/raid1/www/Hosts/bankrupt/TCR_Public/250323.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, March 23, 2025, Vol. 29, No. 81
Headlines
1988 CLO 2: S&P Assigns Prelim 'BB- (sf)' Rating on Cl. E-R Notes
1988 CLO 6: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
A&D MORTGAGE 2025-NQM1: S&P Assigns B-(sf) Rating on Cl. B-2 Certs
A10 BRIDGE 2021-D: DBRS Confirms B Rating on Class G Notes
ABPCI DIRECT XX: S&P Assigns BB- (sf) Rating on Class E Notes
AIMCO CLO 15: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
AIMCO CLO 2017-A: S&P Assigns B- (sf) Rating on Class F-R2 Notes
AIMCO CLO 23: S&P Assigns BB- (sf) Rating on Class E Notes
AMSR TRUST 2023-SFR1: DBRS Confirms BB Rating on Class F Certs
ANTARES CLO 2017-2: S&P Assigns Prelim 'BB-' Rating on E-RR Notes
ANTARES CLO 2018-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
ASSET BACKED 2003-HE6: Moody's Hikes Rating on 2 Tranches to Caa1
ATLAS SENIOR XIII: S&P Affirms B (sf) Rating on Class E Notes
AUDAX SENIOR 12: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
AUXILIOR TERM 2023-1: Moody's Hikes Rating on Class E Notes to Ba1
BAIN CAPITAL 2019-2: S&P Assigns BB- (sf) Rating on E-R-3 Notes
BALLYROCK CLO 16: S&P Assigns BB- (sf) Rating on Class D-R Notes
BALLYROCK CLO 18: S&P Assigns Prelim BB- (sf) Rating on D-R Notes
BANK 2025-BNK49: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G-RR Certs
BARINGS MIDDLE 2025-I: S&P Assigns Prelim 'BB-' Rating on E Notes
BATTALION CLO XXVIII: Moody's Assigns B3 Rating to $250,000 F Notes
BENCHMARK 2018-B4: Fitch Lowers Rating on Class E-RR Certs to B-sf
BENCHMARK 2021-B25: DBRS Confirms B Rating on Class 300P-D Certs
BENEFIT STREET VI-B: S&P Assigns Prelim 'BB-' Rating on E-R Notes
BSREP COMMERCIAL 2021-DC: Fitch Lowers Rating on 2 Tranches to BB-
BWAY 2013-1515: S&P Lowers Class X-B Certs Rating to 'BB- (sf)'
BXP TRUST 2017-CC: DBRS Confirms BB(low) Rating on E Certs
CAMB COMMERCIAL 2019-LIFE: DBRS Confirms BB Rating on G Certs
CARMAX SELECT 2025-A: S&P Assigns Prelim BB (sf) Rating on E Notes
CARVANA AUTO 2025-P1: S&P Assigns BB+ (sf) Rating on Cl. N Notes
CHASE HOME 2025-2: DBRS Finalizes B(low) Rating on Class B5 Certs
CHASE HOME 2025-3: Fitch Assigns B+(EXP)sf Rating on Cl. B-5 Certs
CHENANGO PARK: S&P Raises Class E Notes Rating to 'B- (sf)'
CITIGROUP 2015-GC29: Fitch Lowers Rating on Cl. F Certs to 'Csf'
COLT 2025-3: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs
COMM 2015-LC21: DBRS Cuts Class F Certs Rating to C
GLS AUTO 2022-3: S&P Affirms BB- (sf) Rating on Class E Notes
GREYWOLF CLO V: S&P Raises Class D-R Notes Rating to BB- (sf)
GS MORTGAGE 2025-PJ2: DBRS Finalizes B(low) Rating on B-5 Notes
GS MORTGAGE 2025-PJ3: Moody's Gives (P)B2 Rating to Cl. B-5 Certs
HALCYON LOAN 2015-1: Moody's Lowers Rating on $30MM D Notes to B2
HALCYON LOAN 2015-2: Moody's Lowers Rating on 2 Tranches to Ba3
HERTZ VEHICLE III: Moody's Assigns Ba2 Rating to 2025-1 D Notes
ICG US 2020-1: S&P Affirms 'BB- (sf)' Rating on Class E-R Notes
JP MORGAN 2025-2: DBRS Finalizes B(low) Rating on Class B5 Certs
KREST COMMERCIAL 2021-CHIP: DBRS Confirms B Rating on E Certs
LCM 26: S&P Lowers Class E Notes Rating to 'B- (sf)'
LOANCORE 2021-CRE6: DBRS Confirms B(low) Rating on G Notes
MCF CLO VI: S&P Raises Class E-U Notes Rating to 'BB+ (sf)'
MORGAN STANLEY 2025-NQM2: S&P Prelim 'B' Rating on Cl. B-2 Certs
NEUBERGER BERMAN 43: S&P Assigns 'BB-' Rating on Class E-R Notes
NEUBERGER BERMAN 45: S&P Assigns BB-(sf) Rating on Class E-R Notes
NEUBERGER BERMAN XVI-S: Fitch Gives BB-(EXP)sf Rating on E-R2 Notes
NEWSTAR FAIRFIELD: Fitch Affirms 'BB-sf' Rating on Class D-N Notes
NYMT LOAN 2025-INV1: S&P Assigns B- (sf) Rating on Class B-2 Notes
OCP CLO 2020-19: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes
OCP CLO 2023-26: S&P Assigns BB- (sf) Rating on Class E-R Notes
OFSI BSL XV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
POST CLO 2021-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
PRIMA CAPITAL 2019-RK1: DBRS Confirms B(high) Rating on C-T Certs
PRKCM 2025-HOME1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
RATE MORTGAGE 2025-J1: DBRS Finalizes B Rating on Class B5 Notes
RR 26: S&P Assigns BB- (sf) Rating on Class D-R Debts
SCG 2024-MSP: DBRS Confirms B Rating on Class F Certs
SIERRA TIMESHARE 2025-1: S&P Assigns BB- (sf) Rating on D Notes
SIXTH STREET XXII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
TCW CLO 2022-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
TIKEHAU US VII: S&P Assigns BB- (sf) Rating on Class E Notes
TRALEE CLO V: S&P Affirms 'B- (sf)' Rating on Class F-R Notes
TRTX 2025-FL6: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes
TSTAT 2022-1: Fitch Affirms BB- Rating on Class F-R Notes
UNITED AUTO 2025-1: DBRS Gives Prov. BB(high) Rating on E Notes
VERUS SECURITIZATION 2025-2: S&P Assigns 'B+' Rating on B-2 Notes
VNDO TRUST 2016-350P: DBRS Confirms B Rating on Class E Certs
WELLINGTON MANAGEMENT 4: S&P Assigns BB- (sf) Rating on E Notes
WFRBS COMMERCIAL 2012-C10: DBRS Confirms C Rating on 3 Classes
WOODMONT 2018-4: S&P Assigns Prelim BB- (sf) Rating on E-RR Notes
[] DBRS Confirms 25 Ratings From 6 Westlake Auto Receivables
[] DBRS Reviews 46 Classes From 3 US RMBS Transactions
[] Moody's Upgrades Ratings on 32 Bonds from 8 US RMBS Deals
[] Moody's Upgrades Ratings on 7 Bonds from 4 US RMBS Deals
[] S&P Places 65 CLO Ratings on CreditWatch Positive
[] S&P Takes Various Actions on 119 Tobacco Settlement-Backed Bond
*********
1988 CLO 2: S&P Assigns Prelim 'BB- (sf)' Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R loans and class A-1-R, A-2-R, B-R, C-1-R,
and D-R notes from 1988 CLO 2 Ltd./1988 CLO 2 LLC, a CLO managed by
1988 Asset Management LLC that was originally issued in March 2023.
The preliminary ratings are based on information as of March 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On March 24, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-LR loans and A-1-R, A-2-R, B-R, C-R,
D-1-R, D-2-R, and E-R notes are expected to be issued at a lower
spread than the original debt.
-- The replacement class D-1-R and D-2-R debt will replace the
class D debt. The class D-1-R debt will have the same par
subordination as the original class D debt, while the class D-2-R
debt will have 1.00% less.
-- The reinvestment period, non-call period, and weighted average
life test date will be extended two years.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
1988 CLO 2 Ltd./1988 CLO 2 LLC
Class A-1-R, $181.00 million: AAA (sf)
Class A-1-LR loans, $75.00 million: AAA (sf)
Class A-2-R, $12.00 million: AAA (sf)
Class B-R (deferrable), $36.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $24.00 million: BBB- (sf)
Class D-2-R (deferrable), $4.00 million: BBB- (sf)
Class E-R (deferrable), $12.00 million: BB- (sf)
Other Debt
1988 CLO 2 Ltd./1988 CLO 2 LLC
Subordinated notes, $49.00 million: Not rated
1988 CLO 6: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to 1988 CLO 6
Ltd./1988 CLO 6 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by 1988 Asset Management LLC.
The preliminary ratings are based on information as of March 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
1988 CLO 6 Ltd./1988 CLO 6 LLC
Class A-1, $252.00 million: AAA (sf)
Class A-2, $12.00 million: AAA (sf)
Class B, $40.00 million: AA (sf)
Class C-1 (deferrable), $16.00 million: A+ (sf)
Class C-2 (deferrable), $8.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB- (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $40.20 million: Not rated
A&D MORTGAGE 2025-NQM1: S&P Assigns B-(sf) Rating on Cl. B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to A&D Mortgage Trust
2025-NQM1's mortgage-backed certificates.
The certificates are backed by first- and second-lien, fixed- and
adjustable-rate, fully amortizing residential mortgage loans (some
with interest-only periods) to both prime and nonprime borrowers.
The loans are secured by single-family residential properties,
planned unit developments, condominiums, two- to four-family
residential properties, mixed-use properties, manufactured housing,
five- to 10-unit multifamily residences, and condotels. The pool
consists of 1,290 loans, which are qualified mortgage (QM) safe
harbor (average prime offer rate), QM rebuttable presumption
(average prime offer rate), non-QM/ability-to-repay-compliant
(ATR-compliant) loans, and ATR-exempt loans.
The ratings reflect S&P's view of:
-- The pool's collateral composition and geographic
concentration;
-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;
-- The mortgage originator, A&D Mortgage LLC;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's macroeconomic outlook that considers its current
projections for U.S. economic growth, unemployment rates, and
interest rates, as well as our view of housing fundamentals, and is
updated, if necessary, when these projections change materially.
Ratings Assigned(i)
A&D Mortgage Trust 2025-NQM1
Class A-1A, $269,392,000: AAA (sf)
Class A-1B, $45,893,000: AAA (sf)
Class A-1, $315,285,000: AAA (sf)
Class A-2, $23,405,000: AA- (sf)
Class A-3, $65,857,000: A- (sf)
Class M-1, $23,405,000: BBB- (sf)
Class B-1, $14,227,000: BB- (sf)
Class B-2, $10,326,000: B- (sf)
Class B-3, $6,425,370: Not rated
Class A-IO-S, notional(ii): Not rated
Class X, notional(ii): Not rated
Class R, not applicable: Not rated
(i)The ratings address the ultimate payment of interest and
principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period and is initially $458,930,370.89.
A10 BRIDGE 2021-D: DBRS Confirms B Rating on Class G Notes
----------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on the following classes of
notes issued by A10 Bridge Asset Financing 2021-D, LLC:
-- Class A-1 FL at AAA (sf)
-- Class A-1 FX at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
Morningstar DBRS also changed the trends on Classes B and C to
Positive from Stable. All other trends remain Stable.
The credit rating confirmations and trend changes reflect the
increased collateral reduction to the transaction, which, as of the
February 2025 reporting, totaled 58.2% since closing with an
additional 24.6% in collateral reduction realized since the
previous Morningstar DBRS credit rating action in April 2024. While
two loans, representing 11.6% of the current trust balance, remain
in special servicing and are real estate owned (REO), the
cumulative liquidated losses concluded by Morningstar DBRS in its
current analysis are contained to the unrated $25.2 million equity
bond. Additionally, while the majority of the eight other remaining
borrowers are behind in the respective business plans, the current
credit ratings mitigate the increased execution and credit risk. As
of February 2025, the below-investment-grade rated bonds, Class F
and Class G, have balances of $18.6 million and $12.9 million,
respectively.
In conjunction with this press release, Morningstar DBRS has
published a Surveillance Performance Update report with in-depth
analysis and credit metrics for the transaction as well as business
plan updates on select loans.
As of the February 2025 remittance, the trust reported an
outstanding balance of $128.7 million across the ten loans. The
transaction benefits from overcollateralization as the outstanding
cumulative bond balance is $135.7 million. Since the previous
Morningstar DBRS credit rating action, five loans were paid in
full, totaling $79.2 million, including one former specially
serviced loan ($22.9 million), which resolved with no loss to the
trust. The trust is concentrated by loans secured by office (three
loans representing 37.7% of the current trust balance), multifamily
(three loans representing 31.4% of the current trust balance), and
student housing (two loans representing 20.6% of the current trust
balance) collateral. The remaining two loans are secured by a
retail and mixed-use property.
The largest loan in the transaction, 333 & 350 Palm (Prospectus
ID#6; 17.2% of the current trust balance), is secured by two
multifamily properties in the Beverly Hills neighborhood of Los
Angeles, totaling 48 units. The borrower's business plan at loan
closing was to buy all existing tenants out of their respective
leases and convert the properties to Class A product. The first
phase of the business plan was delayed by the eviction moratorium
during the coronavirus pandemic as well as the elongated permitting
process with the City of Beverly Hills. According to the Q2 2024
update from the collateral manager, all tenants at both properties
have been relocated. In terms of capital expenditure (capex)
progress, 55.0% of the allocated funds for the 350 Palm property
had been advanced while the borrower continues to finalize permits
for the 333 Palm property.
At loan closing, $9.2 million in loan future funding was available
to finance the majority of the tenant buy-out program and capex
program. As of January 2025, $1.8 million of future funding
remained available to the borrower, which is expected to be used
towards property upgrades. Given the elongated business plan
timeline, Morningstar DBRS expects that construction costs have
risen, which will be fully paid by the borrower. As the loan does
not mature until October 2026 and there are two, one-year extension
options, Morningstar DBRS expects the borrower to be able to
complete its business plan prior to loan maturity. The senior loan
balance is $36.6 million and while the collateral value has likely
fallen from the July 2021 valuation of $39.0 million given the
negative cash flow, the sponsor remains committed to the property
and the loan remains current. Morningstar DBRS notes the borrower
may be challenged in achieving the originally projected stabilized
property value of $65.3 million because of the expansion of cap
rates for multifamily collateral; however, the overall credit risk
of the loan remains moderate given the desirable location and
projected improvement in asset quality following the planned
renovations.
The larger of the two loans in special servicing, Two Vantage Way
(Prospectus ID#20; 8.1% of the current trust balance), is secured
by a 1975-vintage, Class B office building in the Metrocenter
neighborhood of downtown Nashville, Tennessee. The loan transferred
to the special servicer in December 2023 for delinquency and the
asset become REO in September 2024. The borrower's business plan to
use up to $8.3 million of future funding across senior and junior
financing to stabilize occupancy and increase cash flow did not
come to fruition. According to the most recent update from the
collateral manager, the property was 18.0% occupied by three
tenants and generated negative cash flow at YE2024. In terms of
leverage, the entire debt exposure is $16.3 million with senior
debt of $12.1 million and junior debt of $4.1 million. The property
was most recently appraised in November 2024 at a value of $11.9
million, down from $13.2 million in August 2023 and $16.5 million
at closing.
The collateral's highest and best value may involve a conversion to
a mixed-use property; however, any property conversion would
require a zoning approval change, complicating the resolution
strategy and timeline. According to the collateral manager's Q3
2024 update, in July 2024, the former borrower made a discounted
payoff offer in an amount slightly above the updated November 2024
appraised value of $11.9 million. While the offer never
materialized, the amount suggests the trust may only realize a
minor loss, if any, upon ultimate resolution. In its current
liquidation analysis, Morningstar DBRS concluded the entire junior
debt is eroded and the trust loan realized a loss severity of less
than 10.0%.
The other specially serviced loan, Colonial Landing (Prospectus
ID#26; 2.9% of the current trust balance), is secured by a Class C,
92-unit multifamily property in Hampton, Virginia. The loan
transferred to the special servicer in October 2022 for delinquency
and the asset became REO in December 2024. The property was under
contract to be sold in Q3 2023 at a price of $5.9 million; however,
the potential buyer's lender withdrew the financing after the City
of Hampton deemed the collateral to be unsafe and posted notices on
all buildings. The buyer continued to make deposits related to the
purchase totaling $1.1 million, which is held in reserve; however,
the buyer has requested the return of the deposits and, according
to the collateral manager, litigation to recover all amounts
remains ongoing.
The collateral is currently 100.0% vacant with an entire debt
exposure of $6.0 million: $5.4 million of senior debt and $0.6
million of junior debt. The property was most recently appraised in
April 2024 at a value of $5.9 million compared with $6.6 million in
May 2023 and $6.3 million at closing. The April 2024 appraisal
noted, however, that the prospective buyer planned to invest $1.4
million into the property to address deferred maintenance, bring 12
units back online, and upgrade the remaining 80 units. As such, in
its current liquidation analysis, Morningstar DBRS applied a 25%
haircut to the April 2024 property value, which resulted in a whole
loan loss severity in excess of 20.0% and a trust loan loss
severity of approximately 10.0%.
Notes: All figures are in U.S. dollars unless otherwise noted.
ABPCI DIRECT XX: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to ABPCI Direct Lending
Fund CLO XX LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by AB Private Credit Investors 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
ABPCI Direct Lending Fund CLO XX LLC
Class A-1, $280.00 million: AAA (sf)
Class A-2, $30.00 million: AAA (sf)
Class B, $37.50 million: AA (sf)
Class C (deferrable), $35.00 million: A (sf)
Class D (deferrable), $27.50 million: BBB- (sf)
Class E (deferrable), $30.00 million: BB- (sf)
Subordinated notes, $60.60 million: NR
NR--Not rated
AIMCO CLO 15: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, B-R, C-R, D-1-R, D-2-R, E-R, and F-R debt
from AIMCO CLO 15 Ltd./AIMCO CLO 15 LLC, a CLO managed by Allstate
Investment Management Co that was originally issued in August 2021.
The preliminary ratings are based on information as of March 20,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the March 31, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement class A-R, B-R,
C-R, D-1-R, D-2-R, E-R, and F-R debt. However, if the refinancing
doesn't occur, we may affirm our ratings on the original debt and
withdraw our preliminary ratings on the replacement class A-R, B-R,
C-R, D-1-R, D-2-R, E-R, and F-R debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to April 17, 2027.
-- The reinvestment period will be extended to April 17, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to April 17,
2038.
-- The target initial par amount remains at $400 million. There
will be no additional effective date or ramp-up period, and the
first payment date following the refinancing is July 17, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- The expected balance of the subordinated notes will increase by
$3 million to $45 million 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
AIMCO CLO 15 Ltd./AIMCO CLO 15 LLC
Class A-R, $248.00 million: AAA (sf)
Class B-R, $56.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $24.00 million: BBB- (sf)
Class D-2-R (deferrable), $3.00 million: BBB- (sf)
Class E-R (deferrable), $13.00 million: BB- (sf)
Class F-R (deferrable), $4.00 million: B- (sf)
Other Debt
AIMCO CLO 15 Ltd./AIMCO CLO 15 LLC
Subordinated notes, $45.00 million: NR
NR--Not rated.
AIMCO CLO 2017-A: S&P Assigns B- (sf) Rating on Class F-R2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R2, A-R2,
B-R2, C-R2, D-1-R2, D-2-R2, E-R2, and F-R2 replacement debt from
AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC, a CLO managed
by Allstate Investment Management Co. that was originally issued in
May 2017 and underwent a refinancing in April 2021. At the same
time, S&P withdrew its ratings on the class X, A-R, B-R, C-R, D-R,
E-R, and F-R debt following payment in full on the March 12, 2025,
refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The reinvestment period was extended to Jan. 20, 2030.
-- The non-call period was extended to March 12, 2027.
-- The original class D-R debt was replaced by class D-1-R2 and
D-2-R2 debt.
-- The class X-R2 debt issued in connection with this refinancing
will be paid down using interest proceeds during the first 18
payment dates, beginning with the third payment period.
-- An additional $8.8 million in subordinated notes was issued on
the refinancing date, and the stated maturity of the original
subordinated notes was extended to Jan. 20, 2038.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC
Class X-R2, $3.00 million: AAA (sf)
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)
Class D-1-R2 (deferrable), $24.00 million: BBB- (sf)
Class D-2-R2 (deferrable), $4.00 million: BBB- (sf)
Class E-R2 (deferrable), $12.00 million: BB- (sf)
Class F-R2 (deferrable), $6.00 million: B- (sf)
Ratings Withdrawn
AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC
Class X to NR from 'AAA (sf)'
Class A-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-R (deferrable) to NR from 'A (sf)'
Class D-R (deferrable) to NR from 'BBB- (sf)'
Class E-R (deferrable) to NR from 'BB- (sf)'
Class F-R (deferrable) to NR from 'B- (sf)'
Other Debt
AIMCO CLO Series 2017-A/AIMCO CLO Series 2017-A LLC
Subordinated notes, $44.80 million(i): NR
(i)Includes the additional $8.80 million in subordinated notes
issued on the March 12, 2025, refinancing date.
NR--Not rated.
AIMCO CLO 23: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to AIMCO CLO 23 Ltd./AIMCO
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 Allstate Investment Management Co.
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
AIMCO CLO 23 Ltd./AIMCO CLO 23 LLC
Class A, $312.50 million: AAA (sf)
Class B, $67.50 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1 (deferrable), $30.00 million: BBB- (sf)
Class D-2 (deferrable), $2.50 million: BBB- (sf)
Class E (deferrable), $17.50 million: BB- (sf)
Subordinated notes, $49.10 million: NR
NR--Not rated.
AMSR TRUST 2023-SFR1: DBRS Confirms BB Rating on Class F Certs
--------------------------------------------------------------
DBRS, Inc. confirmed the credit ratings on all classes from two
U.S. single-family rental transactions as follows:
AMSR 2023-SFR1 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at A (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-1
confirmed at BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E-2
confirmed at BBB (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (sf)
VINE 2024-SFR1 Trust
-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AAA (sf)
-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at AA (low) (sf)
-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at BBB (high) (sf)
-- Single-Family Rental Pass-Through Certificate, Class E1
confirmed at BBB (sf)
-- Single-Family Rental Pass-Through Certificate, Class E2
confirmed at BBB (low) (sf)
The credit rating confirmations reflect asset performance and
credit-support levels that are consistent with the current credit
ratings.
Morningstar DBRS' credit rating actions are based on the following
analytical considerations:
-- Key performance measures as reflected in month-over-month
changes in vacancy and delinquency, quarterly analysis of the
actual expenses, credit enhancement increases since deal inception,
and bond paydown factors.
Notes: All figures are in U.S. dollars unless otherwise noted.
ANTARES CLO 2017-2: S&P Assigns Prelim 'BB-' Rating on E-RR Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR replacement debt from
Antares CLO 2017-2 Ltd./Antares CLO 2017-2 LLC, a CLO originally
issued in December 2017 and previously refinanced in October 2021
that is managed by Antares Capital Advisers LLC, a subsidiary of
Antares Holdings L.P.
The preliminary ratings are based on information as of March 14,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the April 21, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and
E-RR debt is expected to be issued at a lower spread over
three-month SOFR than the original debt.
-- The replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and
E-RR debt is expected to be issued at a floating spread, replacing
the current floating spread.
-- The replacement class A-1-RR and A-2-RR debt will be issued
with par subordinations of 44.0% and 38.0%, respectively, replacing
the current class A-R debt which has a par subordination of 42.5%.
-- The stated maturity, non-call period, and reinvestment period
will be extended 3.5 years.
-- The deal will be upsized from $1.37 billion to $2.00 billion.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Antares CLO 2017-2 Ltd./Antares CLO 2017-2 LLC
Class A-1-RR, $1,120 million: AAA (sf)
Class A-2-RR, $120 million: AAA (sf)
Class B-RR, $150 million: AA (sf)
Class C-RR (deferrable), $140 million: A (sf)
Class D-RR (deferrable), $120 million: BBB- (sf)
Class E-RR (deferrable), $110 million: BB- (sf)
Other Debt
Antares CLO 2017-2 Ltd./Antares CLO 2017-2 LLC
Subordinated notes, $221 million: Not rated
ANTARES CLO 2018-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R,
B-R, C-R, D-R, and E-R replacement debt from Antares CLO 2018-1
Ltd., a CLO originally issued in May 2018 that is managed by
Antares Capital Advisers LLC. At the same time, S&P withdrew its
ratings on the original class A, B, C, D and E debt following
payment in full on the March 13, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R
notes were issued at a lower weighted average spread over
three-month SOFR than the original notes.
-- The stated maturity and reinvestment period were extended by
approximately 7 years.
-- Of the identified underlying collateral obligations, 96.71%
have credit ratings (which may include confidential ratings,
private ratings, and credit estimates) assigned by S&P Global
Ratings.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. 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
Antares CLO 2018-1 Ltd./Antares CLO 2018-1 LLC
Class A-1-R, $406.00 million: AAA (sf)
Class A-2-R, $28.00 million: AAA (sf)
Class B-R, $52.50 million: AA (sf)
Class C-R (deferrable), $49.00 million: A (sf)
Class D-R (deferrable), $42.00 million: BBB- (sf)
Class E-R (deferrable), $38.50 million: BB- (sf)
Ratings Withdrawn
Antares CLO 2018-1 Ltd./Antares CLO 2018-1 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Antares CLO 2018-1 Ltd./Antares CLO 2018-1 LLC
Subordinated notes, $91.60 million: NR
NR--Not rated.
ASSET BACKED 2003-HE6: Moody's Hikes Rating on 2 Tranches to Caa1
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of two bonds and
downgraded the rating of one bond issued by Asset Backed Securities
Corporation Home Equity Loan Trust 2003-HE6. The collateral backing
this deal consists of subprime mortgages.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE6
Cl. M1, Downgraded to Caa1 (sf); previously on Jun 9, 2020
Downgraded to B1 (sf)
Cl. M2, Upgraded to Caa1 (sf); previously on Apr 12, 2012
Downgraded to Ca (sf)
Cl. M6, Upgraded to Caa1 (sf); previously on Apr 12, 2012
Downgraded to C (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structure, Moody's updated loss expectation on the
underlying pool and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No actions were taken on the other rated classes in this deal
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
ATLAS SENIOR XIII: S&P Affirms B (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-N-R, B-F-R,
and C-R debt from Atlas Senior Loan Fund XIII Ltd. At the same
time, S&P affirmed its ratings on the class A-1-L-R, A-1-N-R,
A-1-F-R, D, and E debt from the same transaction.
The rating actions follow its review of the transaction's
performance using data from the January 2025 trustee report.
The transaction has paid down $158.08 million to the class A-1-L-R,
A-1-N-R, and A-1-F-R debt since our December 2023 rating actions.
These paydowns resulted in the following improvements to the
reported overcollateralization (O/C) ratios since S&P's December
2023 analysis:
-- The senior O/C ratio improved to 145.77% from 128.17%.
-- The class C O/C ratio improved to 126.23% from 117.05%.
-- The class D O/C ratio improved to 114.44% from 109.73%.
-- The class E O/C ratio improved to 104.66% from 103.27%.
All O/C ratios experienced a positive movement due to the lower
balance of the senior debt. Consequently, the credit support
increased, resulting in the upgrades of the ratings of the class
B-N-R, B-F-R, and C-R debt.
The affirmed ratings reflect adequate credit support at the current
rating levels, though any deterioration in the credit support
available to the junior tranche might result in a ratings change.
While the O/C ratios improved due to amortization, the collateral
portfolio's exposure to 'CCC' rated collateral increased, in terms
of percentage, to 13.50% from 12.70% during this period. The
exposure, in dollar terms, decreased to $42.39 million, per the
January 2025 trustee report, compared with $56.60 million reported
in December 2023. However, the increased credit support, due to
paydowns, have offset the impact of the above.
S&P said, "Though our cash flow analysis indicated higher ratings
for the class D and E debt, our rating actions reflect our
preference for extra cushion, based on additional sensitivity
analysis we ran, to consider the portfolio's increased exposure to
assets in the 'CCC' rating category and to assets we noticed
trading significantly lower than par.
"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
Atlas Senior Loan Fund XIII Ltd.
Class B-N-R to 'AAA (sf)' from 'AA (sf)'
Class B-F-R to 'AAA (sf)' from 'AA (sf)'
Class C-R to 'A+ (sf)' from 'A (sf)'
Ratings Affirmed
Atlas Senior Loan Fund XIII Ltd.
Class A-1-L-R: AAA (sf)
Class A-1-N-R: AAA (sf)
Class A-1-F-R: AAA (sf)
Class D: BBB- (sf)
Class E: B (sf)
AUDAX SENIOR 12: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Audax Senior
Debt CLO 12 LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by Audax Management Co. (NY) LLC.
The preliminary ratings are based on information as of March 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
Audax Senior Debt CLO 12 LLC
Class A, $211.00 million: AAA (sf)
Class A-L-1(i), $25.00 million: AAA (sf)
Class A-L-2(i), $25.00 million: AAA (sf)
Class B, $45.00 million: AA (sf)
Class C (deferrable), $36.00 million: A (sf)
Class D (deferrable), $27.00 million: BBB- (sf)
Class E (deferrable), $27.00 million: BB- (sf)
Subordinated notes, $59.35 million: Not rated
(i)Both class A-L-1 and A-L-2 are loan classes that are convertible
on any date into class A notes. Such amount converted will increase
the class A notes outstanding amount and decrease the class A-L-1
and/or A-L-2 loans outstanding amount. Therefore, class A notes
could be increased up to a maximum of $261 million. No notes can be
converted to loans.
AUXILIOR TERM 2023-1: Moody's Hikes Rating on Class E Notes to Ba1
------------------------------------------------------------------
Moody's Ratings has upgraded four classes of notes issued by
Auxilior Term Funding 2023-1, LLC (XCAP 2023-1). The transaction is
a securitization, sponsored and serviced by Auxilior Capital
Partners, Inc. (Auxilior), of equipment loans and leases secured
predominately by construction and infrastructure, transportation
and logistics, and franchise related equipment.
The complete rating actions are as follows:
Issuer: Auxilior Term Funding 2023-1, LLC
Class B Notes, Upgraded to Aaa (sf); previously on Dec 8, 2023
Definitive Rating Assigned Aa2 (sf)
Class C Notes, Upgraded to Aa2 (sf); previously on Dec 8, 2023
Definitive Rating Assigned A1 (sf)
Class D Notes, Upgraded to A2 (sf); previously on Dec 8, 2023
Definitive Rating Assigned Baa1 (sf)
Class E Notes, Upgraded to Ba1 (sf); previously on Dec 8, 2023
Definitive Rating Assigned Ba2 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The rating actions were primarily driven by the buildup in credit
enhancements owing to structural features including a sequential
pay structure, non-declining reserve account and
overcollateralization as well as collateral performance. Moody's
also considered the level of credit enhancement and the
subordinated nature of the junior notes. Other considerations
include transaction's exposure to the cyclical trucking and
transportation industry which is currently in a downturn and highly
correlated with the health of the overall economy.
Additionally, the loss at Aaa stress was increased to 22.50% from
21.50% due to the increase in residual exposure.
No action was taken on the remaining rated tranches because there
were no material changes in collateral quality, and credit
enhancement remains commensurate with the current ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Equipment
Lease and Loan Securitizations" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the notes if, given Moody's expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. In sequential pay structures, such as the one in
this transaction, credit enhancement grows as a percentage of the
collateral balance as collections pay down senior notes.
Prepayments and interest collections directed toward note principal
payments will accelerate this build of enhancement. Moody's
expectations of pool losses could decline as a result of a lower
number of obligor defaults. Portfolio losses also depend greatly on
the US macroeconomy, the equipment markets, and changes in
servicing practices.
Down
Moody's could downgrade the notes if, given Moody's expectations of
portfolio losses, 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 could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
equipment securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US macroeconomy, the equipment
markets, and poor servicer performance. Other reasons for
worse-than-expected performance include error on the part of
transaction parties, inadequate transaction governance, and fraud.
BAIN CAPITAL 2019-2: S&P Assigns BB- (sf) Rating on E-R-3 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R-3, B-R-3,
C-R3, D-R-3, and E-R-3 replacement debt from Bain Capital Credit
CLO 2019-2 Ltd./Bain Capital Credit CLO 2019-2 LLC, a CLO managed
by Bain Capital Credit U.S. CLO Manager LLC that was originally
issued in September 2019 and underwent a second refinancing in July
2024. At the same time, S&P withdrew its ratings on the class
A-R-2, B-R-2, C-R-2, D-R-2, and E-R debt following payment in full
on the March 18, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The first payment date following the refinancing is April 17,
2025.
-- The non-call period was extended to Sept. 18, 2025.
-- No additional subordinated notes were issued on the refinancing
date.
On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class E-R-3 debt. S&P said, "Given
the overall credit quality of the portfolio and the passing
coverage tests, we assigned a 'BB- (sf)' rating on the class E-R3
debt (the same rating as the class E-R debt prior to withdrawal –
see ratings list below). 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."
Replacement And July 2024 Debt Issuances
Replacement debt
-- Class A-R-3, $295.89 million: Three-month CME term SOFR +
0.92%
-- Class B-R-3, $60.00 million: Three-month CME term SOFR + 1.45%
-- Class C-R-3 (deferrable), $30.00 million: Three-month CME term
SOFR + 1.77%
-- Class D-R-3 (deferrable), $27.50 million: Three-month CME term
SOFR + 2.80%
-- Class E-R-3 (deferrable), $22.50 million: Three-month CME term
SOFR + 5.90%
July 2024 debt
-- Class A-R-2, $295.89 million: Three-month CME term SOFR +
1.13%
-- Class B-R-2, $60.00 million: Three-month CME term SOFR + 1.55%
-- Class C-R-2 (deferrable), $30.00 million: Three-month CME term
SOFR + 2.10%
-- Class D-R-2 (deferrable), $27.50 million: Three-month CME term
SOFR + 3.20%
-- Class E-R (deferrable), $22.50 million: Three-month CME term
SOFR + 6.58161%(i)
-- Subordinated notes, $49.00 million: Not applicable
(i)Includes credit spread adjustment of 0.26161%.
