Q25,
submarket asking rents averaged $23.55 psf and the submarket
vacancy rate was 9.2%.
Fitch's 'Bsf' rating case loss of 37.2% (prior to a concentration
adjustment) is based on a 10% cap rate and a stressed value of $46
psf.
Fitch is also monitoring the performance of the One Shell Square
loan (4.3%) in JPMBB 2015-C32, which is secured by a 1.2 million-sf
office building located in New Orleans, LA. According to media
reports, Shell Oil Company (24.5%, largest tenant at subject) is
expected to vacate the property and relocate to a new 142,000-sf
office tower located in the River District. The loan failed to
repay at it scheduled July 2025 maturity date. As of the October
2025 reporting, the loan remains current.
The property's major tenants include Shell Oil Company (24.5% of
the NRA through December 2026), Hancock Whitney Bank (17.4%;
December 2037) and Adams & Reese (6.9%; November 2025). The
property was 79% occupied as of Q1 2025 and the servicer-reported
NOI DSCR was 1.76x for the same period. Near term lease rollover
includes 4.7% of NRA in 2025 across 14 leases, and 27.4% in 2026
across 23 leases. Assuming Shell vacates, occupancy is expected to
drop to approximately 55%.
Fitch's 'Bsf' rating case loss of 22.2% (prior to a concentration
adjustment) is based on a 10% cap rate and 30% stress to the YE
2024 NOI, and factors in an increased probability of default due to
lease rollover and refinance concerns.
The largest contributor to overall loss expectations in JPMBB
2015-C33 is the 32 Avenue of the Americas loan (39.8% of the pool),
secured by a 1.2 million-sf office property/data center in New
York, NY.
The property was identified as a FLOC due to sustained performance
declines and has been transferred to special servicing as August
2025 due to imminent maturity default ahead of its scheduled
November 2025 maturity date. The loan has a scheduled November 2025
maturity date. However, according to November 2025 online reports,
the borrower has secured a four-year extension, with two one-year
extension options. The owner is required to invest $100 million in
capital upgrades, which includes renovating the lobby, a new
leasing center, and improved retail frontage.
Major tenants at the property include Telx (12.6% of the NRA
through July 2033), CenturyLink Communications (5.9%; August 2040),
Cedar Cares Inc. (5.7%; August 2027), MCI Communication Services
(5.1%; July 2041) and Industrious NYC 32 Avenue of the Americas LLC
(4.5%; August 2031).
Occupancy has fallen to 57% as of Q2 2025, in line with YE 2024,
but a decline from 60.5% at YE 2023, and remains lower than YE 2020
occupancy of 89%. The data center component of the property
represents approximately 70% of revenue, while office accounts for
30%, and retail is less than 0.2%. Due to the occupancy declines,
the YE 2024 servicer-reported NOI DSCR had fallen to 1.09x,
compared to 1.15x at YE 2023, 1.90x at YE 2022, and 2.00x at
issuance.
In addition to the decline in occupancy, the subjects' operating
expenses have increased. Compared to issuance levels, real estate
taxes have risen 55% and general and administrative expenses have
increased 115%, contributing to a 38% increase in total operating
expenses. Overall, YE 2024 NOI has declined 5.1% YOY and remains
45.6% below the originator's underwritten NOI at issuance.
Fitch's 'Bsf' rating case loss of 13.2% (prior to concentration
adjustments) reflects a 9.5% cap rate and 10% stress to the YE 2024
NOI and factors an increased probability of default.
The second largest contributor to overall loss expectations and
largest increase in loss expectations in JPMBB 2015-C33 since the
last rating action is the New Center One Building loan, secured by
a 507,966-sf CBD office in Detroit, MI. The loan transferred to
special servicing in September 2025 for failing to repay upon its
scheduled September 2025 maturity date.
Major tenants at the subject include Henry Ford Health Systems
(29.2% of the NRA through December 2027); Central Care Management
Org (4.2%; March 2029), State Appellate (4.1%; October 2032), and
Detroit Wayne County (3.4%; January 2030).
As of YE 2024, the property was 78% occupied, compared to 79% at YE
2023, 78% at YE 2022, 74% at YE 2021, and 82% at YE 2020. Upcoming
rollover includes 8.2% of the NRA in 2025 and 3.4% in 2026. The
servicer-reported NOI DSCR was 4.39x at YE 2024, compared to 4.34x
at YE 2023, 4.06x at YE 2022, 3.87x at YE 2021, and 3.75x at YE
2020.
Fitch's 'Bsf' rating case loss of 16.3% (prior to concentration
adjustments) reflects an 11% cap rate and 10% stress to the YE 2024
NOI and factors an increased probability of default as the loan
failed to repay upon its scheduled maturity date.
Increase in Credit Enhancement (CE): As of the October 2025
distribution date, the aggregate pool balances of the JPMBB
2015-C32 and JPMBB 2015-C33 transactions have been reduced by 65.2%
and 58.7%, respectively, since issuance. No loans are defeased in
the JPMBB 2015-C32 transaction. One loan (0.7%) in JPMBB 2015-C33
is fully defeased.
Principal loss and Interest Shortfalls: To date, the JPMBB 2015-C32
transaction has incurred $13.7 million in realized principal losses
which has been absorbed by the NR class. Additionally, classes E,
F, and G have been impacted by losses from the claw-back of
non-recoverable advances and payment of special servicing fees of
$48.4 million. The JPMBB 2015-C33 transaction has not incurred any
realized principal losses. Interest shortfalls totaling $32.7
million are impacting the non-rated classes A-S, B, C, D, E, F, G
and NR in the JPMBB 2015-C32 transaction, and interest shortfalls
totaling $72,721 are impacting the non-rated class NR in the JPMBB
2015-C33 transaction.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to the 'AAAsf' rated classes in JPMBB 2015-C33 are not
expected due to the increasing CE, senior position in the capital
structure and expected continued amortization and loan repayments,
but may occur if deal-level losses increase significantly and/or
interest shortfalls occur or are expected to occur;
- Downgrades to classes rated in the 'AAsf' and 'Asf' categories
could occur if deal-level losses increase significantly from
outsized losses on larger FLOCs or more loans than expected
experience performance deterioration or default at or before
maturity, most notably Civic Opera Building, Hilton Suites Chicago
Magnificent Mile, Palmer House Retail Shops, and Gateway Business
Park in JPMBB 2015-C32 and 32 Avenue of the Americas and New Center
One Building in JPMBB 2015-C33;
- Downgrades for the 'BBBsf', 'BBsf', and 'Bsf' categories are
likely with higher-than-expected losses from continued
underperformance of the FLOCs, particularly the office and retail
FLOCs with deteriorating performance and with greater certainty of
losses on the specially serviced loans or other FLOCs;
- Downgrades to the 'CCCsf' rated classes could occur should
additional loans transfer to special servicing and/or default, or
as additional losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible in JPMBB 2015-C33 with significantly increased CE from
paydowns and/or defeasance, coupled with stable-to-improved
pool-level loss expectations and improved performance on the FLOCs,
notably the 32 Avenue of the Americas and New Center One Building
loans;
- Upgrades to the 'BBBsf' rated categories would be limited based
on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls;
- Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable, recoveries on the FLOCs are better
than expected and there is sufficient CE to the classes;
- Upgrades to the distressed 'CCCsf' rated classes are not
expected, but possible with better-than-expected recoveries on
specially serviced loans or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
KENNEDY LEWIS 23: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Kennedy
Lewis CLO 23 Ltd./Kennedy Lewis CLO 23 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 Kennedy Lewis Investment Management
LLC.
The preliminary ratings are based on information as of Nov. 13,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Kennedy Lewis CLO 23 Ltd./Kennedy Lewis CLO 23 LLC
Class A, $248.00 million: AAA (sf)
Class B, $56.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB- (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $40.00 million: NR
NR--Not rated.
KKR CLO 20: Moody's Affirms Ba3 Rating on $27MM Class E Notes
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by KKR CLO 20 Ltd.:
US$34.2M Class C-R Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aaa (sf); previously on Sep 13, 2024 Assigned Aa2 (sf)
US$37.8M Class D-R Senior Secured Deferrable Floating Rate Notes,
Upgraded to A2 (sf); previously on Sep 13, 2024 Assigned Baa1 (sf)
Moody's have also affirmed the ratings on the following notes:
US$201.2M (Current outstanding balance US$25,595,155) Class A-R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Sep 13, 2024 Assigned Aaa (sf)
US$69M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Sep 13, 2024 Assigned Aaa (sf)
US$27M Class E Senior Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Dec 28, 2017 Assigned Ba3 (sf)
KKR CLO 20 Ltd., originally issued in December 2017 and partially
refinanced in September 2024, is a collateralised loan obligation
(CLO) backed by a portfolio of mostly high-yield senior secured US
loans. The portfolio is managed by KKR Financial Advisors II, LLC.
The transaction's reinvestment period ended in January 2023.
RATINGS RATIONALE
The rating upgrades on the Class C-R and D-R notes are primarily a
result of the significant deleveraging of the senior notes
following amortisation of the underlying portfolio since the
payment date in October 2024.
The affirmations on the ratings on the Class A-R, B-R and 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 USD 141.7
million (70.4%) in the last 12 months and USD 175.6 million (87.3%)
since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased for the senior and
mezzanine rated notes. According to the trustee report dated
September 2025[1], the Class A/B, Class C and Class D OC ratios are
reported at 182.62%, 145.39% and 118.66% compared to September
2024[2] levels of 146.39%, 129.94% and 115.59%, 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: USD217.7m
Defaulted Securities: USD4.9m
Diversity Score: 44
Weighted Average Rating Factor (WARF): 3405
Weighted Average Life (WAL): 3.14 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.23%
Weighted Average Recovery Rate (WARR): 45.61%
Par haircut in OC tests and interest diversion test: 7.07%
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 Moody's are 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.
KKR CLO 31: S&P Lowers Class E Notes Rating to 'B+ (sf)'
--------------------------------------------------------
S&P Global Ratings lowered its rating on the class E debt from KKR
CLO 31 Ltd. and removed it from CreditWatch with negative
implications. At the same time, S&P affirmed its ratings on the
class A-1, A-2, B, C, and D debt from the same transaction.
The transaction is a collateralized loan obligation that closed in
2021. The transaction is reinvesting until April 2026 and managed
by KKR Financial Advisors II LLC.
S&P said, "On Oct. 10, 2025, we placed our rating on the class E
debt on CreditWatch with negative implications primarily due to the
relevant class's decreased credit support, the portfolio's par loss
since the 2021 closing, and indicative cash flow results."
The rating actions follow S&P's review of the transaction's
performance using data from both the September and October 2025
trustee reports. All reported overcollateralization (O/C) ratios
have declined compared to those in the April 2021 trustee report:
-- The class A/B O/C ratio declined to 128.64% from 132.17%;
-- The class C O/C ratio declined to 119.23% from 122.50%;
-- The class D O/C ratio declined to 111.10% from 114.15%; and
-- The class E O/C ratio declined to 106.27% from 109.18%,
The decline in the O/C ratios largely reflects the aggregate par
loss the portfolio has sustained since closing. All coverage tests
are currently passing with adequate cushion.
Additionally, the interest diversion test, which measures the O/C
level at class E, declined to 106.27% from 109.18%, yet is still
passing. In the event that this test is not satisfied during the
reinvestment period, the lesser of 50.00% of remaining interest
proceeds or the amount necessary to bring the test back into
compliance at the discretion of the manager, will be deposited into
the principal proceeds collection account or to pay down the senior
notes according to the principal payment sequence.
Assets rated in the 'CCC' category have increased to $47.52 million
(8.10% of the portfolio) as of the October 2025 trustee report,
from $35.51 million (5.90% of the portfolio) as of the April 2021
trustee report, and the decline in the portfolio's weighted average
spread and weighted average recovery rates have constricted the
break-even default rates, resulting in weakened cash flow results
overall.
S&P said, "The lowered rating on the class E debt reflects the
deterioration in the transaction's credit profile since our
previous review and the cash flow failure at the prior rating
level. Although our cash flow results indicated a lower rating on
class E, on a standalone basis, we restricted the downgrade to one
notch after considering qualitative factors including its credit
enhancement and the relatively low exposure to 'CCC' and 'CCC-'
rated collateral obligations.
"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class D debt than the rating
actions reflect. However, we affirmed the rating after considering
the margin of failure, the credit support commensurate with the
current rating level, the relatively low exposure to 'CCC' and
'CCC-' rated collateral obligations, and that the transaction will
exit its reinvestment period in April 2026. Once amortization
begins in the latter half of 2026, paydowns to the senior debt may
improve credit support available to class D."
The affirmed ratings reflect adequate credit support at the current
rating levels.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults and recoveries upon default under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating
action."
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the debt remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
Rating Lowered And Removed From CreditWatch
KKR CLO 31 Ltd.
Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg'
Ratings Affirmed
KKR CLO 31 Ltd.
Class A-1: AAA (sf)
Class A-2: AAA (sf)
Class B: AA (sf)
Class C: A (sf)
Class D: BBB- (sf)
KSL COMMERCIAL 2025-MH: Moody's Assigns (P)B2 Rating to Cl. F Certs
-------------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to seven classes
of CMBS securities, issued by KSL Commercial Mortgage Trust
2025-MH, Commercial Mortgage Pass-Through Certificates, Series
2025-MH.
Cl. A, Assigned (P) Aaa (sf)
Cl. B, Assigned (P) Aa3 (sf)
Cl. C, Assigned (P) A3 (sf)
Cl. D, Assigned (P) Baa3 (sf)
Cl. E, Assigned (P) Ba3 (sf)
Cl. F, Assigned (P) B2 (sf)
Cl. HRR, Assigned (P) B3 (sf)
RATING RATIONALE
This securitization is collateralized by a first-lien mortgage on
the borrower's fee simple and/or leasehold interests in a portfolio
of 23 select-service and extended-stay hotels located across 13
states. Together, they offer a total of 3,028 guestrooms. Moody's
analysis is based on the quality of the collateral, the amount of
subordination supporting each rated class, among other structural
characteristics.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-backed Securitizations methodology. The rating
approach for securities backed by single loans compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessments of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessments of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's makes various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainables cap rates and market
cap rates. Moody's also uses an adjusted loan balance that reflects
each loan's amortization profile.
Moody's DSCR is based on Moody's stabilized net cash flow. The
Moody's first mortgage DSCR is 1.51x. Moody's first mortgage
stressed DSCR at a 9.25% constant is 1.09x.
The loan's first mortgage balance of $440,000,000 represents a
Moody's LTV ratio of 108.8%. Moody's LTV ratio is based on Moody's
value. Moody's did not adjust Moody's value to reflect the current
interest rate environment as part of Moody's analysis for this
transaction.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property quality
grade is 2.00.
Notable strengths of the transaction include its strong portfolio
diversity, asset quality, capital investment, competitive position,
multiple-property pooling, brand affiliation, and experienced
sponsorship.
Notable concerns of the transaction include asset class volatility,
mezzanine financing, weak release provisions, floating-rate and
interest-only loan profile, and credit negative legal features.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in January 2025.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
MADISON PARK LXXV: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Madison Park Funding LXXV, Ltd.
Entity/Debt Rating
----------- ------
Madison Park
Funding LXXV, Ltd.
A-1 LT AAA(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 NR(EXP)sf Expected Rating
Subordinated Notes LT NR(EXP)sf Expected Rating
Transaction Summary
Madison Park Funding LXXV, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
UBS Asset Management (Americas) LLC. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $600 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 96.52%
first-lien senior secured loans and has a weighted average recovery
assumption of 73.62%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting to
the indicative portfolio to reflect permissible concentration
limits and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'A-sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'B+sf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and
'BB+sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for
class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Madison Park
Funding LXXV, 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.
MAGNETITE LI: Fitch Assigns 'BBsf' Rating on Class E Notes
----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite
LI, Limited.
Entity/Debt Rating
----------- ------
Magnetite LI,
Limited
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1a LT BBB+sf New Rating
D-1b LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BBsf New Rating
F LT NRsf New Rating
Transaction Summary
Magnetite LI, Limited (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
BlackRock Financial Management, Inc. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $550 million of primarily first lien
senior secured leverage 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 98.02%
first-lien senior secured loans and has a weighted average recovery
assumption of 73.5%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 4.9-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting to
the indicative portfolio to reflect permissible concentration
limits and collateral quality test levels.
Cash Flow Analysis: 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 'BBB-sf' for class D-1a,
between less than 'B-sf' and 'BB+sf' for class D-1b, 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, 'A+sf' for
class D-1a, 'Asf' for class D-1b, 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 Magnetite LI,
Limited. In cases where Fitch does not provide ESG relevance scores
in connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
MAGNETITE LI: Moody's Assigns B3 Rating to $250,000 F Notes
-----------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Magnetite LI, Limited (the Issuer or Magnetite LI):
US$352,000,000 Class A-1 Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$250,000 Class F Deferrable Mezzanine Floating Rate Notes due
2038, Assigned B3 (sf)
The notes listed are referred to herein, collectively, as the Rated
Notes.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Magnetite LI is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans and up to 10.0% of the portfolio
may consist of second lien loans, unsecured loans and bonds. The
portfolio is approximately 85% ramped as of the closing date.
BlackRock Financial Management, Inc. (the Manager) will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued seven other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $550,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 3105
Weighted Average Spread (WAS): 2.90%
Weighted Average Coupon (WAC): 5.75%
Weighted Average Recovery Rate (WARR): 46.0%
Weighted Average Life (WAL): 8 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "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.
MARKET STREET II: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Market
Street CLO LTD. II.
