/raid1/www/Hosts/bankrupt/TCR_Public/250420.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, April 20, 2025, Vol. 29, No. 109
Headlines
AB BSL CLO 4: S&P Assigns BB- (sf) Rating on Class E-R Notes
AGL CLO 39: Fitch Assigns 'BB+sf' Final Rating on Class E Notes
AGL CLO 39: Moody's Assigns B3 Rating to $1MM Class F Notes
AGL CLO 6: Moody's Assigns B3 Rating to $290,000 Class F-RR Notes
AMMC CLO 26: S&P Assigns BB- (sf) Rating on Class E-R Notes
ANCHORAGE CREDIT 2: Moody's Ups $25.3MM E-R Notes Rating From Ba1
APIDOS CLO XI: Moody's Assigns Ba3 Rating to $20.75MM E-R4 Notes
ARES LOAN IX: Fitch Assigns 'BB-sf' Rating on Class E Notes
ARES TRUST 2025-IND3: Moody's Assigns Ba3 Rating to Cl. E Certs
AVIS BUDGET 2023-1: Moody's Assigns Ba1 Rating to Class D Notes
AVIS BUDGET 2023-7: Moody's Assigns Ba1 Rating to Class D Notes
BALBOA BAY 2022-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
BANK 2017-BNK7: Fitch Lowers Rating on Two Tranches to 'Bsf'
BBCMS MORTGAGE 2017-C1: Fitch Lowers Rating on Two Tranches to B-sf
BBCMS TRUST 2018-CBM: Moody's Lowers Rating on Cl. C Certs to Ba2
BENCHMARK 2019-B10: Fitch Lowers Rating on Class D Debt to 'BBsf'
BENCHMARK 2021-B30: Fitch Affirms 'B-sf' Rating on Two Tranches
BENCHMARK 2025-V14: Fitch Assigns 'B-sf' Rating on Class G-RR Certs
BENEFIT STREET XXX: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
BGME 2021-VR: DBRS Confirms BB(high) Rating on HRR Certs
BLACKROCK RAINIER VI: S&P Assigns Prelim 'BB-' Rating on E-R Notes
BRAVO RESIDENTIAL 2025-CES1: Fitch Assigns 'Bsf' Rating on B2 Notes
BRYANT PARK 2025-26: S&P Assigns Prelim BB- (sf) Rating on E Notes
BX PURE 2025-PURE2: Moody's Assigns Ba3 Rating to Cl. E Certs
CAMB 2021-CX2: DBRS Confirms BB(high) Rating on HRR Certs
CAPITAL FOUR III: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
CFIP CLO 2017-1: S&P Lowers Class E-R Notes Rating to 'B+ (sf)'
CITIGROUP 2012-GC8: Moody's Downgrades Rating on 2 Tranches to C
CITIGROUP 2015-GC35: Moody's Lowers Rating on 2 Tranches to Ba2
CITIGROUP 2016-GC37: Fitch Lowers Rating on Two Tranches to 'Bsf'
COLT 2025-4: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs
COMM 2013-300P: Fitch Affirms 'B-sf' Rating on Class C Debt
COMM 2021-2400: DBRS Confirms B(low) Rating on Class F Certs
CONNECTICUT AVE 2022-R05: Moody's Ups Rating on 3 Tranches to Ba3
CRESTLINE DENALI XVII: Moody's Ups Rating on $26MM D Notes from Ba1
CSMC TRUST 2017-CALI: S&P Lowers X-B Certs Rating to 'CCC (sf)'
DBGS 2021-W52: DBRS Confirms BB Rating on Class E Certs
EXETER SELECT 2025-1: S&P Assigns Prelim BB (sf) Rating on E Notes
GREAT LAKES VI: S&P Assigns Prelim 'BB-' Rating on Class E-R Notes
GS MORTGAGE 2014-GC22: Moody's Lowers Rating on 2 Tranches to B2
GS MORTGAGE 2025-PJ3: DBRS Finalizes B(low) Rating on B5 Notes
HPS LOAN 2023-17: S&P Assigns BB- (sf) Rating on Class E-R Notes
JP MORGAN 2013-LC11: Moody's Lowers Rating on Cl. B Certs to B2
JP MORGAN 2018-WPT: S&P Lowers XB-FX Certs Rating to 'BB- (sf)'
LAKE SHORE I: Moody's Cuts Rating on $29MM Class E-R Notes to B1
LAKESIDE PARK CLO: S&P Assigns BB- (sf) Rating on Class E Notes
LCM LTD XXV: Moody's Cuts Rating on $18MM Class E Notes to Caa1
MARANON LOAN 2022-1: S&P Assigns BB-(sf) Rating on Class E-R Notes
MCF CLO 10: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
MELLO WAREHOUSE 2025-1: DBRS Gives Prov. B Rating on 2 Classes
MORGAN STANLEY 2016-C29: Fitch Cuts Rating on 2 Tranches to 'B-sf'
MORGAN STANLEY 2025-21: Fitch Assigns 'BB-sf' Rating on Cl. E Notes