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
Bain Capital Credit CLO 2019-2 Ltd./
Bain Capital Credit CLO 2019-2 LLC
Class A-R-3, $295.89 million: AAA (sf)
Class B-R-3, $60.00 million: AA (sf)
Class C-R-3 (deferrable), $30.00 million: A (sf)
Class D-R-3 (deferrable), $27.00 million: BBB- (sf)
Class E-R-3 (deferrable), $22.50 million: BB- (sf)
Ratings Withdrawn
Bain Capital Credit CLO 2019-2 Ltd./
Bain Capital Credit CLO 2019-2 LLC
Class A-R-2 to NR from 'AAA (sf)'
Class B-R-2 to NR from 'AA (sf)'
Class C-R-2 (deferrable) to NR from 'A (sf)'
Class D-R-2 (deferrable) to NR from 'BBB- (sf)'
Class E-R (deferrable) to NR from 'BB- (sf)'
Other Debt
Bain Capital Credit CLO 2019-2 Ltd./
Bain Capital Credit CLO 2019-2 LLC
Subordinated notes, $49.00 million: NR
NR--Not rated.
BALLYROCK CLO 16: S&P Assigns BB- (sf) Rating on Class D-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R loans and class A-1-R, A-2-R, B-R, C-1-R, and D-R debt from
Ballyrock CLO 16 Ltd./Ballyrock CLO 16 LLC, a CLO managed by
Ballyrock Investment Advisors LLC that was originally issued in
June 2021. At the same time, S&P withdrew its ratings on the
original class A-1, A-2, B, C, and D debt following payment in full
on the March 13, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1-R loans and class A-1-R, A-2-R, B-R,
C-1-R, and D-R debt were issued at a lower spread than the original
debt.
-- The replacement class C-1-R and C-2-R debt replaced the class C
debt. The class C-1-R debt has the same par subordination as the
original class C debt, while the class C-2-R debt has 1.00% less.
-- The stated maturity, reinvestment period, non-call period, and
weighted average life test date were extended 3.75 years.
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
Ballyrock CLO 16 Ltd./Ballyrock CLO 16 LLC
Class A-1-R, $158.50 million: AAA (sf)
Class A-1-R loans, $125.00 million: AAA (sf)
Class A-2-R, $58.50 million: AA (sf)
Class B-R (deferrable), $27.00 million: A (sf)
Class C-1-R (deferrable), $27.00 million: BBB- (sf)
Class C-2-R (deferrable), $4.50 million: BBB- (sf)
Class D-R (deferrable), $13.50 million: BB- (sf)
Ratings Withdrawn
Ballyrock CLO 16 Ltd./Ballyrock CLO 16 LLC
Class A-1 loans to NR from 'AAA (sf)'
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AA (sf)'
Class B (deferrable) to NR from 'A (sf)'
Class C (deferrable) to NR from 'BBB- (sf)'
Class D (deferrable) to NR from 'BB- (sf)'
Other Debt
Ballyrock CLO 16 Ltd./Ballyrock CLO 16 LLC
Subordinated notes, $52.10 million: NR
NR--Not rated.
BALLYROCK CLO 18: S&P Assigns Prelim BB- (sf) Rating on D-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt from Ballyrock CLO 18
Ltd./Ballyrock CLO 18 LLC, a CLO originally issued in December 2021
that is managed by Ballyrock Investment Advisors LLC.
The preliminary ratings are based on information as of March 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On March 21, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to March 21, 2027.
-- The reinvestment period will be extended to April 15, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to April 15,
2038.
-- Additional assets will be purchased on the March 21, 2025,
refinancing date, and the target initial par amount will remain at
$550 million. There will be no additional effective date or ramp-up
period, and the first payment date following the refinancing is
July 15, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- An additional $16.33 million in subordinated notes will be
issued on the refinancing date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to the current rating agency methodology.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Ballyrock CLO 18 Ltd./Ballyrock CLO 18 LLC
Class A-1-R, $346.50 million: AAA (sf)
Class A-2-R, $71.50 million: AA (sf)
Class B-R, $33.00 million: A (sf)
Class C-1-R (deferrable), $30.25 million: BBB (sf)
Class C-2-R (deferrable), $5.50 million: BBB- (sf)
Class D-R (deferrable), $19.25 million: BB- (sf)
Other Debt
Ballyrock CLO 18 Ltd./Ballyrock CLO 18 LLC
Subordinated notes, $70.18 million: Not rated
BANK 2025-BNK49: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G-RR Certs
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
BANK 2025-BNK49 Commercial Mortgage Pass-Through Certificates,
Series 2025-BNK49 as follows:
- $13,995,000 class A-1 'AAAsf'; Outlook Stable;
- $19,663,000 class A-SB 'AAAsf'; Outlook Stable;
- $150,000,000ab class A-4 'AAAsf'; Outlook Stable;
- $0b class A-4-1 'AAAsf'; Outlook Stable;
- $0bc class A-4-X1 'AAAsf'; Outlook Stable;
- $0b class A-4-2 'AAAsf'; Outlook Stable;
- $0bc class A-4-X2 'AAAsf'; Outlook Stable;
- $466,788,000ab class A-5 'AAAsf'; Outlook Stable;
- $0b class A-5-1 'AAAsf'; Outlook Stable;
- $0bc class A-5-X1 'AAAsf'; Outlook Stable;
- $0b class A-5-2 'AAAsf'; Outlook Stable;
- $0bc class A-5-X2 'AAAsf'; Outlook Stable
- $650,446,000c class X-A 'AAAsf'; Outlook Stable;
- $111,506,000b 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
- $45,299,000bd class B 'AA-sf'; Outlook Stable;
- $0bd class B-1 'AA-sf'; Outlook Stable
- $0bcd class B-X1 'AA-sf'; Outlook Stable
- $0bd class B-2 'AA-sf'; Outlook Stable
- $0bcd class B-X2 'AA-sf'; Outlook Stable
- $32,754,000bde class C 'A-sf'; Outlook Stable;
- $0bd class C-1 'A-sf'; Outlook Stable
- $0bcd class C-X1 'A-sf'; Outlook Stable
- $0bd class C-2 'A-sf'; Outlook Stable
- $0bcd class C-X2 'A-sf'; Outlook Stable
- $189,559,000c class X-B 'A-sf'; Outlook Stable;
- $22,998,000def class D-RR 'BBBsf'; Outlook Stable;
- $9,292,000df class E-RR 'BBB-sf'; Outlook Stable;
- $16,261,000df class F-RR 'BB-sf'; Outlook Stable;
- $12,777,000df class G-RR 'B-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $27,876,857df class H-RR.
(a) The initial certificate balances of classes A-4 and A-5 are
unknown and are expected to be $616,788,000 in aggregate, subject
to a 5% variance. The certificate balance will be determined based
on the final pricing of those classes of certificates. The expected
class A-4 balance range is $0 -$300,000,000, and the expected class
A-3balance range is $316,788,000 - $616,788,000. Fitch's
certificate balances for classes A-4 and A-5 are assumed the
midpoints of each range. In the event that the class A-5 is issued
with an initial certificate balance of $616,788,000, class A-4 will
not be issued.
(b) Exchangeable Certificates. The class A-4, class A-5, class A-S,
class B and class C 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.
The class A-4 may be surrendered (or received) for the received (or
surrendered) classes A-4-1, A-4-X1, A-4-2 andA-4-X2. The class A-5
may be surrendered (or received) for the received (or surrendered)
classes A-5-1, A-5-X1, A-5-2 and A-5-X2. The class A-S may be
surrendered (or received) for the received (or surrendered) classes
A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or
received) for the received (or surrendered) classes B-1, B-X1, B-2
and B-X2. The class C may be surrendered (or received) for the
received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The
ratings of the exchangeable classes would reference the ratings of
the associate referenced or original classes.
(c) Notional amount and interest only
(d) Privately placed and pursuant to Rule 144A.
(e) The approximate initial certificate balances of the class C and
class D-RR certificates (and correspondingly, the initial notional
amount of the class X-B certificates) are based in part on the
estimated ranges of initial certificate balances and estimated fair
values described in "Credit Risk Retention". The approximate
initial certificate balances of the class C and class D-RR
certificates are subject to change based on the final pricing of
the certificates, with the ultimate initial certificate balances
determined such that the aggregate fair value of the class D-RR,
class E-RR, class F-RR, class G-RR and class H-RR certificates will
equal at least 5% of the fair value of all of the classes of
certificates issued by the issuing entity.
(f) Horizontal Risk Retention Interest classes.
The expected ratings are based on information provided by the
issuer as of March 10, 2025.
Transaction Summary
The certificates represent the beneficial ownership interest in a
trust, the primary assets of which are 37 fixed-rate, commercial
mortgage loans with an aggregate principal balance of $929,209,857
as of the cutoff date. The mortgage loans are secured by the
borrowers' fee and leasehold interests in 65 commercial properties.
The loans were contributed to the trust by Morgan Stanley Mortgage
Capital Holdings LLC, Bank of America, National Association,
JPMorgan Chase Bank, National Association, Citi Real Estate Funding
Inc., and Wells Fargo Bank, National Association.
The master servicer is expected to be Midland Loan Services, a
Division of PNC Bank, National Association and the special servicer
is expected to be Rialto Capital Advisors, LLC. Computershare Trust
Company, N.A. will act as trustee and certificate administrator.
These certificates are expected to follow a sequential paydown
structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans
totaling 84.5% of the pool by balance, including the largest 19
loans and all of the pari passu loans in the pool. Fitch's
resulting net cash flow (NCF) of approximately $107.1 million
represents a 13.5% decline from the issuer's underwritten NCF of
approximately $123.7 million. The NCF decline is below the 2025 YTD
10-Year average of 13.7% but above the 2024 10-Year averages of
13.2%.
Investment-Grade Credit Opinion Loans: Seven loans representing
44.0% of the pool balance received an investment-grade credit
opinion on a stand-alone basis. Discovery Business Center (9.7% of
the pool) received a credit opinion of 'BBB-sf*', 660 Newport
Center Drive (8.6% of the pool) received a credit opinion of
'BBB+sf*', Marriott World Headquarters (8.1% of the pool) received
a credit opinion of 'BBB-sf*', VISA Global HQ (5.9% of the pool)
received a credit opinion of 'Asf*', The Ludlow Hotel (5.0% of the
pool) received a credit opinion of 'A-sf*', Soho Grand & The Roxy
Hotel (3.6% of the pool) received a credit opinion of 'A-sf*', and
299 Park Avenue (3.1% of the pool) received a credit opinion of
'A-sf*'. The pool's total credit opinion percentage of 44.0% is
significantly higher than the YTD 2025 and 2024 10-year averages of
5.3% and 21.4%, respectively.
Office Concentration: Six loans (37.6% of pool), including five of
the top ten loans (Discovery Business Center, 660 Newport Center
Drive, Marriott World Headquarters, Visa Global HQ, 299 Park
Avenue) are secured by office properties. This is significantly
above the YTD 2025 and 2024 10-year averages for hotel
concentration of 13.7% and 8.1%.
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'/'BB-sf'/'B-sf';
- 10% NCF Decline
'AAAsf'/'A+sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'/'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase
'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis and it did not
have an effect on Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BARINGS MIDDLE 2025-I: S&P Assigns Prelim 'BB-' Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Barings
Middle Market CLO Ltd. 2025-I/Barings Middle Market CLO 2025-I
LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by Barings LLC.
The preliminary ratings are based on information as of March 19,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- 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
Barings Middle Market CLO Ltd. 2025-I/
Barings Middle Market CLO 2025-I LLC
Class X, $4.00 million: AAA (sf)
Class A, $158.00 million: AAA (sf)
Class A-L loans(i), $45.00 million: AAA (sf)
Class B, $35.00 million: AA (sf)
Class C (deferrable), $28.00 million: A (sf)
Class D (deferrable), $21.00 million: BBB- (sf)
Class E (deferrable), $21.00 million: BB- (sf)
Subordinated notes, $37.73 million: Not rated
(i)All or a portion of the class A-L loans are convertible to class
A notes. Upon such conversion, the class A notes will be increased
by such converted amount with a corresponding decrease in the class
A-L loans. Therefore, the maximum amount of class A notes
achievable is $203.00 million. No class A notes can be converted to
class A-L loans.
BATTALION CLO XXVIII: Moody's Assigns B3 Rating to $250,000 F Notes
-------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Battalion CLO XXVIII Ltd. (the Issuer):
US$252,000,000 Class A-1 Senior Secured Floating Rate Notes due
2038, Definitive Rating Assigned Aaa (sf)
US$250,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2038, Definitive Rating Assigned B3 (sf)
The notes listed are referred to herein, collectively, as the Rated
Notes.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Battalion CLO XXVIII Ltd. 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 eligible investments
and up to 10.0% of the portfolio may consist of not senior secured
loans and eligible investments. The portfolio is approximately 90%
ramped as of the closing date.
Brigade Capital Management, LP (the Manager) will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued six other classes
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 65
Weighted Average Rating Factor (WARF): 3094
Weighted Average Spread (WAS): 3.20%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 46.00%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the 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.
BENCHMARK 2018-B4: Fitch Lowers Rating on Class E-RR Certs to B-sf
------------------------------------------------------------------
Fitch Ratings has downgraded 10 and affirmed five classes of
BENCHMARK 2018-B4 Mortgage Trust (BMARK 2018-B4) commercial
mortgage pass-through certificates. Following their downgrades,
classes A-M, X-A, B, X-B, C, D, X-D and E-RR have been assigned
Negative Rating Outlooks.
Entity/Debt Rating Prior
----------- ------ -----
Benchmark 2018-B4
A-2 08161HAB6 LT AAAsf Affirmed AAAsf
A-3 08161HAC4 LT AAAsf Affirmed AAAsf
A-4 08161HAE0 LT AAAsf Affirmed AAAsf
A-5 08161HAF7 LT AAAsf Affirmed AAAsf
A-M 08161HAH3 LT AA-sf Downgrade AAAsf
A-SB 08161HAD2 LT AAAsf Affirmed AAAsf
B 08161HAJ9 LT A-sf Downgrade AA-sf
C 08161HAK6 LT BBB-sf Downgrade A-sf
D 08161HAQ3 LT BB-sf Downgrade BBBsf
E-RR 08161HAS9 LT B-sf Downgrade BB-sf
F-RR 08161HAU4 LT CCCsf Downgrade B-sf
G-RR 08161HAW0 LT CCsf Downgrade CCCsf
X-A 08161HAG5 LT AA-sf Downgrade AAAsf
X-B 08161HAL4 LT A-sf Downgrade AA-sf
X-D 08161HAN0 LT BB-sf Downgrade BBBsf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
loss increased to 8.7% from 5.1% at Fitch's prior rating action.
Fitch identified nine Fitch Loans of Concern (FLOCs; 32.3% of the
pool), including three loans (10.7%) in special servicing.
The downgrades reflect higher pool loss expectations since Fitch's
prior rating action, driven by continued performance deterioration
and valuation declines for FLOCs including AON Center (4.9% of the
pool), Meridian Corporate Center (4.4%), Westbrook Corporate Center
(3.5%) and the JAGR Hotel Portfolio (2.8%).
The Negative Outlooks for classes A-M, X-A, B, X-B, C, D, X-D and
E-RR reflect the high office concentration of 33.6% and further
potential downgrades should performance of the aforementioned FLOCs
continue to deteriorate beyond current expectations and/or recovery
prospects worsen for the specially serviced loans. In addition,
tenants for several single-tenant office loans in the pool
including 181 Fremont Street (7.9%), Marina Heights State Farm
(5.9%) and 636 11th Avenue (4.9%) have vacated or sublet portions
of their space.
Largest Contributors to Loss: The largest increase in loss
expectations since the prior rating action and the largest
contributor to expected losses in the pool is the Westbrook
Corporate Center loan (3.5%), secured by a 1.14 million-sf suburban
office property complex located in Westchester, IL. The loan
transferred to special servicing in September 2024 for non-monetary
default.
Property occupancy has continued to decline, falling to 55% as of
September 2024 from 67% at YE 2023 and 71% at YE 2022. The decline
is primarily due to the departure of major tenant, American Imaging
Management (7.2% of the NRA) and downsize of the largest tenant.
According to the servicer, Follett Higher Education Group (11.3%;
lease expiration in October 2025) downsized by 82,005 sf (7.1%) and
extended their lease to April 2033.
Fitch's 'Bsf' rating case loss of 72.8% (prior to concentration
adjustments) reflects a discount to a recent valuation equating to
a stressed value of approximately $21.00 psf and factors a higher
probability of default to address continued occupancy deterioration
and challenged market conditions.
The second largest increase in loss expectations since the prior
rating action is the Meridian Corporate Center loan (4.4%), secured
by 10 suburban office properties totaling 691,705-sf located in
Durham, NC. The loan transferred to special servicing in September
2024 for monetary default.
Portfolio's performance continues to decline, with occupancy
dropping to 62% in December 2024, down from 71% at YE 2023 and 81%
at YE 2022. As of June 2024, NOI DSCR also decreased to 1.37x from
1.62x at YE 2023. CoStar reports that 289,753 sf (41.9% of the NRA)
is listed as vacant from multiple tenants that have downsized or
have listed space for sublease.
Fitch's 'Bsf' rating case loss of 35.4% (prior to concentration
adjustments) reflects a 10% cap rate and 50% stress to the YE 2023
NOI and factors a higher probability of default given the concerns
with declining occupancy and high availability at the subject.
The third largest increase in loss expectations since the prior
rating action is the AON Center loan (4.9%), secured by a 2.8
million-sf office tower located in downtown Chicago, IL. The
property's occupancy was 74% as of the September 2024 rent roll,
which compares with 76% at YE 2023. Additionally, the property
reflects a higher availability rate of 31.4% of the NRA, of which
4.6% is from sublease space of the largest tenant, AON and 2.2% is
the third largest tenant, JLL.
Fitch's 'Bsf' rating case loss of 18.3% (prior to concentration
adjustments) reflects a 10.5% cap rate and 15% stress to the YE
2023 NOI and factors a higher probability of default to account for
weak submarket fundamentals. CoStar reports a vacancy rate of 27.4%
and an availability rate of 32.2% for the East Loop office
submarket.
The fourth largest increase in loss expectations since the prior
rating action is the JAGR Hotel Portfolio loan (2.8%), secured by a
portfolio of three full-service hotels totaling 721 rooms located
in Jackson, MS, Annapolis, MD and Grand Rapids, MI. The loan
transferred to special servicing in March 2023 due to monetary
default. A receiver has been appointed for the Grand Rapids and
Annapolis assets.
The portfolio performance has plummeted, reporting an NOI DSCR of
0.05x as of the TTM June 2024 reporting period, significantly below
the TTM June 2023 NOI DSCR of 0.59x and the YE 2022 NOI DSCR of
0.81x. As of TTM May 2024, the weighted-average occupancy, ADR, and
RevPAR for the portfolio was 54.7%, $121, and $67, respectively,
which compares with the TTM January 2024 weighted-average
occupancy, ADR, and RevPAR of 53.3%, $121, and $65, and issuance
metrics of 63.6%, $124, and $79, respectively. The May 2024 STR
reflects reported RevPAR penetration rate for all three hotels at
77%, 78% and 103%, respectively.
Fitch's 'Bsf' rating case loss (prior to concentration adjustments)
of 35.7% reflects a stress to the most recently reported appraisal
values equating to a stressed weighted average value of $54,591 per
key.
Single-Tenant Concentration: Five loans representing 22.7% of the
pool are secured by single-tenant properties, three of which are
office properties (18.8% of the pool), including 181 Fremont Street
(7.9%), Marina Heights State Farm (5.9%) and 636 11th Avenue
(4.9%), and two are retail properties (3.9%), which include Best
Buy - Sherman Oaks (3.2%) and Hobby Lobby Palmdale (0.7%).
Increased Credit Enhancement (CE): As of the February 2025
distribution date, the pool's aggregate principal balance has been
reduced by 12.7% to $1.0 billion from $1.2 billion at issuance.
Three loans (3.2% of the pool) are fully defeased. There are 14
(54.4%) full-term, interest-only (IO) loans and 24 (45.6%) loans
that are currently amortizing. Cumulative interest shortfalls of
$560,385 are affecting the non-rated class H-RR.
Undercollateralization: The transaction is undercollateralized by
approximately $1.1 million due to a workout delayed reimbursement
of advances (WODRA) on the JAGR Hotel Portfolio loan.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to senior 'AAAsf' rated classes are not expected due to
the high CE, senior position in the capital structure and expected
continued amortization and loan repayments, but may occur if
deal-level losses increase significantly and/or interest shortfalls
occur or are expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories
could occur if performance and/or valuation of the FLOCs/specially
serviced loans, including AON Center, Meridian Corporate Center,
Westbrook Corporate Center and JAGR Hotel Portfolio, deteriorate
further or fail to stabilize.
Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely
with higher-than-expected losses from continued underperformance of
the FLOCs, particularly the aforementioned loans with deteriorating
performance and/or with greater certainty of losses on the
specially serviced loans, or with prolonged workouts of the loans
in special servicing.
Downgrades to distressed ratings would occur should additional
loans be transferred to special servicing or default, as losses are
realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE from paydowns and/or
defeasance, coupled with improved pool-level loss expectations and
improved performance and/or valuation of the FLOCs/specially
serviced loans. This includes AON Center, Meridian Corporate
Center, Westbrook Corporate Center and JAGR Hotel Portfolio.
Classes would not be upgraded above 'AA+sf' if there is likelihood
for interest shortfalls.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration.
Upgrades to the 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable, recoveries on the
FLOCs are better than expected and there is sufficient CE to the
classes.
Upgrades to distressed ratings are not expected and would only
occur with better-than-expected recoveries on specially serviced
loans and/or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BENCHMARK 2021-B25: DBRS Confirms B Rating on Class 300P-D Certs
----------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the following classes
of Amazon Seattle Loan-Specific Certificates issued by Benchmark
2021-B25 Mortgage Trust:
-- Class 300P-A at A (high) (sf)
-- Class 300P-B at BBB (high) (sf)
-- Class 300P-C at BB (sf)
-- Class 300P-D at B (sf)
-- Class 300P-E at B (low) (sf)
-- Class 300P-RR at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the stable performance of
the underlying collateral, which remains in line with Morningstar
DBRS' expectations at the last credit rating action in April 2024.
The Amazon Seattle Loan-Specific Certificates are secured by the
fee-simple interest in a Class A office property known as Amazon
Seattle, as well as its leasehold interest in a parking lease
covering certain spaces at an adjacent parking garage. Amazon
Seattle is a redeveloped Class A office building in the heart of
the Seattle central business district and consists of approximately
680,000 square feet (sf) of office space and 94,000 sf of retail
space. The $455 million whole loan is composed of $234.9 million of
senior A notes, one junior B note of $155.1 million (the Amazon
Seattle Trust Subordinate Companion Loan), and a mezzanine loan of
$65 million. The Amazon Loan-Specific Certificates total $155.1
million and are collateralized by only the Amazon Seattle Trust
Subordinate Companion Loan. The interest-only loan is structured
with an anticipated repayment date in April 2030 and a final
maturity date in May 2033.
The property was originally constructed in 1929 as the flagship
location of prominent Seattle-based department store The Bon
Marché and has since been granted landmark status by the city of
Seattle. In 2017, the previous owner began a three-phase,
comprehensive transformation to convert the property into office
space for Amazon. The previous owner completed the first two phases
of the project at a cost of $160.0 million and the final phase of
the repositioning project, Amazon's final expansion and conversion,
was completed and all of Amazon's space was delivered by February
2022 in accordance with the loan agreement.
According to the September 2024 rent roll, the property is 94.6%
leased to four tenants. The office component of the collateral is
fully occupied by investment-grade tenant Amazon (88.3% of the net
rentable area) on a triple net lease that extends through May 2033,
with three five-year renewal options available. There are no future
termination options or outs in the lease. Moreover, it is
noteworthy that the Amazon lease is guaranteed by the parent
company, Amazon.com, Inc., however, the guarantee cap amount is
scheduled to reduce each year until the lease's initial expiry in
2033. Although the site inspection dated August 2024 noted that
physical occupancy at the office was approximately 10% given
work-from-home flexibility, as per recent media articles, Amazon
revised its return to office mandate to five-days per week
beginning in January 2025, marking a significant increase in foot
traffic in downtown Seattle since the beginning of the COVID-19
pandemic. According to Reis, office properties within the Central
Seattle submarket reported an average vacancy rate of 21.0% in Q4
2024, a slight increase from 20.0% in Q4 2023; however, the
five-year forecasted vacancy rate is expected to decrease to 15.3%.
Despite the softening submarket metrics, Amazon has demonstrated
its commitment to the property by completing various amenity
projects during the pandemic to revitalize the space. As per the
financial statement for the trailing-six-month period ended June
30, 2024, the annualized net cash flow (NCF) was reported at $26.8
million, lower than the Morningstar DBRS NCF of $29.0 million,
which applies straight-line credit to Amazon's rent over the loan
term given its consideration as a long-term credit tenant.
The April 2024 Morningstar DBRS credit rating analysis and action
included an updated collateral valuation. For more information
regarding the approach and analysis conducted, please refer to the
press release titled "Morningstar DBRS Takes Rating Actions on
North American Single-Asset/Single-Borrower Transactions Backed by
Office Properties," published on April 15, 2024. Morningstar DBRS
maintained the valuation approach from the April 2024 review, which
was based on a capitalization rate of 7.50% applied to the
Morningstar DBRS net cash flow of $29.0 million. Morningstar DBRS
also maintained positive qualitative adjustments to the
loan-to-value ratio sizing benchmarks totaling 6.0% to reflect the
subject property's quality and generally long-term in-place tenancy
of the investment-grade tenant. The Morningstar DBRS concluded
value of $386.9 million represents a -39.9% variance from the
issuance appraised value of $644.0 million.
Notes: All figures are in U.S. dollars unless otherwise noted.
BENEFIT STREET VI-B: S&P Assigns Prelim 'BB-' Rating on E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R
debt from Benefit Street Partners CLO VI-B Ltd./Benefit Street
Partners CLO VI-B LLC, a CLO managed by Benefit Street Partners LLC
that was originally issued July 27, 2021.
The preliminary ratings are based on information as of March 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the March 21, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to March 21, 2027.
-- The reinvestment period will be extended to April 20, 2030.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to April 20,
2038.
-- Some additional assets will be purchased on the March 21, 2025,
refinancing date, and the target initial par amount will be reduced
to $625.00 million. There will be no additional effective date or
ramp-up period, and the first payment date following the
refinancing is July 20, 2025.
-- The required minimum coverage ratios will be amended.
-- Additional subordinated notes of $20.375 million will be issued
on the refinancing date, bringing the subordinated notes total to
approximately $114.21 million.
-- The transaction was updated to conform to current rating agency
methodology.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Benefit Street Partners CLO VI-B Ltd./
Benefit Street Partners CLO VI-B LLC
Class A-1-R, $387.50 million: AAA (sf)
Class A-2-R, $12.50 million: AAA (sf)
Class B-R, $75.00 million: AA (sf)
Class C-R (deferrable), $37.50 million: A (sf)
Class D-1-R (deferrable), $37.50 million: BBB- (sf)
Class D-2-R (deferrable), $6.25 million: BBB- (sf)
Class E-R (deferrable), $18.75 million: BB- (sf)
Other Debt
Benefit Street Partners CLO VI-B Ltd./
Benefit Street Partners CLO VI-B LLC
Subordinated notes, $114.21(i) million: NR
BSREP COMMERCIAL 2021-DC: Fitch Lowers Rating on 2 Tranches to BB-
------------------------------------------------------------------
Fitch Ratings has downgraded four classes and affirmed one class of
BSREP Commercial Mortgage Trust 2021-DC (BSREP 2021-DC), Commercial
Mortgage Pass-Through Certificates Series 2021-DC. The Rating
Outlook for classes B, C, D and X-EXT have been assigned a Negative
Outlook following their downgrade. The Outlook for class A has been
revised to Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
BSREP 2021-DC
A 05591UAA5 LT AAAsf Affirmed AAAsf
B 05591UAC1 LT A-sf Downgrade AA-sf
C 05591UAE7 LT BBB-sf Downgrade A-sf
D 05591UAG2 LT BB-sf Downgrade BBB-sf
X-EXT 05591UAW7 LT BB-sf Downgrade BBB-sf
KEY RATING DRIVERS
Portfolio Performance Decline and Submarket Deterioration; Upcoming
Loan Maturity: The downgrades reflect Fitch's updated sustainable
net cash flow (NCF), which has declined to $26.6 million (after
consideration for property releases) since issuance in 2021. The
decline in NCF for the remaining portfolio properties is driven by
higher vacancy and leasing cost assumptions due to recent rollover
and deterioration of market conditions in the metro Washington, DC
office market.
The Negative Outlooks reflect the potential for further cash flow
deterioration through the extended loan term due to the uncertain
outlook for the collateral's market and the sponsor's ability to
stabilize the portfolio with the upcoming extended loan maturity in
August 2025 and the final extended final maturity in August 2026.
The sponsor, as a condition of the extension, would need to
purchase another interest rate cap with a minimum debt service
coverage ratio (DSCR) of 1.10x. If the sponsor is unable to extend
and/or stabilize the portfolio or is unable to refinance at the
loan's final extended maturity in 2026, downgrades are possible.
Fitch's updated cash flow incorporates the property releases and
recent tenant departures. One of the original collateral
properties, Fairgate @ Ballston, was sold in early 2025 with six
office properties now remaining as collateral. The trust loan paid
down by $42.35 million, with net sale proceeds applied pro-rata to
the classes as portfolio debt yield has declined since issuance.
Fitch's analysis assumed the leases in place from the servicer
provided rent rolls for the remaining six properties as of Feb. 1,
2025, with a Fitch calculated portfolio occupancy of 73.7%. This is
below the September 2023 reported occupancy of 81.4% and occupancy
of 77.3% at issuance before releases. Additionally, Fitch's
analysis maintained its higher stressed capitalization rate of
9.0%, up from 8.5% at issuance, to factor in the office property
concentration, property quality and location, granular tenancy and
negative office sector outlook.
Well Located Properties: Four assets, representing 51% of the
remaining allocated balance and 46.8% of remaining portfolio NRA
are located in downtown Washington, D.C. between the White House
and Dupont Circle, within two to four blocks from the nearest Metro
station. The other two remaining assets, totaling 53.2% of
portfolio NRA, are located in Arlington, VA, with the two
buildings, Arlington Tower and 1600 Wilson, located near the Metro
station in the Rosslyn neighborhood. Per CoStar as of January 2025,
the Washington, DC and Rosslyn office submarkets have an average
vacancy and availability rate of approximately 21% and 26%,
respectively, for similar quality properties.
Rent Roll Diversity: As of the servicer provided February 2025 rent
roll, Fitch's calculated portfolio occupancy is approximately 73.7%
with space leased to approximately 120 tenants across six different
properties in two submarkets of the metro Washington, D.C. office
market. The largest tenants are Hughes Hubbard & Reed LLP (4.0% of
the portfolio NRA, lease expiration in 2033) and RTX (Raytheon,
3.7%), which renewed to 2030.
High Fitch Ratings Stressed Leverage: The $377.6 million loan
amounts to total debt of approximately $312 psf, which results in a
Fitch stressed DSCR, loan-to-value (LTV) and debt yield (DY) of
0.70x, 127.7% and 7.0%, respectively. The loan's Fitch's DSCR, LTV
and DY through the lowest Fitch-rated tranche, 'BB-sf', are 1.07x,
84% and 10.7%, respectively. Cumulative proceeds through 'BB-sf'
are approximately $197 psf. At issuance, the loan's Fitch's DSCR,
LTV and DY through the lowest Fitch-rated tranche, 'BBB-sf', were
1.27x, 70.5% and 12.1%, respectively.
Institutional Sponsorship: The portfolio was acquired by Brookfield
Strategic Real Estate Partners IV, part of the Brookfield Property
Partners L.P (BPY) global opportunistic real estate program that is
controlled by Brookfield Asset Management, Inc. (BAM).
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The Negative Outlooks reflect the possibility of downgrades if
market conditions or actual portfolio performance deteriorate
beyond Fitch's current view of sustainable performance, or if the
borrower is unable to extend the loan and/or obtain takeout
financing through the loan's extended August 2025 maturity date or
the loan's final extended maturity in August 2026.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades are considered unlikely given the upcoming maturity risk
and overall challenged office market in the Washington D.C. area,
but are possible with significant deleveraging and improved
portfolio 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.
BWAY 2013-1515: S&P Lowers Class X-B Certs Rating to 'BB- (sf)'
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on nine classes of
commercial mortgage pass-through certificates from BWAY 2013-1515
Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P
discontinued its 'AAA (sf)' rating on class A-1 from the
transaction after its remaining balance was paid in full.
This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a 3.93375% fixed-rate, partial interest-only (IO) mortgage loan
totaling $735.4 million (as of the March 12, 2025, trustee
remittance report; down from $900.0 million at issuance) secured by
the borrower's fee-simple interest in 1515 Broadway, a 1972-built,
1.7 million-sq.-ft., 57-story office tower, with a 386-space
parking garage and two stadium-sized screens in the Times Square
office submarket of midtown Manhattan, also known as One Astor
Plaza.
Rating Actions
The downgrades on class A-2, B, C, D, E, F, and G primarily
reflect:
-- Since our last review in February 2024, there is elevated
uncertainty surrounding the sole office tenant, Paramount Global,
comprising about 90% of net rentable area (NRA), remaining at the
property after its June 2031 lease expiration due to its
deteriorating credit metrics and reported financial woes. S&P
Global Ratings lowered the tenant's issuer credit rating to
'BB+/Stable' from 'BBB-/Negative' in March 2024. According to
recent news articles, the tenant reported a significantly wider net
loss in 2024 compared to 2023, and announced layoffs at the
property.
-- The loan transferred to special servicing in October 2024
because the sponsor indicated that it would not be able to
refinance it by its maturity date in March 2025. The loan was
subsequently modified and extended; however, we have concerns with
the borrower's ability to refinance the loan by its modified
extended maturity date in March 2028 if tenant issues, casino
license uncertainty, and weak office submarket fundamentals
persist. The property's office submarket continued to report
elevated vacancy and availability rates, and its recovery has
lagged other office submarkets in New York City. Furthermore, based
on information provided by the special servicer, the property
requires a capital expenditure plan to address capital
improvements.
-- S&P's dark value for the property is 31.3% lower than the
expected-case value it derived in its last review. S&P's dark value
analysis assessed the property as if it was vacant.