Entity/Debt Rating
----------- ------
MARKET STREET
CLO LTD. II
A1 LT NRsf New Rating
AJ LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D1 LT BBB-sf New Rating
DJ LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Market Street CLO LTD. II (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Macquarie Asset Management Credit Advisers US, LLC. Net proceeds
from the issuance of the secured and subordinated notes will
provide financing on a portfolio of approximately $400 million of
primarily first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 22.49, 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 99.75%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.61% 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 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 AJ, 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 D1, and
between less than 'B-sf' and 'BB+sf' for class DJ 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 AJ 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 D1, and 'BBB+sf' for class DJ 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 Market Street CLO
LTD. II.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
MORGAN STANLEY 2015-C22: Fitch Lowers Rating on Class F Certs to 'D
-------------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed seven
classes of Morgan Stanley Bank of America Merrill Lynch Trust
(MSBAM) Commercial Mortgage Pass-Through Certificates, series
2015-C22. The Rating Outlooks on classes A-S, X-A, B and X-B have
been revised to Stable from Negative. The Rating Outlooks on
classes C and PST are Negative.
Entity/Debt Rating Prior
----------- ------ -----
MSBAM 2015-C22
A-4 61690FAM5 LT AAAsf Affirmed AAAsf
A-S 61690FAP8 LT AAAsf Affirmed AAAsf
B 61690FAQ6 LT AA+sf Affirmed AA+sf
C 61690FAS2 LT A-sf Affirmed A-sf
D 61690FAB9 LT CCCsf Downgrade B-sf
E 61690FAC7 LT Csf Downgrade CCsf
F 61690FAD5 LT Dsf Downgrade Csf
PST 61690FAR4 LT A-sf Affirmed A-sf
X-A 61690FAN3 LT AAAsf Affirmed AAAsf
X-B 61690FAA1 LT AA+sf Affirmed AA+sf
KEY RATING DRIVERS
Pool Concentration and Adverse Selection; 'Bsf' Loss Expectations:
The transaction is highly concentrated, with only nine loans
remaining, eight (90.9%) of which are designated as Fitch Loans of
Concern (FLOCs), including seven (59.7%) in special servicing.
The affirmations and Outlook revisions to Stable from Negative
reflect increased credit enhancement (CE) and better-than-expected
recoveries from loan payoffs and dispositions since the prior
rating action, along with high recovery expectations on the 300
South Riverside Plaza Fee, 555 11th Street NW, and Hilton Garden
Inn W 54th Street loans in the pool.
The downgrades to classes D and E reflect a greater certainty of
loss on the specially serviced loans in the pool, and the downgrade
to class F reflects realized losses from specially serviced loan
dispositions since the prior rating action. Fitch's 'Bsf' rating
case loss expectation for the pool is 17.7%.
Due to the significant pool concentration and adverse selection,
Fitch performed a recovery and liquidation analysis that grouped
the remaining loans based on their status and collateral quality
and then ranked them by their perceived likelihood of repayment
and/or loss expectations.
The Negative Outlooks on classes C and PST reflect their reliance
on proceeds from specially serviced loans with elevated loss
expectations; downgrades are possible if performance or appraisal
values decline further, or workout timelines are prolonged.
Largest Contributors to Loss: The largest contributor to overall
pool loss expectations is the Waterfront at Port Chester loan
(24.9% of the pool), which is secured by a 349,743-sf anchored
retail property in Port Chester, NY. The loan transferred to
special servicing in April 2025 due to maturity default. As of June
2025, the property was 82% occupied, down from 88% at YE 2023. The
servicer-reported YE 2024 net operating income (NOI) debt service
coverage ratio (DSCR) was 1.0x, compared with 0.67x at YE 2023 and
1.19x at YE 2022. Workout discussions are ongoing per the
servicer.
The property is anchored by Super Stop & Shop (20.3% of NRA; leased
through August 2030) and AMC (19.9%; December 2030). Other major
tenants include Marshalls (8.6%; January 2036) and Michaels (6.1%;
January 2036). The loan is shadow-anchored by a 120,000-sf Costco
complex, which is owned by an affiliate of the sponsor.
Fitch's 'Bsf' rating case loss of approximately 38% (prior to
concentration add-ons) reflects a discount to the most recent
appraisal value, reflecting a Fitch-stressed value of $183 psf.
The second largest contributor to overall pool loss expectations is
the 1400 Howard Boulevard loan (3.4%), which is secured by a
75,580-sf office property located in Mount Laurel, NJ. The loan
transferred to special servicing in March 2025 due to maturity
default. The property was 100% occupied by AAA on a lease that runs
through January 2026; however, a 2024 site inspection found that
all AAA employees were working remotely. According to servicer
updates, a receiver has been appointed and workout discussions are
ongoing.
Fitch's 'Bsf' rating case loss of approximately 83% (prior to
concentration add-ons) reflects a discount to the most recent
appraisal value, reflecting a Fitch-stressed value of $32 psf.
The third largest contributor to overall loss expectations is the
ASRC Federal Building loan (2.7%), which is secured by a 58,994-sf
office building located in Laurel, MD. The loan transferred to
special servicing in April 2025 due to maturity default. According
to servicer updates, a borrower-submitted DPO is being considered
by the lender. The single tenant, ASRC Federal Holding Co., which
previously occupied 55,738-sf (94% of NRA), downsized to 24,657-sf
and extended its lease until Aug. 31, 2029. As a result, the
property's occupancy dropped to 42%.
Fitch's 'Bsf' rating case loss of approximately 57% (prior to
concentration add-ons) reflects a discount to the most recent
appraisal value, reflecting a Fitch-stressed value of $32 psf.
Increased CE: As of the October 2025 distribution date, the pool's
aggregate balance has been reduced by 71% to $321.3 million from
$1.1 billion at issuance. Since Fitch's prior rating action, 57
loans have been repaid totaling $552.3 million (50% of original
pool balance). Approximately $57 million in realized losses have
been recorded to date. Current interest shortfalls total about $5.1
million and affect classes E, F, G, and H, with 95% of the
shortfalls allocated to class H.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the 'AAAsf' and 'AA+sf rated classes are not expected
given high CE relative to pool loss expectation. However,
downgrades could occur if recovery expectations on the 300 South
Riverside Plaza Fee, 555 11th Street NW, and Hilton Garden Inn W
54th Street loans decline significantly.
Downgrades to the 'A-sf' rated classes, which have Negative
Outlooks, would occur with an increase in pool-level losses from
further value degradation or extended workouts of the specially
serviced loans, particularly Waterfront at Port Chester, 1400
Howard Boulevard and ASRC Federal Building.
Downgrades to distressed ratings would occur as losses are realized
and/or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to the 'AA+sf' and 'A-sf' rated class may be possible with
significantly increased CE, coupled with increased recovery
expectations on the special serviced loans.
Upgrades to the distressed rated classes are not expected but
possible with better-than-expected recoveries on specially serviced
loans or significantly higher values on FLOCs. Classes would not be
upgraded above 'AA+sf' if there is likelihood of interest
shortfalls.
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.
MORGAN STANLEY 2019-PLND: Moody's Cuts Rating on 2 Tranches to C
----------------------------------------------------------------
Moody's Ratings has downgraded ratings on two classes and affirmed
the ratings on two classes of Morgan Stanley Capital I Trust
2019-PLND, Commercial Mortgage Pass-Through Certificates, Series
2019-PLND as follows:
Cl. A, Downgraded to C (sf); previously on Feb 11, 2025 Downgraded
to Caa2 (sf)
Cl. B, Downgraded to C (sf); previously on Feb 11, 2025 Downgraded
to Ca (sf)
Cl. C, Affirmed C (sf); previously on Feb 11, 2025 Downgraded to C
(sf)
Cl. D, Affirmed C (sf); previously on Feb 11, 2025 Downgraded to C
(sf)
RATINGS RATIONALE
The ratings on two principal and interest (P&I) classes were
downgraded due to higher expected losses upon ultimate loan
resolution given the decline in loan and property performance, the
prolonged delinquency and the accumulation and ongoing interest
shortfalls caused by the non-recoverability determination in May
2024. The downgrade also reflects the weak recovery in the hotel
market of downtown Portland, Oregon. The loan is last paid through
its May 2021 payment date and recent servicer commentary indicates
the special servicer has appointed an exclusive listing agent to
market the properties for sale.
There has not been any interest distributed to the outstanding
classes since the master servicer's non-recoverability
determination in May 2024. As a result, the outstanding interest
shortfalls totaled $31.3 million (which includes $28.7 million of
cumulative non-recoverable interest), and Moody's expects interest
shortfalls to continually increase until the ultimate liquidation
of the loan. There were also outstanding servicer advances of $52.7
million (inclusive of P&I, T&I, other expenses and unaccrued unpaid
advance interest) as of the October 2025 remittance statement. The
loan is secured by two hotel properties and the combined trailing
12 months (TTM) net operating income (NOI) as of April 2025 was
$4.2 million, representing a 23% and 52% decline from the reported
NOI in 2024 and 2023, respectively. The loan's NOI has annually
declined since 2023 and combined with the significant increase in
the floating interest rate since 2022, the loan's NOI DSCR was
below 0.25X for the TTM period ending April 2025.
The ratings on two P&I classes, Cl. C and Cl. D, were affirmed
because the ratings are consistent with Moody's expected loss.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in January 2025.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns, or a significant improvement
in the loan's performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan, an
increase in realized and expected losses or increased interest
shortfalls.
DEAL PERFORMANCE
As of the October 15, 2025 distribution date, the transaction's
aggregate certificate balance remains unchanged at $240 million
from securitization. The interest only floating rate loan has been
in special servicing since June 2020 and is secured by the
borrowers' fee simple interests in two full-service hotels totaling
782-guestrooms known as The Hilton Portland Downtown (455
guestrooms) and The Duniway (327 guestrooms), located in downtown
Portland, Oregon. The two properties are adjacently located, and
hotel guests benefit from access to the amenities at both of the
hotels.
The loan initially transferred to special servicing due to the
coronavirus outbreak and while the portfolio's NOI initially
rebounded from the COVID-related lows to $8.6 million and $8.8
million in 2022 and 2023, respectively, this trend reversed in
2024. The property's cash flow has significantly declined since
2023 and the reported NOI for 2024 declined to $5.5 million, driven
by a combination of lower revenues and higher operating expenses as
compared to 2023. The TTM NOI as of April 2025 declined further by
23% to $4.2 million. Due to the loan's floating interest rate
exceeding 7.0%, the DSCR is below 0.25X based on the April 2025 TTM
NOI.
The downtown Portland hotel market continues to face a weak
recovery. According to CBRE EA, as of Q2 2025, Downtown Portland's
Revenue per Available Room (RevPAR) was $89.11, compared to the
RevPAR of $89.57 in 2024 and $89.32 in 2023. Furthermore, Downtown
Portland's Q2 2025 RevPAR was 33% lower than its RevPAR of $133.33
in 2019 and remains one of the few hotel markets that have not been
able to surpass their 2019 RevPAR levels.
The master servicer made a non-recoverability determination in May
2024 on the loan in relation to P&I advances and no interest has
subsequently been distributed to any of the outstanding classes. As
of the October 2025 remittance there are aggregate outstanding
interest shortfalls totaling $31.3 million (which includes $28.7
million of cumulative non-recoverable interest), and Moody's
expects interest shortfalls to continue to increase until the
ultimate liquidation of the loan. The first mortgage balance of
$240 million represents a Moody's LTV of 307%, which takes into
account the recent decline in the properties' NOI and the downtown
Portland market dynamics.
MORGAN STANLEY 2025-5C2: Fitch Assigns 'B-sf' Rating on 2 Tranches
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Fitch Ratings has assigned final ratings and Rating Outlooks to
Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C2,
Commercial Mortgage Pass-Through Certificates Series 2025-5C2 as
follows:
- $225,000,000ab class A-2 'AAAsf'; Outlook Stable;
- $0b class A-2-1 'AAAsf'; Outlook Stable;
- $0bc class A-2-X1 'AAAsf'; Outlook Stable;
- $0b class A-2-2 'AAAsf'; Outlook Stable;
- $0bc class A-2-X2 'AAAsf'; Outlook Stable;
- $274,484,000ab class A-3 'AAAsf'; Outlook Stable;
- $0b class A-3-1 'AAAsf'; Outlook Stable;
- $0bc class A-3-X1 'AAAsf'; Outlook Stable;
- $0b class A-3-2 'AAAsf'; Outlook Stable;
- $0bc class A-3-X2 'AAAsf'; Outlook Stable;
- $499,484,000c class X-A 'AAAsf'; Outlook Stable;
- $69,571,000b class A-S 'AAAsf'; Outlook Stable;
- $0b class A-S-1 'AAAsf'; Outlook Stable;
- $0bc class A-S-X1 'AAAsf'; Outlook Stable;
- $0b class A-S-2 'AAAsf'; Outlook Stable;
- $0bc class A-S-X2 'AAAsf'; Outlook Stable;
- $37,462,000b class B 'AA-sf'; Outlook Stable;
- $0b class B-1 'AA-sf'; Outlook Stable;
- $0bc class B-X1 'AA-sf'; Outlook Stable;
- $0b class B-2 'AA-sf'; Outlook Stable;
- $0bc class B-X2 'AA-sf'; Outlook Stable;
- $27,650,000b class C 'A-sf'; Outlook Stable;
- $0b class C-1 'A-sf'; Outlook Stable;
- $0bc class C-X1 'A-sf'; Outlook Stable;
- $0b class C-2 'A-sf'; Outlook Stable;
- $0bc class C-X2 'A-sf'; Outlook Stable;
- $134,683,000c class X-B 'A-sf'; Outlook Stable;
- $24,082,000d class D 'BBB-sf'; Outlook Stable;
- $24,082,000d class X-D 'BBB-sf'; Outlook Stable;
- $15,163,000d class E 'BB-sf'; Outlook Stable;
- $15,163,000cd class X-E 'BB-sf'; Outlook Stable;
- $9,811,000d class F 'B-sf'; Outlook Stable;
- $9,811,000d class X-F 'B-sf'; Outlook Stable.
The following classes are not expected to be rated by Fitch:
- $7,136,000d class G.
- $7,136,000d class X-G.
- $23,190,499d class H-RR.
(a) The certificate balances and notional amounts of these classes
include the vertical risk retention interest, which totals 4.35% of
the certificate balance or notional amount, as applicable, of each
class of certificates as of the closing date.
(b) The classes A2, A3, A-S, B and C are exchangeable certificates.
Each class of exchangeable certificates may be exchanged for the
corresponding classes of exchangeable certificates, and vice versa.
The dollar denomination of each of the received classes of
certificates must be equal to the dollar denomination of each of
the surrendered classes of certificates.
(c) Notional Amount and interest only.
(d) Privately Placed and pursuant to Rule 144A.
(e) Class H-RR certificates (other than the portions thereof
comprising part of the vertical risk retention interest) comprise
the transaction's horizontal risk retention interest.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 36 loans secured by 164
commercial properties having an aggregate principal balance of
$713,549,500 as of the cutoff date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC (42.1%),
Bank of America, National Association (21.4%), Starwood Mortgage
Capital LLC (19.6%), KeyBank National Association (15.1%) and
Morgan Stanley Mortgage Capital Holdings LLC / Bank of America,
National Association (1.8%).
The master servicer is expected to be Trimont LLC, and the special
servicer is expected to be LNR Partners, LLC. The trustee is
expected to be Deutsche Bank National Trust Company. The
certificate administrator is expected to be Computershare Trust
Company, National Association. The certificates are expected to
follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 19 loans
totaling 84.6% of the pool by balance. Fitch's resulting aggregate
net cash flow (NCF) of $61.7 million represents a 12.3% decline
from the issuer's aggregate underwritten NCF of $70.4 million.
Higher Fitch Leverage: The pool 's Fitch leverage is higher than
recent multiborrower transactions rated by Fitch. The pool's Fitch
loan-to-value ratio (LTV) of 106.0% 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 8.7% is lower than the 2025 YTD
average of 9.7% and the 2024 average of 10.2%.
Investment Grade Credit Opinion Loans: Two loans representing 10.9%
of the pool by balance received investment-grade credit opinion.
Vertex HQ (9.1% of pool) received an investment-grade credit
opinion of 'A-sf*' on a standalone basis. ILPT 2025 Portfolio (1.8%
of pool) received an investment-grade credit opinion of 'A-sf*' on
a standalone basis.
The pool's total credit opinion percentage is lower than the 2025
YTD average of 11.9% and the 2024 average of 12.6% for five-year
multiborrower transactions. Excluding the credit opinion loans, the
pool's Fitch LTV and DY are 110.8% and 8.3%, respectively, compared
to the equivalent five-year multiborrower 2025 YTD LTV and DY
averages of 104.8% and 9.3%, respectively.
Pool Concentration: The pool concentration is in line with recently
rated Fitch transactions. The top-10 loans make up 59.4%, which is
lower than the 2025 YTD five-year multiborrower average of 62.1%
and in line with the 2024 average of 60.2%. The pool's effective
loan count of 21.4 is below the 2025 YTD and 2024 10-year averages
of 21.2 and 22.7, respectively. Fitch views diversity as a key
mitigant to idiosyncratic risk. Fitch raises the overall loss for
pools with effective loan counts below 40.
Shorter-Duration Loans: Loans with five-year terms constitute 100%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default (PD) than 10-year
loans, all else equal. This is mainly attributed to the shorter
window of exposure to potential adverse economic conditions. Fitch
considered its loan performance regression in its analysis of the
pool.
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'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/less than 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The 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'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/
'B+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis, and it did not
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.