MORGAN STANLEY 2025-HX1: S&P Assigns B (sf) Rating on B-2 Notes
NASSAU LTD 2018-I: Moody's Cuts Rating on $20.1MM E Notes to Caa1
NYC COMMERCIAL 2021-909: DBRS Confirms BB(low) Rating on E Certs
OAKTREE CLO 2025-29: S&P Assigns BB- (sf) Rating on Class E Notes
OCP CLO 2025-42: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
OCTAGON 58: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes
OCTAGON 58: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
OHA CREDIT 14-R: S&P Assigns BB- (sf) Rating on Class E Notes
OHA CREDIT 20: S&P Assigns BB- (sf) Rating on Class E Notes
PALMER SQUARE 2023-2: Moody's Assigns Ba2 Rating to Cl. D-R Notes
PPLUS TRUST LTD-1: S&P Raises Class A/B Certs Rating to 'BB-'
PRET 2025-RPL2: DBRS Finalizes BB Rating on Class B1 Notes
PRPM 2025-RCF2: DBRS Gives Prov. BB Rating on Class M-2 Notes
PRPM 2025-RCF2: Fitch Assigns 'BB-sf' Final Rating on Cl. M-2 Notes
PRPM LLC 2025-RPL3: Fitch Assigns BB-(EXP) Rating on Cl. M-2 Notes
RAD CLO 29: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
RCKT MORTGAGE 2025-CES4: Fitch Gives 'B(EXP)sf' Rating on 5 Classes
SCULPTOR CLO XXXV: S&P Assigns Prelim BB- (sf) Rating on E Notes
SILVER POINT 8: Fitch Assigns 'BB+sf' Rating on Class E Notes
SKY1 TRUST 2025-LINE: Moody's Assigns Ba2 Rating to Cl. HRR Certs
SOHO TRUST 2021-SOHO: DBRS Confirms B Rating on 2 Tranches
STEELE CREEK 2022-1: Fitch Assigns 'BB-sf' Rating on Two Tranches
STEELE CREEK 2022-1: Fitch Assigns BB-(EXP) Rating on Two Classes
STRUCTURED ASSET 2006-BC2: Moody's Ups Rating on A1 Certs to Caa1
TOWD POINT 2025-CES1: DBRS Gives Prov. B(low) Rating on B2 Notes
TRUPS FINANCIALS 2019-2: Moody's Ups $47.3MM B Notes Rating to Ba1
UBS COMMERCIAL 2019-C18: Fitch Lowers Rating on 2 Tranches to 'Bsf'
VELOCITY COMMERCIAL 2025-2: DBRS Gives Prov. B Rating on 3 Classes
VENTURE CLO XIII: Moody's Cuts Rating on $39.5MM E-R Notes to Caa2
VENTURE CLO XXVI: Moody's Cuts Rating on $25.7MM E Notes to Caa1
VERDELITE STATIC 2024-1: Fitch Affirms BB+sf Rating on Cl. E Notes
VERUS SECURITIZATION 2025-3: S&P Assigns Prelim B+(sf) on B-2 Notes
VISTA POINT 2025-CES1: DBRS Finalizes B Rating on B-2 Notes
VOYA CLO 2021-3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
WIND RIVER 2022-2: Fitch Lowers Rating on Class E Notes to 'B+sf'
[] DBRS Reviews 105 Classes From 26 US RMBS Transactions
[] Moody's Takes Action on 49 Bonds From 9 US RMBS Deals
[] Moody's Upgrades Ratings on 18 Bonds From 9 US RMBS Deals
[] Moody's Upgrades Ratings on 21 Bonds From 6 US RMBS Deals
[] Moody's Upgrades Ratings on 23 Bonds From 13 US RMBS Deals
[] Moody's Upgrades Ratings on 33 Bonds From 10 US RMBS Deals
[] Moody's Upgrades Ratings on 86 Bonds From 11 US RMBS Deals
[] S&P Takes Various Actions on 1901 Classes From 49 US RMBS Deals
[] S&P Takes Various Actions on 243 Classes From 42 US RMBS Deals
*********
AB BSL CLO 4: S&P Assigns BB- (sf) Rating on Class E-R Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R notes, class A-1-R loans, and class A-2-R, B-R, C-R, D-1-R,
D-2-R, and E-R debt from AB BSL CLO 4 Ltd./AB BSL CLO 4 LLC, a CLO
managed by AB Broadly Syndicated Loan Manager LLC that was
originally issued in April 2023. At the same time, S&P withdrew its
ratings on the original class A, B, C, D, and E debt following
payment in full on the April 14, 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 notes, class A-1-R loans, and class
A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt were issued at a lower
spread over three-month SOFR than the original debt.