-- The downgrade on class G reflects our qualitative consideration
that its repayment is dependent upon favorable business, financial,
and economic conditions, and that the class is vulnerable to
default."
-- The downgrades on the class X-A and X-B IO certificates are
based on S&P's criteria for rating IO securities, in which the
ratings on the IO securities would not be higher than that of the
lowest-rated reference class. Class X-A's notional balance
references class A-1 and A-2. Class X-B's notional balance
references class B, C, D, and E.
-- S&P discontinued its 'AAA (sf)' rating on class A-1 because the
class's balance was repaid in full through principal amortization,
as reflected in the March 2025 trustee remittance report.
While the model-indicated ratings were lower for class B, C, D, and
E, S&P tempered its downgrades on these classes because S&P
qualitatively considered the following:
-- The servicer-expected accelerated amortization of the loan
balance through excess cash flow sweeps in accordance with the loan
modification and extension agreement.
-- The possibility that the borrower will obtain funds to pay off
the loan if the property is granted one of the three New York
casino licenses. (According to various news articles, the Gaming
Facility Location Board is expected to make decisions by Dec. 1,
2025.)
-- The potential that Paramount Global, bolstered by the
consummation of its merger with privately owned Skydance Media
(anticipated to occur by the second half of 2025), renews its lease
for part or all of the leased space.
The loan, which has a current payment status, transferred to the
special servicer on Oct. 29, 2024, for imminent maturity default.
The sponsor indicated that it would not be able to refinance the
loan by its maturity date in March 2025. The borrower and special
servicer, Trimont LLC, negotiated a loan modification and extension
agreement, which was executed in November 2024. (Following its
acquisition of Wells Fargo's commercial mortgage servicing business
on March 1, 2025, Trimont replaced Wells Fargo Commercial Mortgage
Servicing as the master and special servicers for the transaction.)
The terms included:
-- Extending the loan's maturity by one year to March 6, 2026,
with two additional, one-year extension options to March 6, 2028,
subject to certain performance hurdles.
-- The sponsor contributing $20.0 million of cash equity at the
modification's closing.
-- The loan being placed into cash management at the loan
modification's closing and excess cash flow being allocated to pay
down the loan's balance.
-- The borrower providing a three-year capital expenditure plan to
address required capital needs and certain outstanding leasing
costs. The estimated costs, totaling about $69.0 million, are
expected to be funded from the property's cash flow. In addition,
the borrower plans to spend an additional $26.4 million to upgrade
the property's signage to potentially increase advertising revenue
and improve the market value of the retail spaces.
According to the special servicer, the loan is expected to return
to the master servicer shortly. S&P said, "We will continue to
monitor the tenancy and performance of the property and loan, as
well as the borrower's ability to pay off the loan by its fully
extended modified March 2028 maturity date. If we receive
information that differs materially from our expectations, such as
property performance that is below our expectations, we may revisit
our analysis and take additional rating actions, as we determine
necessary."
Property-Level Analysis Updates
S&P said, "In our February 2024 review, we noted that the sponsor,
SL Green Realty Corp., along with Caesars Entertainment Inc.,
announced on Oct. 20, 2022, a proposal to redevelop the subject
property into a hotel and casino. They had submitted a bid for one
of potentially three gaming licenses expected to be issued by New
York State. Roc Nation joined the partnership in 2024. The
property's proposed redevelopment would involve converting the
eight lower levels into 250,000 sq. ft. of gaming and entertainment
space and the upper levels into hotel rooms. According to various
news outlets, the State of New York is currently reviewing 11 bids
and is expected to make decisions by the end of 2025.
"At the time of our last review, we considered that Paramount
Global's lease had about six years' hang from the loan's original
March 2025 maturity. However, we used higher vacancy, tenant
improvement costs, and capitalization rate assumptions to account
for tenant concentration risk and weakened submarket fundamentals.
Assuming a 17.0% vacancy rate (in line with the office submarket
fundamentals at the time), a $73.69-per-sq.-ft. gross rent, as
calculated by S&P Global Ratings, a 43.5% operating expense ratio,
and higher tenant improvement cost assumptions, we arrived at an
S&P Global Ratings sustainable net cash flow (NCF) of $62.3
million. Using our S&P Global Ratings capitalization rate of 6.75%,
we derived an expected-case value of $922.8 million or $554 per sq.
ft."
Since then, Paramount Global was downgraded from investment grade
by S&P Global Ratings in March 2024, reported continuing net
operating losses, and began laying off its employees at the subject
property in August 2024. The sponsor also identified about $68.0
million of capital expenditure needed over the next three years to
renovate and maintain the property. Given these headwinds, the loan
transferred to special servicing in October 2024 because the
sponsor indicated that it was unable to pay it off by its March
2025 maturity date.
According to the Sept. 30, 2024, rent roll, the property was 99.8%
leased, with Paramount Global representing 89.9% of NRA and 78.6%
of gross rent, as calculated by S&P Global Ratings.
CoStar reported that 4- and 5-star properties in the Times Square
office submarket, where the subject property is located, continued
to experience elevated vacancy (13.7%) and availability (16.6%)
rates and flat average asking rent ($90.03 per sq. ft.) as of
year-to-date March 2025. CoStar projects vacancy to stabilize at
13.8% in 2028 and average asking rent to increase modestly to
$94.30 per sq. ft. for the same period.
S&P said, "In our current review, we considered that Paramount
Global's lease now has about three-year hang from the loan's
modified extended maturity date in 2028. Coupled with the
heightened uncertainty regarding Paramount Global's intentions at
the property upon its lease expiration in 2031, we applied a dark
value approach to derive our long-term sustainable NCF and value.
Using an 83.0% stabilized occupancy rate, an $83.88-per-sq.-ft. S&P
Global Ratings gross rent (in line with the current office
submarket metrics), a 44.7% operating expense ratio, and higher
tenant improvement costs, we derived a long-term sustainable NCF of
$59.8 million. Using a 7.00% S&P Global Ratings capitalization
rate, and deducting net unfunded sponsor-specified required capital
expenditures of $29.3 million and additional tenant improvement,
leasing, and one-year downtime costs of $190.6 million to lease up
the property to our assumed stabilized occupancy rate, we arrived
at our dark value of $634.4 million, or $381 per sq. ft. This
yielded an S&P Global Ratings loan-to-value ratio of 115.9% on the
current trust balance."
Table 1
Servicer-reported collateral performance
2024(i) 2023(i) 2022(i)
Occupancy rate (%) 99.6 99.6 99.6
Net cash flow (mil. $) 92.3 89.4 86.6
Debt service coverage (x) 1.81 1.75 1.69
Appraisal value (mil. $)(ii) 1,400.0 1,400.0 1,400.0
(i)Reporting period.
(ii)Appraised value at issuance. According to the special servicer,
an updated appraisal value was received but will not be released
due to confidentiality.
Table 2
S&P Global Ratings' key assumptions
Current review Last review At issuance
(March 2025)(i) (Feb 2024)(i) (March 2013)(i)
Trust balance (mil. $) 735.4 60.3 900.0
Occupancy rate (%) 83.0 83.0 95.8
Net cash flow (mil. $) 59.8 62.3 68.4
Capitalization rate (%) 7.00 6.75 6.75
Add/deduct to value ($) (219.9)(ii) 0.0 2.7
Value (mil. $) 634.4 922.8 1096.1
Value per sq. ft. ($) 381 554 659
Loan-to-value ratio (%)(iii) 115.9 82.4 82.1
(i)Review period.
(ii)Includes our assumed additional tenant improvement and leasing
costs to stabilize the property at 83.0% occupancy, one year
downtime costs, and net sponsor-projected capital expenditures
needed to maintain the property. (iii)On the trust loan balance at
the time of our review.
Ratings Lowered
BWAY 2013-1515 Mortgage Trust
Class A-2 to 'AA+ (sf)' from 'AAA (sf)'
Class B to 'A- (sf)' from 'AA- (sf)'
Class C to 'BBB- (sf)' from 'A- (sf)'
Class D to 'BB (sf)' from 'BBB (sf)'
Class E to 'BB- (sf)' from 'BBB- (sf)'
Class F to 'B- (sf)' from 'BB (sf)'
Class G to 'CCC (sf)' from 'BB- (sf)'
Class X-A 'AA+ (sf)' from 'AAA (sf)'
Class X-B 'BB- (sf)' from 'BBB- (sf)'
Rating Discontinued
BWAY 2013-1515 Mortgage Trust
Class A-1 to NR from 'AAA (sf)'
NR--Not rated.
BXP TRUST 2017-CC: DBRS Confirms BB(low) Rating on E Certs
----------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-CC
issued by BXP Trust 2017-CC as follows:
-- Class A at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
performance of the underlying collateral, which remains in line
with Morningstar DBRS' expectations since the previous credit
rating action in April 2024. The collateral property for the
underlying loan continues benefit from stable occupancy, with
several tenants headquartered at the subject and no rollover
scheduled in 2025.
The underlying loan is secured by Colorado Center, an office park
consisting of six Class A buildings totaling 1.2 million square
feet (sf), and a three-level underground parking garage in the
Media and Entertainment District of Santa Monica, California. The
whole loan of $550.0 million consists of $298.0 million of senior
debt and $252.0 million of subordinate debt. The subject
transaction includes a $98.0 million pari passu portion of the
senior debt and the entire subordinate debt amount. The 10-year
fixed-rate loan is interest only (IO) for the full loan term with a
maturity in August 2027. The loan sponsors are Teachers Insurance
and Annuity Association of America and Boston Properties Limited
Partnership (BPLP). BPLP provides property management services and,
since the 2017 issuance, has completed upgrades to the property,
with online news articles reporting a $40.0 million project in 2019
that upgraded and expanded the property amenities.
According to the servicer's analysis of the September 30, 2024,
operating statement, annualized net cash flow (NCF) for the
trailing nine-month period ended September 30, 2024, was reported
at $54.1 million, which is in line with the YE2023 figure and
higher than the Morningstar DBRS NCF of $43.8 million. The
September 2024 rent roll showed an occupancy rate of 90.3%, an
improvement from the April 2024 rate of 87.1% and trending toward
the issuance occupancy rate of approximately 92.0%. No rollovers
are scheduled in 2025 and all of the top tenants have long-term
leases scheduled to expire after the loan's scheduled maturity in
August 2027. The largest tenant, Hulu, currently represents 33.9%
of the net rentable area (NRA) on a lease through February 2029.
Other large tenants at the property include Edmunds.com Inc. (18.9%
of NRA, lease expires in January 2028), Rubin Postaer and
Associates (RPA; 18.8% of NRA, lease expires in June 2033), and
Kite Pharma (15.5% of NRA, lease expires July 2032). According to
the servicer, 81,183 sf of RPA's space (6.8% of NRA) was subleased
to Roku, Inc., and the sublease is co-terminus with the direct
lease. As of the February 2025 loan-level reserve report, the
servicer reported $5.4 million in tenant reserves.
In the analysis for this review, Morningstar DBRS maintained its
valuation approach from the April 2024 review, which was based on
the Morningstar DBRS NCF of $43.8 million, derived at issuance, and
an updated capitalization (cap) rate of 7.25%, an increase from the
previous cap rate of 7.0% to reflect the view that office property
types exhibit increased value volatility in the post-pandemic
environment, as further outlined in the April 15, 2024, press
release for this transaction, available on the Morningstar DBRS
website at dbrs.morningstar.com. Morningstar DBRS also maintained
positive qualitative adjustments to the loan-to-value ratio (LTV)
sizing benchmarks totaling 3.0% to reflect the substantial sponsor
investment in the property and its location in a supply-constrained
submarket. The Morningstar DBRS concluded value of $604.8 million
represents a -50.1% variance from the issuance appraised value of
$1.2 billion and implies an all-in LTV of 90.9%.
Notes: All figures are in U.S. dollars unless otherwise noted.
CAMB COMMERCIAL 2019-LIFE: DBRS Confirms BB Rating on G Certs
-------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2019-LIFE issued by CAMB
Commercial Mortgage Trust 2019-LIFE as follows:
-- Class A at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (sf)
-- Class X-NCP at AA (low) (sf)
-- Class D at A (high) (sf)
-- Class E at BBB (high) (sf)
-- Class F at BBB (low) (sf)
-- Class G at BB (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
underlying portfolio's continued performance since issuance. The
$1.17 billion trust mortgage loan is secured by the sponsor's
leasehold interest in eight life sciences office and laboratory
buildings, totaling approximately 1.3 million square feet in
Cambridge, Massachusetts. The senior mortgage loan had an initial
two-year term with five one-year extension options, resulting in a
fully extended maturity date of December 9, 2025. The floating-rate
loan pays interest only (IO) throughout the term. Additionally, the
capital stack includes mezzanine debt of $130.0 million held
outside of the trust. Loan proceeds, along with $448.7 million of
borrower cash equity, facilitated the acquisition of the portfolio
properties by the sponsorship group, Brookfield Asset Management.
The portfolio benefits from a high concentration of
institutional-quality tenants, with the majority of tenants being
public companies and/or major research institutions. As of the
September 2024 rent roll, the portfolio was 95.9% occupied, which
remains in line with historical performance. The largest tenant by
square footage is Takeda Pharmaceuticals U.S.A., Inc., representing
31.7% of the net rentable area (NRA), while Takeda Vaccines, Inc.
represents 6.0% of the NRA. Other major tenants include Agios
Pharmaceuticals, Inc. (15.3% of the NRA), Blueprint Medicines
Corporation (12.6% of the NRA), and Brigham & Women's Hospital Inc.
(9.3% of the NRA). Most of the in-place tenants have invested a
considerable amount of their own capital into their space
build-outs, demonstrating their commitment to the property. While
lease rollover is not concentrated until 2029, the property's
largest tenant, Takeda, has undergone various cost-cutting efforts
throughout 2024 to increase operating profits. According to a
Boston.com article from October 2024, Takeda announced at least 684
layoffs for its Cambridge offices, with a total head count
reduction of nearly 1,000 employees across the company by
mid-2025.
According to the September 2024 annualized financials, the
consolidated net cash flow (NCF) of $132.1 million (reflecting a
debt service coverage ratio of 1.44 times) reflects a 2.0% increase
from the YE2023 figure and a 47.6% increase from the Morningstar
DBRS NCF derived at issuance. The improvement in cash flow is
primarily driven by increases in base rents stemming from rent
steps.
Morningstar DBRS' April 2024 credit rating analysis and credit
rating actions included an updated collateral valuation. For more
information regarding the approach and analysis conducted, please
refer to the press release titled "Morningstar DBRS Takes Rating
Actions on North American Single-Asset/Single-Borrower Transactions
Backed by Office Properties," published on April 15, 2024. For
purposes of this credit rating action, Morningstar DBRS maintained
the valuation approach from the April 2024 review, which was based
on a blended capitalization rate of 6.6% applied to the YE2022 NCF
of $125.3 million with a 20% haircut applied to evaluate the
possibility for credit rating upgrades. Morningstar DBRS also
maintained positive qualitative adjustments to the loan-to-value
ratio (LTV) sizing benchmarks totaling 7.0% to reflect the subject
portfolio's property-level quality, stable historical occupancy,
and generally long-term in-place tenancy with investment-grade
tenants. The Morningstar DBRS concluded value of $1.52 billion
represents a -9.3% variance from the issuance appraised value of
$1.67 billion and implies an all-in LTV of 85.6%, including
mezzanine debt.
Notes: All figures are in U.S. dollars unless otherwise noted.
CARMAX SELECT 2025-A: S&P Assigns Prelim BB (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CarMax
Select Receivables Trust 2025-A's automobile receivables-backed
notes.
The note issuance is an ABS securitization backed by nonprime auto
loan receivables.
The preliminary ratings are based on information as of March 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 availability of approximately 35.10%, 29.71%, 23.40%,
17.62%, and 15.30% credit support (hard credit enhancement and
haircut to excess spread) for the class A (classes A-1, A-2a/A-2b,
and A-3), B, C, D and E notes, respectively, based on S&P's
stressed cash flow scenarios. These credit support levels provide
at least 3.70x, 3.12x, 2.39x, 1.78x, and 1.51x coverage of its
expected cumulative net loss of 9.00% for the class A, B, C, D, and
E notes, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.78x S&P's expected loss level), all else being equal, its
preliminary 'A-1+ (sf)' and 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB
(sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes,
respectively, are within 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 for the assigned preliminary ratings.
-- The collateral characteristics of the series' pool of nonprime
automobile loans, S&P's view of the credit risk of the collateral,
and its updated macroeconomic forecast and forward-looking view of
the auto finance sector.
-- The series' bank accounts at Wilmington Trust N.A., which do
not constrain the preliminary ratings.
-- S&P's operational risk assessment of CarMax Business Services
LLC as servicer.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
CarMax Select Receivables Trust 2025-A(i)
-- Class A-1, $107.000 million ($138.000 million if upsized): A-1+
(sf)
-- Class A-2a/A-2b(ii), $222.560 million ($284.860 million if
upsized): AAA (sf)
-- Class A-3, $129.100 million ($164.220 million if upsized): AAA
(sf)
-- Class B, $45.220 million ($57.880 million if upsized): AA (sf)
-- Class C, $48.450 million ($62.020 million if upsized): A (sf)
-- Class D, $54.910 million ($70.280 million if upsized): BBB
(sf)
-- Class E(iii), $17.760 million ($22.740 million if upsized): BB
(sf)
(i)The coupons will be determined on the pricing date.
(ii)The class A-2 notes will either have a fixed interest rate or
comprise a fixed-rate class A-2a portion and a floating-rate class
A-2b portion that is indexed to a compounded SOFR (a 30-day
average) plus a spread. The depositor does not expect the initial
principal balance of the class A-2b notes to exceed $166.920
million ($213.645 million if upsized).
(iii)The class E notes will initially be retained by the depositor
and will have a 0% interest rate.
CARVANA AUTO 2025-P1: S&P Assigns BB+ (sf) Rating on Cl. N Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Carvana Auto Receivables
Trust 2025-P1's automobile asset-backed notes.
The note issuance is an ABS securitization backed by prime auto
loan receivables.
The ratings reflect S&P's view of:
-- The availability of 15.86%, 14.34%, 10.40%, 6.93%, and 9.00%
credit support (hard credit enhancement and haircut to excess
spread) for the class A (A-1, A-2, A-3, and A-4, collectively), B,
C, D, and N notes, respectively, based on stressed cash flow
scenarios. These credit support levels provide over 5.00x, 4.50x,
3.33x, 2.33x, and 1.73x coverage of our expected cumulative net
loss of 2.75% for the class A, B, C, D, and N notes,
respectively).
-- The expectation that under a moderate ('BBB') stress scenario
(2.00x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA+ (sf)', 'A+ (sf)', 'BBB+ (sf)', and 'BB+ (sf)' ratings
on the class A, B, C, D, and N notes, respectively, are within our
credit stability limits.
-- The timely interest and principal payments by the designated
legal final maturity dates under our stressed cash flow modeling
scenarios, which we believe are appropriate for the assigned
ratings.
-- The collateral characteristics of the series' prime automobile
loans, S&P's view of the credit risk of the collateral, and our
updated macroeconomic forecast and forward-looking view of the auto
finance sector.
-- The series' bank accounts at Wells Fargo Bank N.A., which do
not constrain the ratings.
-- S&P's operational risk assessment of Bridgecrest Credit Co. LLC
as servicer, as well as the backup servicing agreement with Vervent
Inc.
-- 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
Carvana Auto Receivables Trust 2025-P1(i)
Class A-1, $66.83 million: A-1+ (sf)
Class A-2, $172.51 million: AAA (sf)
Class A-3, $211.50 million: AAA (sf)
Class A-4, $112.75 million: AAA (sf)
Class B, $10.55 million: AA+ (sf)
Class C, $20.20 million: A+ (sf)
Class D, $8.44 million: BBB+ (sf)
Class N(ii), $22.50 million: BB+ (sf)
((i)Class XS notes (unrated) will be issued at closing and may be
retained or sold in one or more private placements.
(ii)The class N notes will be paid to the extent funds are
available after the overcollateralization target is achieved, and
they will not provide any enhancement to the senior classes.
CHASE HOME 2025-2: DBRS Finalizes B(low) Rating on Class B5 Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the Mortgage
Pass-Through Certificates, Series 2025-2 (the Certificates) issued
by Chase Home Lending Mortgage Trust 2025-2 (CHASE 2025-2) as
follows:
-- $314.5 million Class A-2 at AAA (sf)
-- $314.5 million Class A-3 at AAA (sf)
-- $314.5 million Class A-3-X at AAA (sf)
-- $235.9 million Class A-4 at AAA (sf)
-- $235.9 million Class A-4-A at AAA (sf)
-- $235.9 million Class A-4-X at AAA (sf)
-- $78.6 million Class A-5 at AAA (sf)
-- $78.6 million Class A-5-A at AAA (sf)
-- $78.6 million Class A-5-X at AAA (sf)
-- $188.7 million Class A-6 at AAA (sf)
-- $188.7 million Class A-6-A at AAA (sf)
-- $188.7 million Class A-6-X at AAA (sf)
-- $125.8 million Class A-7 at AAA (sf)
-- $125.8 million Class A-7-A at AAA (sf)
-- $125.8 million Class A-7-X at AAA (sf)
-- $47.2 million Class A-8 at AAA (sf)
-- $47.2 million Class A-8-A at AAA (sf)
-- $47.2 million Class A-8-X at AAA (sf)
-- $38.9 million Class A-9 at AAA (sf)
-- $38.9 million Class A-9-A at AAA (sf)
-- $38.9 million Class A-9-X at AAA (sf)
-- $48.4 million Class A-11 at AAA (sf)
-- $48.4 million Class A-11-X at AAA (sf)
-- $48.4 million Class A-12 at AAA (sf)
-- $48.4 million Class A-13 at AAA (sf)
-- $48.4 million Class A-13-X at AAA (sf)
-- $48.4 million Class A-14 at AAA (sf)
-- $48.4 million Class A-14-X at AAA (sf)
-- $48.4 million Class A-14-X2 at AAA (sf)
-- $48.4 million Class A-14-X3 at AAA (sf)
-- $48.4 million Class A-14-X4 at AAA (sf)
-- $401.8 million Class A-X-1 at AAA (sf)
-- $9.0 million Class B-1 at AA (low) (sf)
-- $9.0 million Class B-1-A at AA (low) (sf)
-- $9.0 million Class B-1-X at AA (low) (sf)
-- $6.6 million Class B-2 at A (low) (sf)
-- $6.6 million Class B-2-A at A (low) (sf)
-- $6.6 million Class B-2-X at A (low) (sf)
-- $4.5 million Class B-3 at BBB (low) (sf)
-- $2.6 million Class B-4 at BB (low) (sf)
-- $854.0 thousand Class B-5 at B (low) (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X,
A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X
are interest-only (IO) certificates. The class balances represent
notional amounts.
Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A,
A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are
exchangeable certificates. These classes can be exchanged for
combinations of depositable certificates as specified in the
offering documents.
Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A,
A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior
certificates. These classes benefit from additional protection from
the senior support certificate (Classes A-9 and A-9-A) with respect
to loss allocation.
The AAA (sf) credit ratings on the Certificates reflect 5.90% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 3.80%, 2.25%, 1.20%, 0.60%, and
0.40% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien,
fixed-rate prime residential mortgages funded by the issuance of
the Mortgage Pass-Through Certificates, Series 2025-2 (the
Certificates). The Certificates are backed by 410 loans with a
total principal balance of $449,491,640 as of the Cut-Off Date
(February 01, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity from 15 to 30 years and a
weighted-average (WA) loan age of three months. They are
traditional, prime jumbo mortgage loans. Approximately 66.1% of the
loans were underwritten using an automated underwriting system
(AUS) designated by Fannie Mae or Freddie Mac. In addition, all the
loans in the pool were originated in accordance with the new
general Qualified Mortgage (QM) rule.
JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the
pool and Servicer of 100.0% of the pool.
For this transaction, generally, the servicing fee payable for
mortgage loans is composed of three separate components: the base
servicing fee, the delinquent servicing fee, and the additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.
U.S. Bank Trust Company, National Association, rated AA with a
Stable trend by Morningstar DBRS, will act as Securities
Administrator. U.S. Bank Trust National Association will act as
Delaware Trustee. JPMCB will act as Custodian. Pentalpha
Surveillance LLC (Pentalpha) will serve as the Representations and
Warranties (R&W) Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
Natural Disasters/Wildfires
The mortgage pool contains loans secured by mortgage properties
that are located within certain disaster areas (such as those
impacted by the Greater Los Angeles wildfires). The Sponsor of the
transaction has informed Morningstar DBRS that the servicer ordered
property damage inspections (PDI) for properties located in Los
Angeles County, designated as a disaster zone, and all were
reported to have no damage.
The transaction documents also include representations and
warranties regarding the property conditions, which state that the
properties have not suffered damage that would have a material and
adverse impact on the values of the properties (including events
such as fire, windstorm, flood, earth movement, and hurricane).
Notes: All figures are in US dollars unless otherwise noted.
CHASE HOME 2025-3: Fitch Assigns B+(EXP)sf Rating on Cl. B-5 Certs
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Chase Home Lending
Mortgage Trust 2025-3 (Chase 2025-3).
Entity/Debt Rating
----------- ------
Chase 2025-3
A-2 LT AAA(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
A-3-X LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-4-A LT AAA(EXP)sf Expected Rating
A-4-X LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-5-A LT AAA(EXP)sf Expected Rating
A-5-X LT AAA(EXP)sf Expected Rating
A-6 LT AAA(EXP)sf Expected Rating
A-6-A LT AAA(EXP)sf Expected Rating
A-6-X LT AAA(EXP)sf Expected Rating
A-7 LT AAA(EXP)sf Expected Rating
A-7-A LT AAA(EXP)sf Expected Rating
A-7-X LT AAA(EXP)sf Expected Rating
A-8 LT AAA(EXP)sf Expected Rating
A-8-A LT AAA(EXP)sf Expected Rating
A-8-X LT AAA(EXP)sf Expected Rating
A-9 LT AAA(EXP)sf Expected Rating
A-9-A LT AAA(EXP)sf Expected Rating
A-9-B LT AAA(EXP)sf Expected Rating
A-9-X1 LT AAA(EXP)sf Expected Rating
A-9-X2 LT AAA(EXP)sf Expected Rating
A-9-X3 LT AAA(EXP)sf Expected Rating
A-11 LT AAA(EXP)sf Expected Rating
A-11-X LT AAA(EXP)sf Expected Rating
A-12 LT AAA(EXP)sf Expected Rating
A-13 LT AAA(EXP)sf Expected Rating
A-13-X LT AAA(EXP)sf Expected Rating
A-14 LT AAA(EXP)sf Expected Rating
A-14-X LT AAA(EXP)sf Expected Rating
A-14-X2 LT AAA(EXP)sf Expected Rating
A-14-X3 LT AAA(EXP)sf Expected Rating
A-14-X4 LT AAA(EXP)sf Expected Rating
A-X-1 LT AAA(EXP)sf Expected Rating
B-1 LT AA-(EXP)sf Expected Rating
B-1-A LT AA-(EXP)sf Expected Rating
B-1-X LT AA-(EXP)sf Expected Rating
B-2 LT A-(EXP)sf Expected Rating
B-2-A LT A-(EXP)sf Expected Rating
B-2-X LT A-(EXP)sf Expected Rating
B-3 LT BBB-(EXP)sf Expected Rating
B-4 LT BB(EXP)sf Expected Rating
B-5 LT B+(EXP)sf Expected Rating
B-6 LT NR(EXP)sf Expected Rating
A-R LT NR(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 428 loans with a total balance of
approximately $453.62 million as of the cutoff date. The scheduled
balance as of the cutoff date is $453.25 million.
The pool consists of prime-quality, fixed-rate mortgages (FRMs)
solely originated by JPMorgan Chase Bank, National Association
(JPMCB). The loan-level representations (reps) and warranties
(R&Ws) are provided by the originator, JPMCB. All mortgage loans in
the pool will be serviced by JPMCB. The collateral quality of the
pool is extremely strong, with a large percentage of loans over
$1.0 million.
Of the loans, 99.6% qualify as safe-harbor qualified mortgage
(SHQM) average prime offer rate (APOR) loans, and the remaining
0.4% qualify as rebuttable presumption (APOR) qualified mortgage
loans. There is no exposure to Libor in this transaction. The
collateral comprises 100% fixed-rate loans. The certificates are
fixed rate and capped at the net weighted average coupon (WAC) or
based on the net WAC, or they are floating rate or inverse floating
rate based off the SOFR index and capped at the net WAC; as a
result, the certificates have no Libor exposure.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.8% above a long-term sustainable
level (versus 11.1% on a national level as of 3Q24, down 0.5% since
the prior quarter, based on Fitch's updated view on sustainable
home prices). Housing affordability is the worst it has been in
decades, driven by both high interest rates and elevated home
prices. Home prices increased 3.8% yoy nationally as of November
2024, despite modest regional declines, but are still being
supported by limited inventory.
High-Quality Prime Mortgage Pool (Positive): The pool consists of
428 high-quality, fixed-rate, fully amortizing loans with
maturities of 10 to 30 years that total $453.25 million. In total,
99.6% of the loans qualify as SHQM. The loans were made to
borrowers with strong credit profiles, relatively low leverage and
large liquid reserves.
The loans are seasoned at an average of 4.8 months, according to
Fitch. The pool has a WA FICO score of 769, as determined by Fitch,
based on the original FICO for newly originated loans and the
updated FICO for loans seasoned at 12 months or more. Based on the
transaction documents, the updated FICO is 769 as well. These high
FICO scores are indicative of very high credit-quality borrowers. A
large percentage of the loans have a borrower with a Fitch-derived
FICO score equal to or above 750.
Fitch determined that 75.8% of the loans have a borrower with a
Fitch-determined FICO score equal to or above 750. Based on Fitch's
analysis of the pool, the original WA combined loan-to-value ratio
(CLTV) is 75.6%, which translates to a sustainable loan-to-value
ratio (sLTV) of 84.2%. This represents moderate borrower equity in
the property and reduced default risk, compared with a borrower
with a CLTV over 80%.
Of the pool, 99.6% of the loans are designated as SHQM APOR loans,
and the remaining 0.4% are designated rebuttable presumption QM.
Of the pool, 100% comprises loans where the borrower maintains a
primary or secondary residence (88.1% primary and 11.9% secondary).
Single-family homes and planned unit developments (PUDs) constitute
92.1% of the pool, condominiums make up 6.9%, co-ops make up 0.4%
and the remaining 0.6% are multifamily. The pool consists of loans
with the following loan purposes, as determined by Fitch: purchases
(84.3%), cashout refinances (4.1%) and rate-term refinances
(11.6%). Fitch views favorably that no loans are for investment
properties and a majority of mortgages are purchases.
Of the pool loans, 18.9% are concentrated in California, followed
by Texas and Florida. The largest MSA concentration is in the Los
Angeles MSA (6.0%), followed by the New York MSA (5.8%) and the San
Francisco MSA (5.7%). The top three MSAs account for 17.6% of the
pool. As a result, no probability of default (PD) penalty was
applied for geographic concentration.
Shifting-Interest Structure with Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure, whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps maintain subordination for a
longer period should losses occur later in the life of the
transaction. The applicable credit support percentage feature
redirects subordinate principal to classes of higher seniority if
specified credit enhancement (CE) levels are not maintained.
The servicer, JPMCB, is obligated to advance delinquent principal
and interest (P&I) until deemed nonrecoverable. Although full P&I
advancing will provide liquidity to the certificates, it will also
increase the loan-level loss severity (LS) since the servicer looks
to recoup P&I advances from liquidation proceeds, which results in
fewer recoveries.
There is no master servicer for this transaction. U.S. Bank Trust
National Association is the trustee that will advance as needed
until a replacement servicer can be found. The trustee is the
ultimate advancing party.
Losses on the 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.
Net interest shortfalls on the nonretained portion will be
allocated, first, to class A-X-1 and the subordinated classes pro
rata, based on the current interest accrued for each class until
the amount of current interest is reduced to zero, and then to the
senior classes (excluding class A-X-1) pro rata, based on the
current interest accrued for each class until the amount of current
interest is reduced to zero.
Credit Enhancement Floor (Positive): A CE or senior subordination
floor of 1.55% has been considered to mitigate potential tail-end
risk and loss exposure for senior tranches as the pool size
declines and performance volatility increases due to adverse loan
selection and small loan count concentration. In addition, a junior
subordination floor of 0.90% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 42.0% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC. The third-party due diligence described in Form
15E focused on four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch decreased its
loss expectations by 0.17% at the 'AAAsf' stress due to 68.2% due
diligence with no material findings.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 68.2% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC
was engaged to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades and
assigned initial grades for each subcategory. Minimal exceptions
and waivers were noted in the due diligence reports. Please refer
to the "Third-Party Due Diligence" section for more detail.
Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
provided was considered comprehensive. The data contained in the
ResiPLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.
ESG Considerations
Chase 2025-3 has an ESG Relevance Score of '4+' for Transaction
Parties and Operational Risk. Operational risk is well controlled
in Chase 2025-3, including strong transaction due diligence. In
addition, the entire pool is originated by an 'Above Average'
originator, and all of the pool loans are serviced by a servicer
rated 'RPS1-'. All these attributes result in a reduction in
expected losses and are relevant to the ratings in conjunction with
other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CHENANGO PARK: S&P Raises Class E Notes Rating to 'B- (sf)'
-----------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2 and B debt
from Chenango Park CLO Ltd. At the same time, S&P affirmed its
ratings on the class A-1a, C, D, and E debt from the same
transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the Jan. 3, 2025, trustee report.
The transaction has paid down the class A-1a debt by $202.07
million since S&P's December 2023 rating actions. These paydowns
resulted in improved reported overcollateralization (O/C) ratios
since the November 2023 trustee report, which S&P used for its
previous rating actions:
-- The class A O/C ratio improved to 151.20% from 131.30%.
-- The class B O/C ratio improved to 127.71% from 118.48%.
-- The class C O/C ratio improved to 113.79% from 110.02%.
-- The class D O/C ratio improved to 106.65% from 105.40%.
All O/C ratios experienced a positive movement due to the lower
balances of the senior debt; consequently, the credit support
increased. This was the primary reason for the upgrades on the
class A-2 and B debt.