MORGAN STANLEY 2025-NQM9: S&P Assigns Prelim B Rating on B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Morgan
Stanley Residential Mortgage Loan Trust 2025-NQM9's mortgage-backed
certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods) to
both prime and nonprime borrowers. The loans are secured by
single-family residential properties including townhouses,
planned-unit developments, condominiums, two- to four-family
residential properties, and five- to 10-unit multifamily
properties. The pool consists of 834 loans backed by 898
properties, which are qualified mortgage (QM) safe harbor (average
prime offer rate), QM/higher-priced mortgage loan, non-QM/ability
to repay (ATR)-compliant, and ATR-exempt loans. Of the 834 loans,
21 loans are cross-collateralized loans backed by 85 properties.
The preliminary ratings are based on the balances as per the
printed Term Sheet dated Nov. 7, 2025. Subsequent information may
result in the assignment of final ratings that differ from the
preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition and geographic
concentration;
-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;
-- The mortgage aggregators, Morgan Stanley Mortgage Capital
Holdings LLC and Morgan Stanley Bank N.A.;
-- The mortgage originators, including S&P Global Ratings reviewed
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 which is updated,
if necessary, when these projections change materially.
Preliminary Ratings Assigned(i)
Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9
Class A-1-A, $274,739,000: AAA (sf)
Class A-1-B, $40,763,000: AAA (sf)
Class A-1, $315,502,000: AAA (sf)
Class A-2, $14,674,000: AA- (sf)
Class A-3, $48,100,000: A- (sf)
Class M-1, $12,637,000: BBB- (sf)
Class B-1, $6,725,000: BB (sf)
Class B-2, $6,115,000: B (sf)
Class B-3, $3,872,669: NR
Class A-IO-S, Notional(ii): NR
Class XS, Notional(ii): NR
Class R-PT, $20,382,769: NR
Class R, Not applicable: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period and is initially $407,625,669.
NR--Not rated.
MOSAIC SOLAR 2023-1: Fitch Affirms 'B-sf' Rating on Class C Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed the ratings on all classes of notes for
the Mosaic Solar Loan Trust (Mosaic Trust) 2022-1, Mosaic Trust
2022-2, Mosaic Trust 2022-3, Mosaic Trust 2023-1, Mosaic Trust
2023-2, Mosaic 2023-3, Mosaic Trust 2023-4, Mosaic Trust 2024-1 and
Mosaic 2025-1 transactions.
Fitch has revised the Rating Outlook for the Mosaic Trust 2022-3
class C notes to Negative from Stable. The Outlooks for all other
classes of notes remain unchanged. The Outlook revision reflects
the continued exposure of the tranche to volatility in asset
performance.
Entity/Debt Rating Prior
----------- ------ -----
Mosaic Solar Loan
Trust 2023-1
Class A 61945VAA9 LT Asf Affirmed Asf
Class B 61945VAB7 LT BBBsf Affirmed BBBsf
Class C 61945VAC5 LT B-sf Affirmed B-sf
Class D 61945VAD3 LT CCCsf Affirmed CCCsf
Mosaic Solar Loan
Trust 2023-4
A 618934AA1 LT AA-sf Affirmed AA-sf
B 618934AB9 LT A-sf Affirmed A-sf
C 618934AC7 LT BBB-sf Affirmed BBB-sf
D 618934AD5 LT CCCsf Affirmed CCCsf
Mosaic Solar Loan
Trust 2025-1
A 61945HAA0 LT AA-sf Affirmed AA-sf
C 61945HAC6 LT BBB-sf Affirmed BBB-sf
D U6200HAD6 LT BB-sf Affirmed BB-sf
Mosaic Solar Loan
Trust 2022-3
A 61946KAA2 LT AA-sf Affirmed AA-sf
B 61946KAB0 LT A-sf Affirmed A-sf
C 61946KAC8 LT Bsf Affirmed Bsf
D 61946KAD6 LT CCCsf Affirmed CCCsf
Mosaic Solar Loan
Trust 2022-1
A 61946QAA9 LT AA-sf Affirmed AA-sf
Mosaic Solar Loan
Trust 2023-2
Class A 61945WAA7 LT Asf Affirmed Asf
Class B 61945WAB5 LT BBB-sf Affirmed BBB-sf
Class C 61945WAC3 LT CCCsf Affirmed CCCsf
Class D 61945WAD1 LT CCCsf Affirmed CCCsf
Mosaic Solar Loan
Trust 2022-2
A 61946UAA0 LT AA-sf Affirmed AA-sf
B 61946UAB8 LT A-sf Affirmed A-sf
C 61946UAC6 LT CCCsf Affirmed CCCsf
D 61946UAD4 LT CCCsf Affirmed CCCsf
Mosaic Solar Loan
Trust 2024-1
A 618937AA4 LT AA-sf Affirmed AA-sf
B 618937AB2 LT A-sf Affirmed A-sf
C 618937AC0 LT BBB-sf Affirmed BBB-sf
D 618937AD8 LT B-sf Affirmed B-sf
Mosaic Solar Loan
Trust 2023-3
A 618933AA3 LT AA-sf Affirmed AA-sf
B 618933AB1 LT A-sf Affirmed A-sf
C 618933AC9 LT BBB-sf Affirmed BBB-sf
D 618933AD7 LT B+sf Affirmed B+sf
Transaction Summary
The affirmations follow the transition of servicing from Mosaic LLC
(Mosaic) Mosaic Solar Finance (Mosaic) to Solar Servicing, LLC
(Solar Servicing, unrated) on Sept. 22, 2025, due to the Mosaic's
voluntary filings for relief under Chapter 11 of the U.S.
Bankruptcy Code filing for protection under Chapter 11 bankruptcy
in June 2025.
Under Mosaic ABS's original transaction documents, the replacement
servicer Vervent would have needed to step in within 45 calendar
days from a servicer termination event with respect to Mosaic,
which included Chapter 11 filings. However, Chapter 11 filings
include an automatic stay on all contracts involving the companies,
preventing the trustee from enforcing any remedial provision under
the transaction documents upon a bankruptcy of the servicer,
including servicer termination events.
The Mosaic Trust transactions are securitizations of consumer loans
originated by Solar Mosaic, LLC (Mosaic) and backed by photovoltaic
(PV) systems and/or batteries to store the energy produced.
KEY RATING DRIVERS
Completed Servicing Transition: Following Chapter 11 resolution,
Solar Servicing stepped in as replacement servicer for all the
affirmed solar loan securitizations included. Concord Servicing,
LLC, in its capacity as subservicer for the transactions, continues
to conduct most of the day-to-day servicing, as it was before
Chapter 11 filings.
Under Solar Servicing, servicing practices related to the solar
loans remain unchanged at the time of the transition following the
transition and substantially all the staffing previously servicing
the Mosaic portfolio was transferred to the new servicer.
Solar Servicing LLC is a wholly owned subsidiary of Forbright Bank
(unrated), newly formed specifically to take over Mosaic's
servicing business. Forbright Bank is headquartered in Chevy Chase
Maryland, and was established in 2003 as Congressional Bank and
rebranded in 2022.
Backup Servicing Arrangements Remain in Place: Vervent Inc, remains
backup servicer following the servicer transition. Under Mosaic ABS
transaction documents, the replacement servicer Vervent would need
to step in within 45 calendar days from a servicer termination
event affecting the newly appointed servicer. Fitch believes the
backup arrangements provide additional protection for any servicing
disruption.
Asset Performance Remains within Prior Trend during Servicing
Transition: Fitch has not observed any recent significant increases
in 30+ day delinquencies on Fitch-rated Mosaic solar loan ABS
transactions. Performance volatility has been normal since Mosaic
filed for Chapter 11 bankruptcy on June 9, 2025 and following the
servicing transition. Fitch's asset assumptions for all
transactions are unchanged since the last review.
Servicing Costs Remain within Fitch's Assumed Levels: Compensation
for the new servicer and expenses allowed by the transaction
documents increased following the transition under the amended
transaction documents. However, since the deals' inception, Fitch
has modelled base case servicing fees of 0.70% of the performing
collateral per year, depending on the deal, subject to a floor to
all fees of $300,000 annually. At the 'AA-sf' rating level, for all
transactions, assumed stressed servicing fees were 0.90% annually.
Fitch estimates that both base case and 'AA-sf' level assumed fees
will remain higher than the new servicing costs. Fitch assumes that
servicing fees may be higher than contractually provided, which
addresses cost increases that may follow servicing transitions, as
was the case for the Mosaic platform.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Material changes in policy support;
- The economics of purchasing and financing PV panels and
batteries, and/or ground-breaking technological advances that make
the existing equipment obsolete may also negatively affect the
ratings;
- Peaks in faulty equipment that result in the need for replacing
inverters and batteries at a faster pace than the monthly deposits
to the equipment reserve may also affect the ratings;
- Longer or more severe-than-expected asset performance
deterioration;
- Fitch caps solar loan securitization ratings in the 'AAsf'
category due to limited performance history. A positive rating
action could result from an increase of CE due to deleveraging,
underpinned by good transaction performance.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Fitch caps solar loan securitization ratings in the 'AAsf'
category due to limited performance history. A positive rating
action could result from an increase of CE due to deleveraging,
underpinned by good transaction performance.
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.
OCTAGON INVESTMENT 50: S&P Affirms B(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R2, B-R2, and C-R2 debt from Octagon Investment Partners 50
Ltd./Octagon Investment Partners 50 LLC, a CLO managed by Octagon
Credit Investors LLC that was originally issued in November 2020
and underwent a partial refinancing in November 2021. At the same
time, S&P withdrew its ratings on the previous class A-R, B-R, and
C-R debt following payment in full on the Nov. 20, 2025,
refinancing date. S&P also affirmed its ratings on the class D-R
and E-R debt, which were not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Aug. 20, 2026.
-- No additional assets were purchased on the Nov. 20, 2025,
refinancing date, and the target initial par amount remains the
same. There was no additional effective date or ramp-up period and
the first payment date following the refinancing is Jan. 15, 2025.
-- No additional subordinated notes were issued on the refinancing
date.
-- S&P said, "On a standalone basis, our cash flow analysis
indicated a lower rating on the class E-R debt (which was not
refinanced). However, we affirmed our 'B (sf)' rating on the class
E-R debt after considering the margin of failure and the relatively
stable overcollateralization ratio since our last rating action on
the transaction."
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-R2, $256.00 million: Three-month CME term SOFR + 1.08%
-- Class B-R2, $48.00 million: Three-month CME term SOFR + 1.55%
-- Class C-R2 (deferrable), $24.00 million: Three-month CME term
SOFR + 2.00%
Previous debt
-- Class A-R, $256.00 million: Three-month CME term SOFR + 1.15% +
CSA(i)
-- Class B-R, $48.00 million: Three-month CME term SOFR + 1.65% +
CSA(i)
-- Class C-R (deferrable), $24.00 million: Three-month CME term
SOFR + 2.05% + CSA(i)
(i)The CSA is 0.26161%.
CSA--Credit spread adjustment.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each 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
Octagon Investment Partners 50 Ltd./
Octagon Investment Partners 50 LLC
Class A-R2, $256.00 million: AAA (sf)
Class B-R2, $48.00 million: AA (sf)
Class C-R2 (deferrable), $24.00 million: A (sf)
Ratings Withdrawn
Octagon Investment Partners 50 Ltd./
Octagon Investment Partners 50 LLC
Class A-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-R to NR from 'A (sf)'
Ratings Affirmed
Octagon Investment Partners 50 Ltd./
Octagon Investment Partners 50 LLC
Class D-R: BB+ (sf)
Class E-R: B (sf)
Other Debt
Octagon Investment Partners 50 Ltd./
Octagon Investment Partners 50 LLC
Subordinated notes, $41.20 million: NR
NR--Not rated.
OCTANE RECEIVABLES 2024-3: S&P Assigns BB (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings raised its ratings on 20 classes and affirmed
its ratings on 19 classes of notes from nine Octane Receivables
Trust (OCTL) transactions.
The rating actions reflect:
-- Each transaction's collateral performance to date and S&P's
views regarding future collateral performance;
-- S&P's cumulative gross loss (CGL) expectations for each
transaction;
-- The transactions' structures and growth in credit enhancement
levels; and
-- Other credit factors, including credit stability, payment
priorities under various scenarios, and sector- and issuer-specific
analyses, including our most recent macroeconomic outlook, which
incorporates a baseline forecast for U.S. GDP and unemployment.
-- Considering these factors, S&P believes the notes'
creditworthiness is consistent with the raised and affirmed
ratings.
S&P said, "CGL performance for each series continues to perform in
line with our most recent review. As a result, for series 2021-2 we
adjusted our expected CGL (ECGL) range to "up to 9.50%" from
9.25%-9.75% to reflect the transaction's seasoning, and we
maintained our ECGLs on series 2022-1 through 2024-2. For series
2024-3, CGLs to date are trending in line with our original loss
expectation at issuance, and, as such, we maintained our ECGL for
the series."
Table 1
Collateral performance (%)(i)
Pool 61+ days
Series Mo.(i) factor delinq. CGL CRR CNL
2021-2 47 13.13 1.84 9.15 35.76 5.88
2022-1 41 20.67 1.47 10.22 33.85 6.76
2022-2 38 25.95 1.48 10.33 33.31 6.89
2023-1 32 33.93 1.15 8.91 31.52 6.10
2023-2 29 40.06 1.36 8.61 31.42 5.90
2023-3 25 43.52 1.07 6.58 31.09 4.53
2024-1 19 53.69 0.96 4.26 29.39 3.01
2024-2 16 62.38 0.70 3.29 28.49 2.35
2024-3 11 69.61 0.57 1.81 26.35 1.34
(i)As of the October 2025 distribution date.
Mo.--Month.
Delinq.--Delinquencies.
CGL--Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
Table 2
CNL and CGL expectations (%)
Original Original Prior Revised
Lifetime lifetime lifetime lifetime
Series CNL exp.(i) CGL exp.(ii) CGL exp.(iii) CGL exp.(iv)
2021-2 5.25-6.00 N/A 9.25-9.75 Up to 9.50
2022-1 N/A 7.00-7.50 11.25-11.75 11.25-11.75
2022-2 N/A 7.10-7.60 11.75-12.25 11.75-12.25
2023-1 N/A 7.25-7.75 11.75-12.25 11.75-12.25
2023-2 N/A 8.50-9.00 12.25-12.75 12.25-12.75
2023-3 N/A 8.25-8.75 11.00-11.50 11.00-11.50
2024-1 N/A 7.25-7.75 8.25-8.75 8.25-8.75
2024-2 N/A 8.25-8.75 8.25-8.75 8.25-8.75
2024-3 N/A 7.00-7.50 N/A 7.00-7.50
(i)Initially rated under "Global Methodology And Assumptions For
Assessing The Credit Quality Of Securitized Consumer Receivables,"
published Oct. 9, 2014, under which S&P's credit analysis and
resulting breakeven levels were based on its lifetime net loss
expectations.
(ii)Rated under S&P's current criteria "ABS: Global Consumer ABS
Methodology And Assumptions," published March 31, 2022, under which
its credit analysis and resulting breakeven levels are based on its
lifetime gross loss and recovery expectations.
(iii)Revised in May 2025. (iv)Revised in November 2025.
CNL exp.--Cumulative net loss expectations.
CGL exp.--Cumulative gross loss expectations.
N/A–-Not applicable.
S&P said, "Based on our view of recovery performance to date and
our expectations for the transactions' future recovery performance,
in the determination of our revised ratings we used a base case
recovery rate of 35.00% for OCTL 2021-2 and 2022-2 and 30.00% for
2022-2 through 2024-3. We determine stressed net loss levels
utilizing stressed recovery rates by applying larger haircuts to
higher ratings levels and to less-seasoned pools. At issuance, for
Octane powersports transactions, we apply haircuts to our base case
recovery rates ranging from 20.00%-40.00% for our 'BB (sf)' to 'AAA
(sf)' rating scenarios, respectively. For this review, we applied
haircuts to our base case recovery rates ranging from 15.00%-35.00%
for our 'BB (sf)' to 'AAA (sf)' rating scenarios for OCTL 2024-2
and 2024-3, resulting in stressed recovery rates ranging from
approximately 25.50% for 'BB (sf)' to 19.50% for 'AAA (sf)'; for
OCTL 2022-2 through 2024-1, we applied haircuts ranging from
10.00%-20.00% for our 'BB (sf)' to 'AAA (sf)' rating scenarios,
respectively, resulting in stressed recovery rates ranging from
approximately 27.00% for 'BB (sf)' to 24.00% for 'AAA (sf)'; and we
did not apply haircuts to OCTL 2021-2 and 2022-1 given their high
level of seasoning with pool factors of 13.13% and 20.67%,
respectively."
The transactions contain a sequential principal payment structure
in which the notes are paid principal by seniority. As a percentage
of the current pool balance, each transaction has experienced
growth in credit enhancement consisting of a nonamortizing reserve
account, overcollateralization (O/C), subordination for senior
classes, and excess spread. As of the October 2025 distribution
date, the transactions' reserve amounts are at their requisite
levels, and O/C is at the specified target for all series except
2022-2, 2023-1, and 2024-3. For OCTL 2022-2, 2023-1, and 2024-3,
O/C is below its target but continues to grow as a percentage of
the current pool balance. The raised and affirmed ratings reflect
S&P's view that the total credit support as a percentage of the
amortizing pool balance, as of the October 2025 distribution date,
compared with our expected remaining losses, is commensurate with
each respective rating.
Table 3
Hard credit support(i)
Prior
Total hard total hard Total hard
credit support credit support credit support
Series Class at issuance (%) (% of current) (% of current)
(ii) (iii)
2021-2 B 7.50 58.25 80.00
2021-2 C 1.00 22.19 30.48
2022-1 B 18.90 75.01 97.69
2022-1 C 12.30 50.46 65.77
2022-1 D 5.40 24.79 32.41
2022-1 E 2.45 13.82 18.14
2022-2 B 20.75 65.87 83.75
2022-2 C 15.05 48.43 61.79
2022-2 D 6.35 21.80 28.26
2023-1 A 31.00 76.33 94.54
2023-1 B 22.75 56.66 70.23
2023-1 C 14.55 37.11 46.06
2023-1 D 7.15 19.46 24.26
2023-1 E 3.35 10.40 13.06
2023-2 A 38.00 82.51 99.85
2023-2 B 27.45 60.75 73.52
2023-2 C 14.70 34.45 41.69
2023-2 D 8.45 21.56 26.09
2023-2 E 2.50 9.28 11.23
2023-3 A 31.20 61.46 75.14
2023-3 B 23.30 46.61 56.99
2023-3 C 15.65 32.23 39.41
2023-3 D 8.35 18.51 22.63
2023-3 E 3.00 8.46 10.34
2024-1 A 27.63 45.27 54.26
2024-1 B 19.83 33.15 39.73
2024-1 C 12.55 21.83 26.17
2024-1 D 5.85 11.42 13.69
2024-1 E 1.75 5.05 6.05
2024-2 A 33.35 48.01 56.91
2024-2 B 24.90 36.55 43.36
2024-2 C 15.25 23.46 27.89
2024-2 D 8.45 14.25 16.99
2024-2 E 3.75 7.87 9.45
2024-3 A 27.21 N/A 41.14
2024-3 B 20.56 N/A 31.59
2024-3 C 14.21 N/A 22.47
2024-3 D 7.61 N/A 12.99
2024-3 E 4.51 N/A 8.54
(i)Calculated as a percentage of the total receivables pool
balance, which consists of overcollateralization, reserve account,
and, if applicable, subordination. Excludes excess spread that can
also provide additional enhancement.
(ii)As of the May 2025 distribution date.
(iii)As of the October 2025 distribution date.
S&P said, "We incorporated an analysis of the current hard credit
enhancement compared with our expected remaining losses for the
classes where hard credit enhancement alone--without credit to any
excess spread--was sufficient, in our view, to raise or affirm the
ratings at the 'AAA (sf)' level. For the other classes, we
incorporated a cash flow analysis to assess the loss coverage
levels, giving credit to stressed excess spread.
"Our cash flow scenarios included our current economic outlook,
forward-looking assumptions on recoveries, the timing of losses,
and voluntary absolute prepayment speeds that we believe are
appropriate given each transaction's performance to date.
Additionally, we conducted sensitivity analyses to determine the
impact that a moderate ('BBB') stress level scenario would have on
our ratings if losses trended higher than our revised base-case
loss expectations.
"In our view, the results demonstrated that all the classes have
adequate credit enhancement at the raised and affirmed rating
levels. We will continue to monitor the transactions' performances
to ensure that the credit enhancement remains consistent with the
assigned ratings."
Ratings Raised
Octane Receivables Trust
Series 2022-1, class D to 'AAA (sf)' from 'A+ (sf)'
Series 2022-1, class E to 'AA+ (sf)' from 'BBB (sf)'
Series 2022-2, class D to 'AAA (sf)' from 'A (sf)'
Series 2023-1, class C to 'AAA (sf)' from 'AA (sf)'
Series 2023-1, class D to 'A (sf)' from 'BBB+ (sf)'
Series 2023-1, class E to 'BBB- (sf)' from 'BB (sf)'
Series 2023-2, class C to 'AAA (sf)' from 'AA (sf)'
Series 2023-2, class D to 'A (sf)' from 'BBB+ (sf)'
Series 2023-2, class E to 'BBB- (sf)' from 'BB (sf)'
Series 2023-3, class C to 'AA+ (sf)' from 'AA- (sf)'
Series 2023-3, class D to 'BBB+ (sf)' from 'BBB (sf)'
Series 2023-3, class E to 'BB (sf)' from 'BB- (sf)'
Series 2024-1, class B to 'AAA (sf)' from 'AA+ (sf)'
Series 2024-1, class C to 'AA (sf)' from 'A+ (sf)'
Series 2024-1, class D to 'BBB+ (sf)' from 'BBB (sf)'
Series 2024-2, class C to 'AA (sf)' from 'A+ (sf)'
Series 2024-2, class D to 'A- (sf)' from 'BBB (sf)'
Series 2024-2, class E to 'BB+ (sf)' from 'BB (sf)'
Series 2024-3, class B to 'AA+ (sf)' from 'AA (sf)'
Series 2024-3, class C to 'A+ (sf)' from 'A (sf)'
Ratings Affirmed
Octane Receivables Trust
Series 2021-2, class B: AAA (sf)
Series 2021-2, class C: AAA (sf)
Series 2022-1, class B: AAA (sf)
Series 2022-1, class C: AAA (sf)
Series 2022-2, class B: AAA (sf)
Series 2022-2, class C: AAA (sf)
Series 2023-1, class A: AAA (sf)
Series 2023-1, class B: AAA (sf)
Series 2023-2, class A-2: AAA (sf)
Series 2023-2, class B: AAA (sf)
Series 2023-3, class A-2: AAA (sf)
Series 2023-3, class B: AAA (sf)
Series 2024-1, class A-2: AAA (sf)
Series 2024-1, class E: BB (sf)
Series 2024-2, class A-2: AAA (sf)
Series 2024-2, class B: AA+ (sf)
Series 2024-3, class A-2: AAA (sf)
Series 2024-3, class D: BBB (sf)
Series 2024-3, class E: BB (sf)
PALMER SQUARE 2020-3: S&P Assigns BB- (sf) Rating on D-R3 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R3, A-2-R3, B-R3, C-R3, and D-R3 debt from Palmer Square CLO
2020-3 Ltd./ Palmer Square CLO 2020-3 LLC, a CLO managed by Palmer
Square Capital Management LLC that was originally issued in
December 2020 and underwent a second refinancing in December 2023.
At the same time, S&P withdrew its ratings on the previous class
A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 debt following payment in full
on the Nov. 17, 2025, refinancing date. S&P also affirmed its
ratings on the class X, and E-R2 debt, which were not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Nov. 17, 2026.
-- No additional assets were purchased on the Nov. 17, 2025,
refinancing date, and the target initial par amount remains at
$400,000,000. There was no additional effective date or ramp-up
period, and the first payment date following the refinancing is
Feb. 15, 2026.
-- No additional subordinated notes were issued on the refinancing
date.
S&P said, "On a standalone basis, our cash flow analysis indicated
a lower rating on the class E-R2 debt (which was not refinanced).
However, we affirmed our 'B- (sf)' rating on the class E-R2 debt
after considering the relatively stable overcollateralization ratio
since our last rating action, the fact that the deal remains in its
reinvestment period, and that the refinancing is viewed as
credit-neutral to credit-positive for the transaction. In addition,
we believe the payment of principal or interest on the class E-R2
debt when due does not depend on favorable business, financial, or
economic conditions. Therefore, this class does not fit our
definition of 'CCC' risk in accordance with our "Criteria For
Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct.
1, 2012."
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-1-R3, $248.00 million: Three-month CME term SOFR +
1.13%
-- Class A-2-R3, $56.00 million: Three-month CME term SOFR +
1.60%
-- Class B-R3 (deferrable), $24.00 million: Three-month CME term
SOFR + 1.95%
-- Class C-R3 (deferrable), $24.00 million: Three-month CME term
SOFR + 2.95%
-- Class D-R3 (deferrable), $13.60 million: Three-month CME term
SOFR + 6.50%
Previous debt
-- Class A-1-R2, $248.00 million: Three-month CME term SOFR +
1.65%
-- Class A-2-R2, $56.00 million: Three-month CME term SOFR +
2.30%
-- Class B-R2 (deferrable), $24.00 million: Three-month CME term
SOFR + 2.65%
-- Class C-R2 (deferrable), $24.00 million: Three-month CME term
SOFR + 4.25%
-- Class D-R2 (deferrable), $13.60 million: Three-month CME term
SOFR + 7.25%
-- Subordinated notes, $31.10 million: N/A
N/A--Not applicable.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each 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
Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC
Class A-1-R3, $248.00 million: AAA (sf)
Class A-2-R3, $56.00 million: AA (sf)
Class B-R3 (deferrable), $24.00 million: A (sf)
Class C-R3 (deferrable), $24.00 million: BBB- (sf)
Class D-R3 (deferrable), $13.60 million: BB- (sf)
Ratings Withdrawn
Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC
Class A-1-R2 to NR from 'AAA (sf)'
Class A-2-R2 to NR from 'AA (sf)'
Class B-R2 to NR from 'A (sf)'
Class C-R2 to NR from 'BBB- (sf)'
Class D-R2 to NR from 'BB- (sf)'
Ratings Affirmed
Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC
Class X: AAA (sf)
Class E-R2: B- (sf)
Other Debt
Palmer Square CLO 2020-3 Ltd./Palmer Square CLO 2020-3 LLC
Subordinated notes, $31.00 million: NR
NR--Not rated.
PALMER SQUARE 2025-5: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Palmer Square CLO 2025-5
Ltd./Palmer Square CLO 2025-5 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 Palmer Square Capital Management
LLC.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Ratings Assigned
Palmer Square CLO 2025-5 Ltd./Palmer Square CLO 2025-5 LLC
Class A, $320.00 million: AAA (sf)
Class B, $60.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1 (deferrable), $30.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $42.53 million: NR
NR--Not rated.
PMT LOAN 2025-INV11: Moody's Assigns B3 Rating to Cl. B-5 Certs
---------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 77 classes of
residential mortgage-backed securities (RMBS) to be issued by PMT
Loan Trust 2025-INV11, and sponsored by PennyMac Corp.
The securities are backed by a pool of GSE-eligible residential
mortgages originated and serviced by PennyMac Corp.
The complete rating actions are as follows:
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-36, Definitive Rating Assigned Aaa (sf)
Cl. A-36X*, Definitive Rating Assigned Aaa (sf)
Cl. A-37, Definitive Rating Assigned Aaa (sf)
Cl. A-37X*, Definitive Rating Assigned Aaa (sf)
Cl. A-38, Definitive Rating Assigned Aaa (sf)
Cl. A-38X*, Definitive Rating Assigned Aaa (sf)
Cl. A-39, Definitive Rating Assigned Aaa (sf)
Cl. A-39X*, Definitive Rating Assigned Aaa (sf)
Cl. A-40, Definitive Rating Assigned Aaa (sf)
Cl. A-40X*, 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-X4*, Definitive Rating Assigned Aaa (sf)
Cl. A-X5*, 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-X28*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X29*, Definitive Rating Assigned Aa1 (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. A-X34*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X35*, 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 Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
* Reflects Interest-Only Classes
Moody's are withdrawing the provisional ratings for the Class A-1A
Loans, assigned on November 04, 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
0.66%, in a baseline scenario-median is 0.37% and reaches 7.69% 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.
PPM CLO 6-R: Moody's Cuts Rating on $500,000 Cl. F-R Notes to Caa2
------------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by PPM CLO 6-R Ltd.:
US$500,000 Class F-R Junior Secured Deferrable Floating Rate Notes
due 2037, Downgraded to Caa2 (sf); previously on Dec 21, 2023
Assigned B3 (sf)
PPM CLO 6-R Ltd., originally issued in December 2022 and refinanced
in December 2023, 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 January 2029.
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 F-R notes reflects the
specific risks to the junior notes posed by par loss, credit
deterioration, and spread compression observed in the underlying
CLO portfolio. Based on Moody's calculations, the total collateral
par balance, including recoveries from defaulted securities, is
currently $389.6 million, or $10.4 million less than the $400
million initial par amount targeted during the deal's ramp-up.
Furthermore, the trustee-reported weighted average rating factor
(WARF) and weighted average spread (WAS) have been deteriorating
and the current levels are 2707 [1] and 3.27% [2], respectively,
compared to 2573 [3] and 3.55% [4], respectively, in October 2024,
and are currently failing the trigger levels of 2642 and 3.40%,
respectively.
No actions were taken on the Class X and Class A-1-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 "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: $388,389,973
Defaulted par: $2,976,053
Diversity Score: 80
Weighted Average Rating Factor (WARF): 2725
Weighted Average Spread (WAS): 3.29%
Weighted Average Recovery Rate (WARR): 45.34%
Weighted Average Life (WAL): 6.42 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 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.
PRPM 2025-NQM5: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates to be issued by PRPM 2025-NQM5 Trust
(PRPM 2025-NQM5).
Entity/Debt Rating Prior
----------- ------ -----
PRPM 2025-NQM5
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-1 LT AAAsf New Rating AAA(EXP)sf
A-1F LT AAAsf New Rating AAA(EXP)sf
A-1IO 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 BBB-sf New Rating BBB-(EXP)sf
B-1 LT BB-sf New Rating BB-(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
P LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The PRPM 2025-NQM5 mortgage-backed certificates are supported by
885 loans with a $425.2 million balance as of the cutoff date. This
will be the 10th PRPM nonqualified mortgage (NQM, or non-QM)
transaction rated by Fitch and the third PRPM NQM transaction
issued in 2025.
Home Equity Mortgage (d/b/a theLender) originated 26.9% of the
loans in the transaction, LoanStream Mortgage originated 22.6%,
Champions Funding, LLC originated 11.9%, and the remaining 38.6%
were originated by various third-party originators. Home Equity
Mortgage, LoanStream, and Champions are all assessed as
'Acceptable' originators by Fitch.
Fay Servicing, LLC will service 57.2% of the loans in the pool,
Shellpoint Mortgage Servicing LLC will service 35.7%, Selene
Finance LP will service 6.9%, and the remaining 0.3% will be
serviced by SN Servicing Corporation. Fitch rates Fay Servicing
'RSS2'/Negative, Shellpoint 'RPS2-'/Stable, Selene 'RPS2-'/Stable,
and SN 'RPS3'/Stable.
Following the publication of the presale and expected ratings,
Fitch received an updated pricing structure from the issuer. Fitch
re-ran its cash flow analysis and there were no changes to its
previous ratings.
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. PRPM 2025-NQM5 has a final probability of default (PD) of
54.2% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 45.3%. The expected loss in the
'AAAsf' rating stress is 24.5%.
Structural Analysis: The mortgage cash flow and loss allocation in
PRPM 2025-NQM5 are based on a modified sequential-payment
structure, whereby principal is distributed pro rata among the
class A notes while excluding subordinate bonds from principal
until classes A-1A, A-1B, A-1F, A-2 and A-3 are reduced to zero. To
the extent either a cumulative loss trigger event or a delinquency
trigger event occurs in a given period, principal will be
distributed sequentially to classes A-1A, A-1B, A-1F, A-2 and A-3
until they are reduced to zero.
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 in the form of subordination and excess
spread 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. 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 as described
in its "Global Structured Finance Rating Criteria." Relevant
parties are those whose failure to perform could have a material
impact on transaction performance. In addition, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. PRPM 2025-NQM5 is fully de-linked and
serves as 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 PRPM 2025-NQM5. 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
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 37.5%, at 'AAA'. The analysis indicates there is
some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
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 classes 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 environments and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. They should not be used as indicators 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, Canopy, Clarifii, Clayton, Covius,
Consolidated Analytics, Evolve, Incenter, Maxwell, Stonehill, and
Selene. 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 applied 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.
RCKT MORTGAGE 2025-CES11: Fitch Assigns B(EXP) Rating on 5 Tranches
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES11
(RCKT 2025-CES11).
Entity/Debt Rating
----------- ------
RCKT 2025-CES11
A-1 LT AAA(EXP)sf Expected Rating
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
A-4 LT AA(EXP)sf Expected Rating
A-5 LT A(EXP)sf Expected Rating
A-6 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-1A LT BB(EXP)sf Expected Rating
B-1B LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-2A LT B(EXP)sf Expected Rating
B-2B LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
B-X-1A LT BB(EXP)sf Expected Rating
B-X-1B LT BB(EXP)sf Expected Rating
B-X-2A LT B(EXP)sf Expected Rating
B-X-2B LT B(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
Transaction Summary
The notes are supported by 5,669 closed-end second lien (CES) loans
with a total balance of approximately $524 million as of the cutoff
date. The pool consists of CES mortgages acquired by Woodward
Capital Management LLC from Rocket Mortgage, LLC. Distributions of
principal and interest (P&I) and loss allocations are based on a
traditional senior-subordinate, sequential structure in which
excess cash flow can be used to repay losses or net weighted
average coupon (WAC) shortfalls.
KEY RATING DRIVERS
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-CES11 has a final probability of default (PD) of
19.1% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 95.7%. The expected loss in the
'AAAsf' rating stress is 18.8%.
Structural Analysis: The mortgage cash flow and loss allocation in
RCKT 2025-CES11 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 were 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
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 25.3% of the loans in the transaction by loan count.
Fitch applies a 5-bp 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. In addition, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects RCKT 2025-CES11 to be fully
de-linked and a bankruptcy-remote special-purpose vehicle. All
transaction parties and triggers align with Fitch's expectations.
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 37.8% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. 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.
ROCKFORD TOWER 2018-2: Moody's Affirms B1 Rating on $27.5MM E Notes
-------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Rockford Tower CLO 2018-2, Ltd.:
US$25M Class C Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Aaa (sf); previously on Jul 8, 2025 Upgraded to Aa1
(sf)
US$32.5M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Baa1 (sf); previously on Jul 8, 2025 Affirmed Baa3
(sf)
Moody's have also affirmed the ratings on the following notes:
US$320M (Current outstanding balance US$90,350,000) Class A Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul
8, 2025 Affirmed Aaa (sf)
US$55M Class B Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Jul 8, 2025 Upgraded to Aaa (sf)
US$27.5M Class E Junior Secured Deferrable Floating Rate Notes,
Affirmed B1 (sf); previously on Jul 8, 2025 Downgraded to B1 (sf)
Rockford Tower CLO 2018-2, Ltd., issued in September 2018, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured US loans. The portfolio is managed
by Rockford Tower Capital Management, L.L.C. The transaction's
reinvestment period ended in October 2023.