S&P said, "On a standalone basis, our cash flow analysis indicated
a higher rating for the class B debt. However, our rating action
reflects additional sensitivity runs that considered the exposure
to lower-quality assets and distressed prices we noticed in the
portfolio. In addition, our rating actions consider that the
collateral manager, as permitted under the transaction documents,
has been retaining part of the unscheduled principal proceeds for
further reinvestments. Since such investments could alter the
portfolio's characteristics and do not allow for the debt to be
paid down faster, we preferred to retain more cushion in the rating
level.
"While the O/C ratios improved and the 'CCC' and default exposure
have remained moderate since our last rating action, the weighted
average recovery rates of the collateral pool have noticeably
decreased, which negatively affected the cash flow analysis
results. Furthermore, the scenario default rates of the portfolio
have increased over the same period, mainly driven by credit
migration and increasing concentration. As a result, our current
cash flow analysis of the junior tranches does not point to higher
ratings despite significant senior debt paydown.
"Although the results of the cash flow analysis pointed to lower
ratings on the class D and E debt than the rating actions suggest,
we view the overall credit seasoning as an improvement to the
transaction and also considered the relatively stable O/C ratios
that currently have a moderate cushion over their minimum
requirements. In our analysis, we did not hold the opinion that
class D or E debt is vulnerable to nonpayment or is dependent upon
favorable business, financial, and economic conditions for the
obligor to meet its financial commitment on the obligation, and
hence, the 'CCC' or 'CC' definition is not fulfilled.
"The affirmed ratings on the A-1a, C, D, and E debt reflect our
opinion that their existing credit support is commensurate with the
current rating levels. However, any increase in defaults and/or par
losses could lead to a negative rating action on the class D and E
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 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
Chenango Park CLO Ltd
Class A-2 to AAA (sf) from AA (sf)
Class B to AA- (sf) from A (sf)
Ratings Affirmed
Chenango Park CLO Ltd.
Class A-1a: AAA (sf)
Class C: BBB- (sf)
Class D: B (sf)
Class E: B- (sf)
CITIGROUP 2015-GC29: Fitch Lowers Rating on Cl. F Certs to 'Csf'
----------------------------------------------------------------
Fitch Ratings has downgraded six classes and affirmed five classes
of Citigroup Commercial Mortgage Trust series 2015-GC29 commercial
mortgage pass-through certificates (CGCMT 2015-GC29). Negative
Rating Outlooks were assigned to two of the downgraded classes. The
Outlook for two classes remains Negative.
Fitch has also downgraded one class and affirmed 12 classes of GS
Mortgage Securities Trust 2015-GC32 commercial mortgage
pass-through certificates (GSMS 2015-GC32). A Negative Outlook was
assigned to the downgraded class. The Outlook for three classes
remains Negative.
Entity/Debt Rating Prior
----------- ------ -----
CGCMT 2015-GC29
A-4 17323VAZ8 LT AAAsf Affirmed AAAsf
A-S 17323VBC8 LT AAAsf Affirmed AAAsf
B 17323VBD6 LT AA-sf Affirmed AA-sf
C 17323VBE4 LT BBB-sf Downgrade A-sf
D 17323VAA3 LT CCCsf Downgrade B+sf
E 17323VAC9 LT CCsf Downgrade CCCsf
F 17323VAE5 LT Csf Downgrade CCsf
PEZ 17323VBH7 LT BBB-sf Downgrade A-sf
X-A 17323VBF1 LT AAAsf Affirmed AAAsf
X-B 17323VBG9 LT AA-sf Affirmed AA-sf
X-D 17323VAL9 LT CCCsf Downgrade B+sf
GSMS 2015-GC32
A-3 36250PAC9 LT AAAsf Affirmed AAAsf
A-4 36250PAD7 LT AAAsf Affirmed AAAsf
A-AB 36250PAE5 LT AAAsf Affirmed AAAsf
A-S 36250PAH8 LT AAAsf Affirmed AAAsf
B 36250PAJ4 LT AAAsf Affirmed AAAsf
C 36250PAL9 LT AA-sf Affirmed AA-sf
D 36250PAM7 LT BBB-sf Affirmed BBB-sf
E 36250PAP0 LT BBsf Affirmed BBsf
F 36250PAR6 LT B-sf Downgrade B+sf
PEZ 36250PAK1 LT AA-sf Affirmed AA-sf
X-A 36250PAF2 LT AAAsf Affirmed AAAsf
X-B 36250PAG0 LT AAAsf Affirmed AAAsf
X-D 36250PAN5 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case
loss has increased since Fitch's prior rating action to 16.5% in
CGCMT 2015-GC29 and 5.7% in GSMS 2015-GC32. The CGCMT 2015-GC29
transaction has six Fitch Loans of Concern (FLOCs; 48.1% of the
pool), including three loans (27.5%) in special servicing. The GSMS
2015-GC32 transaction has 14 FLOCs (32.5%), including two loans
(3.9%) in special servicing.
The downgrades in CGCMT 2015-GC29 reflect higher pool loss
expectations since Fitch's prior rating action, driven primarily by
further performance decline and refinance concerns on FLOCs,
including Selig Office Portfolio (23.7%), 170 Broadway, Parkchester
Commercial (10.4%) and 400 Plaza Drive (3.5%). Since the previous
rating action, Papago Arroyo, a suburban office property that was
anticipated to incur a loss, was fully repaid in February 2025.
Additionally, 29% of the pool is secured by office properties.
The downgrades in GSMS 2015-GC32 reflect higher pool loss
expectations since Fitch's prior rating action. The loss
expectations are driven primarily by further performance decline
and refinance concerns on FLOCs, particularly Hilton Garden Inn
Pittsburgh (3.8%), Selig Office Portfolio (3.5%), Shops at 69th
Street (1.4%), Sysmex Way (2.8%), Four Points Sheraton Columbus
Airport (1.0%), and Midwest Retail Portfolio (0.9%).
The Negative Outlooks in both transactions reflect their reliance
on FLOCs for repayment. Further downgrades are possible with
continued occupancy and cashflow deterioration, lack of performance
stabilization and/or a prolonged workout of the FLOCs that default
at or prior to maturity.
Largest Contributors to Loss: The largest contributor to overall
loss expectations in CGCMT 2015-GC29 and the second-largest
contributor in GSMS 2015-GC32 is the Selig Office Portfolio loan,
secured by a 1,631,457-sf office portfolio consisting of nine
buildings in Seattle, WA. The portfolio consists of older inventory
built between 1971 and 1986. The loan transferred to special
servicing in November 2024 for imminent balloon/maturity default.
The loan is interest-only and is scheduled to mature in April
2025.
The largest tenants in the portfolio include Washington State
Ferries (5.4% of NRA through August 2025), ZipWhip (4.6%; October
2029) and City of Seattle (2.3%; October 2034). As of September
2024, the occupancy for the portfolio was 67%, down from 77% at YE
2023, 79% at YE 2022, 84% at YE 2021, 93% at YE 2020 and 95% at YE
2019. The rent roll is granular, with no individual tenant
representing more than 5.4% of the portfolio NRA rolling in 2025.
The servicer-reported NOI DSCR as of 3Q24 was 2.05x, compared to
2.27x at YE 2023, 2.22x at YE 2022, 2.40x at YE 2021, 2.64x at YE
2020 and 2.35x at YE 2019.
The performance fundamentals of the Seattle Central Business
District submarket have deteriorated over the past few years.
According to CoStar, the office submarket asking rent was $35.93
psf and the vacancy rate was 30.2% as of 1Q25, compared with the
subject property at $33.02 psf and 33%, respectively, as of 3Q24.
Fitch's 'Bsf' rating case loss of 28.5% (prior to concentration
add-ons) reflects a 10.5% cap rate, 35% stress to the YE 2023 net
operating income (NOI) and factors a 100% probability of default to
account for the refinance risk associated with the older vintage,
low-occupancy office portfolio, which is scheduled to mature in
April 2025, along with weak submarket fundamentals.
The second-largest contributor to overall loss expectations in
CGCMT 2015-GC29 is the Parkchester Commercial loan, secured by a
541,232-sf, mixed-use retail/office property in the Bronx. Major
tenants at the property include Macy's (31.5% of NRA through March
2029), Marshall's (4.5%; October 2029), and Rainbow (4.1%; April
2028).
Property-level NOI has been declining since issuance mainly due to
higher expenses, along with a decline in occupancy over the past
two years. The servicer-reported NOI debt service coverage ratio
(DSCR) as of 3Q24 was 0.55x, compared to 0.64x at YE 2023, 1.20x at
YE 2022, 0.84x at YE 2021, 1.31x at YE 2020, and 1.14x at YE 2019.
Occupancy per the September 2024 rent roll was 77%, compared to 70%
at YE 2023, down from 90% at September 2022, 89% at December 2021,
93% at December 2020 and 93% at issuance.
Occupancy has remained depressed since Liberty Chevrolet (12.5% of
the NRA) vacated at its November 2022 lease expiration, along with
several other smaller tenants. Near-term rollover is minimal, with
1.5% of the NRA scheduled to expire in 2025.
Fitch's 'Bsf' rating case loss of 33.2% (prior to concentration
add-ons) reflects a 9% cap rate, 7.5% stress to YE 2023 NOI, and
factors a 100% probability of default due to the weak performance,
low DSCR and heightened maturity default risk.
The third-largest contributor to overall loss expectations in CGCMT
2015-GC29 is the 170 Broadway loan, secured by a 16,135-sf retail
condo in New York, NY. The property was built in 1920 and renovated
in 2014, after the borrower acquired the vacant retail condo for
$70.1 million in December 2013.
The property has been fully occupied by The Gap since issuance,
with a February 2030 lease expiration. In 2015 rent started at $263
psf with 3% annual escalations each March. As of the June 2024 rent
roll, The Gap was paying $344 psf.
The loan transferred to special servicing in December 2024 due to
imminent default, ahead of its April 2025 scheduled maturity date.
According to special servicer commentary, the borrower reports that
it is unable to refinance or pay the debt in full at maturity.
If the borrower cannot obtain a loan extension, the lender plans to
appoint a receiver and initiate foreclosure proceedings. The
borrower indicates that The Gap is not meeting expected sales
targets, and the high rent means there is a low probability of a
lease extension. The servicer-reported NOI DSCR was 1.27x at YE
2024, 1.23x at YE 2023, 1.25x at YE 2022, and 1.23x at YE 2021.
Fitch's 'Bsf' rating case loss of 36.6% (prior to concentration
add-ons) reflects a 9.25% cap rate, 7.5% stress to the YE 2024 NOI
and factors a 100% probability of default due to the borrower's
inability to refinance or repay the loan.
The largest contributor to overall loss expectations in GSMS
2015-GC32 is the Hilton Garden Inn Pittsburgh/Southpointe loan,
which is secured by a 175-key, limited-service hotel in Canonsburg,
PA. The loan previously transferred to special servicing in June
2020. A loan modification closed in July 2021, and the loan was
subsequently returned to the master servicer.
The servicer-reported occupancy for the TTM July 2024 was 49%,
compared to 42.9% at October 2023, 56% at September 2022, 34% at
July 2020, and 59% at YE 2019. The servicer-reported NOI DSCR for
the TTM October 2023 period was 0.66x, compared to 1.26x at July
2022, 2.63x at YE 2021, 0.59x at YE 2020 and 1.31x at YE 2019.
Despite the low DSCR, the loan has remained current. Property-level
NOI fell 43.4% between 2022 to 2023, primarily driven by an
increase in operating expenses and a slight decline in revenue.
Fitch's 'Bsf' rating case loss of 34.2% (prior to concentration
add-ons) reflects a 11.5% cap rate, 15% stress to the TTM October
2023 NOI, and factors a 100% probability of default due to the
loan's heightened maturity default risk.
The third-largest contributor to overall loss expectations in GSMS
2015-GC32 is the Shops at 69th Street loan, secured by a 128,149-sf
mixed use property located in Upper Darby, PA. Major tenants
include Delaware County Services (41.9% of NRA through July 2025),
Fashion Gallery (15.5%; January 2027) and Old Navy (9.5%; August
2027). The largest tenant's lease expiration is coterminous with
the loan's July 2025 maturity.
Per the December 2024 rent roll, the property was 71.3% occupied,
unchanged from YE 2023, compared to 75% at YE 2022 and YE 2021, and
100% at YE 2020. Occupancy decreased when the Harris School of
Business, formerly occupying 25% of the NRA, vacated at the end of
2020, and has not recovered since.
The servicer-reported NOI DSCR remains low at 0.47x as of Q3 2024,
compared to 0.58x at YE 2023, 0.82x at YE 2022, 0.94x at YE 2021
and 1.10x at YE 2020.
Fitch's 'Bsf' rating case of 42.0% (prior to concentration add-ons)
reflects a 9% cap rate, 30% stress to the YE 2023 NOI, and factors
a 100% probability of default due to the low occupancy, high
upcoming rollover, and loan's heightened maturity default risk.
Increased CE: As of the February 2025 distribution date, the pool's
aggregate balance for CGCMT 2015-GC29 reduced by 52.8% to $527.4
million from $1.1 billion at issuance. Six loans (6.5% of pool)
have been defeased. Two loans (45%) are full-term interest-only
(IO), and the remaining 55% of the pool is amortizing. One loan
(0.3%) had a scheduled maturity date in 2024, while the rest of the
loans in the pool (99.7%) are scheduled to mature in 2025.
As of the February 2025 distribution date, the pool's aggregate
balance for GSMS 2015-GC32 has been reduced by 28.9% to $712.9
million from $1.0 billion at issuance. Thirteen loans (27.7% of
pool) have been defeased. Five loans (7%) are full-term IO, and the
remaining 93% of the pool is amortizing. All loans are scheduled to
mature in 2025.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to classes rated 'AAAsf' 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;
- Downgrades to the 'AAsf' and 'Asf' categories, especially those
with Negative Outlooks, may occur with outsized losses beyond
Fitch's expectations on the FLOCs/specially serviced loans,
including Selig Office Portfolio, Parkchester Commercial, 170
Broadway, and 400 Plaza Drive in CGCMT 2015-GC29, and Hilton Garden
Inn Pittsburgh, Selig Office Portfolio, Shops at 69th Street,
Sysmex Way, and Midwest Retail Portfolio in GSMS 2015-GC32, and
with limited to no improvement in these classes' CE;
- Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are
likely with higher-than-expected losses from continued
underperformance of the FLOCs and/or with greater certainty of
losses on the specially serviced loans and/or FLOCs;
- Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur
should additional loans transfer to special servicing and/or
default, as losses be realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE, coupled with
stable-to-improved pool-level loss expectations and improved
performance on the FLOCs including Selig Office Portfolio,
Parkchester Commercial, 170 Broadway, and 400 Plaza Drive in CGCMT
2015-GC29, and Hilton Garden Inn Pittsburgh, Selig Office
Portfolio, Shops at 69th Street, Sysmex Way, and Midwest Retail
Portfolio in GSMS 2015-GC32;
- Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is a likelihood for interest shortfalls;
- Upgrades to 'BBsf' and 'Bsf' category-rated classes could occur
only if the performance of the remaining pool is stable, recoveries
on the FLOCs are better than expected, and there is sufficient CE
to the classes;
- Upgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes are not
likely, but may be possible with better-than-expected recoveries on
specially serviced loans and/or significantly higher values on
FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
COLT 2025-3: 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 COLT 2025-3 Mortgage
Loan Trust (COLT 2025-3).
Entity/Debt Rating Prior
----------- ------ -----
COLT 2025-3
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
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
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The COLT 2025-3 Mortgage Loan Trust certificates are supported by
620 nonprime loans with a total balance of approximately $384.6
million as of the cutoff date.
Loans in the pool were originated by multiple originators,
including The Loan Store Inc. The loans were aggregated by Hudson
Americas L.P. and are being serviced by Select Portfolio Servicing,
Inc. (SPS) and Fay Servicing LLC (Fay).
Since the publication of the presale and expected ratings, Hudson
provided an updated pricing structure. The pricing structure
reflected a 35bp coupon decrease for the A-1, A-2, and M-1 classes,
30bp decrease for the A-3 class, and an 18bp decrease for the B-1,
leading to a 33bp increase in excess spread. Additionally, the B-1
class changed from paying a fixed rate coupon to a variable rate
coupon. There were no changes to the priority of payments, credit
enhancement, or expected ratings.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 9.8% above a long-term sustainable
level (versus 11.1% on a national level as of 3Q24, down 0.5% qoq,
based on Fitch's updated view on sustainable home prices). Housing
affordability is at its worst levels in decades, driven by both
high interest rates and elevated home prices. Home prices increased
3.8% yoy nationally as of November 2024, notwithstanding modest
regional declines, but are still being supported by limited
inventory.
COLT 2025-3 has a combined original loan-to-value ratio (cLTV) of
72.7%, slightly higher than that of the previous transaction, COLT
2025-1. Based on Fitch's updated view of housing market
overvaluation, this pool's sustainable LTV (sLTV) is 80.7%,
compared with 80.4% for the previous transaction.
Non-QM Credit Quality (Negative): The collateral consists of 620
loans totaling $384.6 million and seasoned at approximately three
months in aggregate, as calculated by Fitch. The borrowers have a
moderate credit profile, consisting of a 744 model FICO, and
moderate leverage, with an 80.7% sLTV and a 72.7% cLTV.
Of the pool, 56.0% of the loans are for primary residences, while
44.0% are for investor properties or second homes, as calculated by
Fitch. Additionally, 64.0% are nonqualified mortgages (non-QMs, or
NQMs) and 1.1% are safe-harbor qualified mortgages (SHQM). The QM
rule does not apply to the remainder.
Fitch's expected loss in the 'AAAsf' stress is 19.25%. This is
mainly driven by the NQM/nonprime collateral and the concentration
of investor cash flow product (debt service coverage ratio [DSCR])
loans.
Loan Documentation and DSCR Loans (Negative): About 94.0% of loans
in the pool were underwritten to less than full documentation, and
73.7% were underwritten to a bank statement program for verifying
income, which is not consistent with Fitch's view of a full
documentation program. Its treatment of alternative loan
documentation increased 'AAAsf' expected losses by approximately
66.1% compared with a transaction with 100% fully documented
loans.
The originator's investor cash flow program accounts for 41 loans,
or 2.6%, targeting real estate investors qualified on a DSCR basis.
These business-purpose loans are available to real estate investors
qualified on a cash flow basis, rather than a debt-to-income (DTI)
basis. Borrower income and employment are not verified. Fitch's
average expected losses for DSCR loans are 43.4% in the 'AAAsf'
stress.
Modified Sequential-Payment Structure with Limited Advancing
(Mixed): The structure distributes principal pro rata among the
senior certificates 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 A-1, A-2 and A-3 certificates until they are reduced to
zero.
Advances of delinquent principal and interest (P&I) will be made on
mortgage loans serviced by SPS and Fay for the first 90 days of
delinquency, to the extent such advances are deemed recoverable. If
the P&I advancing party fails to make a required advance, the
master servicer will be obligated to make such advance.
The limited advancing reduces loss severities, as a lower amount is
repaid to the servicer when a loan liquidates and liquidation
proceeds are prioritized to cover principal repayment over accrued
but unpaid interest. However, the additional stress on the
structure represents downside risk, as there is limited liquidity
in the event of large and extended delinquencies.
COLT 2025-3 has a step-up coupon for the senior classes (A-1, A-2
and A-3). After four years, the senior classes pay the lower of a
100 basis points (bps) increase to the fixed coupon or the net
weighted average coupon (NWAC) rate. Any class B-3 interest
distribution amount will be distributed to class A-1, A-2 and A-3
certificates on and after the step-up date if the cap carryover
amount is greater than zero. This increases the P&I allocation for
the senior classes.
The structure differs slightly from that of the previous COLT
2025-1 transaction. The A-1 class, which was split into two
classes, A-1A and A-1B, has reverted to just an A-1 class,
consistent with COLT 2024-7 and prior Fitch-rated transactions.
There have been no additional changes to the principal waterfall or
priority of payments.
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 41.4% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. 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 of 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, Canopy, Clarifii, Consolidated Analytics,
Evolve, Maxwell, Opus, 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 was given at the loan level for each loan
where satisfactory due diligence was completed. This adjustment
resulted in a 49bps reduction to the 'AAA' expected loss.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
COMM 2015-LC21: DBRS Cuts Class F Certs Rating to C
---------------------------------------------------
DBRS Limited downgraded its credit ratings on five classes of
Commercial Mortgage Pass-Through Certificates, Series 2015-LC21
issued by COMM 2015-LC21 Mortgage Trust as follows:
-- Class D to BB (high) (sf) from BBB (low) (sf)
-- Class E to CCC (sf) from B (sf)
-- Class F to C (sf) from CCC (sf)
-- Class X-C to BBB (low) (sf) from BBB (sf)
-- Class X-D to CCC (sf) from B (high) (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-M at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (sf)
The trends on Classes D and X-C are Negative. The trends on the
remaining classes are Stable with the exception of Classes E, F,
and X-D, which have credit ratings that do not typically carry
trends in commercial mortgage-backed securities (CMBS) credit
ratings.
The credit rating downgrades on Classes E and F reflect Morningstar
DBRS' recovery expectations for the two loans, representing 6.6% of
the pool, in special servicing and concerns surrounding the
refinancing prospects of select loans in the pool, as loans
representing 92.8% of the pool have maturity dates in the next 12
months. To date, there have been realized losses of approximately
$18.4 million, eroding the nonrated Class G certificate by
approximately 45.0% to $22.9 million. In its analysis, Morningstar
DBRS applied a 15.0% haircut to the most recent value on the real
estate owned Honeywell Building loan (Prospectus ID#27, 2.0% of the
pool), resulting in an implied loss of $12.4 million (loss severity
of 77.0%) and applied a 70.0% haircut on the issuance appraised
value on the Meridian at Brentwood loan (Prospectus ID#3, 4.6% of
the pool), resulting in implied losses of $22.3 million (loss
severity of approximately 60.0%). The results of the liquidation
scenarios suggest that realized losses would be contained to the
Class F certificate, supporting the credit rating downgrades to CCC
(sf) and C (sf).
In addition to the estimated losses on the two specially serviced
loans, Morningstar DBRS identified loans representing approximately
30.0% of the pool that are exhibiting increased refinance risk. To
account for the loans' increased risk profile, Morningstar DBRS
increased the probability of default (POD) and/or applied stressed
loan-to-value ratios (LTVs), resulting in a weighted-average
expected loss approximately 1.6 times (x) greater than the pool
average. The credit rating downgrade and Negative trend on Class D
reflects the increased credit risk for the identified loans and the
potential for further value deterioration in the event they are
unable to pay off at maturity.
As of the February 2025 remittance, 76 of the original 103 loans
remain in the pool, reflecting a collateral reduction of 39.6%
since issuance. The pool benefits from 20 loans, representing 18.8%
of the pool, that are fully defeased. In addition to the two loans
in special servicing, there are 28 loans, representing 40.2% of the
pool, on the servicer's watchlist, the majority of which are being
monitored for low debt service coverage ratio (DSCR) and upcoming
loan maturity. Seven loans, representing 16.4% of the pool, are
secured by office properties. While the pool's office concentration
is moderate, the majority of the office loans report net cash flow
declines from issuance, suggesting that the prospect of successful
loan pay offs is unlikely. The pool's two largest office loans
being monitored on the servicer's watchlist are Santa Monica Clock
Tower (Prospectus ID#8, 3.3% of the pool) and Delaware Corporate
Center I & II (Prospectus ID#9, 2.9% of the pool).
Santa Monica Clock Tower, secured by a 55,000-square-foot (sf)
office property in Santa Monica, California, has been monitored on
the watchlist since September 2023 due to low DSCR. Occupancy
continues to decline year-over-year, most recently reported at
42.7% as of June 2024, after its second-largest tenant (previously
16.1% of net rentable area (NRA)) vacated in early 2024. DSCR has
dropped below breakeven as of the June 2024 financials, with the
loan scheduled to mature in May 2025. Morningstar DBRS believes the
loan will default at its maturity and analyzed the loan with a
stressed POD and LTV of 109.0%, which reflects a 50.0% haircut to
its issuance value. The resulting expected loss is approximately
1.8x greater than the pool average.
Delaware Corporate Center I & II, secured by a 200,000-sf suburban
office property in Wilmington, Delaware, continues to be monitored
for low DSCR following the departure of its former largest tenant
in 2022. Occupancy has declined to 72.0% as of September 2024 and
DSCR has fallen below breakeven. Backfilling the vacant space will
likely be challenging given the submarket's vacancy rate exceeds
20.0%, according to Reis, Inc. Additionally, the property's value
has likely declined, as a nearby comparable property securitized in
the WFCM 2015-C28 transaction (rated by Morningstar DBRS) was
re-appraised in February 2024 at a value of approximately $73 per
square foot (psf). Morningstar DBRS believes the loan is unlikely
to pay off at its May 2025 maturity and analyzed this loan with an
elevated POD and stressed LTV exceeding 150.0%, in line with the
value psf of the identified comparable property. The resulting
expected loss is approximately 3.5x greater than the pool average.
The largest loan in special servicing, Meridian at Brentwood, is
secured by a 242,000-sf mixed use property in Brentwood, Missouri.
The loan transferred to special servicing in June 2023 as a result
of nonmonetary default related to the borrower's noncompliance with
the initiation of cash management, which was triggered after the
property's largest tenant, BJC Health System (BJC), failed to renew
its lease prior to its original 2022 expiration. BJC opted to sign
a short-term lease, downsizing its space to 39.4% of NRA, with a
lease expiry in December 2025. According to the September 2024 rent
roll, BJC now occupies 51.8% of the NRA after it signed a lease for
30,000 sf (12.4% of NRA) through 2035, temporarily increasing
occupancy to 94.0%. It is unclear whether BJC will extend its lease
for the space that is scheduled to expire in December 2025;
however, if that space is vacated, occupancy would decline to
approximately 54.6%. Given the property's low YE2023 DSCR of 0.27x
and the potential for occupancy to decline further, Morningstar
DBRS analyzed the loan using a liquidation scenario, applying a
70.0% haircut to the loan's issuance value, resulting in implied
losses exceeding $22.0 million (loss severity of approximately
60.0%).
Notes: All figures are in U.S. dollars unless otherwise noted.
GLS AUTO 2022-3: S&P Affirms BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings raised its ratings on five classes of notes and
affirmed its rating on one class of notes from GLS Auto Receivables
Issuer Trust (GCAR) 2022-2 and 2022-3. These ABS transactions are
backed by subprime retail auto loan receivables originated and
serviced by Global Lending Services LLC (GLS).
The rating actions reflect:
-- Each transaction's collateral performance to date and S&P's
expectations regarding future collateral performance;
-- S&P's revised cumulative net loss (CNL) expectations and the
transactions' structures and credit enhancement levels; and
-- Other credit factors, including credit stability, payment
priorities under various scenarios, and sector- and issuer-specific
analyses, including our most recent macroeconomic outlook, which
incorporates a baseline forecast for U.S. GDP and unemployment.
Considering all of these factors, S&P believes the notes'
creditworthiness is consistent with the rating actions.
The GCAR 2022-2 and 2022-3 transactions are performing marginally
worse than S&P's prior CNL expectations. As a result, it revised
and increased its expected CNLs for these transactions
Table 1
Collateral performance (%)(i)
Pool 60+ day
Series Mo. factor CGL CRR CNL delinq. Ext.
2022-2 32 32.82 25.48 35.58 16.42 7.99 3.49
2022-3 29 37.08 24.57 34.36 16.13 8.49 3.67
(i)As of March 2025 distribution date.
Mo.--Month.
CGL--Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
Delinq.--Delinquencies.
Ext.--Extensions.
Table 2
CNL expectations (%)
Original Prior revised Revised
lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.
2022-2 16.75 20.25 20.50
2022-3 16.75 20.75 21.25
(i)Revised in March 2024.
CNL exp.--Cumulative net loss expectations.
Each transaction has a sequential principal payment structure--in
which the notes are paid principal by seniority--that will increase
the credit enhancement for the senior notes as the pool amortizes.
Each transaction also has credit enhancement consisting of a
non-amortizing reserve account, overcollateralization,
subordination for the more senior classes, and excess spread. As of
the February 2024 distribution date, each transaction is at its
specified reserve and overcollateralization targets.
Table 3
Hard credit enhancement(i)
Total hard Current total
CE at hard CE
Series Class issuance (%) (% of current)
2022-2 C 30.50 82.72
2022-2 D 17.20 42.20
2022-2 E 9.95 20.12
2022-3 C 28.60 74.22
2022-3 D 15.30 38.35
2022-3 E 7.40 17.04
(i)As of the March 2025 distribution date. Consists of
overcollateralization and a reserve account, and if applicable,
subordination. Excludes excess spread, which can also provide
additional enhancement.
CE--Credit enhancement.
S&P said, "We incorporated an analysis of the current hard credit
enhancement compared to the remaining expected CNLs for those
classes in which hard credit enhancement alone--without credit to
the stressed excess spread--was sufficient, in our view, to raise
or affirm the ratings on the notes. For the other classes, we
incorporated a cash flow analysis to assess the loss coverage
level, giving credit to stressed excess spread. Our various cash
flow scenarios included forward-looking assumptions on recoveries,
timing of losses, and voluntary absolute prepayment speeds that we
believe are appropriate, given each transaction's performance to
date.
"In addition to our break-even cash flow analysis, we also
conducted sensitivity analyses to determine the impact that a
moderate ('BBB') stress scenario would have on our ratings if
losses began trending higher than our revised base-case loss
expectations.
"In our view, the cash flow results demonstrated that the classes
have adequate credit enhancement at the raised and affirmed rating
levels, which is based on our analysis as of the collection period
ended February 2025 (the March 2025 distribution date).
"We will continue to monitor the performance of each transaction to
ensure that the credit enhancement remains sufficient, in our view,
to cover our CNL expectations under our stress scenarios for each
of the rated classes."
RATINGS RAISED
GLS Auto Receivables Issuer Trust
Rating
Series Class To From
2022-2 C AAA (sf) AA (sf)
2022-2 D AA+ (sf) BBB+ (sf)
2022-2 E BB+ (sf) BB-(sf)
2022-3 C AAA (sf) AA- (sf)
2022-3 D A+ (sf) BBB (sf)
RATING AFFIRMED
GLS Auto Receivables Issuer Trust
Series Class Rating
2022-3 E BB- (sf)
GREYWOLF CLO V: S&P Raises Class D-R Notes Rating to BB- (sf)
-------------------------------------------------------------
S&P Global Ratings raised its ratings on the class A-2-R, B-R, and
C-R debt from Greywolf CLO V Ltd., a broadly syndicated CLO managed
by Greywolf Loan Management L.P., a subsidiary of Greywolf Capital
Management L.P. (Greywolf). At the same time, S&P affirmed its
ratings on the classes A-1-R and D-R debt from the same
transaction.
The rating actions follow our review of the transaction's
performance using data from the January 2025 administrator report.
The transaction has paid down $364.58 million in paydowns to the
class A-1-R debt since S&P's June 2022 rating actions. These
paydowns improved the reported overcollateralization (O/C) ratios:
-- The class A (A-1-R and A-2-R) O/C ratio improved to 165.54%
from 133.21% as per the April 2022 trustee report that S&P used for
its June 2022 rating actions.
-- The class B-R O/C ratio improved to 133.76% from 121.52%.
-- The class C-R O/C ratio improved to 115.35% from 113.26%.
-- The class D-R O/C ratio has declined to 105.65% from 108.34%.
-- All O/C ratios, except for that of the class D-R debt,
experienced a positive movement due to the lower balance of the
most senior note; consequently, the credit support increased.
Since S&P's last review, it notes that while the 'CCC' collateral
obligations have decreased in absolute monetary terms to $38.25
million from $45.63 million reported in the April 2022
administrator report as of January 2025, it comprises a higher
relative exposure to 'CCC' obligations, which now account for 10.4%
of the portfolio, compared to 6.5% at the time of our last review.
The upgrades reflect the improved credit support available to the
A-2-R, B-R, and C-R debt; the affirmed ratings reflect adequate
credit support at the current rating levels, though any
deterioration in the credit support available to the class D-R debt
might result in a rating change.
S&P said, "Our cash flow analysis indicated potential for higher
ratings for the class B-R and C-R debt. However, we believe that
the subordined position of both may expose them to a higher rating
migration compared to more senior classes in the event of potential
portfolio volatility. Our rating actions reflect additional
sensitivity runs that considered the exposure to lower-quality
assets and distressed prices we noticed in the portfolio.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with these rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and will take rating actions as we deem
necessary."
Ratings Raised
Greywolf CLO V Ltd.
Class A-2-R to AAA (sf) from AA (sf)
Class B-R to AA+ (sf) from A (sf)
Class C-R to BBB+ (sf) from BBB- (sf)
Ratings Affirmed
Greywolf CLO V Ltd.
Class A-1-R: AAA (sf)
Class D-R: BB- (sf)
GS MORTGAGE 2025-PJ2: DBRS Finalizes B(low) Rating on B-5 Notes
---------------------------------------------------------------
DBRS, Inc. finalized the following provisional credit ratings on
the Mortgage-Backed Notes, Series 2025-PJ2 (the Notes) issued by GS
Mortgage-Backed Securities Trust 2025-PJ2:
-- $275.1 million Class A-1 at AAA (sf)
-- $275.1 million Class A-2 at AAA (sf)
-- $275.1 million Class A-3 at AAA (sf)
-- $206.3 million Class A-4 at AAA (sf)
-- $206.3 million Class A-5 at AAA (sf)
-- $206.3 million Class A-6 at AAA (sf)
-- $165.0 million Class A-7 at AAA (sf)
-- $165.0 million Class A-8 at AAA (sf)
-- $165.0 million Class A-9 at AAA (sf)
-- $41.3 million Class A-10 at AAA (sf)
-- $41.3 million Class A-11 at AAA (sf)
-- $41.3 million Class A-12 at AAA (sf)
-- $110.0 million Class A-13 at AAA (sf)
-- $110.0 million Class A-14 at AAA (sf)
-- $110.0 million Class A-15 at AAA (sf)
-- $68.8 million Class A-16 at AAA (sf)
-- $68.8 million Class A-17 at AAA (sf)
-- $68.8 million Class A-18 at AAA (sf)
-- $21.8 million Class A-19 at AAA (sf)
-- $21.8 million Class A-20 at AAA (sf)
-- $21.8 million Class A-21 at AAA (sf)
-- $296.9 million Class A-22 at AAA (sf)
-- $296.9 million Class A-23 at AAA (sf)
-- $296.9 million Class A-24 at AAA (sf)
-- $296.9 million Class A-25 at AAA (sf)
-- $296.9 million Class A-X-1 at AAA (sf)
-- $275.1 million Class A-X-2 at AAA (sf)
-- $275.1 million Class A-X-3 at AAA (sf)
-- $275.1 million Class A-X-4 at AAA (sf)
-- $206.3 million Class A-X-5 at AAA (sf)
-- $206.3 million Class A-X-6 at AAA (sf)
-- $206.3 million Class A-X-7 at AAA (sf)
-- $165.0 million Class A-X-8 at AAA (sf)
-- $165.0 million Class A-X-9 at AAA (sf)
-- $165.0 million Class A-X-10 at AAA (sf)
-- $41.3 million Class A-X-11 at AAA (sf)
-- $41.3 million Class A-X-12 at AAA (sf)
-- $41.3 million Class A-X-13 at AAA (sf)
-- $110.0 million Class A-X-14 at AAA (sf)
-- $110.0 million Class A-X-15 at AAA (sf)
-- $110.0 million Class A-X-16 at AAA (sf)
-- $68.8 million Class A-X-17 at AAA (sf)
-- $68.8 million Class A-X-18 at AAA (sf)
-- $68.8 million Class A-X-19 at AAA (sf)
-- $21.8 million Class A-X-20 at AAA (sf)
-- $21.8 million Class A-X-21 at AAA (sf)
-- $21.8 million Class A-X-22 at AAA (sf)
-- $296.9 million Class A-X-23 at AAA (sf)
-- $296.9 million Class A-X-24 at AAA (sf)
-- $296.9 million Class A-X-25 at AAA (sf)
-- $296.9 million Class A-X-26 at AAA (sf)
-- $15.9 million Class B-1A at AA (low) (sf)
-- $15.9 million Class B-X-1 at AA (low) (sf)
-- $15.9 million Class B-1 at AA (low) (sf)
-- $4.5 million Class B-2A at A (low) (sf)
-- $4.5 million Class B-X-2 at A (low) (sf)
-- $4.5 million Class B-2 at A (low) (sf)
-- $3.1 million Class B-3 at BBB (low) (sf)
-- $1.6 million Class B-4 at BB (low) (sf)
-- $647,000 Class B-5 at B (low) (sf)
Morningstar DBRS discontinued and withdrew its credit ratings on
Classes A-1L, A-2L, and A-3L Loans initially contemplated in the
offering documents, as they were not issued at closing.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-1L, A-2L, and A-3L are
super senior notes or loans. These classes benefit from additional
protection from the senior support note (Class A-21) with respect
to loss allocation.
Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The
class balances represent notional amounts.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13,
A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2,
A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15,
A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and
B-2 are exchangeable notes. These classes can be exchanged for
combinations of exchange notes as specified in the offering
documents.
The AAA (sf) credit ratings on the Notes reflect 8.25% of credit
enhancement provided by subordinated notes. The AA (low) (sf), A
(low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit
ratings reflect 3.35%, 1.95%, 1.00%, 0.50%, and 0.30% credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction
This securitization is of a portfolio of first-lien fixed-rate
prime residential mortgages funded by the issuance of the
Mortgage-Backed Notes, Series 2025-PJ2 (the Notes). The Notes are
backed by 256 loans with a total principal balance of $323,627,565
as of the Cut-Off Date.
The pool consists of first-lien, fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of 30 years. The
weighted-average (WA) original combined loan-to-value (CLTV) for
the portfolio is 68.2%. In addition, all the loans in the pool were
originated in accordance with the general Qualified Mortgage (QM)
rule subject to the average prime offer rate designation.
The mortgage loans are originated by United Wholesale Mortgage, LLC
(UWM; 39.6%), CMG Mortgage, Inc. DBA CMG Financial (CMG, 15.1%),
PennyMac Loan Services, (12.8%), and various other
originators, each comprising less than 10.0% of the pool.
The mortgage loans will be serviced by Newrez, LLC (Newrez), doing
business as (dba) Shellpoint Mortgage Servicing (Shellpoint; 75.7%)
and PennyMac Loan Services (PennyMac; 19.9%).
Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act
as the Master Servicer. Computershare Trust Company, N.A. will act
as the Paying Agent, Loan Agent, Custodian, and Collateral Trustee.
Computershare Delaware Trust Company will act as Delaware Trustee.
Pentalpha Surveillance LLC (Pentalpha) will serve as the File
Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
This transaction allows for the issuance of Classes A-1L, A-2L and
A-3L loans which are the equivalent of ownership of Classes A-1,
A-2 and A-3 Notes, respectively. These classes are issued in the
form of a loan made by the investor instead of a note purchased by
the investor. If these loans are funded at closing, the holder may
convert such class into an equal aggregate debt amount of the
corresponding Notes. There is no change to the structure if these
Classes are elected.
In 2024, the Maryland Appellate Court ruled that a statutory trust
that held a defaulted HELOC must be licensed as both an Installment
Lender and a Mortgage Lender under Maryland law prior to proceeding
to foreclosure on the HELOC. On January 10, 2025, the Maryland
Office of Financial Regulation ("OFR") issued emergency regulations
that apply the decision to all secondary market assignees of
Maryland consumer-purpose mortgage loans, and specifically require
"passive trusts" that acquire or take assignment of Maryland
mortgage loans that are serviced by others to be licensed. While
the emergency regulations became effective immediately, OFR
indicated that enforcement would be suspended until April 10, 2025.
The emergency regulations will expire on June 16, 2025, and the OFR
has submitted the same provisions as the proposed, permanent
regulations for public comment. Failure of the Issuer to obtain the
appropriate Maryland licenses may result in the Maryland OFR taking
administrative action against the Issuer and/or other transaction
parties, including assessing civil monetary penalties and issuing a
cease and desist order. Further, there may be delays in payments
on, or losses in respect of, the Notes if the Issuer or Servicer
cannot enforce the terms of a Mortgage Loan or proceed to
foreclosure in connection with a Mortgage Loan secured by a
Mortgaged Property located in Maryland, or if the Issuer is
required to pay civil penalties.
There is one loan (0.3% of the pool) that is a Maryland
consumer-purpose mortgage loan.
Notes: All figures are in US dollars unless otherwise noted.
GS MORTGAGE 2025-PJ3: Moody's Gives (P)B2 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 63 classes of
residential mortgage-backed securities (RMBS) to be issued by GS
Mortgage-Backed Securities Trust 2025-PJ3, and sponsored by Goldman
Sachs Mortgage Company (GSMC).
The securities are backed by a pool of prime jumbo (92.4% by
balance) and GSE-eligible (7.6% by balance) residential mortgages
aggregated by GSMC, including loans aggregated by MAXEX Clearing
LLC (MAXEX; 7.5% by loan balance) and originated and serviced by
multiple entities.
The complete rating actions are as follows:
Issuer: GS Mortgage-Backed Securities Trust 2025-PJ3
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aaa (sf)
Cl. A-20, Assigned (P)Aaa (sf)
Cl. A-21, Assigned (P)Aaa (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. A-25, Assigned (P)Aaa (sf)
Cl. A-X-1*, Assigned (P)Aaa (sf)
Cl. A-X-2*, Assigned (P)Aaa (sf)
Cl. A-X-3*, Assigned (P)Aaa (sf)
Cl. A-X-4*, Assigned (P)Aaa (sf)
Cl. A-X-5*, Assigned (P)Aaa (sf)
Cl. A-X-6*, Assigned (P)Aaa (sf)
Cl. A-X-7*, Assigned (P)Aaa (sf)
Cl. A-X-8*, Assigned (P)Aaa (sf)
Cl. A-X-9*, Assigned (P)Aaa (sf)
Cl. A-X-10*, Assigned (P)Aaa (sf)
Cl. A-X-11*, Assigned (P)Aaa (sf)
Cl. A-X-12*, Assigned (P)Aaa (sf)
Cl. A-X-13*, Assigned (P)Aaa (sf)
Cl. A-X-14*, Assigned (P)Aaa (sf)
Cl. A-X-15*, Assigned (P)Aaa (sf)
Cl. A-X-16*, Assigned (P)Aaa (sf)
Cl. A-X-17*, Assigned (P)Aaa (sf)
Cl. A-X-18*, Assigned (P)Aaa (sf)
Cl. A-X-19*, Assigned (P)Aaa (sf)
Cl. A-X-20*, Assigned (P)Aaa (sf)
Cl. A-X-21*, Assigned (P)Aaa (sf)
Cl. A-X-22*, Assigned (P)Aaa (sf)
Cl. A-X-23*, Assigned (P)Aaa (sf)
Cl. A-X-24*, Assigned (P)Aaa (sf)
Cl. A-X-25*, Assigned (P)Aaa (sf)
Cl. A-X-26*, Assigned (P)Aaa (sf)
Cl. B-1, Assigned (P)Aa2 (sf)
Cl. B-1A, Assigned (P)Aa2 (sf)
Cl. B-X-1*, Assigned (P)Aa2 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-2A, Assigned (P)A2 (sf)
Cl. B-X-2*, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba2 (sf)
Cl. B-5, Assigned (P)B2 (sf)
Cl. A-1L Loans, Assigned (P)Aaa (sf)
Cl. A-2L Loans, Assigned (P)Aaa (sf)
Cl. A-3L Loans, Assigned (P)Aaa (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.35%, in a baseline scenario-median is 0.17% and reaches 4.41% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in July 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
HALCYON LOAN 2015-1: Moody's Lowers Rating on $30MM D Notes to B2
-----------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Halcyon Loan Advisors Funding 2015-1 Ltd.:
US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class D Notes") (current outstanding balance
of $8,875,024.94), Downgraded to B2 (sf); previously on April 5,
2024 Downgraded to Ba2 (sf)
Halcyon Loan Advisors Funding 2015-1 Ltd., originally issued in
April 2015 and partially refinanced in October 2017, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2019.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating action on the Class D notes reflects the
specific risks to the notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculations, the OC ratio for the Class D notes is 89.49%
versus April 2024 level of 100.94%. Furthermore, Moody's calculated
weighted average rating factor (WARF) and weighted average spread
(WAS) have been deteriorating and the current levels are 4729 and
2.96%, respectively, compared to 4350 and 3.65%, respectively, in
April 2024.
No actions were taken on the Class E and Class F notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations." In addition,
because of the collateral pool's low diversity, Moody's used
CDOROM™ to simulate a default distribution that it then used as
an input in the cash flow model.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $8,009,278
Defaulted par: $4,729,872
Diversity Score: 5
Weighted Average Rating Factor (WARF): 4729
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.96%
Weighted Average Recovery Rate (WARR): 48.94%
Weighted Average Life (WAL): 1.1 years
Par haircut in OC tests and interest diversion test: 20.2%
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 "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
HALCYON LOAN 2015-2: Moody's Lowers Rating on 2 Tranches to Ba3
---------------------------------------------------------------
Moody's Ratings has downgraded the ratings on the following notes
issued by Halcyon Loan Advisors Funding 2015-2 Ltd.:
US$19,250,000 Class D-1-R Secured Deferrable Floating Rate Notes
due 2027 (current outstanding balance of $7,998,316.30), Downgraded
to Ba3 (sf); previously on July 22, 2022 Upgraded to Baa3 (sf)
US$13,500,000 Class D-2-R Secured Deferrable Floating Rate Notes
due 2027 (current outstanding balance of $5,609,208.83), Downgraded
to Ba3 (sf); previously on July 22, 2022 Upgraded to Baa3 (sf)
US$26,000,000 Class E Secured Deferrable Floating Rate Notes due
2027 (current outstanding balance of $31,974,615.83), Downgraded to
C (sf); previously on December 22, 2023 Downgraded to Ca (sf)
Halcyon Loan Advisors Funding 2015-2 Ltd., originally issued in
June 2015 and partially refinanced in October 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 2019.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating action on the Classes D-1-R, D-2-R and E notes
reflects the specific risks to the notes posed by par loss and
credit deterioration observed in the underlying CLO portfolio.
Based on the trustee's February 2025[1] report, the OC ratios for
the Class D-1-R/D-2-R and E notes are reported at 108.48% and
32.38% versus February 2024[2] levels of 110.24% and 61.06%,
respectively. Furthermore, the trustee-reported weighted average
rating factor (WARF) and weighted average spread (WAS) have been
deteriorating and the current levels[1] are 5158 and 3.81%,
respectively, compared to 4512 and 4.72%, respectively, in February
2024[2].
No actions was taken on the Class F notes because their expected
losses remain commensurate with their current rating, after taking
into account the CLO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations." In addition,
because of the collateral pool's low diversity, Moody's used
CDOROM™ to simulate a default distribution that it then used as
an input in the cash flow model.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $13,780,786
Defaulted par: $5,524,356
Diversity Score: 6
Weighted Average Rating Factor (WARF): 4449
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.70%
Weighted Average Coupon (WAC): 14.50%
Weighted Average Recovery Rate (WARR): 46.97%
Weighted Average Life (WAL): 1.2 years
Par haircut in OC tests and interest diversion test: 2.4%
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and, lower recoveries on defaulted assets.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
HERTZ VEHICLE III: Moody's Assigns Ba2 Rating to 2025-1 D Notes
---------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to the series
2025-1 and series 2025-2 rental car asset-backed notes issued by
Hertz Vehicle Financing III LLC (HVF III, or the issuer), which is
Hertz's rental car ABS master trust facility.
The series 2025-1 notes and the series 2025-2 notes have an
expected final payment date in three and five years, respectively.
HVF III is a Delaware limited liability company, a
bankruptcy-remote special purpose entity, and a direct subsidiary
of The Hertz Corporation (Hertz, B2 negative). The collateral
backing the notes consists of a fleet of vehicles and a single
operating lease of the fleet to Hertz for use in its rental car
business, as well as certain manufacturer and incentive rebate
receivables owed to the issuer by the original equipment
manufacturers (OEMs).
The complete rating actions are as follows:
Issuer: Hertz Vehicle Financing III LLC
Series 2025-1 Rental Car Asset Backed Notes, Class A, Definitive
Rating Assigned Aaa (sf)
Series 2025-1 Rental Car Asset Backed Notes, Class B, Definitive
Rating Assigned A1 (sf)
Series 2025-1 Rental Car Asset Backed Notes, Class C, Definitive
Rating Assigned Baa3 (sf)
Series 2025-1 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)
Series 2025-2 Rental Car Asset Backed Notes, Class A, Definitive
Rating Assigned Aaa (sf)
Series 2025-2 Rental Car Asset Backed Notes, Class B, Definitive
Rating Assigned A1 (sf)
Series 2025-2 Rental Car Asset Backed Notes, Class C, Definitive
Rating Assigned Baa3 (sf)
Series 2025-2 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The definitive ratings of the notes are based on (1) the credit
quality of the collateral in the form of rental fleet vehicles,
which The Hertz Corporation (Hertz) uses to operate its rental car
business, (2) the credit quality of Hertz, which has a corporate
family rating of B2 with a negative outlook, as the primary lessee
and guarantor under the single operating lease, (3) the experience
and expertise of Hertz as sponsor and administrator, (4)
consideration of the rental car market conditions, with strong
travel demand continuing to underpin rental demand, (5) the
available credit enhancement, which consists of subordination and
over-collateralization, (6) the required minimum liquidity in the
form of cash and/or a letter of credit, and (7) the transaction's
legal structure, including standard bankruptcy remoteness and
security interest provisions.
In addition, the assumptions Moody's applied in the analysis of
this transaction are the same as those applied in the analysis of
the series 2024-1 and series 2024-2, except for the share of
program vehicles. Moody's increased the assumption of program
vehicles to 4.8% from 2.4% due to the recent rapid increase in the
concentration of program vehicles in the fleet and the sponsor's
forecast for 2025. Detailed application of the assumptions is
provided in the methodology.
The required credit enhancement for the series 2025-1 and series
2025-2 notes will be a blended rate, which is a function of us on
the vehicle manufacturers and defined asset categories. The actual
required amount of credit enhancement will fluctuate based on the
mix of vehicles in the securitized fleet. Consistent with prior
transactions, the series will be subject to a credit enhancement
floor of 11.05% in the form of over-collateralization, regardless
of fleet composition. The series 2025-1 and 2025-2 class A, B, and
C notes will also benefit from subordination of 31.5%, 21.5%, and
8.0% of the outstanding balance of each series, respectively. The
minimum liquidity enhancement amount will be around 3.75% of the
outstanding note balance for the series 2025-1 notes and 4.00% for
the series 2025-2 notes, sized to cover six months of interest plus
50 basis points.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings of the series 2025-1 and 2025-2
subordinated notes if (1) the credit quality of the lessee
improves, (2) assumptions of the credit quality of the pool of
vehicles collateralizing the transaction were to improve, as
reflected by a stronger mix of program and non-program vehicles and
stronger credit quality of vehicle manufacturers, or (3) the
residual values of the non-program vehicles collateralizing the
transaction were to increase materially relative to Moody's
expectations.
Down
Moody's could downgrade the ratings of the series 2025-1 and 2025-2
notes if (1) the credit quality of the lessee deteriorates or a
corporate liquidation of the lessee were to occur and introduce
operational complexity in the liquidation of the fleet or other
risks, (2) assumptions of the credit quality of the pool of
vehicles collateralizing the transaction were to weaken, as
reflected by a weaker mix of program and non-program vehicles and
weaker credit quality of vehicle manufacturers, or (3) reduced
demand for used vehicles results in lower sales volumes and sharp
declines in used vehicle prices above Moody's assumed depreciation.
ICG US 2020-1: S&P Affirms 'BB- (sf)' Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-RR, B-RR, and C-RR debt from ICG US CLO 2020-1 Ltd./ICG US CLO
2020-1 LLC, a CLO managed by ICG Debt Advisors LLC that was
originally issued in November 2020 and underwent a refinancing on
Dec. 7, 2021. At the same time, S&P withdrew its ratings on the
class A-R, B-R, and C-R debt following payment in full on the March
14, 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 conformed indenture, which
outlines the terms of the replacement debt. According to the
conformed indenture, the non-call period for the replacement debt
was set to March 16, 2026.
Replacement And December 2021 Debt Issuances
Replacement debt
-- Class A-RR, $244.00 million: Three-month CME term SOFR + 1.10%
-- Class B-RR, $56.00 million: Three-month CME term SOFR + 1.65%
-- Class C-RR, $28.00 million: Three-month CME term SOFR + 2.20%
December 2021 debt
-- Class A-R, $244.00 million: Three-month CME term SOFR +
1.46161%
-- Class B-R, $56.00 million: Three-month CME term SOFR +
2.06161%
-- Class C-R, $28.00 million: Three-month CME term SOFR +
2.46161%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class E-R debt. Given the overall
credit quality of the portfolio and the passing coverage tests, we
affirmed our 'BB- (sf)' rating on the class E-R 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
ICG US CLO 2020-1 Ltd./ICG US CLO 2020-1 LLC
Class A-RR, $244.00 million: AAA (sf)
Class B-RR, $56.00 million: AA (sf)
Class C-RR, $28.00 million: A (sf)
Ratings Withdrawn
ICG US CLO 2020-1, Ltd./ICG US CLO 2020-1, 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
ICG US CLO 2020-1, Ltd./ICG US CLO 2020-1, LLC
Class D-R: 'BBB- (sf)'
Class E-R: 'BB- (sf)'
Other Debt
ICG US CLO 2020-1, Ltd./ICG US CLO 2020-1, LLC
Subordinated notes, $39.80 million: NR
NR--Not rated.
JP MORGAN 2025-2: DBRS Finalizes B(low) Rating on Class B5 Certs
----------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the Mortgage
Pass-Through Certificates, Series 2025-2 (the Certificates) issued
by the J.P. Morgan Mortgage Trust 2025-2 (JPMMT 2025-2):
-- $493.0 million Class A-1 at AAA (sf)
-- $362.2 million Class A-2 at AAA (sf)
-- $362.2 million Class A-3 at AAA (sf)
-- $362.2 million Class A-3-X at AAA (sf)
-- $271.6 million Class A-4 at AAA (sf)
-- $271.6 million Class A-4-A at AAA (sf)
-- $271.6 million Class A-4-X at AAA (sf)
-- $90.5 million Class A-5 at AAA (sf)
-- $90.5 million Class A-5-A at AAA (sf)
-- $90.5 million Class A-5-X at AAA (sf)
-- $217.3 million Class A-6 at AAA (sf)
-- $217.3 million Class A-6-A at AAA (sf)
-- $217.3 million Class A-6-X at AAA (sf)
-- $144.9 million Class A-7 at AAA (sf)
-- $144.9 million Class A-7-A at AAA (sf)
-- $144.9 million Class A-7-X at AAA (sf)
-- $54.3 million Class A-8 at AAA (sf)
-- $54.3 million Class A-8-A at AAA (sf)
-- $54.3 million Class A-8-X at AAA (sf)
-- $40.2 million Class A-9 at AAA (sf)
-- $40.2 million Class A-9-A at AAA (sf)
-- $40.2 million Class A-9-X at AAA (sf)
-- $90.5 million Class A-11 at AAA (sf)
-- $90.5 million Class A-11-X at AAA (sf)
-- $90.5 million Class A-12 at AAA (sf)
-- $90.5 million Class A-13 at AAA (sf)
-- $90.5 million Class A-13-X at AAA (sf)
-- $90.5 million Class A-14 at AAA (sf)
-- $90.5 million Class A-14-X at AAA (sf)
-- $90.5 million Class A-14-X2 at AAA (sf)
-- $90.5 million Class A-14-X3 at AAA (sf)
-- $90.5 million Class A-14-X4 at AAA (sf)
-- $493.0 million Class A-X-1 at AAA (sf)
-- $17.8 million Class B-1 at AA (low) (sf)
-- $17.8 million Class B-1-A at AA (low) (sf)
-- $17.8 million Class B-1-X at AA (low) (sf)
-- $9.6 million Class B-2 at A (low) (sf)
-- $9.6 million Class B-2-A at A (low) (sf)
-- $9.6 million Class B-2-X at A (low) (sf)
-- $5.9 million Class B-3 at BBB (low) (sf)
-- $2.4 million Class B-4 at BB (low) (sf)
-- $1.9 million Class B-5 at B (low) (sf)
Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X,
A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X
are interest-only (IO) certificates. The class balances represent
notional amounts.
Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7,
A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and
B-2 are exchangeable certificates. These classes can be exchanged
for combinations of depositable certificates as specified in the
offering documents.
Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A,
A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior
certificates. These classes benefit from additional protection from
the senior support certificate (Class A-9-A) with respect to loss
allocation.
The AAA (sf) credit ratings on the Certificates reflect 7.45% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 4.10%, 2.30%, 1.20%, 0.75%, and
0.40% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien
fixed-rate prime residential mortgages funded by the issuance of
the Certificates. The Certificates are backed by 397 loans with a
total principal balance of $532,645,316 as of the Cut-Off Date
(February 1, 2025).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average (WA)
loan age of three months. Approximately 93.0% of the loans are
traditional, nonagency, prime jumbo mortgage loans. The remaining
7.0% of the loans are conforming mortgage loans that were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac and were eligible for
purchase by such agencies. Details on the underwriting of
conforming loans can be found in the Key Probability of Default
Drivers section. In addition, all of the loans in the pool were
originated in accordance with the new general Qualified Mortgage
(QM) rule.
United Wholesale Mortgage, LLC (UWM) originated 55.1% of the pool.
Various other originators, each comprising less than 10%,
originated the remainder of the loans. The mortgage loans will be
serviced by Cenlar (55.1%), Shellpoint (35.7%) and PennyMac (8.1%).
For the UWM serviced loans, Cenlar will act as the subservicer. For
the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint
will act as interim servicer until the loans transfer to JPMCB on
the servicing transfer date (June 1, 2025).
For certain Servicers in this transaction, the servicing fee
payable for mortgage loans is composed of three separate
components: the base servicing fee, the delinquent servicing fee,
and the additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.
Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable
trend by Morningstar DBRS) will act as Securities Administrator and
Delaware Trustee. Computershare Trust Company, N.A. (Computershare)
will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will
serve as the Representations and Warranties (R&W) Reviewer.
As of the Closing Date, C.U.P Holdings LLC, or one of its
affiliates, will retain an eligible vertical interest in the
transaction consisting of an uncertificated interest (the EU/UK
Retained Interest) in the Trust representing the right to receive
at least 5.0% of the amounts collected on the mortgage loans, net
of the Trust's fees, expenses, and reimbursements and paid on the
Certificates (other than the Class X and Class A-R Certificates)
and the Retained Interest to satisfy the credit risk retention
requirements in Articles 6(3) of the EU Securitization Regulation
and 6(3) of the UK Securitization Regulation.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
Notes: All figures are in US dollars unless otherwise noted.
KREST COMMERCIAL 2021-CHIP: DBRS Confirms B Rating on E Certs
-------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of KREST
Commercial Mortgage Securities Trust 2021-CHIP, Series 2021-CHIP,
as follows:
-- Class A at AAA (sf)
-- Class X-A at AA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BB (high) (sf)
-- Class E at B (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
underlying collateral's performance, which remains in line with
Morningstar DBRS' expectations since its previous credit rating
action in April 2024. The collateral continues to benefit from
long-term, institutional-quality tenancy from Micron Technology,
Inc. (Micron), which leases the entirety of the property through
2034. While Micron currently subleases approximately 20% of its
space, its lease does not contain any termination options.
The transaction is collateralized by the fee-simple interest in HQ
@ First, a 603,666-square-foot (sf), LEED Gold-certified office
campus in San Jose, California. The $408.0 million whole loan
comprises $230 million in senior debt and $178.0 million in junior
debt. The subject transaction of $267.0 million consists of $89.0
million in senior debt and the entire junior debt. The 10-year,
fixed-rate loan is interest only (IO) and is structured with an
anticipated repayment date of August 2031 and a final maturity date
of November 2034. The sponsor is KKR Real Estate Select Trust Inc.,
a private real estate investment trust for individual investors
sponsored by KKR & Co. Inc., which contributed $136.3 million of
equity to facilitate the subject's acquisition at a purchase price
of $535.0 million.
In 2019, investment-grade tenant Micron executed a 16-year lease
for 100% of the property to serve as its Silicon Valley
headquarters. Micron's lease is structured with 3% annual
contractual rent increases and expires on December 31, 2034. The
lease contains two five-year extension options at fair market rate
as long as the tenant is not in default under the lease. Micron
leased the entire property with the intention of growing into the
space over time but has subleased approximately 20% of the net
rentable area to Zscaler, which uses the space as its headquarters,
until September 2026. Zscaler's sublease is structured with a
contractual expansion option in October 2025. According to Reis,
office properties in the Airport/Milpitas submarket reported a Q4
2024 vacancy rate of 33.3% with an asking rent of $34.30 per sf
(psf), compared with the Q4 2023 vacancy rate of 30.8% and asking
rent of $34.20 psf. Micron's rental rate for 2024 was $43.90 psf.
Based on the most recent financials, the loan reported a debt
service coverage ratio (DSCR) of 2.11 times (x) for the trailing
nine months ended September 30, 2024, compared with the Morningstar
DBRS DSCR of 2.16x at issuance. The Morningstar DBRS net cash flow
(NCF) analysis includes straight-lining of Micron's rent over the
loan term given its consideration as a long-term credit tenant.
Morningstar DBRS' April 2024 credit rating analysis and credit
rating action included an update to the Morningstar DBRS value. For
more information regarding the approach and analysis conducted,
please refer to the press release titled "Morningstar DBRS Takes
Rating Actions on North American Single-Asset/Single-Borrower
Transactions Backed by Office Properties," published on April 15,
2024. For purposes of this credit rating action, Morningstar DBRS
maintained the valuation approach from the April 2024 review, which
was based on a capitalization rate of 7.25% applied to the
Morningstar DBRS NCF of $26.6 million. Morningstar DBRS also
maintained positive qualitative adjustments to the loan-to-value
ratio (LTV) sizing benchmarks totaling 7.0% to reflect the subject
property's quality and long-term in-place tenancy with an
investment-grade tenant. The Morningstar DBRS-concluded value of
$366.7 million represents a -31.8% variance from the issuance
appraised value of $538.0 million and implies a whole loan LTV of
111.3%.
The credit ratings assigned to Classes B and C are higher than the
results implied by the LTV sizing benchmarks. The variances are
warranted given the cash flow stability provided by the long-term
lease with Micron, an investment-grade tenant, as well as the
senior position of the bonds in the capital stack.
Notes: All figures are in U.S. dollars unless otherwise noted.
LCM 26: S&P Lowers Class E Notes Rating to 'B- (sf)'
----------------------------------------------------
S&P Global Ratings took various ratings actions on five classes
from LCM 26 Ltd., a broadly syndicated CLO managed by LCM Asset
Management LLC.
The rating actions follow S&P's review of the transaction's
performance using data from the January 2025 trustee report.
Although the same portfolio backs all of the notes, there can be
circumstances such as this one, where the ratings on the notes move
in opposite directions due to support changes in the portfolio. The
transaction is experiencing opposing rating movements due to its
principal paydowns (which increased the senior credit support),
principal losses, and decline in credit quality (which decreased
the junior credit support).
The transaction has paid down $236.97 million in class A-1 debt
since our August 2023 rating actions. The changes in the reported
overcollateralization (O/C) ratios since the July 2023 trustee
report, which we used in our August 2023 review, include:
-- The class A/B O/C ratio improved to 154.93% from 128.03%.
-- The class C O/C ratio improved to 129.23% from 117.47%.
-- The class D O/C ratio improved to 113.33% from 109.80%.
-- The class E O/C ratio declined to 104.02% from 104.83%.
While the senior O/C ratios experienced positive movements due to
the lower balances of the senior debt, the junior O/C ratio
declined primarily due to par losses.
S&P said, "The collateral portfolio's credit quality has remained
relatively steady since our August 2023 review. Collateral
obligations with ratings in the 'CCC' category decreased to $23.00
million as of the January 2025 trustee report from $40.95 million
reported as of the July 2023 report we used for our previous
review." However, the percentage balance of 'CCC' rated exposure
increased slightly to 7.58% from 7.37% due to the portfolio's
significant amortization. Over the same period, the par amount of
defaulted collateral remained relatively unchanged at $2.38
million.
The upgrades reflect the improved credit support available to the
class B and C debt. The transaction has also benefited from a drop
in the weighted average life due to the underlying collateral's
seasoning, with 3.16 years reported as of the January 2025 trustee
report, compared with 3.99 years reported as of our August 2023
review.
The downgrade reflects the deteriorated credit quality of the
underlying portfolio and the decrease in credit support available
to the class E debt. On a standalone basis, the cash flow results
indicate lower ratings on the class E debt. S&P said, "However, we
believe the E class is currently not dependent on favorable
business, financial, or economic conditions to meet its contractual
obligations of timely interest and ultimate repayment of principal
by the legal final maturity and, thus, does not meet our definition
of 'CCC' risk. However, further increases in defaults or par losses
could lead to potential negative rating actions in the future."
The affirmations reflect the adequate credit support for the class
A-1 and D debt at the current rating levels, though any further
deterioration in the credit support available to the debt could
result in rating actions.
S&P said, "Our cash flow analysis indicated higher ratings for the
class C and D debt. However, because the transaction currently has
some exposure to 'CCC' rated collateral obligations, our rating
actions reflect additional sensitivity runs that considered the
transaction's exposure to lower quality assets in the portfolio to
offset future potential credit migration in the underlying
collateral.
"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 that the rated notes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
"We will continue to review whether 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 Raised
LCM 26 Ltd.
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'AA- (sf)' from 'A (sf)'
Rating Lowered
LCM 26 Ltd.
Class E to 'B- (sf)' from 'B+ (sf)'
Ratings Affirmed
LCM 26 Ltd.
Class A-1: 'AAA (sf)'
Class D: 'BBB- (sf)'
LOANCORE 2021-CRE6: DBRS Confirms B(low) Rating on G Notes
----------------------------------------------------------
DBRS Limited confirmed its credit ratings on the notes issued by
LoanCore 2021-CRE6 Issuer Ltd. (the Issuer) as follows:
-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)
Morningstar DBRS also changed the trends on Classes F and G to
Stable from Negative. All other trends are Stable.
The credit rating confirmations and trend changes reflect the
increased collateral reduction to the transaction, which, as of the
February 2025 reporting, totaled 28.7% since closing, with an
additional 15.3% in collateral reduction realized since the
previous Morningstar DBRS credit rating action in June 2024,
thereby increasing the credit support to the overall pool. In its
previous review, Morningstar DBRS noted its concern about the
increased credit risk to the transaction because of the
concentration of loans secured by office properties, which have
been underperforming in recent years. As such, Morningstar DBRS
changed the trends on Class F and Class G to Negative.
While two of the loans formerly secured by office properties
totaling $68.8 million were repurchased from the trust by the
Issuer, the office collateral concentration as of February 2025
remains elevated (five loans, totaling 36.0% of the current trust
balance), including the largest and second-largest loans in the
pool: 433 North Camden (Prospectus ID#1; 12.9% of the current trust
balance) and 110 Atrium (Prospectus ID#12; 11.8% of the current
trust balance). While select borrowers are lagging in the
respective business plans, the credit ratings reflect the
outstanding credit risks and the increased subordination to the
notes supports the trend changes. Beyond the office concentration,
12 loans totaling 56.4% of the pool are secured by multifamily
collateral. Although a few borrowers are facing increased execution
risk with the respective business plans because of a combination of
factors, including increased construction costs,
slower-than-anticipated rent growth, and increased debt service
costs, multifamily properties have historically exhibited lower
default rates and the ability to better retain property cash flow
and value. Additionally, the transaction benefits from the unrated,
first-loss piece of $100.0 million and the below-investment-grade
rated bonds, Class F and Class G, which have outstanding balances
of $39.0 million and $65.5 million, respectively.
In conjunction with this press release, Morningstar DBRS has
published a Surveillance Performance Update report with in-depth
analysis and credit metrics for the transaction as well as business
plan updates on select loans. To access this report, please click
on the link under Related Documents below or contact us at
info-DBRS@morningstar.com.
The transaction closed in November 2021 with an initial collateral
pool of 31 floating-rate mortgage loans secured by 46 mostly
transitional properties with a cut-off date balance of $1.22
billion. Most of the loans are in a period of transition with plans
to stabilize and improve asset value. The transaction was
structured with a Reinvestment Period that expired with the
November 2023 Payment Date. As of the February 2025 remittance, the
pool comprises 21 loans secured by 22 properties with a cumulative
trust balance of $890.8 billion. In addition to the two loans
repurchased by the Issuer, two loans with a former trust balance of
$121.0 million have also been paid in full since the previous
Morningstar DBRS credit rating action. Beyond the multifamily and
office concentrations noted above, the remaining four loans are
secured by hotel, mixed-use, and manufactured housing properties.