RATINGS RATIONALE
The upgrades on the ratings on the Class C and Class D notes are
primarily a result of the deleveraging of the senior notes
following amortisation of the underlying portfolio since the last
rating action July 2025.
The affirmations on the ratings on the Class A, Class B and Class E
notes are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A notes have paid down by approximately USD 90.4 million
(22.8%) since the last rating action in July 2025 and USD 165.7
million (64.7%) 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 153.18%, 134.94%, 116.86% and 104.96% compared to June 2025[2]
levels of 148.54%, 132.31%, 115.86% and 104.82, 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: USD246.9m
Defaulted Securities: USD4.1m
Diversity Score: 55
Weighted Average Rating Factor (WARF): 3105
Weighted Average Life (WAL): 3.16 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.21%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.51%
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 Moody's are 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.
RR 42: Fitch Assigns 'BB-(EXP)sf' Rating on Class D-R Notes
-----------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
RR 42 LTD reset transaction.
Entity/Debt Rating
----------- ------
RR 42 LTD
A-1a-R LT NR(EXP)sf Expected Rating
A-1b-R LT AAA(EXP)sf Expected Rating
A-2-R LT AA(EXP)sf Expected Rating
B-R LT A(EXP)sf Expected Rating
C-1a-R LT BBB(EXP)sf Expected Rating
C-1b-R LT BBB-(EXP)sf Expected Rating
C-2-R LT BBB-(EXP)sf Expected Rating
D-R LT BB-(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
Transaction Summary
RR 42 LTD (the issuer) is an arbitrage cash flow collateralized
loan obligation (CLO) that will be managed by Redding Ridge Asset
Management LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
Fitch weighted average rating factor (WARF) of the indicative
portfolio is 23.48, 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 96.5%
first-lien senior secured loans. The Fitch weighted average
recovery rate (WARR) of the indicative portfolio is 74.72% 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 4.9-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1b-R, between
'BB+sf' and 'A+sf' for class A-2-R, between 'Bsf' and 'BBB+sf' for
class B-R, between less than 'B-sf' and 'BB+sf' for class C-1a-R,
between less than 'B-sf' and 'BB+sf' for class C-1b-R, and between
less than 'B-sf' and 'BB+sf' for class C-2-R and between less than
'B-sf' and 'B+sf' for class D-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1b-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 A-2-R, 'AAsf' for class B-R, 'A+sf'
for class C-1a-R, 'Asf' for class C-1b-R, and 'A-sf' for class
C-2-R and 'BBB+sf' for class D-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 RR 42 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.
SANTANDER MORTGAGE 2025-NQM6: S&P Assigns 'B' Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its 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, 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's 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
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 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.
SEQUOIA MORTGAGE 2025-S2: Fitch Rates Class B5 Certificates 'Bsf'
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2025-S2 (SEMT 2025-S2).
Entity/Debt Rating Prior
----------- ------ -----
SEMT 2025-S2
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
ACH4 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
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 BBBsf New Rating BBB(EXP)sf
B4 LT BBsf New Rating BB(EXP)sf
B5 LT Bsf 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 671 loans with a total balance of
approximately $549.7 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 740, and 36.9% debt-to-income (DTI) ratio. The borrowers
also have moderate leverage, with a 71.2% mark-to-market combined
LTV (cLTV). Overall, 85.7% 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.
Since the publication of the presale and expected ratings, the
issuer provided an updated tape that consisted of updated balances
and five loan drops, as well as a corresponding updated pricing
structure that included two additional classes: A-CH4 and A-IO27,
both rated 'AAAsf'/Outlook Stable. Fitch re-ran its asset and cash
flow analysis and there were no changes to its previous expected
ratings.
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
15.18% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 32.42%. The expected loss in the
'AAAsf' rating stress is 4.92%.
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. The credit enhancement
for all ratings was 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 37.0% 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, 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.
SOUND POINT XXI: Moody's Affirms B1 Rating on $22.5MM Cl. D Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Sound Point CLO XXI, Ltd.:
US$30M Class B Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Aa3 (sf); previously on Aug 4, 2025 Upgraded to A1
(sf)
Moody's have also affirmed the ratings on the following notes:
US$315M (Current outstanding amount US$119,418,948) Class A-1A-R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Aug 4, 2025 Affirmed Aaa (sf)
US$55M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Aug 4, 2025 Upgraded to Aaa (sf)
US$27.5M Class C Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Baa3 (sf); previously on Aug 4, 2025 Affirmed Baa3 (sf)
US$22.5M Class D Junior Secured Deferrable Floating Rate Notes,
Affirmed B1 (sf); previously on Aug 4, 2025 Affirmed B1 (sf)
Sound Point CLO XXI, Ltd., issued in October 2018 and refinanced in
May 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 Sound Point Capital
Management, LP. The transaction's reinvestment period ended in
October 2023.
RATINGS RATIONALE
The rating upgrades on the Class B notes are primarily a result of
the deleveraging of the senior notes following amortisation of the
underlying portfolio since the last rating action in August 2025.
The affirmations on the ratings on the Class A-1A-R, Class A-2,
Class C and Class D 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-1A-R notes have paid down by approximately USD55.3
million (17.6%) since the last rating action in August 2025 and
USD195.6 million (62.1%) 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, Class B,
Class C and Class D OC ratios are reported at 132.8%, 118%, 107.1%
and 99.6% compared to July 2025[2] levels of 132%, 118.1%, 107.7%
and 100.4%, 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: USD275.7m
Defaulted Securities: USD4.2m
Diversity Score: 61
Weighted Average Rating Factor (WARF): 3457
Weighted Average Life (WAL): 3.0 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.54%
Weighted Average Recovery Rate (WARR): 46.26%
Par haircut in OC tests and interest diversion test: 4.64%
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.
SUNNOVA HELIOS X: Fitch Lowers Rating on Cl. C Notes to BBsf
------------------------------------------------------------
Fitch Ratings has reviewed ratings for Sunnova Helios and Sunnova
Hestia transactions following the transition of servicing from
Sunnova ABS Management (SunnovaABSM) to Sunstrong Management
(SunStrong), which was fully completed on Nov. 3, 2025. Fitch
generally views the servicing transition as positive for the credit
profile of the transactions.
Fitch has not observed any material deterioration in overall asset
performance beyond trends already unfolding after Sunnova Energy
International Inc. (Sunnova)'s filing for Chapter 11 bankruptcy on
June 8, 2025. At this time, it is too early to identify any
improvements in asset performance following the appointment of the
new servicer; consequently, Fitch has maintained all lifetime
base-case default assumptions disclosed in its previous review of
these platforms unchanged (see "Fitch Takes Various Rating Actions
on Sunnova Helios Solar ABS Transactions"). However, asset
performance has been weak across several transactions, resulting in
downgrade of tranches where Fitch does not consider CE commensurate
with the previously assigned ratings. This also reflects the
additional volatility in asset performance that could stem from the
dismissal of Sunnova's production guarantee as described in this
Rating Action Commentary.
Fitch has affirmed the ratings for the Class A and B tranches of
Sunnova Helios 2022-C X and all tranches of Sunnova Helios 2022-B
IX (Sunnova IX), Sunnova Helios 2023-A XI (Sunnova XI), Sunnova
Helios 2023-B XII (Sunnova XII) and Sunnova Helios 2024-A XIII
(Sunnova XIII). Fitch has also affirmed the Class 1-A notes for
Sunnova Hestia I (series 2023-GRID1) and Sunnova Hestia II (series
2024-GRID1). The Rating Outlooks remain Stable for all the affirmed
tranches.
The affirmations reflect: (i) CE levels commensurate with the
assigned ratings; (ii) no material deterioration in overall asset
performance having been observed across Sunnova deals after
Sunnova's bankruptcy in June 2025; (iii) Fitch's view that the
servicer transition to SunStrong has completed successfully without
any disruption in transaction or asset performance.
Additionally, Fitch has resolved the Rating Watch Negative (RWN) on
Class A, B, and C notes for Sunnova Helios 2024-B XIV (Sunnova XIV)
and downgraded these notes. The downgrade reflects continued
deteriorating asset performance and the credit enhancement (CE) of
each tranche being commensurate with the rating level now assigned,
following the revision to the rating case default multiple
assumptions as a consequence of the servicing transition. The
Rating Outlook is Stable for Class A and B and Negative for Class
C, reflecting the exposure of the more junior tranche to additional
asset performance volatility.
Fitch has also resolved the RWN on the Class C notes of Sunnova
Helios 2022-C X (Sunnova X). The drivers of the downgrade are
aligned to what described above for Sunnova XIV. The Rating Outlook
is Negative for Class C, reflecting the exposure of the more junior
tranche to additional asset performance volatility.
The downgrades on these tranches reflect the continued
deterioration in asset performance compared with available levels
of credit enhancement.
Entity/Debt Rating Prior
----------- ------ -----
Sunnova Helios IX
Issuer, LLC
Class A Notes 86744VAA9 LT Asf Affirmed Asf
Class B Notes 86744VAB7 LT BBB-sf Affirmed BBB-sf
Sunnova Helios X
Issuer, LLC
A 86744WAA7 LT AA-sf Affirmed AA-sf
B 86744WAB5 LT Asf Affirmed Asf
C 86744WAC3 LT BBsf Downgrade BBB-sf
Sunnova Helios XI
Issuer, LLC
A 86746AAA3 LT AA-sf Affirmed AA-sf
B 86746AAB1 LT A-sf Affirmed A-sf
C 86746AAC9 LT BBBsf Affirmed BBBsf
Sunnova Helios XII
Issuer, LLC
A 86745YAA2 LT AA-sf Affirmed AA-sf
B 86745YAB0 LT A-sf Affirmed A-sf
C 86745YAC8 LT BBBsf Affirmed BBBsf
Sunnova Helios XIII
Issuer, LLC
A 86745CAA0 LT AA-sf Affirmed AA-sf
B 86745CAB8 LT A-sf Affirmed A-sf
C 86745CAC6 LT BBBsf Affirmed BBBsf
Sunnova Helios XIV
Issuer, LLC
A 866974AA6 LT Asf Downgrade AA-sf
B 866974AB4 LT BBBsf Downgrade A-sf
C 866974AC2 LT BBsf Downgrade BBBsf
Sunnova Hestia I
Issuer, LLC
Series 2023-GRID1
Class 1-A 86746BAA1 LT AA+sf Affirmed AA+sf
Sunnova Hestia II Issuer,
LLC, Series 2024-GRID1
1-A 86746FAA2 LT AA+sf Affirmed AA+sf
Transaction Summary
The Sunnova Helios transactions are securitizations of consumer
loans originated by Sunnova Energy International Inc. (Sunnova) and
backed by photovoltaic (PV) systems and/or batteries to store the
energy produced.
On June 8, 2025, Sunnova filed for relief under Chapter 11 of the
U.S. Bankruptcy Code. On June 10, 2025, Fitch downgraded Sunnova
and Sunnova Energy Corporation's Long-Term Issuer Default Ratings
(IDRs) to 'D' from 'RD'. For further details, see "Fitch Downgrades
Sunnova's IDR to 'D' on Bankruptcy Filing," dated June 10, 2025.
Fitch subsequently withdrawn ratings on Sunnova and Sunnova Energy
Corporation (see "Fitch Withdraws Sunnova and SEC's Ratings After
Bankruptcy Filing," dated August 22, 2025).
Sunnova ABS Management (SunnovaABSM), a wholly owned subsidiary of
Sunnova, was not directly involved in the Chapter 11 bankruptcy,
and continued to act as the appointed servicer and manager for all
Sunnova ABS throughout the bankruptcy. Chapter 11 filings included
an automatic stay on all contracts involving the companies,
preventing the trustee from enforcing any remedial provision under
the transaction documents upon a bankruptcy of the servicer,
including servicer termination events.
Under Sunstrong, servicing practices related to the solar loans
remain unchanged at the time of the transition compared with prior
Sunnova practices, according to the new servicer. Substantially all
the staffing previously servicing the Sunnova portfolio was
transferred to the new servicer. Additionally, Fitch has not
observed material shifts in performance on Fitch-rated Sunnova
solar loan ABS transactions since Sunnova filed for Chapter 11
bankruptcy, or post servicing transition, beyond an increase of
early-stage delinquencies (31-60 days past due accounted for 1% of
the asset pools across all deals on average as of April 2025 vs
1.18% in October 2025).
Additionally, Fitch believes that the removal of the production
guarantee, which has not been carried over to the new servicer and
has historically been offered under Sunnova transactions, may
result in additional asset performance volatility during the life
of the transactions. Consequently, Fitch has increased the highest
rating default multiples by 0.20x for the Sunnova Helios
transactions (IX, X, XI, XII, XIII, and XIV), and the increase has
been interpolated down the rating scale (up to 0.07x at
'Bsf').SunStrong is jointly owned by HASI and GoodFinch Management,
LLC, mirroring the ownership structure of its sister company
SunStrong Capital Holdings. SunStrong is an independently
capitalized residential solar asset manager responsible for billing
and collections, operations and maintenance, and fund
administration across its 114,000-system portfolio. SSM combines
in-house remote diagnostics with a network of installer partners
for operations and maintenance, while partnering with Launch for
billing and collection execution.
KEY RATING DRIVERS
Completed Servicing and O&M Manager Transition: On Sept. 3, 2025,
through Sunnova's court-supervised chapter 11 sale process, Solaris
Assets, LLC, through affiliates and subsidiaries, acquired
substantially all of Sunnova's assets and operations. As part of
the sale transaction, SunStrong Management (SunStrong), a
full-service asset manager for the renewables industry, has assumed
responsibility for the servicing of the accounts for substantially
all in-service customer systems, to ensure continuity of operations
and support for customers.
SunStrong is jointly owned by HASI and GoodFinch Management, LLC,
mirroring the ownership structure of its sister company SunStrong
Capital Holdings. SunStrong is an independently capitalized
residential solar asset manager responsible for billing and
collections, operations and maintenance, and fund administration
across its 114,000-system portfolio. SSM combines in-house remote
diagnostics with a network of installer partners for operations and
maintainence (O&M), while partnering with Launch Servicing, LLC for
billing and collection execution.
Servicing Costs Remain within Fitch's Assumed Levels: Compensation
for the new servicer and expenses allowed by the transaction
documents have remained the same following the servicing
transition, under the amended transaction documents. However, Fitch
has modeled, since inception of all transactions, base-case
servicing fees of 0.70% of the performing collateral per year,
subject to a floor to all fees of $300,000 per annum. At the
'AA-sf' rating level, for all transactions, assumed stressed
servicing fees were 0.90% annually. Both base-case and 'AA-' level
assumed fees are estimated to remain higher than new servicing
costs. Per Fitch's criteria, Fitch's assumption of servicing fees
higher than those contractually provided is meant to address
increases in costs that may follow servicing transitions, as is the
case for the Sunnova platform.
Loan-Level Production Guaranty Dismissed: Fitch views the removal
of the loan-level production guarantee—previously provided by
Sunnova Energy and now discontinued by Solaris Assets following
Sunnova's bankruptcy—as a factor that could introduce short-term
disruptions and elevate risk in the affected Sunnova Helios
transactions (IX, X, XI, XII, XIII, and XIV). To address this
heightened risk, Fitch has increased the highest rating default
multiples by 0.20x, with proportional adjustments made across all
rating categories.
Back-Up Servicing Arrangements Remain in Place: Wilmington Trust NA
(WTNA) has been appointed since closing for all transactions and
continues to act following the servicer transfer as transition
manager for all Sunnova Helios and Sunnova Hestia transactions.
Under the transaction documents, WTNA must find a replacement
servicer and manager within 60 calendar days from a servicer or
manager termination.
Asset Performance Remains Within Prior Trend during Servicing
Transition: Sunnova Helios XIV has exhibited significantly higher
cumulative default rates (CDRs) compared to other Sunnova
transactions, with credit enhancement (CE) levels declining across
all notes since closing. Similarly, the Class C notes of Sunnova
Helios X have experienced reduced CE since closing and since its
last review, compounded by lower prepayment rates in the
post-re-amortization period. This added stress on the tranche
contributed to its decision to downgrade these notes.
Since Sunnova's bankruptcy in June 2025, no material deterioration
in overall asset performance has been observed across the other
Sunnova deals. Although there has been a slight uptick in
early-stage delinquencies (31-60 and 61-90 days), CDRs have
remained relatively rangebound and CE levels across the notes have
not worsened. Fitch will continue to closely monitor delinquency
trends and assess the impact of the servicing transition on
transaction performance going forward.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Material changes in policy support;
- The economics of purchasing and financing PV panels and
batteries, and/or ground-breaking technological advances that make
the existing equipment obsolete may also negatively affect the
ratings;
- Peaks in faulty equipment that result in the need for replacing
inverters and batteries at a faster pace than the monthly deposits
to the equipment reserve may also affect the ratings;
- Longer or more severe-than-expected asset performance
deterioration.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Fitch currently caps solar loan securitization ratings in the
'AAsf' category due to limited performance history. Nevertheless, a
positive rating action could result from an increase of credit
enhancement (CE) due to deleveraging, underpinned by strong
transaction performance.