Leverage across the pool has decreased as of the February 2025
reporting when compared with issuance metrics. The current
weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is
66.1%, with a current WA stabilized LTV of 63.9%. In comparison,
these figures were 71.1% and 64.3%, respectively, at issuance.
Morningstar DBRS recognizes that select property values may be
inflated as majority of the individual property appraisals were
completed in 2021 or 2022 and may not reflect the current
environment of rising interest rates or widening capitalization
rates. In its analysis, Morningstar DBRS applied upward LTV
adjustments for 12 loans, representing 71.6% of the current trust
balance, generally reflective of higher cap rate assumptions
compared with the implied cap rates based on the original
appraisals. The impacted loans included the 10 largest loans in the
pool and all office loans, resulting in individual loan-level
expected loss levels ranging from approximately 50.0% to 200.0% of
the pool's WA expected loss.
As of the February 2025 remittance, one loan is specially serviced,
representing 1.9% of the pool, and one loan, representing 7.6% of
the pool, is being monitored on the servicer's watchlist for a low
debt service coverage ratio (DSCR). The sole loan in special
servicing is 1900 W Lawrence Avenue (Prospectus ID#31), which is
secured by a mixed-use property consisting of 59 residential units
and 19,000 square feet of retail space in Chicago. The loan
initially matured in July 2023 but did not transfer to special
servicing until December 2023. According to the special servicer,
the forbearance period ended with the October 2024 remittance and a
receiver was placed in November 2024. As per the September 2024
rent roll, the consolidated occupancy rate at the subject was 86.4%
with net cash flow (NCF) of $1.7 million and a DSCR of 0.59 times
(x) for the trailing 12 months ended August 31, 2024. In
comparison, at the time of last review, the consolidated occupancy
rate of 94.9%, with a NCF of $1.6 million and DSCR of 0.53x.
Morningstar DBRS analyzed this loan with a liquidation scenario
based on a 25% haircut to the issuance as-is value of $41.7 million
given recent performance declines and the loan's prolonged
resolution timeline, resulting in an implied loss severity in
excess of 10.0%.
As a result of lagging business plans and loan exit strategies, the
borrowers of 16 loans, representing 76.1% of the current trust
balance, have received loan modifications and/or forbearances. The
terms of the modifications vary from loan to loan; however, common
terms include the waiver of the requirement to purchase of new
interest rate cap agreements, fresh equity contributions, and
deposits into interest reserve accounts. Additionally, the
transaction faces heightened maturity risk as 17 loans,
representing 82.6% of the current trust balance, will mature in
2025. While all of the loans have built-in extension options,
Morningstar DBRS notes that based on current collateral
performance, most loans will not qualify to exercise those options
and therefore will likely need to be modified.
Through January 2025, the lender had advanced cumulative loan
future funding of $87.5 million allocated to 14 of the 21 remaining
individual borrowers to aid in property stabilization efforts. Some
of the largest advances have been made to the borrowers of loans
secured by office properties, including 110 Atrium ($16.4 million)
and 433 North Camden ($15.0 million). These properties are located
in Bellevue, Washington and Beverley Hills, California;
respectively, with the advanced funds used primarily to fund
capital expenditure projects and accretive leasing costs. An
additional $42.5 million of loan future funding allocated to 10
individual borrowers remains available. The largest portion of the
available funds, $11.3 million, is allocated to the borrower of
Tower 250 loan (Prospectus ID#41, 4.0% of the pool), which is
secured by an office property in Salt Lake City, Utah. Funds are
available to finance capital expenditure projects and leasing
costs. The borrower is behind in its stabilization plan, as
according to the Q3 2024 update from the collateral manager, the
property was only 42.2% occupied and was not generating positive
cash flow. While the loan does not mature until January 2027, in
its current analysis, Morningstar DBRS applied upward As-Is and
Stabilized LTV adjustments of approximately 85.0% and 65.0%,
respectively, in addition to an increased probability of default
penalty. The adjustments resulted in an increased loan-level
expected loss approximately two times greater than the expected
loss for the pool.
Notes: All figures are in U.S. dollars unless otherwise noted.
MCF CLO VI: S&P Raises Class E-U Notes Rating to 'BB+ (sf)'
-----------------------------------------------------------
S&P Global Ratings reviewed its ratings on 11 classes of debt from
MCF CLO VI LLC, a CLO managed by Madison Capital Funding LLC. The
review yielded nine upgrades and two affirmations.
The rating actions follow S&P's review of the transaction's
performance using data from the February 2025 trustee report.
Based on data from the February 2025 trustee report, the class A-O
and A-U debt had total paydowns of $174.66 million since S&P's
March 2018 rating action. This reduced their outstanding amount to
30.10% of their original balance. As a result, the credit support
increased for all the debt in the transaction, based on the
increase in their reported overcollateralization (O/C) ratios.
The increases in the O/C ratios since the February 2018 trustee
report, which S&P used for its March 2018 review, include:
-- The class A/B O/C ratio improved to 230.09% from 151.58%.
-- The class C O/C ratio improved to 176.31% from 135.51%.
-- The class D O/C ratio improved to 149.57% from 125.35%.
-- The class E O/C ratio improved to 125.97% from 114.72%.
The upgrades reflect the improved credit support available to the
debt at the prior rating levels.
The affirmations reflect the adequate credit support at the current
rating levels, though any further deterioration in the credit
support available to the debt could result in changes to the
ratings.
S&P said, "Our cash flow analysis indicated higher ratings for the
class C-O, C-U, D-O, D-U, E-O, and E-U debt. However, our rating
actions reflect the additional sensitivity analysis we ran to
consider the portfolio's exposure to defaulted assets, assets in
the 'CCC' rating category, and assets trading at distressed prices,
as well as our preference for extra cushion to offset any potential
credit migration in the underlying collateral."
The combination notes were structured by combining all the rated
tranches junior to the class A debt and portions of unrated
subordinated notes. Based on data from the February 2025 trustee
report, the combination notes had total paydowns of $109.04
million, which reduced its outstanding balance to 29.21% of its
original balance. These paydowns are the result of either interest
paydowns or equity distributions. The lower balances improved their
cash flow results and credit support, resulting in the upgrades.
Although our cash flow analyses pointed to a higher rating for the
combination notes, the upgrade reflects the considerations listed
above and is constrained by the rating on the underlying rated debt
backing the combination notes.
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 rated tranche. The
results of the cash flow analysis and other qualitative factors, as
applicable, demonstrated that the outstanding rated classes have
adequate credit enhancement available at the rating levels
associated with these rating actions."
S&P Global Ratings will continue to review whether the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as it deems
necessary.
Ratings Raised
MCF CLO VI LLC
Class B-O to 'AAA (sf)' from 'AA (sf)'
Class B-U to 'AAA (sf)' from 'AA (sf)'
Class C-O to 'AA (sf)' from 'A (sf)'
Class C-U to 'AA (sf)' from 'A (sf)'
Class D-O to 'A+ (sf)' from 'BBB- (sf)'
Class D-U to 'A+ (sf)' from 'BBB- (sf)'
Class E-O to 'BB+ (sf)' from 'BB- (sf)'
Class E-U to 'BB+ (sf)' from 'BB- (sf)'
Combination notes to 'AAp (sf)' from 'Ap (sf)'
Ratings Affirmed
MCF CLO VI LLC
Class A-O: 'AAA (sf)'
Class A-U: 'AAA (sf)'
MORGAN STANLEY 2025-NQM2: S&P Prelim 'B' Rating on Cl. B-2 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Morgan
Stanley Residential Mortgage Loan Trust 2025-NQM2's mortgage-backed
certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods) to
both prime and nonprime borrowers. The loans are secured by
single-family residential properties including townhouses, planned
unit developments, condominiums, and two- to four-family
residential properties. The pool consists of 1,007 loans backed by
1,035 properties, 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 March 17,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The 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 reviewed originator
HomeXpress Mortgage Corp.;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's outlook that considers its current projections for U.S.
economic growth, unemployment rates, and interest rates, as well as
its view of housing fundamentals, and is updated, if necessary,
when these projections change materially.
Preliminary Ratings Assigned(i)
Morgan Stanley Residential Mortgage Loan Trust 2025-NQM2
Class A-1-A, $264,623,000: AAA (sf)
Class A-1-B, $40,995,000: AAA (sf)
Class A-1, $305,618,000: AAA (sf)
Class A-2, $31,157,000: AA- (sf)
Class A-3, $37,510,000: A- (sf)
Class M-1, $14,758,000: BBB- (sf)
Class B-1, $7,585,000: BB
Class B-2, $8,404,000: B
Class B-3, $4,919,492: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R-PT, $20,501,492: NR
Class PT, $389,450,000: 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 $409,951,492.
NR--Not rated.
NEUBERGER BERMAN 43: S&P Assigns 'BB-' Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement debt from Neuberger Berman Loan Advisers
CLO 43 Ltd./Neuberger Berman Loan Advisers CLO 43 LLC, a CLO
originally issued in August 2021 that is managed by Neuberger
Berman Loan Advisers II LLC. At the same time, S&P withdrew its
ratings on the original class A, B, C, D, and E debt following
payment in full on the March 20, 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 non-call period for the replacement debt
was set to March 20, 2026.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $366.00 million: Three-month CME term SOFR + 1.05%
-- Class B-R, $90.00 million: Three-month CME term SOFR + 1.45%
-- Class C-R (deferrable), $36.00 million: Three-month CME term
SOFR + 1.90%
-- Class D-R (deferrable), $34.50 million: Three-month CME term
SOFR + 2.65%
-- Class E-R (deferrable), $22.50 million: Three-month CME term
SOFR + 4.60%
Original debt
-- Class A, $366.00 million: Three-month CME term SOFR +
1.39161%(i)
-- Class B, $90.00 million: Three-month CME term SOFR +
1.86161%(i)
-- Class C (deferrable), $36.00 million: Three-month CME term SOFR
+ 2.21161%(i)
-- Class D (deferrable), $34.50 million: Three-month CME term SOFR
+ 3.36161%(i)
-- Class E (deferrable), $22.50 million: Three-month CME term SOFR
+ 6.26161%(i)
(i)Includes credit spread adjustment of 0.26161%.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Neuberger Berman Loan Advisers CLO 43 Ltd./
Neuberger Berman Advisers CLO 43 LLC
Class A-R, $366.00 million: AAA (sf)
Class B-R, $90.00 million: AA (sf)
Class C-R (deferrable), $36.00 million: A (sf)
Class D-R (deferrable), $34.50 million: BBB- (sf)
Class E-R (deferrable), $22.50 million: BB- (sf)
Ratings Withdrawn
Neuberger Berman Loan Advisers CLO 43 Ltd./
Neuberger Berman Advisers CLO 43 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
Neuberger Berman Loan Advisers CLO 43 Ltd./
Neuberger Berman Advisers CLO 43 LLC
Subordinated notes, $63.50 million: NR
NR--Not rated.
NEUBERGER BERMAN 45: S&P Assigns BB-(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement debt from Neuberger Berman Loan Advisers
CLO 45 Ltd./Neuberger Berman Loan Advisers CLO 45 LLC, a CLO
originally issued in November 2021 that is managed by Neuberger
Berman Loan Advisers II LLC. At the same time, S&P withdrew its
ratings on the original class A, B, C, D, and E debt following
payment in full on the March 20, 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 non-call period for the replacement debt
was set to March 20, 2026.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $372.00 million: Three-month CME term SOFR + 1.06%
-- Class B-R, $84.00 million: Three-month CME term SOFR + 1.55%
-- Class C-R, $36.00 million: Three-month CME term SOFR + 1.95%
-- Class D-R, $36.00 million: Three-month CME term SOFR + 2.70%
-- Class E-R, $24.00 million: Three-month CME term SOFR + 4.85%
Original debt
-- Class A, $372.00 million: Three-month CME term SOFR +
1.39161%(i)
-- Class B, $84.00 million: Three-month CME term SOFR +
1.91161%(i)
-- Class C, $36.00 million: Three-month CME term SOFR +
2.26161%(i)
-- Class D, $36.00 million: Three-month CME term SOFR +
3.26161%(i)
-- Class E, $24.00 million: Three-month CME term SOFR +
6.51161%(i)
(i) Includes credit spread adjustment of 0.26161%.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Neuberger Berman Loan Advisers CLO 45 Ltd./
Neuberger Berman Advisers CLO 45 LLC
Class A-R, $372.00 million: AAA (sf)
Class B-R, $84.00 million: AA (sf)
Class C-R, $36.00 million: A (sf)
Class D-R, $36.00 million: BBB- (sf)
Class E-R, $24.00 million: BB- (sf)
Ratings Withdrawn
Neuberger Berman Loan Advisers CLO 45 Ltd./
Neuberger Berman Advisers CLO 45 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Neuberger Berman Loan Advisers CLO 45 Ltd./
Neuberger Berman Advisers CLO 45 LLC
Subordinated notes, $59.00 million: NR
NR--Not rated.
NEUBERGER BERMAN XVI-S: Fitch Gives BB-(EXP)sf Rating on E-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Neuberger Berman CLO XVI-S, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Neuberger Berman
CLO XVI-S Ltd.
A1-R2 LT AAA(EXP)sf Expected Rating
A2-R2 LT AAA(EXP)sf Expected Rating
B-R2 LT AA(EXP)sf Expected Rating
C-R2 LT A(EXP)sf Expected Rating
D1-R2 LT BBB-(EXP)sf Expected Rating
D2-R2 LT BBB-(EXP)sf Expected Rating
E-R2 LT BB-(EXP)sf Expected Rating
X-R2 LT AAA(EXP)sf Expected Rating
Transaction Summary
Neuberger Berman Neuberger Berman CLO XVI-S, Ltd. (the issuer) is
an arbitrage cash flow collateralized loan obligation (CLO) managed
by Neuberger Berman Investment Advisers LLC that originally closed
in 2018 and was subsequently refinanced in 2021. On or about March
20, 2025 (second refinancing transaction closing date), the CLOs
existing secured notes will be redeemed in full with refinancing
proceeds.
The secured and subordinated notes will provide financing on a
portfolio of approximately $450 million of primarily first lien
senior secured leverage loans. The original subordinated notes will
also be upsized by approximately $19.6 million.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.83, versus a maximum covenant, in accordance with
the initial expected matrix point of 25. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
94.61% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.68% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72.9%.
Portfolio Composition (Positive): 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 (Neutral): The transaction has a 5.1-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The 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 'AAA' for class X-R, between 'BBB+sf' and 'AA+sf' for
class A1-R2, between 'BBB+sf' and 'AA+sf' for class A2-R2, between
'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D1-R2,
between less than 'B-sf' and 'BB+sf' for class D2-R2, and between
less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R, class A1-R2
and class A2-R2 notes as these notes are in the highest rating
category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf'
for class D1-R2, 'A-sf' for class D2-R2, and 'BBB+sf' for class
E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Neuberger Berman
CLO XVI-S 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.
NEWSTAR FAIRFIELD: Fitch Affirms 'BB-sf' Rating on Class D-N Notes
------------------------------------------------------------------
Fitch Ratings has upgraded the class A-2-N notes and affirmed all
other rated classes of notes in Newstar Fairfield Fund CLO, Ltd.
(Newstar Fairfield). Fitch assigned a Stable Rating Outlook on the
class A-2-N notes following the upgrade. Fitch has revised the
Rating Outlook on the class D-N notes to Negative from Stable. The
Outlooks on the other rated notes remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
Newstar Fairfield
Fund CLO, Ltd.
(F/K/A Fifth Street
SLF II, Ltd.)
A-1-N 65252BAA1 LT AAAsf Affirmed AAAsf
A-2-N 65252BAC7 LT AAAsf Upgrade AA+sf
B-1-N 65252BAE3 LT A+sf Affirmed A+sf
B-2-N 65252BAJ2 LT A+sf Affirmed A+sf
C-N 65252BAG8 LT BBB+sf Affirmed BBB+sf
D-N 65252CAA9 LT BB-sf Affirmed BB-sf
Transaction Summary
Newstar Fairfield is a middle market (MM) collateralized loan
obligation (CLO) managed by First Eagle Alternative Credit, LLC.
Newstar Fairfield was a reset transaction in April 2018 and exited
its reinvestment period in April 2023. This CLO is secured
primarily by first-lien, senior secured MM loans.
KEY RATING DRIVERS
Increased Credit Enhancement from Note Amortization
The upgrade of the class A-2-N notes is driven by note amortization
of the class A-1-N notes. As of Feb 2025 reporting, approximately
88% of the original class A-1-N note balance has amortized, which
has increased credit enhancement (CE) levels on all classes of
notes. Part of the note amortization was supported by the diversion
of portfolio proceeds to cure the failing class D-N
overcollateralization (class D OC) test on the July 2024 and
January 2025 payment dates.
Portfolio Deterioration and Growing Portfolio Concentration Risks
The Outlook revision on the class D-N notes reflect the notes'
sensitivity to increasing tail risk of the more concentrated
portfolio, offsetting the improved CE levels for the notes. The
Fitch weighted average rating factor increased to 37.7 from 33.9
(B-/CCC+) at the last review in June 2024. The current principal
amount of the portfolio, as of the February 2025 trustee report,
reflects a total par loss of 4.3% of the original target par
amount.
The current portfolio consists of 68 obligors, with the top 10
comprising 28.5% of the performing portfolio (excluding cash), down
from 93 obligors, with the top 10 comprising 21.5% of the portfolio
at last review. Issuers that comprise more than 2% of the portfolio
now total 29.3% of the portfolio, compared to 15% of the portfolio
at last review. Fitch also considered 40.1% of total portfolio to
be in the 'CCC' category, compared to 23.7% at last review.
Reinvestment is not permitted after the reinvestment period. The
portfolio exceeds its concentration limitations for the largest
obligors, 'CCC' concentration, and permitted deferrable
obligations, as well as its weighted average life test and the
Fitch rating factor test. All coverage tests are currently in
compliance, though the class D OC test had last failed in January
2025, resulting in a diversion of $1.25 million of interest
proceeds and $6.9 million of principal proceeds to redeem the class
A-1 notes.
Cash Flow Analysis
In addition to the base case analysis, Fitch conducted an updated
cash flow analysis based on a stressed portfolio that assumed a
one-notch downgrade on the Fitch Issuer Default Rating Equivalency
Rating for assets with a Negative Outlook on the driving rating of
the obligor, and extended the weighted average life to 4.0 years.
Exposure to issuers with a Negative Outlook comprised 13.8% of the
portfolio.
Fitch affirmed all the notes' ratings in line with their
model-implied ratings (MIRs) as defined in Fitch's CLOs and
Corporate CDOs Rating Criteria, with the exception of the class D-N
notes. Fitch affirmed the class D-N notes one notch above its MIR
and revised the Outlook to Negative to reflect the deterioration of
BEDR cushions and increased sensitivity to future portfolio
deterioration.
The Stable Outlooks on the other notes reflect Fitch's expectation
that the notes have sufficient level of credit protection to
withstand potential deterioration in the credit quality of the
portfolio in stress scenarios commensurate with each class rating.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing and the
notes' CE do not compensate for the higher loss expectation than
initially assumed.
- A 25% increase of the mean default rate across all ratings, along
with a 25% decrease of the recovery rate at all rating levels for
the current portfolio, would lead to a downgrade of one rating
notch for the Class B-1-N and B-2-N notes, and at least three
notches for the class C-N and D-N notes. There would be no impact
on the other rated notes, based on the MIRs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades may occur in the event of better-than-expected portfolio
credit quality and transaction performance;
- A 25% reduction of the mean default rate across all ratings,
along with a 25% increase of the recovery rate at all rating levels
for the current portfolio, would lead to upgrades of up to three
rating notches for each of the class C-N and D-N notes based on the
MIRs, and four notches for the class B-1-N and B-2-N notes. Upgrade
scenarios are not applicable for the class A-1-N and A-2-N notes as
the tranches are already at the highest rating level.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Newstar Fairfield
Fund CLO, Ltd. (F/K/A Fifth Street SLF II, Ltd.).
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
NYMT LOAN 2025-INV1: S&P Assigns B- (sf) Rating on Class B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to NYMT Loan Trust
2025-INV1's mortgage-backed notes.
The note issuance is an RMBS securitization backed by first-lien,
fixed- and adjustable-rate, fully amortizing residential mortgage
loans to both prime and nonprime borrowers (some with interest-only
periods). The loans are secured by single-family residential
properties, townhomes, planned-unit developments, condominiums,
two- to four-family residential properties, five- to 10-unit
multifamily properties, and a manufactured home. The pool consists
of 1,493 business-purpose investment property loans (including 29
cross-collateralized loans backed by 112 properties) which are all
ability-to-repay-exempt.
The ratings reflect S&P's view of:
-- The pool's collateral composition and geographic
concentration;
-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;
-- The mortgage aggregator and reviewed originators;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P's macroeconomic 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
that is updated, if necessary, when these projections change
materially.
Ratings Assigned(i)
NYMT Loan Trust 2025-INV1
Class A-1A, $144,764,000: AAA (sf)
Class A-1B, $26,734,000: AAA (sf)
Class A-1, $171,498,000: AAA (sf)
Class A-2, $23,393,000: AA- (sf)
Class A-3, $31,546,000: A- (sf)
Class M-1, $17,110,000: BBB- (sf)
Class B-1, $11,362,000: BB- (sf)
Class B-2, $7,753,000: B- (sf)
Class B-3, $4,678,483: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, not applicable: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate state principal
balance of the mortgage loans as of the first day of the related
due period and is initially $267,340,483.
NR--Not rated.
OCP CLO 2020-19: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1R2, A-2R2, B-R2, C-1R2, C-2R2, D-1R2, D-2R2,
and E-R2 debt and proposed new class X-R2 debt from OCP CLO 2020-19
Ltd./OCP CLO 2020-19 LLC, a CLO managed by Onex Credit Partners LLC
that was originally issued in June 2020, and previously refinanced
in September 2021.
The preliminary ratings are based on information as of March 19,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the March 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 debt and assign ratings to the replacement and proposed
new 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 debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to April 20, 2027.
-- The reinvestment period will be extended to April 20, 2030.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to April 20, 2038.
-- Additional assets will be purchased on and after the March 25,
2025, refinancing date, and the target initial par amount will
remain at $500.00 million. There will be no additional effective
date or ramp-up period, and the first payment date following the
refinancing is April 20, 2025.
-- New class X-R2 debt will be issued on the refinancing date and
is expected to be paid down over eight payment dates using interest
proceeds in equal installments of $512,500, beginning on the July
2025 payment date and ending in April 2027.
-- The required minimum coverage ratios will be amended.
-- Additional preference shares and subordinated notes will be
issued on the refinancing date. The new balances of the preference
shares and subordinated notes after the refinancing date will be
$23.808 million and $20.442 million, respectively.
-- The transaction was updated to conform to current rating agency
methodology.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each 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
OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC
Class X-R2(i), $4.100 million: AAA (sf)
Class A-1R2, $312.500 million: AAA (sf)
Class A-2R2, $5.000 million: AAA (sf)
Class B-R2, $62.500 million: AA (sf)
Class C-1R2 (deferrable), $30.000 million: A (sf)
Class C-2R2 (deferrable), $5.000 million: A (sf)
Class D-1R2 (deferrable), $25.000 million: BBB (sf)
Class D-2R2 (deferrable), $5.000 million: BBB- (sf)
Class E-R2 (deferrable), $15.000 million: BB- (sf)
Other Debt
OCP CLO 2020-19 Ltd./OCP CLO 2020-19 LLC
Preference shares(ii), $23.808 million: NR
Subordinated notes(ii), $20.442 million: NR
(i)The class X-R2 debt is expected to be issued on the refinancing
date and paid down over eight payment dates using interest proceeds
in equal installments of $512,500, beginning on the July 2025
payment date and ending in April 2027.
(ii)Additional preference shares and subordinated notes will be
issued on the refinancing date, with the new balances totaling
$23.808 million and $20.442 million, respectively, after the
refinancing date.
NR--Not rated.
OCP CLO 2023-26: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-1R, D-2R, and E-R replacement debt from OCP CLO 2023-26 Ltd./OCP
CLO 2023-26 LLC, a CLO originally issued in March 2023 that is
managed by Onex Credit Partners LLC. At the same time, S&P withdrew
its ratings on the original class B, C, D, and E debt following
payment in full on the March 17, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to March 17, 2026.
-- The reinvestment period was extended to April 17, 2028.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) were extended to April 17, 2037.
-- Additional assets were purchased to replace some existing
assets on the March 17, 2025, refinancing date, but the target
initial par amount remained at $400 million. There was no
additional effective date or ramp-up period, and the first payment
date following the refinancing is July 17, 2025.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- No additional subordinated notes or preference shares were
issued on the refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
OCP CLO 2023-26 Ltd./OCP CLO 2023-26 LLC
Class A-R, $256.00 million: AAA (sf)
Class B-R, $48.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1R (deferrable), $24.00 million: BBB- (sf)
Class D-2R (deferrable), $4.00 million: BBB- (sf)
Class E-R (deferrable), $12.00 million: BB- (sf)
Ratings Withdrawn
OCP CLO 2023-26 Ltd./OCP CLO 2023-26 LLC
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
OCP CLO 2023-26 Ltd./OCP CLO 2023-26 LLC
Preference shares, $18.60 million: NR
Subordinated notes, $17.00 million: NR
NR--Not rated
OFSI BSL XV: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OFSI BSL XV
CLO Ltd./OFSI BSL XV CLO LLC's fixed- and floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by OFS CLO Management III LLC, a
subsidiary of OFS Capital Management.
The preliminary ratings are based on information as of March 20,
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
OFSI BSL XV CLO Ltd./OFSI BSL XV CLO LLC
Class A-1, $180.00 million: AAA (sf)
Class A-J, $12.00 million: AAA (sf)
Class B, $36.00 million: AA (sf)
Class C-1 (deferrable), $16.00 million: A (sf)
Class C-2 (deferrable), $2.00 million: A (sf)
Class D-1 (deferrable), $15.00 million: BBB (sf)
Class D-Ja (deferrable), $2.00 million: BBB- (sf)
Class D-Jb (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $9.00 million: BB- (sf)
Subordinated notes, $28.90 million: Not rated
POST CLO 2021-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R,
D-R, and E-R replacement debt from Post CLO 2021-1 Ltd./Post CLO
2021-1 LLC, a CLO originally issued in September 2021 that is
managed by Post Advisory Group LLC. At the same time, S&P withdrew
its ratings on the original class A, B, C, D, and E debt following
payment in full on the March 18, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture, the non-call period was extended to Sept.
18, 2025.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-R, $252.00 million: Three-month CME term SOFR + 1.08%
-- Class B-R, $52.00 million: Three-month CME term SOFR + 1.60%
-- Class C-R (deferrable), $24.00 million: Three-month CME term
SOFR + 1.95%
-- Class D-R (deferrable), $23.00 million: Three-month CME term
SOFR + 3.00%
-- Class E-R (deferrable), $13.00 million: Three-month CME term
SOFR + 5.70%
Original debt
-- Class A, $252.00 million: Three-month CME term SOFR +
1.46161%(i)
-- Class B, $52.00 million: Three-month CME term SOFR +
2.01161%(i)
-- Class C (deferrable), $24.00 million: Three-month CME term SOFR
+ 2.46161%(i)
-- Class D (deferrable), $23.00 million: Three-month CME term SOFR
+ 3.56161%(i)
-- Class E (deferrable), $13.00 million: Three-month CME term SOFR
+ 6.71161%(i)
(i)Includes credit spread adjustment of 0.26161%.
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
Post CLO 2021-1 Ltd./Post CLO 2021-1 LLC
Class A-R, $252.00 million: AAA (sf)
Class B-R, $52.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-R (deferrable), $23.00 million: BBB- (sf)
Class E-R (deferrable), $13.00 million: BB- (sf)
Ratings Withdrawn
Post CLO 2021-1 Ltd./Post CLO 2021-1 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
Post CLO 2021-1 Ltd./Post CLO 2021-1 LLC
Subordinated notes, $43.40 million: NR
NR--Not rated.
PRIMA CAPITAL 2019-RK1: DBRS Confirms B(high) Rating on C-T Certs
-----------------------------------------------------------------
DBRS Limited confirmed its credit ratings on the Commercial
Mortgage Pass-Through Certificates, Series 2019-RK1 issued by Prima
Capital CRE Securitization 2019-RK1 as follows:
The Gateway (Group G Certificates):
-- Class A-G at A (low) (sf)
-- Class B-G at BBB (low) (sf)
-- Class C-G at BB (high) (sf)
TriBeCa House (Group T Certificates):
-- Class A-T at BBB (low) (sf)
-- Class B-T at BB (low) (sf)
-- Class C-T at B (high) (sf)
All trends are Stable. Interest is deferrable on all rated
certificates other than Class A-G, Class B-G and Class A-T.
The credit rating confirmations reflect the overall stable
performance of the transaction, which remains in line with
Morningstar DBRS' expectation. Both underlying multifamily
properties, The Gateway and TriBeCa House, continue to report
residential occupancy rates above 90.0% along with healthy debt
service coverage ratios (DSCRs) well above 1.5 times (x), as of the
most recent financial reporting. Additional details are outlined
below.
The transaction consists of two nonpooled B notes tied to The
Gateway and TriBeCa House loans, which are categorized as Loan
Groups ¿Group G and Group T, respectively. The notes are secured
by the grantor trust certificate representing beneficial interests
in a subordinate loan, which is a portion of a whole loan. The
loans are interest only through their respective maturity dates in
2028. As the notes are not pooled together, proceeds from the
collateral interest relating to either Loan Group will not be
available to support shortfalls of the other Loan Group.
Additionally, TriBeCa House is the only loan in the transaction
that has existing mezzanine financing. No loans in the transaction
are allowed to take on mezzanine or unsecured debt in the future.
Neither of the two loans are on the servicer's watchlist or in
special servicing. At issuance, DreamWorks Campus and Headquarters
(Group D) was part of the transaction but was repaid in April 2023,
bringing the total mortgage balance to $89.5 million.
The Gateway loan (Group G; 58.7% of the transaction) is secured by
four high-rise multifamily buildings totaling 1,254 units with
ground-floor retail space in downtown San Francisco. Since 2015,
the sponsor has invested more than $21.0 million toward upgrading
the property, including select units as they become vacant, and
re-leasing them at market rates. The property is composed of
studio, one-, two-, three-, and four-bedroom units with monthly
rental rates ranging from $865 to $9,770. According to the December
2024 rent roll, the residential component was 93.8% occupied, while
the commercial portion was 76.5% occupied. The largest remaining
commercial tenants include Safeway, Inc. (Safeway; 25.7% of NRA;
lease expiration in 2030), Bay Club at Golden Gateway (13.2% of
NRA; lease expiration in 2027), and 42nd Street Moon (8.1% of NRA;
lease expiration in 2030). Leasing momentum within the commercial
component has been positive, with Safeway recently executing a
five-year renewal (from 2025 to 2030), in addition to three new
small leases being signed in 2024. The annualized net cash flow
(NCF) for the trailing nine-month (T-9) period ended September 30,
2024, was $28.4 million, above the YE2023 and YE2022 figures of
$24.4 million and $22.7 million, respectively, but below the
Morningstar DBRS figure of $33.6 million. Increases in vacancy loss
and operating expenses have been the primary drivers behind the
downward pressure on NCF; however, revenue has been increasing and
operating expenses have shown signs of normalization, suggesting
cash flows could stabilize in the near to medium term.
Although all of the property's multifamily units were initially
rent controlled, San Francisco's rent control ordinance allows for
units to be marked to market, within stipulated limits, once a unit
turns over, suggesting incremental revenue growth could be achieved
in the future. The borrower noted that 120 units were expected to
be renovated in 2024, with an expected average renovation premium
of $800 per month. While limited parking concessions are
occasionally offered on new leases, the borrower confirmed that
overall concessions at the property are not material. Rent
increases on renewals are expected to remain modest with the San
Francisco Rent Ordinance guidelines allowing for a 1.4% increase
effective March 2025 through February 2026. The borrower noted that
property management continues to strengthen marketing efforts,
which include the launch of an updated website and new leasing
incentives for staff. The loan continues to exhibit healthy credit
metrics, most recently reporting a DSCR (A & B note) of 1.65x. In
addition, the property has historically maintained an occupancy
rate above 90.0% and benefits from committed institutional
sponsorship including Prime Group and C.M. Capital Corporation, who
have owned and managed the property since 1991.
The TriBeCa House loan (Group T; 41.3% of the transaction) is
secured by a high-rise multifamily complex totaling 503 units in
the Tribeca neighborhood of New York City. As of September 2024,
the residential portion was 94.0% occupied, in line with previous
years. The sole retail tenant at 53 Park Place, Amish Market,
vacated the space in 2020. Morningstar DBRS has requested a leasing
update from the servicer. Equinox, a fitness and health club,
continues to occupy the retail space at 50 Murray Street. The
annualized NCF for the T-9-month period ended September 30, 2024,
was $21.2 million, reflecting a DSCR (A & B note) of 1.95x, which
compares favorably with the YE2023 and Morningstar DBRS figures of
$18.3 million and $17.4 million, respectively. According to Reis,
submarket fundamentals will remain strong through to the loan's
maturity in 2028, with vacancy rates expected to remain below 5.0%
in the West Village/Downtown submarket. Given the subject's strong
historical performance, favorable location, and low submarket
vacancy rate, Morningstar DBRS expects performance to remain stable
in the near to moderate term.
Morningstar DBRS maintained its analysis, conducted in 2020 during
the "North American Single-Asset/Single-Borrower Ratings
Methodology" update. For The Gateway, a capitalization rate of
6.25% was applied to the Morningstar DBRS NCF of $33.6 million,
resulting in a Morningstar DBRS value of $538.3 million. This
represents a 38.0% haircut from the issuance appraised value of
$868.0 million and a whole-loan loan-to-value (LTV) ratio of
102.2%. In addition, Morningstar DBRS maintained positive
qualitative adjustments to the final LTV sizing benchmark, totaling
4.0%, to account for low cash flow volatility and market
fundamentals. For TriBeCa House, a capitalization rate of 6.25% was
applied to the Morningstar DBRS NCF of $17.4 million, resulting in
a Morningstar DBRS value of $278.9 million. This represents a 51.9%
haircut from the issuance appraised value of $580.0 million and a
whole-loan LTV of 92.1% (excluding mezzanine debt). In addition,
Morningstar DBRS maintained positive qualitative adjustments to the
final LTV sizing benchmarks used for this credit rating analysis,
totaling 4.0%, to account for low cash flow volatility and market
fundamentals.