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 Sunnova Helios IX
Issuer, LLC,Sunnova Helios X Issuer, LLC,Sunnova Helios XI Issuer,
LLC,Sunnova Helios XII Issuer, LLC,Sunnova Helios XIII Issuer,
LLC,Sunnova Helios XIV Issuer, LLC,Sunnova Hestia I Issuer,
LLC,Sunnova Hestia II Issuer, LLC, Series 2024-GRID1.
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.
SYMPHONY CLO XXIII: Fitch Affirms 'BB-sf' Rating on Cl. E-R2 Notes
------------------------------------------------------------------
Fitch Ratings upgraded the Class B-R2 notes and affirmed the Class
A-R2, C-R2, D-1R2, D-2R2, and E-R2 notes of Symphony CLO XXIII,
Ltd. (Symphony XXIII). Fitch assigned a Positive Outlook to the
Class B-R2 notes and revised the Outlooks on the Class C-R2 and
D-1R2 notes to Positive from Stable. The Outlooks on the other
rated notes remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
Symphony CLO XXIII,
Ltd. - Refi.
A-R2 87167NDL6 LT AAAsf Affirmed AAAsf
B-R2 87167NDN2 LT AA+sf Upgrade AAsf
C-R2 87167NDQ5 LT Asf Affirmed Asf
D-1R2 87167NDS1 LT BBBsf Affirmed BBBsf
D-2R2 87167NDU6 LT BBB-sf Affirmed BBB-sf
E-R2 87167PAG5 LT BB-sf Affirmed BB-sf
Transaction Summary
Symphony XXIII is a broadly syndicated (BSL) collateralized loan
obligation (CLO) managed by Symphony Alternative Asset Management
LLC. The transaction was refinanced in February 2025 after it
exited its reinvestment period in November 2023. The CLO is secured
primarily by first-lien, senior secured leveraged loans.
KEY RATING DRIVERS
Note Amortization Improves Model Implied Ratings
The upgrade to the Class B-R2 notes is driven by the note
amortization of the Class A-R2 notes, which resulted in an
increased credit enhancement (CE) level and break-even default rate
cushion against its relevant rating stress default level. As of
October 2025 reporting, approximately 34% of the Class A-R2 notes
have amortized since the refinancing.
The Positive Outlooks on the Class B-R2, C-R2, and D-1R2 notes are
due to the expectation of further improvement in CE levels from
future note amortization which outweighs increasing portfolio
concentration and potential decline in the credit quality of the
pool.
Fitch conducted an updated cash flow analysis based on a stressed
portfolio that assumed a one-notch downgrade on the Fitch Issuer
Default Rating (IDR) Equivalency Rating for assets with a Negative
Outlook; the weighted average life of the portfolio was extended to
four years.
The rating action for the Class A-R2 notes is in line with its
model implied rating (MIR), as defined in Fitch's "CLOs and
Corporate CDOs Rating Criteria." The Class B-R2, C-R2, and D-1R2
notes' MIRs vary one notch higher than their current ratings and
the class D-2R2 and E-R2 notes' MIRs vary two notches higher, given
the modest cushions at their respective MIRs and continued spread
compression.
Asset Credit Quality and Portfolio Management
The Fitch Weighted Average Rating Factor (WARF) has remained stable
at 27.1 ('B'/'B-' rating level); however since the refinancing, the
portfolio has experienced par losses of 1.5%, driven by trading
losses and defaults. The number of total obligors has decreased to
203 from 253, increasing the concentration of the largest 10
obligors to 11.4% of the portfolio from 10.4% at the refinancing.
Exposure to issuers with a Negative Outlook increased to 11.9% from
7.0%. The underlying weighted average spread decreased to 3.3% from
3.6%.
The transaction has been reinvesting a portion of unscheduled
principal payments and credit risk sales post-reinvestment period.
The amount of reinvestment is expected to moderate, given the
continual step down of the weighted average life (WAL) threshold,
which as of the October 2025 reporting has caused the WAL test to
fail.
The Stable Outlooks on the Class A-R2, D-2R2, and E-R2 notes
reflect Fitch's expectation that the notes have sufficient level of
credit protection to withstand potential deterioration in portfolio
credit quality in stress scenarios commensurate with each class's
rating.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades may occur if realized and projected losses of the
portfolio exceed those assumed at closing and the notes' credit
enhancement is insufficient to compensate for the higher loss
expectation.
- A 25% increase in the mean default rate across all ratings,
combined with a 25% decrease in the recovery rate across all rating
levels for the current portfolio, would lead to downgrades of up to
two notches, based on MIRs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades may occur in the event of better-than-expected portfolio
credit quality and transaction performance.
- Except for the 'AAAsf' rated notes, which are at the highest
level on Fitch's scale and cannot be upgraded, a 25% reduction of
the mean default rate across all ratings, along with a 25% increase
of the recovery rate at all rating levels for the current
portfolio, would lead to upgrades of up to five notches, based on
the MIRs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the
information it has received regarding 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, considering the assumptions above, Fitch's assessment of
the information relied on for its rating analysis according to its
applicable rating methodologies, indicates that the information is
adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Symphony CLO XXIII,
Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
TOWD POINT 2024-2: Fitch Hikes Rating on Class B2 Notes to 'Bsf'
----------------------------------------------------------------
Fitch Ratings has taken various rating actions on 98 classes from
15 U.S. RMBS 2.0 transactions from various sectors issued in the
4Q24. 68 of these classes previously placed 'Under Criteria
Observation' (UCO) are being removed from UCO after their review.
This is the first surveillance review for these deals since
issuance.
Entity/Debt Rating Prior
----------- ------ -----
JPMMT 2024-NQM1
A1 465983AA2 LT AAAsf Affirmed AAAsf
A1A 465983AM6 LT AAAsf Affirmed AAAsf
A1B 465983AN4 LT AAAsf Affirmed AAAsf
A2 465983AB0 LT AAsf Upgrade AA-sf
A3 465983AC8 LT Asf Upgrade A-sf
M1A 465983AD6 LT BBBsf Upgrade BBB-sf
MSRM 2024-NQM5
A-1 61777QAA3 LT AAAsf Affirmed AAAsf
A-1-A 61777QAB1 LT AAAsf Affirmed AAAsf
A-1-B 61777QAC9 LT AAAsf Affirmed AAAsf
A-2 61777QAD7 LT AAsf Upgrade AA-sf
A-3 61777QAE5 LT Asf Upgrade A-sf
M-1 61777QAF2 LT BBBsf Upgrade BBB-sf
NRMLT 2024-NQM3
A-1 647910AC2 LT AAAsf Affirmed AAAsf
A-1A 647910AA6 LT AAAsf Affirmed AAAsf
A-1B 647910AB4 LT AAAsf Affirmed AAAsf
A-2 647910AD0 LT AAsf Upgrade AA-sf
A-3 647910AE8 LT Asf Upgrade A-sf
B-1 647910AG3 LT BBBsf Upgrade BB-sf
B-2 647910AH1 LT BBsf Upgrade B-sf
M-1 647910AF5 LT BBBsf Upgrade BBB-sf
CMLTI 2024-RP4
A-1 17332EAA0 LT AAAsf Affirmed AAAsf
A-2 17332EAB8 LT AA+sf Upgrade AAsf
A-3 17332EAC6 LT AA+sf Upgrade AAsf
A-4 17332EAD4 LT AAsf Upgrade Asf
A-5 17332EAE2 LT Asf Upgrade BBBsf
B-1 17332EAH5 LT BBBsf Upgrade BBsf
B-2 17332EAJ1 LT BBsf Upgrade Bsf
M-1 17332EAF9 LT AAsf Upgrade Asf
M-2 17332EAG7 LT Asf Upgrade BBBsf
CROSS 2024-H8
A-1 22757GAC7 LT AAAsf Affirmed AAAsf
A-1A 22757GAA1 LT AAAsf Affirmed AAAsf
A-1B 22757GAB9 LT AAAsf Affirmed AAAsf
A-2 22757GAD5 LT AAsf Affirmed AAsf
A-3 22757GAE3 LT Asf Affirmed Asf
M-1 22757GAF0 LT BBBsf Upgrade BBB-sf
MFA 2024-NQM3
A1 55287GAA0 LT AAAsf Affirmed AAAsf
A2 55287GAB8 LT AA+sf Upgrade AAsf
A3 55287GAC6 LT AAsf Upgrade Asf
B1 55287GAE2 LT BBBsf Upgrade BB-sf
B2 55287GAF9 LT BBsf Upgrade B-sf
M1 55287GAD4 LT Asf Upgrade BBB-sf
Towd Point Mortgage
Trust 2024-2
A1 89183AAA7 LT AAAsf Affirmed AAAsf
A1A 89183AAP4 LT AAAsf Affirmed AAAsf
A1B 89183AAQ2 LT AAAsf Affirmed AAAsf
A2 89183AAB5 LT AA-sf Affirmed AA-sf
B1 89183AAE9 LT BB-sf Affirmed BB-sf
B2 89183AAF6 LT Bsf Upgrade B-sf
M1 89183AAC3 LT A-sf Affirmed A-sf
M2 89183AAD1 LT BBB-sf Affirmed BBB-sf
EFMT 2024-CES1
A1 281907AA3 LT AAAsf Affirmed AAAsf
A2 281907AB1 LT AAsf Affirmed AAsf
A3 281907AC9 LT Asf Affirmed Asf
B1 281907AE5 LT BBsf Affirmed BBsf
B2 281907AF2 LT Bsf Affirmed Bsf
M1 281907AD7 LT BBBsf Affirmed BBBsf
PRPM 2024-NQM4
A1 69381UAA5 LT AAAsf Affirmed AAAsf
A2 69381UAB3 LT AA+sf Upgrade AAsf
A3 69381UAC1 LT AAsf Upgrade Asf
M1A 69381UAD9 LT Asf Upgrade BBBsf
COLT 2024-7
A1 19688YAA2 LT AAAsf Affirmed AAAsf
A2 19688YAB0 LT AAsf Affirmed AAsf
A3 19688YAC8 LT Asf Affirmed Asf
B1 19688YAE4 LT BBsf Affirmed BBsf
B2 19688YAF1 LT BBsf Upgrade Bsf
M1 19688YAD6 LT BBBsf Affirmed BBBsf
AOMT 2024-12
A-1 034932AA1 LT AAAsf Affirmed AAAsf
A-2 034932AB9 LT AA+sf Upgrade AAsf
A-3 034932AC7 LT AAsf Upgrade Asf
M-1A 034932AD5 LT Asf Upgrade BBB-sf
BRAVO 2024-NQM8
A-1 10571DAA7 LT AAAsf Affirmed AAAsf
A-1A 10571DAB5 LT AAAsf Affirmed AAAsf
A-1B 10571DAC3 LT AAAsf Affirmed AAAsf
A-2 10571DAD1 LT AA+sf Upgrade AAsf
A-3 10571DAE9 LT AAsf Upgrade Asf
B-1 10571DAG4 LT BBBsf Upgrade BBsf
B-2 10571DAH2 LT BBsf Upgrade Bsf
M-1 10571DAF6 LT Asf Upgrade BBBsf
AOMT 2024-13
A-1 03466PAA3 LT AAAsf Affirmed AAAsf
A-1A 03466PAJ4 LT AAAsf Affirmed AAAsf
A-1B 03466PAK1 LT AAAsf Affirmed AAAsf
A-2 03466PAB1 LT AA+sf Upgrade AAsf
A-3 03466PAC9 LT AAsf Upgrade Asf
M-1A 03466PAD7 LT Asf Upgrade BBB-sf
BARC 2024-NQM4
A-1 06745KAA0 LT AAAsf Affirmed AAAsf
A-2 06745KAB8 LT AA+sf Upgrade AAsf
A-3 06745KAC6 LT AAsf Upgrade Asf
B-1 06745KAE2 LT BBBsf Upgrade BBsf
B-2 06745KAF9 LT BBsf Upgrade Bsf
M-1 06745KAD4 LT Asf Upgrade BBBsf
GSMBS 2024-RPL7
A-1 36273CAA5 LT AAAsf Affirmed AAAsf
A-2 36273CAB3 LT AA+sf Upgrade AAsf
A-3 36273CAC1 LT AA+sf Upgrade AAsf
A-4 36273CAD9 LT AA+sf Upgrade Asf
A-5 36273CAE7 LT AAsf Upgrade BBBsf
B-1 36273CAJ6 LT Asf Upgrade BBsf
B-2 36273CAK3 LT BBBsf Upgrade Bsf
M-1 36273CAF4 LT AA+sf Upgrade Asf
M-2 36273CAG2 LT AAsf Upgrade BBBsf
Transaction Summary
Rating Action Summary:
- 54 classes upgraded;
- 44 classes affirmed;
All classes have a Stable Outlook.
Please view specific pool details and class ratings in the U.S.
RMBS Loss Metrics report.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets (Positive)
Of the 15 transactions in this review, one is a Closed-End Second
(CES) deal, three are Re-Performing Loan (RPL), and 11 are
Non-Prime. These 15 transactions were all issued in 4Q24 and are
seasoned less than 12 months. Across these 15 deals, expected
losses in the 'AAA' rating case fell 4.4% since last year. This
decline in expected losses is principally attributed to Fitch's new
RMBS Criteria and model framework published in October 2025.
The new model uses an updated regression that has adjusted the
weights on Fitch's probability of default (PD) variables.
Additionally, the loss severity framework now also includes cure
and modification outcomes alongside liquidations.
The new criteria largely benefit NQM/Non-Prime 2.0 transactions, as
Fitch has altered penalties on non-full documentation and debt
service coverage ratio (DSCR) loans. The average expected loss in
the 'AAA' rating case declined 4.5% for Non-Prime 2.0 transactions.
The 'AAA' rating case expected losses fell 6.0% for the RPL
transactions, on average. The 'AAA' expected losses for EFMT
2024-CES1, the sole CES deal in the review, increased slightly by
1.3% since last year.
Lower expected losses, as a result of the new criteria, were the
largest rating driver for upgrades. GSMB 2024-RPL7 had several
multiple notch upgrades due to lower probability of defaults and
loss severities across all rating cases. In the new model, loans
with low combined loan-to-value (CLTV) ratios receive more credit
in the loss severity framework, as a lower LTV increases a
potentials loan's cure and modification rate. In addition, Fitch
lowered the minimum liquidation loss severity to 20% from 35%.
Upgrades in Non-Prime pools were also the result of lower expected
losses, but on the PD side. Alternative loan documentation and DSCR
loans receive less of a PD penalty in the new framework compared to
the old model as the regression.
Despite the dramatic decrease in expected losses for most
transactions, delinquencies have increased since issuance, though
within the bounds of its loss modeling. The 30+ DQ% for Non-Prime
2.0 deals increased by 3.0%. Average 30+ day delinquencies in RPL
transactions increased by 4.2% since last year and now average
8.8%. EFMT 2024-CES1 has seen a minor decline in performance with
30+ day delinquencies increasing by 30bps. The current delinquency
levels for these transactions are in line with or below their
respective sector averages.
Structural Analysis (Neutral)
As these transactions are relatively newer issuance, their classes'
credit has not significantly benefitted from principal amortization
or prepayments. The average three-month conditional prepayment rate
(CPR) for Non-Prime and CES deals is 15.9% and 15.6%, respectively,
while RPL transactions have a lower average of 8.7%, likely the
result of burnout in those seasoned pools.
Generally, upgrades were driven by the lower expected losses
related to changes in Fitch's collateral analysis. However,
moderate increases in credit enhancement over the last year have
contributed to positive rating pressure. Credit enhancement for
Non-Prime classes is up 89bps, on average, over the last year. For
CES and RPL deals, CE is up 89 bps and 44 bps, respectively.
Fitch tests each transaction's capital structure to confirm that
credit enhancement is sufficient to cover losses and deliver timely
interest under rating-specific cash flow stresses across six
default and prepayment scenarios, varying prepayments, defaults,
interest rates, servicing fees, and servicer advances.
Operational Risk Analysis (Mixed)
Fitch felt the operational risk were controlled for in all
transactions. 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. However, the only
consideration that has a direct impact on Fitch's loss expectations
is due diligence. 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 Risk and Credit Linkages (Negative)
All relevant transaction parties conform with the requirements
described in its Global Structured Finance Rating Criteria.
Additionally, all legal requirements are satisfied to fully de-link
the transaction from any other entities.
Rating Cap Analysis (Positive)
Upgrades benefit from two changes in Fitch's new RMBS Criteria. The
first was the removal of the two-category upgrade tolerance.
Classes are now rated at the highest stress they pass. The second
was the removal of the months-to-pay-off (MTPO) upgrade cap, so
projected time to pay off no longer limits upgrade potential. As a
result, upgrades are broader and larger, and ratings are more
directly reflective of modeled performance at each stress. The
removal of these upgrade constraints was the largest driver of
upgrades in this rating action.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative stress 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 decline at the base case.
This analysis indicates some potential rating migration with higher
MVDs compared with the model projection.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth with no
assumed overvaluation. The analysis assumes positive home price
growth of 10.0%. Excluding the senior classes already rated 'AAAsf'
as well as classes that are constrained due to qualitative rating
caps, the analysis indicates there is potential positive rating
migration for all of the other rated classes.
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. For enhanced disclosure of Fitch's
stresses and sensitivities, please refer to U.S. RMBS Loss
Metrics.
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.
TRESTLES CLO IV: Fitch Assigns 'B-sf' Rating on Class F Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Trestles CLO IV, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Trestles CLO IV,
Ltd.
X LT AAAsf New Rating
A-R-1 LT AAAsf New Rating
A-R-2 LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-R-1 LT BBB+sf New Rating
D-R-2 LT BBB-sf New Rating
D-R-3 LT BBB-sf New Rating
E-R LT BB-sf New Rating
F LT B-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Trestles CLO IV, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by APC Asset
Development II, LP. that originally closed in August 2021. This is
the first refinancing which will refinance the existing secured
notes in whole on Nov. 10, 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', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 24.05, and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 99.68%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.45% 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 'AAAsf' for class X notes, between 'BBB+sf' and 'AA+sf'
for class A-R-1 notes, between 'BBB+sf' and 'AA+sf' for class A-R-2
notes, between 'BB+sf' and 'A+sf' for class B-R notes, between
'B+sf' and 'BBB+sf' for class C-R notes, between less than 'B-sf'
and 'BBB-sf' for class D-R-1 notes, between less than 'B-sf' and
'BB+sf' for class D-R-2 notes, between less than 'B-sf' and 'BB+sf'
for class D-R-3 notes, between less than 'Bsf' and 'B+sf' for class
E-R notes and between less than 'B-sf' and 'Bsf' for class F
notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X, class A-R-1
and class A-R-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-R notes, 'AAsf' for class C-R
notes, 'A+sf' for class D-R-1 notes, 'Asf' for class D-R-2 notes,
'A-sf' for class D-R-3 notes, 'BBB+sf' for class E-R notes and
'BBB-sf' for class F notes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Trestles CLO IV,
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.
TRICOLOR AUTO 2025-2: S&P Lowers Class F Notes Rating to 'D (sf)'
-----------------------------------------------------------------
S&P Global Ratings reinstated its ratings on six classes of
automobile receivables-backed notes from Tricolor Auto
Securitization Trust 2025-2 (TAST 2025-2) and immediately lowered
each of the ratings to 'D (sf)'.
The rating actions reflect the failure to pay interest to all of
the classes of notes on each of the last three distribution dates
(Sept. 15, Oct. 15, and Nov. 15).
Failure to pay interest to the controlling class (currently class
A), which remains uncured for a period of five days, is an event of
default under the terms of the indenture. S&P's ratings definitions
consider an interest shortfall a default when the interest
shortfall is considered a monetary event of default under the terms
of the transaction.
S&P said, "While the failure to pay interest on classes B through F
is not an event of default under the terms of the documents when
the controlling class A is outstanding, because our initial ratings
addressed the full and timely payment of interest, we are also
lowering their ratings to 'D (sf)' given the failure to pay
interest over the same three distribution dates. Our ratings
definitions contemplate a maximum potential rating upon the
occurrence of temporary interest shortfalls over certain limited
periods of time. Factors that are taken into account include the
duration of the shortfalls that have occurred, a level of
confidence of the duration, and the amount of shortfalls that are
expected to occur, including the time until full reimbursement of
those shortfalls.
"In the assessment of these factors, we may determine that the
credit risk associated with the shortfalls is greater and could
lower our ratings further beyond the maximum potential ratings
contemplated in the ratings definitions.
"The 'D (sf)' ratings assigned to the junior classes recognizes the
unique set of circumstances pertaining to Tricolor, this
transaction, and our inability to determine, within a specific
timeframe, when payments (interest and principal) are likely to
recommence or if and when reimbursement of the prior interest
shortfalls may occur. Lastly, servicer reports have yet to be
received since the bankruptcy filing of Tricolor and Vervent Inc.'s
assumption as the successor servicer. This lack of reporting
precludes any insight into the status of collateral performance,
credit quality of the assets, and borrower collections.
"While our ratings definitions contemplate the potential for
upgrading ratings lowered based on temporary interest shortfalls
when certain conditions are met, any ability to do so with respect
to this transaction ultimately will depend upon timely receipt of
what we regard as sufficient information of satisfactory quality."
Ratings Reinstated
Tricolor Auto Securitization Trust 2025-2
Class A to 'AA (sf)' from NR
Class B to 'A (sf)' from NR
Class C to 'A- (sf)' from NR
Class D to 'BBB (sf)' from NR
Class E to 'BB (sf)' from NR
Class F to 'B (sf)' from NR
Ratings Subsequently Lowered
Tricolor Auto Securitization Trust 2025-2
Class A to 'D (sf)' from 'AA (sf)'
Class B to 'D (sf)' from 'A (sf)'
Class C to 'D (sf)' from 'A- (sf)'
Class D to 'D (sf)' from 'BBB (sf)'
Class E to 'D (sf)' from 'BB (sf)'
Class F to 'D (sf)' from 'B (sf)'
NR--Not rated.
TRTX 2025-FL7: Fitch Assigns 'B-sf' Final Rating on Class G Notes
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
TRTX 2025-FL7 Issuer, Ltd. as follows:
Entity/Debt Rating Prior
----------- ------ -----
TRTX 2025-FL7
A LT AAAsf New Rating AAA(EXP)sf
A-S 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 BBBsf New Rating BBB(EXP)sf
E LT BBB-sf New Rating BBB-(EXP)sf
F LT BB-sf New Rating BB-(EXP)sf
G LT B-sf New Rating B-(EXP)sf
Preferred Shares LT NRsf New Rating NR(EXP)sf
- $616,000,000a class A 'AAAsf'; Outlook Stable;
- $129,250,000a class A-S 'AAAsf'; Outlook Stable;
- $83,875,000a class B 'AA-sf'; Outlook Stable;
- $67,375,000a class C 'A-sf'; Outlook Stable;
- $39,875,000a class D 'BBBsf'; Outlook Stable;
- $20,625,000a class E 'BBB-sf'; Outlook Stable;
- $39,875,000b class F 'BB-sf'; Outlook Stable;
- $24,750,000b class G 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
- $78,375,000b Preferred Shares.
(a) Privately placed and pursuant to Rule 144A.
(b) Horizontal risk retention interest, representing 13.000% of the
notional amount of the notes.
Transaction Summary
The notes are collateralized by 20 loans secured by 45 commercial
properties with an aggregate principal balance of $1,100,000,000,
including four delayed-close loans totaling $275.0 million, which
are expected to close within 30-days, as of the cutoff date. The
loans and interests securing the notes will be owned by TRTX
2025-FL7 Issuer, Ltd., as issuer of the notes.
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 will follow a
sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 19 loans
in the pool (99.1% by balance). Fitch's resulting aggregate net
cash flow (NCF) of $37.7 million represents a 12.5% decline from
the issuer's aggregate underwritten NCF of $43.1 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.
Higher Fitch Leverage: The pool has higher leverage than recent CRE
CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value
(LTV) ratio of 143.2% is higher than both the 2025 YTD and 2024 CRE
CLO averages of 140.7% and 140.7%, respectively. The pool's Fitch
NCF debt yield (DY) of 6.1% is below both the 2025 YTD and 2024 CRE
CLO averages of 6.4% and 6.5%, respectively.
Higher Loan Concentration: The pool is less concentrated than 2024
transactions but more concentrated than recently rated 2025
transactions. The top 10 loans make up 69.2% of the pool, which is
lower than the 2024 CRE CLO average of 70.5% but above the 2025 YTD
average of 61.8%. 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 19.3.
Fitch views diversity as a key mitigant to idiosyncratic risk.
Fitch raises the overall loss for pools with effective loan counts
below 40.
Geographical Diversity: The pool has higher effective geographical
diversity than recently rated CRE CLO transactions. The pool's
effective metropolitan statistical area (MSA) count of 14.6 is
better than both the 2025 YTD and 2024 CRE CLO averages of 11.5 and
9.0, respectively. The pool contains 45 properties across 16
states, as well as 23 MSAs. The largest three MSA concentrations
are San Antonio- New Braunfels, TX (11.7%), Columbus, OH (10.6%)
and Dallas-Fort Worth-Arlington, TX (8.4%). Pools with a greater
concentration by geography are at a greater risk of losses, all
else equal. Fitch therefore raises overall losses for pools with
effective geographic counts below 15.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'
- 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/
less than 'CCCsf'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The 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.
TRYSAIL CLO 2021-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1R, A-JR, B-R, C-1R, C-FR, D-1R, D-JR, and E-R
debt from Trysail CLO 2021-1 Ltd./Trysail CLO 2021-1 LLC, a CLO
managed by Sancus Credit Advisors LP that was originally issued in
June 2021.
The preliminary ratings are based on information as of Nov. 19,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the Nov. 25, 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 A-1, A-F, B, C, D, and E debt and assign ratings to
the replacement class A-1R, A-JR, B-R, C-1R, C-FR, D-1R, D-JR, and
E-R debt. However, if the refinancing doesn't occur, we may affirm
our ratings on the existing debt and withdraw our preliminary
ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1R, A-JR, B-R, C-1R, D-1R, D-JR, and
E-R debt is expected to be issued at a lower spread over
three-month SOFR than the existing debt.
-- The non-call period will be extended to Oct. 20, 2026.
-- The reinvestment period will be extended to Oct. 20, 2028.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to Oct. 20, 2036.
-- The target initial par amount is expected to increase to
$350,000,000. There will be a new effective date and the first
payment date following the refinancing is April 20, 2026.
-- Additional subordinated notes amounting to $38.75 million will
be issued on the refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Trysail CLO 2021-1 Ltd./Trysail CLO 2021-1 LLC
Class A-1R, $210.00 million: AAA (sf)
Class A-JR, $14.00 million: AAA (sf)
Class B-R, $42.00 million: AA (sf)
Class C-1R (deferrable), $13.00 million: A (sf)
Class C-FR (deferrable), $8.00 million: A (sf)
Class D-1R (deferrable), $21.00 million: BBB- (sf)
Class D-JR (deferrable), $2.625 million: BBB- (sf)
Class E-R (deferrable), $11.375 million: BB- (sf)
Other Debt
Trysail CLO 2021-1 Ltd./Trysail CLO 2021-1 LLC
Subordinated notes, $69.05 million: NR
NR--Not rated.
UPG HI 2025-2: Fitch Assigns 'BB(EXP)sf' Rating on Class C Notes
----------------------------------------------------------------
Fitch Ratings expects to assign ratings to three classes of
asset-backed securities (ABS) issued by UPG HI 2025-2 Issuer Trust
(UPG HI 2025-2). The notes are backed by a pool of loan draws (home
improvement [HI] loan draws) on unsecured, fixed-rate HI loans
originated by Upgrade Inc. via Cross River Bank, the originating
partner bank. The underlying pool of HI loan draws are serviced by
Upgrade Inc. UPG HI 2025-2 is the second public HI ABS ultimately
backed by HI loans originated under the Upgrade HI program. The
Rating Outlook for the notes is Stable.
Entity/Debt Rating
----------- ------
UPG HI 2025-2
Issuer Trust
A LT A-(EXP)sf Expected Rating
B LT BBB(EXP)sf Expected Rating
C LT BB(EXP)sf Expected Rating
KEY RATING DRIVERS
Consistent Receivable Quality: UPG HI 2025-2 is backed by a pool of
loan draws (HI loan draws) on unsecured HI loans originated at the
point of sale to U.S. homeowners through a national network channel
of merchants and contractors (the asset pool). The loan proceeds
made available to the borrowers are designated for the financing of
windows and doors, roofing, kitchens and bathrooms, heating,
ventilation and air conditioning (HVAC) systems, basements, and a
variety of other HI products and services (typically excluding
projects for water filtration systems and solar systems). As the
sponsors, LuminArx and two co-contributors are contributing the
underlying pool of HI loans for the securitization.
The Upgrade HI program offers four core loan products: Reduced
Rate, Zero Interest, No-Interest No-Payment (No-No) and No-Interest
Yes-Payment (No-Yes) loans. The Reduced Rate product is a standard
interest-bearing amortized loan, and the Zero Interest product is
its no interest-bearing equivalent. The No-No and No-Yes products
are promotional products with a period of up to 24 months during
which no interest is billed. For all promotional products,
principal and interest amortization occurs after the promotional
period.
The No-Yes product requires a minimum principal payment during the
promotional period. The additional promotional product variations,
Deferred No-No and Deferred No-Yes, work similarly with interest
accruing during the promotional period and extinguished if full
prepayment of the loan occurs prior to the completion of the
promotional period; otherwise, the accrued interest will amortize
in equal installments over the amortization period.
The weighted average (WA) FICO score of the asset pool is 776. The
WA original term of the asset pool is 136 months, and the WA loan
seasoning is six months.
Rating Cap at 'Asf': The Upgrade HI loan origination program began
in 2022. Consequently, Fitch was provided with about two years of
historical performance data. With a WA original term of about 11.3
years for the asset pool and 20 years the longest term offered by
Upgrade, two years of historical data only provide limited insights
into the lifetime performance of the loans, in Fitch's view. To
complement Upgrade-specific historical data, Fitch used available
performance data from comparable HI and unsecured consumer loan
originators in the U.S. Due to the limitations in historical data,
Fitch applies a rating cap at 'Asf' to the transaction.
Asset Pool Assumptions: Fitch's WA lifetime base case lifetime
default rate assumption is 7.4% based on the mix of product type
and FICO scores for the asset pool. Fitch assumes a rating case
default multiple of 3.0x at the 'A-sf' rating level with a
corresponding lifetime default rate of 22.2%. The multiple is
assessed at the median-high end of the range of Fitch's applicable
rating criteria, primarily reflecting the limited data history for
originator-specific performance. Fitch assumes a zero-recovery rate
on defaulted loans due to the unsecured nature of the loans and
limited historical data available on recoveries.
Fitch differentiates prepayment rate assumptions primarily by
product type, recognizing prepayment incentives for deferred
products, given payment step-up after the promotional period, the
extent of which depends on the specific product structure. The
assumed base case WA prepayment rate is 15.5% per annum (pa) during
the promotional period and 11.8% pa thereafter, based on the mix of
FICO scores in the asset pool. All other asset pool and cash flow
modeling assumptions are as described in Fitch's applicable rating
criteria and throughout this report.
Transaction Structure: The pool of HI assets is financed via three
classes of rated notes (class A, class B and class C notes;
together, the notes). The notes pay a monthly fixed interest rate
set at closing, with the first payment date in January 2026. Credit
enhancement (CE) to the notes is provided by overcollateralization
(OC; initially equal to 4% of the asset pool at closing), OC via
the subordination of more junior notes, a fully funded
non-amortizing reserve fund sized at 0.50% of the initial notes
balance, and excess spread to the extent generated by the asset
pool (initially estimated at 5.3% pa).
The structure provides for an OC ramp-up to target 4.25% of the
outstanding asset pool, with a floor of 0.50% of the initial asset
pool. In addition, the target OC for the class A notes is 25.00%.
Total hard CE at closing (as a percentage of the initial asset
pool, including reserve fund and excluding excess spread) is
14.48%, 10.48% and 4.48% for the class A, class B and class C
notes, respectively.
Adequate Servicing Capabilities: Upgrade and Systems & Services
Technologies, Inc. (SST) will act as servicer and backup servicer,
respectively, for the transaction upon closing. Minimum
counterparty ratings as well as replacement and other
counterparty-related provisions in the transaction documents are in
line with Fitch's counterparty criteria. Fitch views backup
servicing arrangements and mitigants to servicer disruption risk to
be in line with expected ratings of up to 'A-sf'.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Rating sensitivity to increased base case defaults rates:
- Expected ratings for class A, B and C notes:
'A-sf'/'BBBsf'/'BBsf';
- Increased base case default by 10%: 'BBB+sf'/'BB+sf'/'B+sf';
- Increased base case default by 25%: 'BBB+sf'/'BBsf'/'Bsf';
- Increased base case default by 50%: 'BBB-sf'/'BB-sf'/'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Rating sensitivity to decreased base case defaults rates:
- Expected ratings for class A, B and C notes:
'A-sf'/'BBBsf'/'BBsf';
- Decreased base case default by 50%: 'AAsf'/'A-sf'/'BBBsf'.
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 recalculation of certain
characteristics with respect to 150 randomly selected statistical
receivables. 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.
VERUS SECURITIZATION 2025-11: Fitch Rates Class B2 Notes 'B-sf'
---------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes issued by Verus Securitization Trust 2025-11
(Verus 2025-11).
Entity/Debt Rating Prior
----------- ------ -----
VERUS 2025-11
A1A LT AAAsf New Rating AAA(EXP)sf
A1B LT AAAsf New Rating AAA(EXP)sf
A1 LT AAAsf New Rating AAA(EXP)sf
A1F LT AAAsf New Rating AAA(EXP)sf
A1IO1 LT AAAsf New Rating AAA(EXP)sf
A1IO2 LT AAAsf New Rating AAA(EXP)sf
A1IO LT AAAsf New Rating AAA(EXP)sf
A2 LT AAsf New Rating AA(EXP)sf
A3 LT Asf New Rating A(EXP)sf
M1 LT BBB-sf New Rating BBB-(EXP)sf
B1 LT BB-sf New Rating BB-(EXP)sf
B2 LT B-sf New Rating B-(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The notes are supported by 1,414 loans with a balance of $701.5
million as of Nov. 1, 2025 (the cutoff date).
The notes are secured by mortgage loans originated by various
originators and acquired by the sellers.
Distributions of principal and interest (P&I) and loss allocations
are based on a modified sequential-payment structure. The
transaction has a stop advance feature for first lien loans where
the P&I advancing party will advance delinquent P&I for up to 90
days. There is no servicer advancing for second lien loans.
Primary residence loans comprise 55.0% of the Verus 2025-11
transaction pool, followed by second home and investor loans at
45.0%. By documentation type, the transaction consists of 33.8%
DSCR, 30.5% bank statement program, 14.2% CPA P&L product, 11.6%
full documentation, 2.7% asset underwriting product, 6.5% WVOE
product, and 0.6% tax returns program (treated as full
documentation by Fitch).
An updated tape was received on Nov. 3: 12 loans were removed and
loan balances were rolled to Nov. 1 balances (versus Nov. 1
estimated balances cutoff date for presale). Overall, the
collateral composition of the final pool remained very similar to
the preliminary pool and there were no changes to Fitch's expected
losses. Losses decreased between 1 bp and 3 bps for all stresses.