Notes: All figures are in U.S. dollars unless otherwise noted.
PRKCM 2025-HOME1: S&P Assigns Prelim B (sf) Rating on B-2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to PRKCM
2025-HOME1 Trust's 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, planned unit developments,
condominiums, townhomes, and two- to four-family residential
properties. The pool consists of 766 loans, which are QM safe
harbor (average prime offer rate; APOR), QM rebuttable presumption
(APOR), non-QM/ATR-compliant loans, and ATR-exempt loans.
The preliminary ratings are based on information as of March 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.; and
-- S&P's outlook that considers its current projections for U.S.
economic growth, unemployment rates, and interest rates, as well as
its view of housing fundamentals, and is updated, if necessary,
when these projections change materially.
Preliminary Ratings Assigned
PRKCM 2025-HOME1 Trust(i)
Class A-1A, $227,685,000: AAA (sf)
Class A-1B, $32,950,000: AAA (sf)
Class A-1, $260,635,000: AAA (sf)
Class A-2, $13,839,000: AA (sf)
Class A-3, $32,620,000: A (sf)
Class M-1, $9,226,000: BBB (sf)
Class B-1, $5,931,000: BB (sf)
Class B-2, $4,284,000: B (sf)
Class B-3, $2,965,752: 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 will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period and is initially $329,500,752.
NR--Not rated.
N/A--Not applicable.
RATE MORTGAGE 2025-J1: DBRS Finalizes B Rating on Class B5 Notes
----------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Mortgage-Backed Notes, Series 2025-J1 (the Notes) issued by RATE
Mortgage Trust 2025-J1 (RATE 2025-J1, or the Trust) as follows:
-- $311.0 million Class A-1 at AAA (sf)
-- $311.0 million Class A-2 at AAA (sf)
-- $311.0 million Class A-3 at AAA (sf)
-- $233.3 million Class A-4 at AAA (sf)
-- $233.3 million Class A-5 at AAA (sf)
-- $233.3 million Class A-6 at AAA (sf)
-- $186.6 million Class A-7 at AAA (sf)
-- $186.6 million Class A-8 at AAA (sf)
-- $186.6 million Class A-9 at AAA (sf)
-- $46.7 million Class A-10 at AAA (sf)
-- $46.7 million Class A-11 at AAA (sf)
-- $46.7 million Class A-12 at AAA (sf)
-- $124.4 million Class A-13 at AAA (sf)
-- $124.4 million Class A-14 at AAA (sf)
-- $124.4 million Class A-15 at AAA (sf)
-- $77.8 million Class A-16 at AAA (sf)
-- $77.8 million Class A-17 at AAA (sf)
-- $77.8 million Class A-18 at AAA (sf)
-- $35.3 million Class A-19 at AAA (sf)
-- $35.3 million Class A-20 at AAA (sf)
-- $35.3 million Class A-21 at AAA (sf)
-- $346.3 million Class A-22 at AAA (sf)
-- $346.3 million Class A-23 at AAA (sf)
-- $346.3 million Class A-24 at AAA (sf)
-- $346.3 million Class A-25 at AAA (sf)
-- $346.3 million Class A-X-1 at AAA (sf)
-- $311.0 million Class A-X-2 at AAA (sf)
-- $311.0 million Class A-X-3 at AAA (sf)
-- $311.0 million Class A-X-4 at AAA (sf)
-- $233.3 million Class A-X-5 at AAA (sf)
-- $233.3 million Class A-X-6 at AAA (sf)
-- $233.3 million Class A-X-7 at AAA (sf)
-- $186.6 million Class A-X-8 at AAA (sf)
-- $186.6 million Class A-X-9 at AAA (sf)
-- $186.6 million Class A-X-10 at AAA (sf)
-- $46.7 million Class A-X-11 at AAA (sf)
-- $46.7 million Class A-X-12 at AAA (sf)
-- $46.7 million Class A-X-13 at AAA (sf)
-- $124.4 million Class A-X-14 at AAA (sf)
-- $124.4 million Class A-X-15 at AAA (sf)
-- $124.4 million Class A-X-16 at AAA (sf)
-- $77.8 million Class A-X-17 at AAA (sf)
-- $77.8 million Class A-X-18 at AAA (sf)
-- $77.8 million Class A-X-19 at AAA (sf)
-- $35.3 million Class A-X-20 at AAA (sf)
-- $35.3 million Class A-X-21 at AAA (sf)
-- $35.3 million Class A-X-22 at AAA (sf)
-- $346.3 million Class A-X-23 at AAA (sf)
-- $346.3 million Class A-X-24 at AAA (sf)
-- $346.3 million Class A-X-25 at AAA (sf)
-- $346.3 million Class A-X-26 at AAA (sf)
-- $7.5 million Class B-1 at AA (high) (sf)
-- $7.5 million Class B-1A at AA (high) (sf)
-- $7.5 million Class B-X-1 at AA (high) (sf)
-- $4.6 million Class B-2 at A (high) (sf)
-- $4.6 million Class B-2A at A (high) (sf)
-- $4.6 million Class B-X-2 at A (high) (sf)
-- $3.7 million Class B-3 at BBB (high) (sf)
-- $1.8 million Class B-4 at BB (high) (sf)
-- $732.0 thousand Class B-5 at B (sf)
Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The
class balances represent notional amounts.
Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14,
A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-X-2, A-X-3,
A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are
exchangeable classes. These classes can be exchanged for
combinations of initial exchangeable notes as specified in the
offering documents.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, and A-18 are super senior
tranches. These classes benefit from additional protection from the
senior support notes (Classes A-19, A-20, and A-21) with respect to
loss allocation.
The AAA (sf) credit ratings on the Notes reflect 5.35% of credit
enhancement provided by subordinated notes. The AA (high) (sf), A
(high) (sf), BBB (high) (sf), BB (high) (sf), and B (sf) credit
ratings reflect 3.30%, 2.05%, 1.05%, 0.55%, and 0.35% of credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
Morningstar DBRS finalized its provisional credit ratings on RATE
2025-J1, a securitization of a portfolio of first-lien, fixed-rate
prime residential mortgages funded by the issuance of the Notes.
The Notes are backed by 324 loans with a total principal balance of
$365,884,030 as of the Cut-Off Date (February 1, 2025).
Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor,
began issuing prime jumbo securitizations from its RATE shelf in
early 2021 and this transaction represents the tenth prime jumbo
RATE deal. The pool consists of fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of 30 years and a
weighted-average (WA) loan age of two months.
All of the mortgage loans were originated by Guaranteed Rate.
Guaranteed Rate is also the Servicing Administrator and Sponsor of
the transaction. The loans will be serviced by ServiceMac, LLC
(ServiceMac). Computershare Trust Company, N.A. (Computershare
Trust Company; rated BBB (high) with a Stable trend by Morningstar
DBRS) will act as the Master Servicer, Loan Agent, Paying Agent,
Note Registrar, and Certificate Registrar. Deutsche Bank National
Trust Company will act as the Custodian. Wilmington Savings Fund
Society, FSB will serve as Trustee.
Similar to the prior RATE securitizations, the Servicing
Administrator will fund advances of delinquent principal and
interest (P&I) on any mortgage until such loan becomes 120 days
delinquent or such P&I advances are deemed to be unrecoverable by
the Servicer or the Master Servicer (Stop-Advance Loan). The
Servicing Administrator will also fund advances in respect of
taxes, insurance premiums, and reasonable costs incurred in the
course of servicing and disposing properties.
The interest entitlements for each class in this transaction are
reduced reverse sequentially by the delinquent interest that would
have accrued on the Stop-Advance Loans. In other words, investors
are not entitled to any interest on such severely delinquent
mortgages, unless such interest amounts are recovered. The
delinquent interest recovery amounts, if any, will be distributed
sequentially to the P&I notes.
The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 to 120 days delinquent
under the Mortgage Bankers Association (MBA) method at a price
equal to par plus interest and unreimbursed servicing advance
amounts, provided that such repurchases in aggregate do not exceed
10% of the total principal balance as of the Cut-Off Date.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
Morningstar DBRS discontinued and withdrew its credit ratings on
Classes A-1L, A-2L, and A-3L Loans initially contemplated in the
offering documents, as they were not issued at closing.
Maryland Consumer Purpose
In 2024, the Maryland Appellate Court ruled that a statutory trust
that held a defaulted HELOC must be licensed as both an Installment
Lender and a Mortgage Lender under Maryland law prior to proceeding
to foreclosure on the HELOC. On January 10, 2025, the Maryland
Office of Financial Regulation ("OFR") issued emergency regulations
that apply the decision to all secondary market assignees of
Maryland consumer-purpose mortgage loans, and specifically require
"passive trusts" that acquire or take assignment of Maryland
mortgage loans that are serviced by others to be licensed. While
the emergency regulations became effective immediately, OFR
indicated that enforcement would be suspended until April 10, 2025.
The emergency regulations will expire on June 16, 2025, and the OFR
has submitted the same provisions as the proposed, permanent
regulations for public comment. Failure of the Issuer to obtain the
appropriate Maryland licenses may result in the Maryland OFR taking
administrative action against the Issuer and/or other transaction
parties, including assessing civil monetary penalties and issuing a
cease and desist order. Further, there may be delays in payments
on, or losses in respect of, the Notes if the Issuer or Servicer
cannot enforce the terms of a Mortgage Loan or proceed to
foreclosure in connection with a Mortgage Loan secured by a
Mortgaged Property located in Maryland, or if the Issuer is
required to pay civil penalties.
Approximately 1.4% of the pool (4 loans) are Maryland
consumer-purpose mortgage loans. In the event losses are
experienced on one of these loans, the Sponsor may be obligated to
cure breach, pay the loss amount, repurchase, or replace the
affected loan.
Notes: All figures are in US dollars unless otherwise noted.
RR 26: S&P Assigns BB- (sf) Rating on Class D-R Debts
-----------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-2-R, B-1-R,
B-2-R, C-1-R, C-2-R, and D-R replacement debt from RR 26 Ltd./RR 26
LLC, a CLO originally issued in 2023 that is managed by Redding
Ridge Asset Management LLC, an affiliate of Apollo Global
Management Inc. At the same time, S&P withdrew its ratings on the
original class A-2, B-1, B-2, C-1, C-2, and D debt following
payment in full on the March 17, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to March 17, 2026.
-- No additional assets were purchased on the March 17, 2025,
refinancing date, and the first payment date following the
refinancing is April 17, 2025.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Original Debt Issuances
Replacement debt
-- Class A-1-R (not rated), $310.00 million: Three-month CME term
SOFR + 1.12%
-- Class A-2-R, $60.75 million: Three-month CME term SOFR + 1.50%
-- Class B-1-R (deferrable), $29.75 million: Three-month CME term
SOFR + 1.70%
-- Class B-2-R (deferrable), $5.00 million: Three-month CME term
SOFR + 2.05%
-- Class C-1-R (deferrable), $23.00 million: Three-month CME term
SOFR + 2.45%
-- Class C-2-R (deferrable), $6.25 million: Three-month CME term
SOFR + 3.15%
-- Class D-R (deferrable), $16.50 million: Three-month CME term
SOFR + 4.40%
Original debt
-- Class A-1 (not rated), $310.00 million: Three-month CME term
SOFR + 1.78%
-- Class A-2, $60.75 million: Three-month CME term SOFR + 2.25%
-- Class B-1 (deferrable), $29.75 million: Three-month CME term
SOFR + 2.90%
-- Class B-2 (deferrable), $5.00 million: Three-month CME term
SOFR + 3.60%
-- Class C-1 (deferrable), $23.00 million: Three-month CME term
SOFR + 4.50%
-- Class C-2 (deferrable), $6.25 million: Three-month CME term
SOFR + 6.85%
-- Class D (deferrable), $16.50 million: Three-month CME term SOFR
+ 8.25%
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
RR 26 Ltd./RR 26 LLC
Class A-2-R, $60.75 million: AA (sf)
Class B-1-R (deferrable), $29.75 million: A+ (sf)
Class B-2-R (deferrable), $5.00 million: A (sf)
Class C-1-R (deferrable), $23.00 million: BBB (sf)
Class C-2-R (deferrable), $6.25 million: BBB- (sf)
Class D-R (deferrable), $16.50 million: BB- (sf)
Ratings Withdrawn
RR 26 Ltd./RR 26 LLC
Class A-2 to NR from 'AA (sf)'
Class B-1 (deferrable) to NR from 'A+ (sf)'
Class B-2 (deferrable) to NR from 'A (sf)'
Class C-1 (deferrable) to NR from 'BBB (sf)'
Class C-2 (deferrable) to NR from 'BBB- (sf)'
Class D (deferrable) to NR from 'BB- (sf)'
Other Debt
RR 26 Ltd./RR 26 LLC
Class A-1-R, $310.00 million: NR
Subordinated notes, $50.00 million: NR
NR--Not rated.
SCG 2024-MSP: DBRS Confirms B Rating on Class F Certs
-----------------------------------------------------
DBRS Limited confirmed the credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates issued by SCG
2024-MSP Mortgage Trust (the Trust) as follows:
-- Class A at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (sf)
-- Class HRR at B (low) (sf)
All trends are Stable
The credit rating confirmations reflect the overall stable
performance of the transaction since issuance. Although full-year
financials have yet to be reported, the portfolio has reported
revenue per available room (RevPAR) of $153 for the trailing 12
months (T-12) ended December 31, 2024, above the RevPAR of $147 for
the T-12 ended December 31, 2023, and Morningstar DBRS concluded
RevPAR of $140 at issuance.
The transaction is collateralized by the borrower's fee-simple
interest or leasehold interests in a portfolio of four
Marriott-branded full-service hotels. The portfolio totals 1,016
keys and includes properties in Atlanta, Georgia (254 keys; 15.7%
of allocated loan amount (ALA)), Costa Mesa, California (253 keys;
20.7% of ALA), and Scottsdale, Arizona (two properties totaling 509
keys; 63.6% of ALA). The loan is sponsored by Starwood Capital
Group, a private investment firm that at issuance had acquired more
than 400,000 hotel keys with $115 billion in assets under
management. After acquiring the portfolio in 2019, Starwood
invested approximately $37.8 million in capital expenditures
(capex), in addition to the $19.4 million invested by the previous
owners between 2013 and 2019, for a total of over $57.0 million in
capex across the four properties since 2013.
The $220.2 million floating-rate, interest-only loan is structured
with a two-year initial term with three one-year extension options
available. The initial term has an interest rate cap agreement with
a strike rate of 5.4%, while the extension options are subject to
the purchase of a new interest rate cap agreement that results in a
debt service coverage ratio (DSCR) no less than 1.20 times (x).
Loan proceeds and cash proceeds of $8.4 million refinanced existing
debt of $218.9 million and covered closing costs.
Property releases are permitted, with release premiums of 110% for
the first 20% of the original principal balance and 115%
thereafter. The sponsor, however, is prohibited from releasing both
the Marriott at McDowell Mountains and the Marriott Costa Mesa
properties, with at least one of these properties being required as
collateral throughout the fully extended loan term. In addition,
the loan has a partial pro rata pay structure that allows for pro
rata paydowns for the first 20% of the original principal balance.
According to the January 2025 STR report, for the T-12 ended
December 31, 2024, the portfolio reported a weighted-average (WA)
occupancy rate, average daily rate (ADR), and RevPAR of 69.1%,
$224, and $153, respectively, compared with the competitive set's
WA figures of 69.3%, $190, and $131, respectively. For comparison,
the Morningstar DBRS' concluded occupancy rate, ADR, and RevPAR at
issuance were 64.3%, $217, and $140, respectively, indicating the
current performance figures are in line with and slightly exceeding
those derived at issuance.
Morningstar DBRS maintained its issuance analysis with this review,
which includes a Morningstar DBRS value of $234.2 million, based on
the Morningstar DBRS net cash flow (NCF) of $20.4 million and a
capitalization rate of 8.7%. This results in a loan-to-value ratio
(LTV) of 94.0% on the mortgage loan. The Morningstar DBRS value
represents a variance of -24.9% from the issuance appraised value
of $312 million. In addition, Morningstar DBRS maintained positive
qualitative adjustments to the LTV-sizing benchmarks totaling 4.75%
to reflect the recent capex, strong underlying market fundamentals,
and post-pandemic NCF recovery.
The Morningstar DBRS credit rating assigned to Class C is lower
than the results implied by the LTV sizing benchmarks. The variance
is warranted given the lack of full-year financials reported to
date as it has not been a full year since the transaction closed in
April 2024.
Notes: All figures are in U.S. dollars unless otherwise noted.
SIERRA TIMESHARE 2025-1: S&P Assigns BB- (sf) Rating on D Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Sierra Timeshare 2025-1
Receivables Funding LLC's timeshare loan-backed notes.
The note issuance is an ABS securitization backed by vacation
ownership interest (timeshare) loans.
The ratings reflect S&P's view of:
-- The credit enhancement available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread.
-- The transaction's ability, on average, to withstand breakeven
default levels of 70.4%, 55.2%, 40.7%, and 32.7% for the class A,
B, C, and D notes, respectively, based on S&P's various stressed
cash flow scenarios. These levels are higher than the 3.19x, 2.28x,
1.77x, and 1.34x multiples of its expected cumulative gross
defaults of 21.3% for the class A, B, C, and D notes,
respectively.
-- The transaction's ability to make interest and principal
payments according to the terms of the transaction documents on or
before the legal final maturity date under S&P's rating stresses,
and performance under the credit stability and sensitivity
scenarios at their respective rating levels.
-- The collateral characteristics of the series' timeshare loans,
S&P's view of the credit risk of the collateral, and its updated
macroeconomic forecast and forward-looking view of the timeshare
sector.
-- The series' bank accounts at U.S. Bank Trust Co. N.A. and the
reserve account amount to be represented by a letter of credit to
be provided by The Bank of Nova Scotia, which do not constrain the
ratings.
-- S&P's operational risk assessment of Wyndham Consumer Finance
Inc. as servicer, and our views of the company's servicing ability
and experience in the timeshare market.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors.
-- The transaction's payment and legal structures.
Ratings Assigned
Sierra Timeshare 2025-1 Receivables Funding LLC
Class A, $171.429 million: AAA (sf)
Class B, $70.537 million: A (sf)
Class C, $70.534 million: BBB (sf)
Class D, $37.500 million: BB- (sf)
SIXTH STREET XXII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Sixth
Street CLO XXII Ltd./Sixth Street CLO XXII LLC, a CLO originally
issued in March 2023 that is managed by Sixth Street CLO XXII
Management LLC.
The preliminary ratings are based on information as of March 18,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On March 24, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the original debt. S&P
said, "At that time, we expect to withdraw our ratings on the
original debt and assign ratings to the replacement debt. However,
if the refinancing doesn't occur, we may affirm our ratings on the
original debt and withdraw our preliminary ratings on the
replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The non-call period will be extended to March 24, 2027.
-- The reinvestment period will be extended to April 21, 2030.
-- The legal final maturity date (for the replacement debt and the
existing subordinated notes) will be extended to April 21, 2038.
-- No additional assets will be purchased on the March 24, 2025,
refinancing date, and the target initial par amount will remain at
$400,000,000. There will be no additional effective date or ramp-up
period, and the first payment date following the refinancing is
April 21, 2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Sixth Street CLO XXII Ltd./Sixth Street CLO XXII LLC
Class A-R, $249.00 million: AAA (sf)
Class B-R, $51.00 million: AA (sf)
Class C-R (deferrable), $28.00 million: A (sf)
Class D-1-R (deferrable), $24.00 million: BBB- (sf)
Class D-2-R (deferrable), $1.40 million: BBB- (sf)
Class E-R (deferrable), $14.60 million: BB- (sf)
Other Debt
Sixth Street CLO XXII Ltd./Sixth Street CLO XXII LLC
Subordinated notes, $41.59 million: Not rated
TCW CLO 2022-1: S&P Assigns BB- (sf) Rating on Class E-R Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class X-R, A-1-R,
A-J-R, B-R, C-R, D-1-R, D-F-R, D-J-R, and E-R replacement debt from
TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC, a CLO originally issued in
April 2022 that is managed by TCW Asset Management Co. LLC. At the
same time, S&P withdrew its ratings on the original class X, A1,
AF, B, C, D1, DJ, and E debt following payment in full on the March
13, 2025, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Jan. 20, 2027.
-- The reinvestment period was extended to Jan. 20, 2030.
-- The legal final maturity date (for the replacement debt and the
existing subordinated notes) was extended to Jan. 20, 2038.
-- The target initial par amount remains at $400.00 million and
the first payment date following the refinancing is July 20, 2025.
-- Additional subordinated notes with a notional balance of $5.50
million were issued on the refinancing date.
-- The class X-R debt is expected to be paid down using interest
proceeds during the first 19 payment dates, beginning with the
payment date in July 2025.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC
Class X-R, $4.00 million: AAA (sf)
Class A-1-R, $252.00 million: AAA (sf)
Class A-J-R, $12.00 million: AAA (sf)
Class B-R, $40.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $18.00 million: BBB (sf)
Class D-F-R (deferrable), $4.00 million: BBB (sf)
Class D-J-R (deferrable), $6.00 million: BBB- (sf)
Class E-R (deferrable), $12.00 million: BB- (sf)
Ratings Withdrawn
TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC
Class X to NR from 'AAA (sf)'
Class A1 to NR from 'AAA (sf)'
Class AF to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D1 (deferrable) to NR from 'BBB+ (sf)'
Class DJ (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC
Subordinated notes, $42.60 million: NR
NR--Not rated.
TIKEHAU US VII: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Tikehau US CLO VII
Ltd./Tikehau US CLO VII LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Tikehau Structured Credit 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
Tikehau US CLO VII Ltd./Tikehau US CLO VII LLC
Class A-1, $310.00 million: AAA (sf)
Class A-2, $15.00 million: AAA (sf)
Class B, $55.00 million: AA (sf)
Class C (deferrable), $30.00 million: A (sf)
Class D-1 (deferrable), $30.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $50.00 million: NR
NR--Not rated
TRALEE CLO V: S&P Affirms 'B- (sf)' Rating on Class F-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-X-RR,
A-1-RR, A-2-RR, B-RR, and C-1-RR replacement debt from Tralee CLO V
Ltd./Tralee CLO V LLC, a CLO managed by Par-Four Investment LLC
that was originally issued in October 2018 and underwent a
refinancing in October 2021. At the same time, S&P withdrew its
ratings on the class A-X-R, A-1-R, B-R, and C-1-R debt following
payment in full on the March 20, 2025, refinancing date. S&P also
affirmed its ratings on the class C-F-R, D-R, E-R, and F-R debt,
which were not refinanced.
The replacement debt was issued via a conformed indenture, which
outlines the terms of the replacement debt. According to the
conformed indenture, the non-call period for the replacement debt
was set to March 20, 2026. The new class A-1-RR debt is senior to
the new class A-2-RR debt.
Replacement And October 2021 Issuances
Replacement debt
-- Class A-X-RR, $1.29 million: Three-month CME term SOFR + 0.85%
-- Class A-1-RR, $229.00 million: Three-month CME term SOFR +
1.08%
-- Class A-2-RR, $11.00 million: Three-month CME term SOFR +
1.45%
-- Class B-RR, $45.00 million: Three-month CME term SOFR + 1.75%
-- Class C-1-RR, $18.50 million: Three-month CME term SOFR +
2.00%
October 2021 debt
-- Class A-X-R, $1.29 million: Three-month CME term SOFR +
1.26%(i)
-- Class A-1-R, $240.00 million: Three-month CME term SOFR +
1.51%(i)
-- Class B-R, $45.00 million: Three-month CME term SOFR +
2.26%(i)
-- Class C-1-R, $18.50 million: Three-month CME term SOFR +
2.86%(i)
(i)Includes 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.
"On a standalone basis, the results of the cash flow analysis
indicated a lower rating on the class D-R, E-R, and F-R debt (which
were not refinanced). Given the overall credit quality of the
portfolio and the passing coverage tests, we affirmed our ratings
on these three classes of 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
Tralee CLO V Ltd./Tralee CLO V LLC
Class A-X-RR, $1.29 million: AAA (sf)
Class A-1-RR, $229.00 million: AAA (sf)
Class A-2-RR, $11.00 million: AAA (sf)
Class B-RR, $45.00 million: AA (sf)
Class C-1-RR, $18.50 million: A (sf)
Ratings Withdrawn
Tralee CLO V Ltd./Tralee CLO V LLC
Class A-X-R to NR from 'AAA (sf)'
Class A-1-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Class C-1-R to NR from 'A (sf)'
Ratings Affirmed
Tralee CLO V Ltd./Tralee CLO V LLC
Class C-F-R: 'A (sf)'
Class D-R: 'BBB- (sf)'
Class E-R: 'BB- (sf)'
Class F-R: 'B- (sf)'
Other Debt
Tralee CLO V Ltd./Tralee CLO V LLC
Subordinated notes, $36.00 million: NR
NR--Not rated.
TRTX 2025-FL6: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes
----------------------------------------------------------------
Fitch Ratings has assigned the following expected ratings and
Rating Outlooks to TRTX 2025-FL6 Issuer Ltd.
- $616,000,000a class A 'AAAsf'; Outlook Stable;
- $134,750,000a class A-S 'AAAsf'; Outlook Stable;
- $83,875,000a class B 'AA-sf'; Outlook Stable;
- $66,000,0000a class C 'A-sf'; Outlook Stable;
- $39,875,000,000a class D 'BBBsf'; Outlook Stable;
- $22,000,000b class E 'BBB-sf'; Outlook Stable;
- $42,625,000b class F 'BB-sf'; Outlook Stable;
- $27,500,000b class G 'B-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $67,375,000b Preferred Shares.
(a) Privately placed and pursuant to Rule 144A.
(b) Horizontal risk retention interest, estimated to be 8.625% of
the notional amount of the notes.
The approximate collateral interest balance as of the cutoff date
is $1,100,000 and does not include future funding. The total
collateral interest balance includes the expected principal balance
of delayed close collateral interests.
The expected ratings are based on information provided by the
issuer as of March 4, 2025.
Transaction Summary
The trust's primary assets are 20 loans secured by 85 commercial
properties with an aggregate principal balance of $1,100,000,000,
including one delayed-close loan totaling $69.2 million as of the
cutoff date. The loans were contributed to the trust by TRTX
2025-FL6 Issuer, Ltd.
Situs Asset Management LLC is expected to be the servicer, and
Situs Holdings, LLC is expected to be the special servicer.
Wilmington Trust, National Association is expected to be the
trustee and Computershare Trust Company, National Association is
expected to be the note administrator. The notes are expected to
follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch Ratings performed detailed cash flow
analysis for 20 loans in the pool (100.0% by balance) and asset
summary reviews of all the loans in the pool. Fitch's aggregate net
cash flow (NCF), including the pro-rated trust portion of any pari
passu loan, is $74.7million, which represents a 7.6% decline from
the issuer's aggregate underwritten net cash flow NCF of $80.8
million.
Higher Fitch Leverage: The pool has higher leverage than recent
multiborrower transactions rated by Fitch. The pool's Fitch
loan-to-value ratio (LTV) of 137.2% is between the 2025 YTD and
2024 five-year multiborrower transaction averages of 137.1% and
140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 6.8%
is stronger than both the 2025 YTD and 2024 averages of 6.5% and
6.5%, respectively.
Higher Loan Concentration: The pool is less concentrated than 2024
transactions but more concentrated than recently rated 2025 Fitch
transactions. The 10 largest loans represent 68.1% of the pool,
which is less concentrated than the 2024 YTD five-year
multiborrower average of 70.5% and but more concentrated than the
2025 YTD average of 57.8%. Fitch measures loan concentration risk
with an effective loan count, which accounts for both the number
and size of loans in the pool. The pool's effective loan count is
19.1, which was lower than the 2025 YTD five-year multiborrower
average of 21.8 but higher than the 2024 average of 16.9. Fitch
views diversity as a key mitigant to idiosyncratic risk. Fitch
raises the overall loss for pools with effective loan counts below
40.
Property Type Concentration: The transaction is modestly
concentrated overall. The pool's effective property type count of
2.4 is higher than the 2025 YTD count of 2.3 and 2024 average of
1.7. The largest property type concentration is multifamily (60.8%
of the pool), which is lower than the 2025 YTD and 2024 multifamily
averages of 71.3% and 78.4%, respectively, for five-year
multiborrower transactions rated by Fitch. The second largest
property type concentration is office (14.9% of the pool), which is
a significantly higher concentration than recent transactions. The
YTD 2025 and 2024 averages for office property type were 0.8% and
1.4%, respectively. This category includes two loans in the top 10
loans: 575 Fifth Ave (6.9% of the pool balance) and 888 Broadway
(5.0% of the pool balance). Overall, three office properties in the
pool comprise 14.9% of the pool balance. The third largest property
type concentration is hotel (14.3% of the pool), which is higher
than the YTD 2025 and 2024 averages of 5.9% and 5.6%,
respectively.
Shorter-Duration Loans: Loans with five-year terms constitute 88.1%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default than 10-year loans,
all else equal. This is mainly attributable to the shorter window
of exposure to potentially adverse economic conditions. Fitch
considered its loan performance regression in its analysis of the
pool.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The list below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than
'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The list below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'.
SUMMARY OF FINANCIAL ADJUSTMENTS
Cash Flow Modeling
This transaction utilizes note protection tests to provide
additional credit enhancement (CE) to the investment-grade
noteholders, if needed. The note protection tests comprise an
interest coverage test and a par value test at the 'BBB-' level
(class E) in the capital structure. Should either of these metrics
fall below a minimum requirement then interest payments to the
retained notes are diverted to pay down the senior most notes. This
diversion of interest payments continues until the note protection
tests are back above their minimums.
As a result of this structural feature, Fitch's analysis of the
transaction included an evaluation of the liabilities structure
under different stress scenarios. To undertake this evaluation,
Fitch used the cash flow modeling referenced in the Fitch criteria
"U.S. and Canadian Multiborrower CMBS Rating Criteria". Different
scenarios were run where asset default timing distributions and
recovery timing assumptions were stressed.
Key inputs, including Rating Default Rate (RDR) and Recovery Rating
Rate (RRR), were based on the CMBS multiborrower model output in
combination with CMBS analytical insight. The cash flow modeling
results showed that the default rates in the stressed scenarios did
not exceed the available CE in any stressed scenario.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis, and it did not
affect Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
TSTAT 2022-1: Fitch Affirms BB- Rating on Class F-R Notes
---------------------------------------------------------
Fitch Ratings upgraded the class B-RR and C-RR notes and affirmed
the class A-1-RR, A-2-RR, D-1-RR, D-2-RR, E-R, and F-R notes of
TSTAT 2022-1, Ltd. (TSTAT 2022-1). The Rating Outlook on the class
D-1-RR notes was revised to Positive from Stable, class C-RR has
been assigned a Positive Rating Outlook, and the Outlook on the
class F-R notes was revised to Negative from Stable, while the
Outlooks on the other rated notes remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
TSTAT 2022-1, Ltd.
A-1-RR 872899AY5 LT AAAsf Affirmed AAAsf
A-2-RR 872899BA6 LT AAAsf Affirmed AAAsf
B-RR 872899BC2 LT AAAsf Upgrade AA+sf
C-RR 872899BE8 LT AA-sf Upgrade A+sf
D-1-RR 872899BG3 LT BBB+sf Affirmed BBB+sf
D-2-R 872899BJ7 LT BBB+sf Affirmed BBB+sf
E-R 87289RAG4 LT BB+sf Affirmed BB+sf
F-R 87289RAJ8 LT BB-sf Affirmed BB-sf
Transaction Summary
TSTAT 2022-1 is a broadly syndicated collateralized loan obligation
(CLO) managed by Trinitas Capital Management, LLC. The transaction
is a static CLO that originally closed in August 2022 was partially
refinanced on Dec. 6, 2023, and underwent a second full refinancing
on July 22, 2024. The transaction is secured primarily by first
lien, senior secured leveraged loans.
KEY RATING DRIVERS
Improving Credit Enhancement from Note Amortization
The upgrades and Positive Outlooks are driven by note amortization
of the class A-1-RR notes, which resulted in increased credit
enhancement levels and break-even default rate (BEDR) cushions
against relevant rating stress default levels. As of February 2025
reporting, approximately 43.2% of the class A-1-RR notes has
amortized since the June 2024 refinancing.
The portfolio currently consists of 129 obligors and the largest 10
obligors represent 15.1% of the portfolio, compared to 171 obligors
and largest 10 obligors of 10.8% at the refinancing. The share of
the portfolio comprised of issuers with an obligor size of 1% or
higher increased to 43.6% from 4.5%.
Since the 2024 refinancing, the underlying weighted average spread
compressed to 3.3% from 3.6%.
The credit quality of the portfolio has remained stable, at a Fitch
weighted average rating factor of 26.8 (B/B- rating level) since
2024 refinancing, exposure to issuers with a Negative Outlook has
grown to 18.1% from 18.0%, and the issuers in Fitch's watchlist
decreased to 10.2% from 11.2%. In addition, 6.2% of the portfolio
is made up of loans with a stated maturity in 2031, including one
long-dated obligation representing 0.4% of the portfolio.
Cash Flow Analysis
In addition to the base case analysis, Fitch conducted an updated
cash flow analysis based on a stressed portfolio that assumed a
one-notch downgrade on the Fitch Issuer Default Rating Equivalency
Rating for assets with a Negative Outlook on the driving rating of
the obligor and extended the weighted average life to 4.0 years.
All classes except for the class F-R notes have positive cushions
to their recommended ratings in this scenario. Class F-R notes pass
one notch below their current rating in this scenario.
Fitch affirmed all the notes' ratings in line with their
model-implied ratings (MIRs) as defined in Fitch's CLOs and
Corporate CDOs Rating Criteria, with the exception of the class
C-RR and D-1-RR, whose MIRs are two notches higher than their
current ratings given the modest cushions at their MIRs and
concerns with respect to portfolio concentration and spread
compression.
The Positive Outlooks for classes C-RR and D-1-RR indicate a
potential upgrade if the amortization continues and outweighs
increasing portfolio concentration and potential decline in the
credit quality of the pool.
The Stable Outlooks on the class A-1-RR, A-2-RR, B-RR, D-2-R, and
E-R notes reflect Fitch's expectation that the notes have
sufficient level of credit protection to withstand potential
deterioration in the credit quality of the portfolios in stress
scenarios commensurate with each class' rating.
The Negative Outlook on the class F-R notes is due to the declining
break-even default (BEDR) cushions since the 2024 refinancing and
exposure to increasing portfolio concentration, as illustrated by
the outcome of the stress scenario.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing and the
notes' credit enhancement do not compensate for the higher loss
expectation than initially assumed;
- A 25% increase of the mean default rate across all ratings, along
with a 25% decrease of the recovery rate at all rating levels for
the current portfolio, would lead to downgrades of up to four
notches, based on MIRs.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Except for the tranches already at the highest 'AAAsf' rating,
upgrades may occur in the event of better-than-expected portfolio
credit quality and transaction performance;
- A 25% reduction of the mean default rate across all ratings,
along with a 25% increase of the recovery rate at all rating levels
for the current portfolio, would lead to upgrades of up to six
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 about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information or information on the risk-presenting entities.
Overall, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.
UNITED AUTO 2025-1: DBRS Gives Prov. BB(high) Rating on E Notes
---------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
classes of notes to be issued by United Auto Credit Securitization
Trust 2025-1 (UACST 2025-1 or the Issuer):
-- $145,583,000 Class A Notes at (P) AAA (sf)
-- $53,110,000 Class B Notes at (P) AA (high) (sf)
-- $34,380,000 Class C Notes at (P) A (high) (sf)
-- $53,490,000 Class D Notes at (P) BBB (sf)
-- $37,440,000 Class E Notes at (P) BB (high) (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The provisional credit ratings are based on Morningstar DBRS'
review of the following analytical considerations:
(1) Transaction capital structure, proposed credit ratings, and
form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund, and excess
spread. Credit enhancement levels are sufficient to support the
Morningstar DBRS-projected cumulative net loss (CNL) assumption
under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms in which
they have invested. For this transaction, the credit ratings
address the payment of timely interest on a monthly basis and
principal by the legal final maturity date.
(2) The Morningstar DBRS CNL assumption is 21.60% based on the
expected Cut-off Date pool composition.
-- The pool includes collateral originated by UACC as well as
Vroom collateral.
(3) The Transaction parties' capabilities with regards to
originations, underwriting, and servicing, and the existence of an
experienced and capable backup servicer.
-- Morningstar DBRS has performed an operational risk review of
UACC and considers the entity to be an acceptable originator and
servicer of subprime automobile loan contracts. Additionally, the
Transaction has an acceptable backup servicer.
-- The UACC senior management team has considerable experience and
a successful track record within the auto finance industry.
(4) The credit quality of the collateral and performance of UACC's
auto loan portfolio.
-- UACC originates collateral which generally has shorter terms,
higher down payments, lower book values, and higher borrower income
requirements than some other subprime auto loan originators.
(5) The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios For Rated
Sovereigns December 2024 Update, published on December 19, 2024.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse coronavirus pandemic scenarios, which were
first published in April 2020.
(6) The legal structure and presence of legal opinions, which are
expected to address the true sale of the assets to the Issuer, the
nonconsolidation of the special-purpose vehicle with UACC, that the
trust has a valid first-priority security interest in the assets,
and the consistency with Morningstar DBRS' Legal Criteria for U.S.
Structured Finance methodology.
UACC is a specialty finance company that has been engaged in the
subprime automobile finance business since 1996. UACC purchases
motor vehicle retail installment sales contracts from franchise and
independent automobile dealerships throughout the U.S.
UACST 2025-1 will represent the 24th asset-backed securities
transaction completed in UACC's history and will offer both senior
and subordinate rated securities. The receivables securitized in
UACST 2025-1 will be subprime automobile loan contracts secured
primarily by used automobiles, light-duty trucks, and vans.
The credit rating on the Class A Notes reflects 63.40% of initial
hard credit enhancement provided by the subordinated notes in the
pool (46.70%), the reserve fund (1.50% as a percentage of the
initial collateral balance), and OC (15.20% of the initial pool
balance). The credit ratings on the Class B, C, D, and E Notes
reflect 49.50%, 40.50%, 26.50%, and 16.70% of initial hard credit
enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.
Notes: All figures are in US dollars unless otherwise noted.
VERUS SECURITIZATION 2025-2: S&P Assigns 'B+' Rating on B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2025-2's mortgage-backed notes.
The note issuance is an RMBS transaction backed by primarily newly
originated first- and second-lien, fixed- and adjustable-rate
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and non-prime borrowers. The
loans are secured by single-family residences, planned-unit
developments, two- to four-family residential properties,
condominiums, condotels, townhouses, mixed-use properties, and
five- to 10-unit multifamily residences. The pool has 1,280 loans
backed by 1,297 properties. These are QM/non-HPML (safe harbor), QM
rebuttable presumption, non-QM/ATR-compliant, and ATR-exempt loans.
Of the 1,280 loans, three loans are cross-collateralized loans
backed by 20 properties.
S&P said, "After we assigned preliminary ratings on March 4, 2025,
the collateral pool and bond sizes were updated to reflect the
updated balances and updated payment history for certain loans, as
well as 22 loans that were removed from the pool. The resized bonds
reflect unchanged credit enhancement for all the rated classes.
After analyzing the updated collateral pool and the updated bond
structure, we assigned final ratings that are unchanged from the
preliminary ratings we had assigned for all the classes."
The ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, and geographic
concentration;
-- The mortgage aggregator, Invictus Capital Partners; and
-- S&P's outlook that considers its current projections for U.S.
economic growth, unemployment rates, and interest rates, as well as
our view of housing fundamentals; it is is updated, if necessary,
when these projections change materially.
Ratings(i) Assigned
Verus Securitization Trust 2025-2
Class A-1, $449,895,000: AAA (sf)
Class A-2, $45,272,000: AA- (sf)
Class A-3, $65,708,000: A+ (sf)
Class M-1, $35,527,000: BBB- (sf)
Class B-1, $13,518,000: BB- (sf)
Class B-2, $8,175,000: B+ (sf)
Class B-3, $10,689,434: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, not applicable: NR
(i)The ratings address the ultimate payment of interest and
principal. They do not address the payment of the cap carryover
amounts.
(ii)Interest can be deferred on the classes. Fixed coupons on the
class A-1, A-2, A-3, M-1, and B-1 notes are subject to the pool's
net weighted average coupon cap.
NR--Not rated
VNDO TRUST 2016-350P: DBRS Confirms B Rating on Class E Certs
-------------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2016-350P
issued by VNDO Trust 2016-350P as follows:
-- Class A at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at A (high) (sf)
-- Class C at BBB (high) (sf)
-- Class D at BB (high) (sf)
-- Class E at B (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect
Morningstar DBRS' expectation that the underlying property's
performance will remain steady with the master lease agreement in
effect through 2032, five years beyond the loan's maturity.
Morningstar DBRS notes that there is a significant amount of equity
behind the subject loan, with continued investments from the loan's
sponsor illustrating its continued commitment to the ongoing
development project discussed further below.
The collateral for the trust consists of a $233.3 million portion
of a $400.0 million whole loan amount, represented by four pari
passu A notes ($296.0 million) and two subordinate B notes ($104.0
million). The trust collateral consists of two senior A notes
totaling $129.3 million and the two subordinate B notes. The two
remaining A notes, totaling $166.7 million, were contributed to the
GSMS 2017-GS5 ($100.0 million; rated by Morningstar DBRS) and JPMDB
2017-C5 ($66.7 million; non-rated) transactions. The loan is
secured by the first mortgage on 350 Park Avenue, a Class A office
property in Midtown Manhattan's Plaza District submarket, between
51st Street and 52nd Street. The 30-story property totals 570,784
square feet (sf), including four ground-floor retail spaces
totaling 17,144 sf.
The loan was previously specially serviced in November 2022 because
of a complex consent request in relation to a new agreement between
the sponsors, Vornado Realty Trust (Vornado) and Rudin, and Citadel
Enterprises America LLC (Citadel), which is an affiliate of Kenneth
C. Griffin, Citadel's founder and chief executive officer.
According to a December 9, 2022, press release from Vornado, major
terms of the agreement include the following: (1) Citadel to enter
into a master lease with Vornado for 350 Park Avenue (subject) on
an "as is" basis for 10 years retroactive to June 2022 at an annual
rent of $36 million ($63 per sf gross); (2) Citadel to also enter
into a master lease with Rudin for the adjacent property at 40 East
52nd Street (non-collateral); and (3) Vornado and Rudin to enter
into a joint venture to purchase 39 East 51st Street for $40
million, with the eventual aim of creating a premier development
site between the three aforementioned parcels. From October 2024 to
June 2030, Griffin will have the following options: (1) acquire a
60.0% interest in a joint venture with Vornado and Rudin that would
value the site at $1.2 billion to build a 1.7 million-sf office
tower with Citadel occupying approximately 50.0% of the net
rentable area (NRA) on a pre-negotiated 15-year lease; or (2)
exercise an option to purchase the entire combined site for $1.4
billion without participation from Vornado and Rudin.
According to a January 25, 2023, press release from Vornado, the
agreement as described above has received all necessary third-party
approvals. Most recently, the public review process is slated to
commence in early 2025 with an expected project completion in 2032,
according to a number of online news articles.
According to the September 2024 rent roll, the collateral is master
leased to Citadel extending to June 2032; however, the building has
an in-place occupancy rate of 84.8%. The largest collateral tenants
included Citadel Enterprise Americas (67.3% of the NRA), Marshall
Wace North America (8.3% of the NRA, lease expiry October 2025),
and Fidelity Brokerage Services (3.3% of the NRA, lease expiry in
December 2025). Although the second- and third-largest tenants have
upcoming lease expirations in 2025, the risk is mitigated by the
in-place master lease. According to the provided rent roll,
Marshall Wace North America is receiving a full abatement on its
office rent. As of the most recent financials, the loan reported an
annualized net cash flow (NCF) of $33.0 million (debt service
coverage ratio (DSCR) of 2.08 times (x)) for the trailing six
months ended June 30, 2024, which remains in line with the YE2023
figure of $35.1 million (DSCR of 2.25x).
Morningstar DBRS' previous credit rating action in April 2024
included an update to the asset's valuation. For more information
regarding the approach and analysis conducted, please refer to the
press release titled "Morningstar DBRS Takes Rating Actions on
North American Single-Asset/Single-Borrower Transactions Backed by
Office Properties," published on April 15, 2024. For purposes of
this credit rating action, Morningstar DBRS maintained the
valuation approach from the April 2024 review, which was based on a
capitalization rate of 7.25% applied to the Morningstar DBRS NCF of
$29.7 million. Morningstar DBRS also maintained positive
qualitative adjustments to the loan-to-value ratio (LTV) sizing
benchmarks totaling 5.5% to reflect the subject property's quality
and in-place master lease providing long-term stable cash flows.
The Morningstar DBRS concluded value of $409.2 million ($717 per
sf) represents a variance of -42.4% from the issuance appraised
value of $710.0 million and implies a whole loan LTV of 97.8%. The
projected post-development value estimates for the site implied by
the purchase options cited in Vornado's December 9, 2022, press
release ranged between $1.2 billion and $1.4 billion. Morningstar
DBRS believes the whole loan balance of $400.0 million remains well
insulated against loss.
Morningstar DBRS published a press release on February 19, 2025,
outlining credit rating actions taken on the COMM 2013-300P
Mortgage Trust transaction, which is secured by the borrower's
fee-simple interest in 300 Park Avenue, also known as the Colgate
Palmolive Building, a Class A, LEED Silver-certified office tower
one block east of the subject property in this transaction.
Morningstar DBRS valued the 300 Park Avenue building at $629 psf,
which remains below the $717 psf for the subject property. The
difference in valuation is justified because of the ongoing
commitment from the loan's sponsor to redevelop the subject
property into a premier development with value estimates in excess
of $1 billion, coupled with the in-place master lease that extends
five years past the loan's maturity.
Notes: All figures are in U.S. dollars unless otherwise noted.
WELLINGTON MANAGEMENT 4: S&P Assigns BB- (sf) Rating on E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Wellington Management
CLO 4 Ltd./Wellington Management CLO 4 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 Wellington Management CLO Advisors
LLC.
The ratings reflect:
-- S&P's view of the collateral pool's diversification;
-- 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
Wellington Management CLO 4 Ltd./
Wellington Management CLO 4 LLC
Class A, $180.0 million: AAA (sf)
Class A loans, $75.0 million: AAA (sf)
Class B, $49.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1 (deferrable), $24.0 million: BBB- (sf)
Class D-2 (deferrable), $3.0 million: BBB- (sf)
Class E (deferrable), $12.5 million: BB- (sf)
Subordinated notes, $43.4 million: NR
NR--Not rated
WFRBS COMMERCIAL 2012-C10: DBRS Confirms C Rating on 3 Classes
--------------------------------------------------------------
DBRS Limited confirmed the credit rating on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2012-C10
issued by WFRBS Commercial Mortgage Trust 2012-C10 as follows:
-- Class B at AA (low) (sf)
-- Class X-B at BBB (high) (sf)
-- Class C at BBB (sf)
-- Class D at C (sf)
-- Class E at C (sf)
-- Class F at C (sf)
The trends on Classes B, X-B, and C are Stable. Classes D, E, and F
have credit ratings that generally do not carry trends in
commercial mortgage-backed securities (CMBS) credit ratings.
Since Morningstar DBRS' last credit rating action in April 2024,
one loan that was previously in special servicing, Philadelphia
Industrial Portfolio (Prospectus ID#31), was repaid in full,
incurring no realized loss to the trust. As of the February 2025
reporting, only three loans remain in the pool, two of which are in
special servicing; however, Morningstar DBRS has concerns regarding
the recoverability of all three loans. As such, Morningstar DBRS'
analysis was based on a liquidation scenario applied to the
remaining loans in the pool, which resulted in approximately $106.4
million in total losses, resulting in a full write down of the
nonrated Class G, as well as Classes E and F, which are rated C
(sf), and a partial write-down of Class D, supporting the credit
rating confirmation with this review.
The two loans in special servicing, Dayton Mall (Prospectus ID#3;
32.2% of the pool) and Rogue Valley Mall (Prospectus ID#5; 20.5% of
the pool), are both secured by portions of regional malls, in
Dayton, Ohio and Medford, Oregon, respectively. Both loans failed
to repay at their respective maturity dates in Q3 2022 and have
since been listed for sale. However, the sale of Rogue Valley Mall
has been temporarily put on hold as the property's second-largest
tenant, American Freight Furniture, announced its closure of most
stores nationwide, including at the collateral. Although the
collateral occupancy at both malls has remained stable year over
year, hovering around 90.0%, their other performance metrics have
been below issuance levels for the past several years. Since the
last review, both properties have been reappraised at values lower
than Morningstar DBRS' previous estimates. An updated appraisal for
Dayton Mall, dated August 2024, valued the property at $36.5
million, 72.3% below its issuance value of $132.0 million,
reflecting a loan-to-value ratio (LTV) of 195.0%. The Rogue Valley
Mall was reappraised in July 2024 at $31.8 million, 60.3% below its
issuance value of $80.0 million, reflecting an LTV of 142.6%. For
this review, Morningstar DBRS liquidated both loans based on
conservative haircuts to the most recent values, resulting in an
implied loss of approximately $82.8 million, or a weighted-average
implied loss severity exceeding 70.0%.
The largest loan in the pool, Republic Plaza (Prospectus ID#1;
47.3% of the pool), is secured by a 1.3 million-square-foot (sf),
Class A office property, with 48,371 sf of ground-floor retail
space, in downtown Denver. The pari passu loan previously
transferred to special servicing in November 2022 for imminent
default; however, a modification was finalized in June 2023 to
extend the maturity date to March 2026 and change to interest-only
(IO) debt service payments through the extended term, among other
items. The loan subsequently returned to the master servicer as a
corrected mortgage, and the borrower continues to abide by the
terms of the modification, including the cash management
provisions. Since the last review, the borrower has released
approximately $9.4 million from replacement and tenant reserves,
with $10.9 million remaining per the February 2025 reporting.
Property occupancy was reported at 72.5% as of October 2024, an
increase from 67.0% in December 2023. However, the largest tenant,
Ovintiv USA Inc. (15.9% of the net rentable area (NRA); expiration
in April 2033) contractually reduced its footprint from 308,708 sf
(22.6% of NRA) in 2022 and gave back another 49,094 sf (3.7% of
NRA) in December 2024. Its footprint now stands at 213,240 sf.
Additionally, per the Cushman and Wakefield website, approximately
403,065 sf (30.1% of NRA) is currently being marketed for lease at
rental rates between $23 per sf (psf) and $28 psf, well below the
average asking rent of $34.85 psf for the Central Business District
submarket as of Q4 2024, which has a vacancy of 28.9%, per Reis.
The December 2022 appraisal value of $298.1 million represents a
44.3% decline from the issuance value of $535.4 million. Although
the loan has been modified and is back with the master servicer,
Morningstar DBRS believes a loss at resolution remains likely. As
such, Morningstar DBRS analyzed the loan under a liquidation
scenario, which is based on a stressed haircut to the most recent
appraised value given the upcoming tenant rollover and soft
submarket conditions, resulting in a loss severity exceeding 20%.
Notes: All figures are in U.S. dollars unless otherwise noted.
WOODMONT 2018-4: S&P Assigns Prelim BB- (sf) Rating on E-RR Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR replacement debt from
Woodmont 2018-4 Trust, a CLO originally issued in April 2018 and
previously refinanced in April 2022 that is managed by MidCap
Financial Services Capital Management LLC, a subsidiary of Apollo
Global Management Inc.
The preliminary ratings are based on information as of March 14,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On April 21, 2025, refinancing date, the proceeds from the
replacement debt will be used to redeem the outstanding debt. S&P
said, "At that time, we expect to withdraw our ratings on the
outstanding debt and assign ratings to the replacement debt.
However, if the refinancing doesn't occur, we may affirm our
ratings on the outstanding debt and withdraw our preliminary
ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and
E-RR debt is expected to be issued at a lower spread over
three-month SOFR than the outstanding debt.
-- The stated maturity, reinvestment period, and non-call period
will be extended three years.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
Woodmont 2018-4 Trust
Class A-1-RR, $580.00 million: AAA (sf)
Class A-2-RR, $40.00 million: AAA (sf)
Class B-RR, $60.00 million: AA (sf)
Class C-RR (deferrable), $80.00 million: A (sf)
Class D-RR (deferrable), $60.00 million: BBB- (sf)
Class E-RR (deferrable), $70.00 million: BB- (sf)
Other Outstanding Debt
Woodmont 2018-4 Trust
Subordinated notes, $110.27 million: Not rated
[] DBRS Confirms 25 Ratings From 6 Westlake Auto Receivables
------------------------------------------------------------
DBRS, Inc. upgraded 4 credit ratings, confirmed 25 credit ratings,
and discontinued one credit rating as a result of full repayment,
from six Westlake Automobile Receivables Trust.
The Issuers are:
Westlake Automobile Receivables Trust 2021-1
Westlake Automobile Receivables Trust 2022-2
Westlake Automobile Receivables Trust 2021-3
Westlake Automobile Receivables Trust 2024-2
Westlake Automobile Receivables Trust 2023-1
Westlake Automobile Receivables Trust 2023-3
The Affected Ratings are available at https://bit.ly/41XoHTT
The credit rating actions are based on the following analytical
considerations:
-- For Westlake Automobile Receivables Trust 2021-1 and Westlake
Automobile Receivables Trust 2024-2, losses are tracking either in
line with or below the Morningstar DBRS initial base-case
cumulative net loss (CNL) expectations. The current level of hard
credit enhancement (CE) and estimated excess spread are sufficient
to support the Morningstar DBRS projected remaining CNL assumptions
at multiples of coverage commensurate with the credit ratings.
-- For Westlake Automobile Receivables Trust 2021-3, Westlake
Automobile Receivables Trust 2022-2, Westlake Automobile
Receivables Trust 2023-1, and Westlake Automobile Receivables Trust
2023-3, although losses are tracking above the Morningstar DBRS
initial base-case CNL expectations, the current level of hard CE
and estimated excess spread are sufficient to support the
Morningstar DBRS projected remaining CNL assumptions at a multiple
of coverage commensurate with the credit ratings.
-- The transaction capital structures and form and sufficiency of
available CE.
-- The transaction parties' capabilities with regard to
originating, underwriting, and servicing.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary, "Baseline Macroeconomic Scenarios for Rated
Sovereigns December 2024 Update," published on December 19, 2024.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse coronavirus pandemic scenarios, which were
first published in April 2020.
Westlake Automobile Receivables Trust 2021-1, Westlake Automobile
Receivables Trust 2021-3, Westlake Automobile Receivables Trust
2022-2, and Westlake Automobile Receivables Trust 2023-1
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Westlake Automobile Receivables Trust 2023-3
Morningstar DBRS' credit ratings on the securities referenced
herein address the credit risk associated with the identified
financial obligations in accordance with the relevant transaction
documents. The associated financial obligations for each of the
rated notes are the related Noteholders' Monthly Interest Payment
Amount and the related outstanding Note Balance.
Morningstar DBRS' credit rating does not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction documents that are not financial
obligations. The associated contractual payment obligation that is
not a financial obligation for each of the rated notes is the
related interest on any unpaid Noteholders' Monthly Interest
Payment Amount.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Westlake Automobile Receivables Trust 2024-2
Morningstar DBRS' credit rating on the securities referenced herein
addresses the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations for each of the rated notes
are the related Noteholders' Monthly Interest Distributable Amount
and the related Note Balance.
Notes: The principal methodology applicable to the credit ratings
is Morningstar DBRS Master U.S. ABS Surveillance (January 10,
2025).
[] DBRS Reviews 46 Classes From 3 US RMBS Transactions
------------------------------------------------------
DBRS, Inc. reviewed 46 classes from three U.S. residential
mortgage-backed securities (RMBS) transactions. The three
transactions reviewed are classified as closed-end second-lien. Of
the 46 classes reviewed, Morningstar DBRS confirmed all credit
ratings.
The Issuers are:
Towd Point Mortgage Trust 2024-CES2
J.P. Morgan Mortgage Trust 2024-CES1
Saluda Grade Alternative Mortgage Trust 2024-CES1
The Affected Ratings are available at https://tinyurl.com/yc3jatkk
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating confirmations reflect asset performance and
credit support levels that are consistent with the current credit
ratings.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns December 2024 Update" published on December 19, 2024
(https://dbrs.morningstar.com/research/444924). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
The credit rating actions are the result of Morningstar DBRS'
application of its "U.S. RMBS Surveillance Methodology," published
on June 28, 2024 (https://dbrs.morningstar.com/research/435291).
Notes: All figures are in U.S. dollars unless otherwise noted.
[] Moody's Upgrades Ratings on 32 Bonds from 8 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 32 bonds from eight US
residential mortgage-backed transactions (RMBS), backed by Alt-A,
and Subprime mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Bear Stearns ALT-A Trust 2004-13
Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 4, 2018 Upgraded
to Caa2 (sf)
Issuer: ContiMortgage Home Equity Loan Trust 1998-4
B, Upgraded to Caa3 (sf); previously on Mar 7, 2011 Confirmed at Ca
(sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-AB4
Cl. 1-A, Upgraded to Caa1 (sf); previously on Oct 13, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Nov 20, 2018
Upgraded to Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2004-25CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. PO, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed
at Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2004-27CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. A-5*, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. A-6, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. PO, Upgraded to Caa1 (sf); previously on Sep 21, 2016 Confirmed
at Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-21CB
Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa2 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa2 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa2 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa2 (sf)
Cl. A-5, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa2 (sf)
Cl. A-7, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa2 (sf)
Cl. A-9, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa2 (sf)
Cl. A-11, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa2 (sf)
Cl. A-12, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa2 (sf)
Cl. A-13, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa2 (sf)
Cl. A-17, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa2 (sf)
Cl. PO, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-55CB
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa2 (sf)
Cl. 1-PO, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa2 (sf)
Cl. 2-A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Caa3 (sf)
Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Caa3 (sf)
Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Caa3 (sf)
Cl. 2-A-5*, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Caa3 (sf)
Cl. 2-PO, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corporation, Series 2003-BC1
Cl. B1, Upgraded to Caa2 (sf); previously on Mar 7, 2011 Downgraded
to Caa3 (sf)
*Reflects Interest-Only Classes.
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No actions were taken on the other rated classes in these deals
because their expected losses on the bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, credit enhancement
and other qualitative considerations.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations: Surveillance" published in December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 7 Bonds from 4 US RMBS Deals
-----------------------------------------------------------
Moody's Ratings has upgraded the ratings of seven bonds from four
US residential mortgage-backed transactions (RMBS), backed by
second lien and scratch and dent mortgages issued by multiple
issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Quest Trust 2006-X2
Cl. A-2, Upgraded to Caa1 (sf); previously on Mar 5, 2009
Downgraded to Ca (sf)
Issuer: RFMSII Home Loan Trust 2006-HI4
Cl. A-4, Upgraded to Caa2 (sf); previously on Jan 27, 2010
Downgraded to C (sf)
Underlying Rating: Upgraded to Caa2 (sf); previously on Jan 27,
2010 Downgraded to C (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RFMSII Home Loan Trust 2006-HI5
Cl. A-4, Upgraded to Ca (sf); previously on Jan 27, 2010 Downgraded
to C (sf)
Underlying Rating: Upgraded to Ca (sf); previously on Jan 27, 2010
Downgraded to C (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RFMSII Home Loan Trust 2007-HI1
Cl. A-4, Upgraded to Caa3 (sf); previously on Jan 27, 2010
Downgraded to C (sf)
Underlying Rating: Upgraded to Caa3 (sf); previously on Jan 27,
2010 Downgraded to C (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] S&P Places 65 CLO Ratings on CreditWatch Positive
----------------------------------------------------
S&P Global Ratings placed 83 ratings from 30 broadly syndicated and
two middle market CLO transactions on CreditWatch: 65 with positive
implications and 18 with negative implications. The transactions
are mix of reinvesting and amortizing transactions.
A list of Affected Ratings can be viewed at:
https://tinyurl.com/3jr7adhd
Most of the 65 classes placed on CreditWatch positive are in the
senior part of their respective capital structures. The continued
paydowns to the senior notes of the CLOs increased the
overcollateralization support to these tranches. In addition, S&P
also considered their indicative cash flow results when it placed
their ratings on CreditWatch positive.
While paydowns to senior notes are generally a positive for the
credit enhancement of the senior portion of the capital structure,
increased exposure to lower-quality assets and portfolio
concentration in such amortizing transactions can increase the
credit risk of the junior CLO notes.
This is the case for most of these 18 tranches with ratings that
are being placed on CreditWatch with negative implications: two in
the 'BBB' category, seven in the 'BB' category, eight in the 'B'
category, and one in the 'CCC' category. The placement primarily
reflects the decline in their overcollateralization levels, which
is likely due to a combination of par losses, increases in
defaults, and increases in haircuts due to excess exposure to 'CCC'
collateral. S&P said, "In addition, we considered other factors,
such as indicative cash flow runs, current exposure to 'CCC' and
lower collateral, and the pure overcollateralization, which is our
estimate of the tranches' current overcollateralization ratios
without 'CCC' haircuts in relation to the overall market average."
S&P intends to resolve these CreditWatch placements within 90 days,
following a committee review.
S&P will continue to monitor the transactions we rate and take
rating actions, including CreditWatch placements, as it deems
appropriate.
[] S&P Takes Various Actions on 119 Tobacco Settlement-Backed Bond
------------------------------------------------------------------
S&P Global Ratings reviewed its ratings on 119 tobacco
settlement-backed bonds from eight tobacco settlement ABS
transactions. The review yielded 31 downgrades and 88 affirmations.
At the same time, S&P removed the ratings from CreditWatch, where
they were placed with negative implications on Jan. 13, 2025.
A list of Affected Ratings can be viewed at:
https://tinyurl.com/bdx3533w
The ABS transactions are backed by tobacco settlement revenues
resulting from master settlement agreement (MSA) payments,
liquidity reserve accounts, and interest income. MSA payment
calculations typically reflect inflation, annual shipment volume,
and market shift in nonparticipating manufacturers (NPMs).
S&P said, "On Jan. 13, 2025, we placed 119 tobacco settlement bonds
on CreditWatch negative following updates to our, "U.S. Tobacco
Settlement Securitization: Ratings Methodology And Assumptions,"
criteria, which was originally published on March 24, 2016, for
total annual cigarette volume declines."
Latest Reported Consumption Data
U.S. cigarette consumption decreased at a higher-than-expected rate
of 8.73% in the 2023 sales year, according to the National
Association of Attorneys General (NAAG) April 2024 annual data
release. Annual consumption has declined 5.36% and 4.20% on average
over the past five and 10 years, respectively. Combined with the
3.35% inflation and 10.81% NPM market share, as reported by NAAG,
total MSA distribution payments decreased in sales year 2023 for
most states and territories. In addition, NAAG revised the 2022
sales year decline to 9.87% from 9.72%.
Updated Stressed Volume Decline Assumptions
The values reflect recent consumption trends, based on NAAG data,
as well as continued health concerns, utilization of alternative
products such as vape and e-cigarettes, and an aging population
that is reducing consumption or quitting, among other factors.
Additionally, there has been increased competition from low-price,
illegal e-vapor products.
S&P's assumptions are subject to change as industry conditions
evolve due to factors such as higher retail pricing, future excise
tax increases, uncertainties regarding future litigation events or
legislation, a potential shift toward e-cigarettes, and a more
difficult marketing environment.
Total annual cigarette volume decline assumptions by rating (%)
Current Replaced
Rating (as of Jan. 9, 2025) (prior to Jan. 9, 2025)
A 7.25 5.75
A- 7.00 5.58
BBB+ 6.75 5.42
BBB 6.50 5.25
BBB- 6.25 5.08
BB+ 6.00 4.92
BB 5.75 4.75
BB- 5.50 4.58
B+ 5.25 4.42
B 5.00 4.25
Cash Flow Results
S&P said, "During our review, we applied a cash flow analysis that
includes a cigarette volume decline test, a participating
manufacturer bankruptcy test, and a nonparticipating manufacturer
adjustment (collectively, rating tests), as well as additional
sensitivity stresses on market share shifts and spikes in volume
decline. The sensitivity runs are designed to test a transaction's
tolerance to event risks, such as a menthol ban, tax increases, and
new product replacement. Our cash flow results reflect the
transactions' ability to pay timely interest and scheduled
principal at each bond's stated maturity date, based on their
underlying credit support and payment priority."
The rating actions are primarily based on S&P's view of:
-- The transactions' performance, which reflects the bonds'
amortization to date and our forward-looking payment expectations.
-- The bonds' time remaining to maturity, which can result in
notching of the model-implied rating. For example, a bond that has
20 or more years to maturity typically receives a two-notch
adjustment, while a bond with between 10 and 20 years to maturity
typically receives only a one-notch adjustment.
S&P said, "Consistent with our prior reviews, if a current interest
bond failed all rating tests, we assigned a 'B- (sf)' rating if a
steady state test is passed (defined as 0% consumption decline with
'B-' recovery assumption on NPM adjustments). Otherwise, we
assigned a 'CCC+ (sf)' rating. We typically assigned a 'CCC- (sf)'
rating to capital appreciation bonds that did not pass any rating
tests.
"In light of the weak consumption trends, we did not upgrade a bond
if the upgrade would be solely due to either a reduction in the
bond's time remaining to maturity or the payoff of a bond senior to
a turbo term bond, such that it was no longer subordinated, as we
may have in the past. We will still consider upgrades in
appropriate circumstances.
"Most of our rating actions reflect the implementation of our
updated criteria assumptions and were consistent with the
model-implied ratings with the tenor adjustment and structural
consideration described above. Bonds with longer-dated maturities
or subordinated in the capital structure were more sensitive to our
changes to the volume decline assumptions."
S&P also considered certain transaction-specific factors for the
two transactions below.
The California County Tobacco Securitization Agency (Los Angeles).
S&P said, "We affirmed our 'BBB+ (sf)' rating on the class B-1
turbo term bond (which matures in 2049), despite the one- to
three-notch downgrades on the class A serial and term bonds (which
mature in 2030 through 2049) to 'BBB (sf)'. The class B-1 bond
began receiving principal payments in 2022 and has received $26.89
million to date, leaving a remaining principal balance of $13.11
million. If turbo payments continue at their recent pace of $8
million to $9 million annually, we expect this bond to be fully
paid down within the next two years."
TSASC Inc. (TSASC). S&P downgraded seven classes of senior serial
bonds (which mature in 2030 through 2036) and the senior term bonds
(which mature in 2041) two or three notches to 'BBB (sf)',
depending on the maturity. TSASC has drawn on its subordinate
liquidity reserve account to make debt service payments on
subordinate bonds several times since 2020, most recently in
December 2024. The subordinate liquidity reserve account currently
has a balance of $2.2 million relative to a target amount of $40.3
million. On Dec. 9, 2024, TSASC entered into a security agreement
that pledged the remaining 62.6% of its tobacco settlement
receivables to cover any potential deficiency in interest and
principal payment on the series 2017 A and B bonds until the June
2028 payment date. The security agreement may be terminated earlier
by TSASC upon 90 days' notice to the indenture trustee.
S&P said, "Given the early termination option for the security
agreement, we did not give credit to the additional pledge in our
rating runs, which indicated shortfalls for the 2030-2036 serial
bonds and the 2041 term bonds in the participating manufacturer
bankruptcy test at the prior 'A' stress level. In addition, we do
not expect the additional pledge to benefit bonds with longer-dated
maturities. Nevertheless, to the extent the security agreement
remains in place, the transaction should be able to meet its
payment obligations until 2028 based on our cash flow projections.
"In our analysis, we also considered the transactions' material
exposure to social credit factors within the environmental, social,
and governance framework. As discussed above, cigarette consumption
has been declining in recent years due to a variety of factors,
including pricing, alternative products, and legislative and social
changes. As the decline in social acceptability and the widespread
awareness of health concerns continue, these social factors could
adversely affect consumption of cigarettes and, therefore, the
amounts payable under the MSA. We generally accounted for these
social credit factors, along with other factors, by applying
stresses in our cash flow analysis to the projected consumption
rates.
"We will continue to monitor the tobacco sector and the tobacco
settlement bonds and assess any potential impact on our outstanding
ratings."
*********
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