Post-pricing structure was received on Nov. 11 - bond balances were
updated to reflect the downsized pool and the credit enhancement
(CE) for the A-3 class increased by 5 bps, while there were no
changes to the CE for the remaining classes. The coupons, relative
to the prelim structure, decreased approximately between 4 bps and
24 bps for the A-1A, A-1B, A-1F, A-2, A-3, M-1 and B-1 classes
which increased the excess spread to approximately 211 bps, a
24-bps increase from the previous excess spread of 187 bps. There
are no changes to Fitch proposed ratings.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: The performance of underlying
residential mortgages or mortgage-related assets directly affects
RMBS transactions. Fitch analyzes loan-level attributes and
macroeconomic factors to assess the credit risk and expected
losses. VERUS 2025-11 has a final probability of default (PD) of
45.2% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 43.3%. The expected loss in the
'AAAsf' rating stress is 19.5%.
Structural Analysis: VERUS 2025-11 bases its mortgage cash flow and
loss allocation on a modified sequential-payment structure with
limited advancing, whereby principal is distributed pro rata among
the senior notes while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially.
Fitch analyses 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 credit enhancement for all ratings were sufficient for the
given rating levels.
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 all loans in the transaction. Fitch applies a 5-bp
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 confirms all relevant
transaction parties 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. In addition, all legal requirements
have been satisfied to fully de-link the transaction from any other
entities. VERUS 2025-11 is 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 VERUS 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
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 37.2% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
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 AMC, Canopy, Clarifii, Consolidated Analytics, Evolve
and Selene. The third-party due diligence described in Form 15E
focused on credit, compliance, and property valuation review. Fitch
considered this information in its analysis and, as a result, Fitch
made the following adjustment to its analysis: a 5% credit 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.
VOYA CLO 2019-3: S&P Affirms 'BB- (sf)' Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings /affirmed its ratings on the class A-R, B-R,
C-R, D-R, and E-R notes from Voya CLO 2019-3 Ltd./Voya CLO 2019-3
LLC. At the same time, S&P removed the rating on the class E-R debt
from CreditWatch with negative implications.
The transaction is a U.S. CLO managed by Voya Alternative Asset
Management LLC that was originally issued in 2019 and subsequently
refinanced in 2021. The transaction exited its reinvestment period
in October 2024.
S&P said, "On Oct. 10, 2025, we placed our rating on the class E-R
debt on CreditWatch with negative implications primarily due to the
tranche's decreased credit support and indicative cash flow
results.
"The rating actions follow our review of the transaction's
performance using data from the Oct. 7, 2025, trustee report." The
CLO exited its reinvestment period in October 2024, and the class
A-R debt has paid down $66.15 million (22.52% of its original
balance) since then. Although paydowns have commenced, all reported
overcollateralization (O/C) ratios have declined when compared to
the January 2022 post refinancing trustee report:
-- The class A/B O/C ratio declined to 130.88% from 131.57%;
-- The class C O/C ratio declined to 120.75% from 121.98%;
-- The class D O/C ratio declined to 112.02% from 113.63%; and
-- The class E O/C ratio declined to 106.88% from 108.69%.
The decline in the O/C ratios largely reflects the par loss the
portfolio has sustained since January 2022. However, although the
ratios declined, all coverage tests are currently passing with
adequate cushion.
On a standalone basis, our cash flow results indicated a lower
rating on class E-R, primarily due to the par losses and the
decline in the portfolio's weighted average spread. However, S&P
affirmed the rating on this class and removed it from CreditWatch
negative because:
-- S&P believes existing credit support, which has improved since
the time of the CreditWatch placement, is commensurate with the
current rating on this tranche;
-- As paydowns continue, S&P expects the credit support to
improve.
-- The exposure to assets rated in the 'CCC' category has not
changed significantly since January 2022 and remains manageable.
-- The exposures to 'CCC' and 'CCC-' rated assets in particular
and to defaulted assets remain low; and
-- S&P believes this tranche does not rely on favorable conditions
to meet its payment obligations and thus does not fit its
definition of 'CCC' risk.
However, any further decline in credit support to this tranche or
any increase in par losses could lead to negative ratings in the
future.
S&P said, "On a standalone basis, the cash flow results also
indicated a lower rating by one notch for class D-R. However, we
affirmed the rating on this class after considering the small
margin of shortfall in the cash flow results, the manageable
exposures to 'CCC' category assets and defaulted assets, and our
view that the existing credit support is commensurate with the
current rating.
"Although the cash flow results indicated higher ratings for
classes B-R and C-R, we believe existing credit support is
commensurate with the current ratings on these tranches. The
affirmed rating on class A-R also reflects our view that available
credit support is commensurate with the current rating.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Rating Affirmed And Removed From CreditWatch Negative
Voya CLO 2019-3 Ltd./Voya CLO 2019-3 LLC
Class E-R to 'BB- (sf)' from 'BB- (sf)/Watch Neg'
Ratings Affirmed
Voya CLO 2019-3 Ltd./Voya CLO 2019-3 LLC
Class A-R: AAA (sf)
Class B-R: AA (sf)
Class C-R: A (sf)
Class D-R: BBB- (sf)
WACHOVIA BANK 2005-C: Fitch Cuts Rating on Class E Debt to Dsf
--------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed six classes of
Wachovia Bank Commercial Mortgage Trust (WBCMT) 2005-C21.
Fitch has also affirmed eight classes of Morgan Stanley Bank of
America Merrill Lynch Trust (MSBAM) 2013-C11. The Rating Outlook
for class A-S was revised to Stable from Negative.
Fitch has also affirmed two classes of MSBAM 2013-C13.
Entity/Debt Rating Prior
----------- ------ -----
MSBAM 2013-C11
A-S 61762TAG1 LT Bsf Affirmed Bsf
B 61762TAH9 LT Csf Affirmed Csf
C 61762TAK2 LT Dsf Affirmed Dsf
D 61762TAN6 LT Dsf Affirmed Dsf
E 61762TAQ9 LT Dsf Affirmed Dsf
F 61762TAS5 LT Dsf Affirmed Dsf
G 61762TAU0 LT Dsf Affirmed Dsf
PST 61762TAJ5 LT Dsf Affirmed Dsf
Wachovia Bank
Commercial Mortgage
Trust 2005-C21
E 92976BAA0 LT Dsf Downgrade Csf
F 92976BAB8 LT Dsf Affirmed Dsf
G 92976BAC6 LT Dsf Affirmed Dsf
H 92976BAD4 LT Dsf Affirmed Dsf
J 92976BAE2 LT Dsf Affirmed Dsf
K 92976BAF9 LT Dsf Affirmed Dsf
L 92976BAG7 LT Dsf Affirmed Dsf
MSBAM 2013-C13
F 61763BAG9 LT BB-sf Affirmed BB-sf
G 61763BAJ3 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Pool Concentration; Adverse Selection: The transactions are
concentrated with four or fewer loans remaining, the majority of
which are specially serviced loans. Fitch conducted a paydown
analysis to determine the remaining loans' expected recoveries and
losses to assess the outstanding classes' ratings relative to
credit enhancement (CE).
FLOCs and Specially Serviced Loans: The only loan remaining in
WBCMT 2005-C21 is Maywood Village, which is secured by a 48.3K-sf
open air neighborhood strip center located in Maywood, CA, in the
Los Angeles metropolitan area. The loan is performing and matures
in May 2030. However, the transaction's remaining classes all have
realized losses, thus warranting a downgrade to 'Dsf' from 'Csf' to
the top remaining class.
The largest loan in MSBAM 2013-C11 is the specially serviced
Westfield Countryside loan (70.3% of pool), which is secured by an
approximately 465K-sf regional mall located in Clearwater, FL. The
collateral was 81% occupied as of August 2025. The loan transferred
to special servicing in June 2020 due to imminent monetary default.
The sponsor, a joint venture between Westfield and O'Connor Capital
Partners, indicated that they would no longer support the asset. A
receiver was appointed in January 2021.
Per the latest servicer commentary, the workout strategy remains to
focus on leasing to position the asset for sale with an assumption
of the debt. As of September 2024, NCF DSCR was 1.20x. Fitch's
expected loss of 71% considers a 50% haircut to the most recent
appraisal value, reflecting a stressed value of $101 PSF.
The second largest loan is Bridgewater Campus (28.7% of pool),
which is secured by an eight-building 447K-sf mixed-use campus
located in Bridgewater, NJ. The loan transferred to special
servicing in June 2023 for imminent maturity default. A receiver
was appointed in June 2024. Per the latest servicer commentary, the
lender is preparing for November 2025 foreclosure sale. As of YE
2024, occupancy was reported at 80% with a NCF DSCR of 1.26x.
Fitch's expected loss of 1.5% considers a 30% haircut to the most
recent appraisal value, reflecting a stressed value of $69 PSF.
The largest loan in MSBAM 2013-C13 is 940 Ridgebrook Road (44.6% of
pool), which is secured by a 210K-sf previously single-tenanted
suburban office property located in Sparks, MD. The loan
transferred to special servicing for maturity default in December
2023 due to the sole tenant, Element Vehicle Management Services
LLC, vacating at lease expiration in February 2024 and is in
foreclosure. The property is vacant as of November 2024 reporting.
Fitch's expected loss of 76% considers a 20% haircut to the most
recent appraisal value, reflecting a stressed value of $30 PSF.
The second largest loan is 1200 Howard Blvd (26.7% of pool), which
is secured by an 87K-sf suburban office building in Mount Laurel,
NJ. The property became REO in November 2021 via foreclosure. The
second largest tenant, Virtua (28% NRA), vacated at the end of
2024. Construction of a speculative suite was completed in May 2025
with the renovated space leased as of July 2025. As of YE 2024,
occupancy was reported at 89% with a NCF DSCR of 1.58x. Fitch's
loss expectation of 58% considers a 20% haircut to the most recent
appraisal value, reflecting a stressed value of $74 PSF.
The third largest loan is Burnham Park Professional Center (15.1%
of pool), which is secured by a 74.5K-sf mixed-use building complex
in the South Loop neighborhood of downtown Chicago, IL. The loan
transferred to special servicing in April 2023 for imminent
maturity default. A court hearing in March 2025 confirmed the sale
and the deed was signed in June 2025. Per the most recent servicer
commentary, the trust is currently evaluating disposition options.
As of YE 2024, the reported occupancy was 44% with a negative NCF
DSCR. Fitch's expected loss of 64% reflects a 20% haircut to the
most recent appraisal value, reflecting a stressed value of $48
PSF.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are
possible with higher than expected losses from continued
underperformance or with greater certainty of losses on the
specially serviced loans.
Downgrades to distressed ratings would occur as losses become more
certain and/or as losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Given the significant pool concentration and adverse selection of
these transactions, upgrades are not expected, but may occur with
better than expected recoveries on specially serviced loans.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
WIND RIVER 2019-3: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Ratings Outlooks to the Wind
River 2019-3 Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Wind River
2019-3 CLO Ltd.
X-R3 LT AAAsf New Rating
A-R3 LT AAAsf New Rating
B-R3 LT AAsf New Rating
C-R3 LT Asf New Rating
D-1-R3 LT BBB+sf New Rating
D-2-R3 LT BBB-sf New Rating
D-3-R3 LT BBB-sf New Rating
E-R3 LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Wind River 2019-3 CLO Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by First Eagle
Alternative Credit, LLC. The deal originally closed in 2019. This
is the third refinancing with existing notes to be redeemed on Nov.
14, 2025. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $250 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 24.31, 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 96.57%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.83% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 40.5% of the portfolio balance in aggregate while the top five
obligors can represent up to 8.75% 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 3.2-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 'AAAsf' for class X-R3, between 'BBB+sf' and 'AA+sf' for
class A-R3, between 'BB+sf' and 'A+sf' for class B-R3, between
'B+sf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and
'BBB+sf' for class D-1-R3, between less than 'B-sf' and 'BBB-sf'
for class D-2-R3, and between less than 'B-sf' and 'BB+sf' for
class D-3-R3 and between less than 'B-sf' and 'B+sf' for class
E-R3.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R3 and class
A-R3 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-R3, 'AA+sf' for class C-R3,
'A+sf' for class D-1-R3, 'A+sf' for class D-2-R3, and 'A-sf' for
class D-3-R3 and 'BBB+sf' for class E-R3.
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 Wind River 2019-3
CLO Ltd. In cases where Fitch does not provide ESG relevance scores
in connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
ZAIS CLO 6: Moody's Lowers Rating on $25MM Class E Notes to Caa2
----------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Zais CLO 6, Limited:
US$25,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2029 (the "Class E Notes"), Downgraded to Caa2 (sf); previously on
October 10, 2024 Downgraded to B2 (sf)
Zais CLO 6, Limited, originally issued in June 2017 and partially
refinanced in May 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 July 2021.
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.
[] S&P Takes Various Actions on 8 Classes From Two US CLO Deals
---------------------------------------------------------------
S&P Global Ratings completed its review of eight classes from LCM
XXII Ltd. and Fortress Credit BSL VII Ltd., which are broadly
syndicated U.S. CLO transactions. Of the reviewed ratings, S&P
raised three, lowered one, withdrew one, and affirmed three. At the
same time, S&P removed three of the ratings from CreditWatch with
positive implications, where they were placed on Oct. 10, 2025, due
to a combination of paydowns and indicative cash flow results at
the time.
S&P said, "The rating actions follow our review of each
transaction's performance using data from their respective trustee
reports. In our review, we analyzed each transaction's performance
and cash flows and applied our global corporate CLO criteria in our
rating decisions."
The transactions have all exited their reinvestment periods and are
paying down the notes in the order specified in their respective
documents.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults and recoveries upon default under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered each transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
"While each class's indicative cash flow results are a primary
factor, we also incorporated other considerations into our decision
to raise, lower, or affirm ratings or limit rating movements."
These considerations typically include:
-- Whether the CLO is reinvesting or paying down its notes;
Existing subordination or overcollateralization (O/C) levels and
recent trends;
-- The cushion available for coverage ratios and comparative
analysis with other CLO classes with similar ratings;
-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral, as well as collateral with stressed market values;
-- Current concentration levels;
-- The risk of imminent default or dependence on favorable market
conditions to meet obligations; and
-- Additional sensitivity runs to account for any of the other
considerations.
The upgrades primarily reflect the classes' increased credit
support due to senior note paydowns, improved O/C levels, and
passing cash flow results at higher rating levels.
The downgrade primarily reflects the class's indicative cash flow
results, negative migration in portfolio credit quality, increased
concentration risk, and decline in the weighted recovery rate in
its respective portfolio.
S&P said, "The affirmations reflect our view that the available
credit enhancement for each respective class is still commensurate
with the assigned ratings.
"Although our cash flow analysis indicated a different rating for
some classes of notes, we performed the rating actions after
considering one or more qualitative factors listed above. The
ratings list highlights the key performance metrics behind the
specific rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and will take rating actions as we deem
necessary."
Ratings list
Rating
Issuer Class CUSIP To From
LCM XXII Ltd. C-R 50189GAJ1 NR BBB (sf)/Watch POS
Rationale: Class has been paid down.
LCM XXII Ltd. D-R 50189HAC4 CCC- (sf) B+ (sf)
Rationale: Failing cashflows, significant exposure to 'CCC' and
'D' rated assets, and a concentrated pool that includes some assets
scheduled to mature after the CLO's scheduled maturity. S&P said,
"We believe that this tranche aligns with our definition of the
'CCC' category risk and is dependent upon favorable business,
financial, and economic conditions to meet its financial
commitment. Although the cash flow results do not pass at the 'CCC'
category, we limited the downgrade based on the tranches' credit
enhancement as we do not consider default to be a certainty."
Fortress Credit
BSL VII Ltd. A-1-R 34956NAL6 AAA (sf) AAA (sf)
Rationale: Cash flow passes at the current rating level.
Fortress Credit
BSL VII Ltd. A-2-R 34956NAN2 AAA (sf) AAA (sf)
Rationale: Cash flow passes at the current rating level.
Fortress Credit
BSL VII Ltd. B-R 34956NAQ5 AAA (sf) AA (sf)/Watch POS
Rationale: Senior note paydowns, improvement in O/C, and passing
cash flows.
Fortress Credit
BSL VII Ltd. C-R 34956NAS1 AA (sf) A (sf)/Watch POS
Rationale: Tranche upgraded based on senior note paydowns,
improvement in O/C, and passing cash flows at the new rating level.
While S&P's base-case analysis indicated a higher rating, its
rating action took into account the decline in the overall credit
profile, increase in 'CCC' exposure, and additional sensitivity
analyses that considered the exposures to both 'CCC'/'CCC-' rated
assets and to assets trading at low market values.
Fortress Credit
BSL VII Ltd. D-R 34956NAU6 BBB (sf) BBB- (sf)/Watch
POS
Rationale: Tranche upgraded based on senior note paydowns,
improvement in O/C, and passing cash flows at the new rating level.
While S&P's base-case analysis indicated a higher rating, its
rating action took into account the decline in overall credit
profile, increase in 'CCC' exposure, and additional sensitivity
analyses that considered the exposures to both 'CCC'/'CCC-' rated
assets and to assets trading at low market values.
Fortress Credit
BSL VII Ltd. E-R 34962NAE4 BB- (sf) BB- (sf)
Rationale: Passing cash flows at current rating. S&P said, "While
our base-case analysis indicated a higher rating, the rating action
took into account the decline in overall credit profile, increase
in 'CCC' exposure, and additional sensitivity analyses that
considered the exposures to both 'CCC'/'CCC-' rated assets and to
assets trading at low market values."
NR--Not rated.
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