-- The replacement class D-2-R debt was issued at a fixed coupon.
-- The reinvestment period was extended to April 20, 2030.
-- The non-call period was extended to April 20, 2027.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to April 20, 2038.
-- No additional assets were purchased on the April 14, 2025,
refinancing date, and the target initial par amount remains $400
million. There is no additional effective date or ramp-up period,
and the first payment date following the refinancing is July 20,
2025.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each 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
AB BSL CLO 4 Ltd./AB BSL CLO 4 LLC
Class A-1-R notes, $140.00 million: AAA (sf)
Class A-1-R loans, $100.00 million: AAA (sf)
Class A-2-R, $24.00 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), $20.00 million: BBB (sf)
Class D-2-R (deferrable), $8.00 million: BBB- (sf)
Class E-R (deferrable), $11.00 million: BB- (sf)
Ratings Withdrawn
AB BSL CLO 4 Ltd./AB BSL CLO 4 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
AB BSL CLO 4 Ltd./AB BSL CLO 4 LLC
Subordinated notes, $39.60 million: NR
NR--Not rated.
AGL CLO 39: Fitch Assigns 'BB+sf' Final Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to AGL
CLO 39 Ltd.
Entity/Debt Rating Prior
----------- ------ -----
AGL CLO 39 Ltd.
A-1 LT NRsf New Rating NR(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB+sf New Rating BB+(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
Transaction Summary
AGL CLO 39 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by AGL CLO Credit
Management LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first-lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
99.7% first-lien senior secured loans and has a weighted average
recovery assumption of 73.88%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'BB-sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1,'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
Date of Relevant Committee
03 April 2025
ESG CONSIDERATIONS
Fitch does not provide ESG relevance scores for AGL CLO 39 Ltd. In
cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
AGL CLO 39: Moody's Assigns B3 Rating to $1MM Class F Notes
-----------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by AGL CLO 39 Ltd. (the Issuer):
US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due
2038, Definitive Rating Assigned Aaa (sf)
US$1,000,000 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.
The Issuer is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
first lien senior secured loans and up to 10.0% of the portfolio
may consist of second lien loans, unsecured loans, senior secured
bonds or senior secured notes. The portfolio is at least 80% ramped
as of the closing date.
AGL CLO Credit Management LLC (the Manager) will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Notes, the Issuer issued six other classes
of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 80
Weighted Average Rating Factor (WARF): 3167
Weighted Average Spread (WAS): 3.12%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 45.50%
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.
AGL CLO 6: Moody's Assigns B3 Rating to $290,000 Class F-RR Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to three classes of CLO
refinancing notes issued and one class of loans incurred by AGL CLO
6 Ltd. (the Issuer):
US$5,500,000 Class X Senior Secured Floating Rate Notes due 2038,
Assigned Aaa (sf)
US$184,600,000 Class A-1RR Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$175,000,000 Class A-1 Loans maturing in 2038, Assigned Aaa (sf)
US$290,000 Class F-RR Junior Secured Deferrable Floating Rate Notes
due 2038, Assigned B3 (sf)
On the closing date, the Class A-1 Loans and the Class A-1RR Notes
have a principal balance of $175,000,000 and $184,600,000,
respectively. At any time, the Class A-1 Loans may be converted in
whole or in part to Class A-1RR Notes, thereby decreasing the
principal balance of the Class A-1 Loans and increasing, by the
corresponding amount, the principal balance of the Class A-1RR
Notes. The aggregate principal balance of the Class A-1 Loans and
Class A-1RR Notes will not exceed $359,600,000 less the amount of
any principal repayments.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of first lien senior secured
loans and up to 10.0% of the portfolio may consist of second lien
loans, an unsecured loan, a senior secured bond or a senior
unsecured note.
AGL CLO Credit Management LLC (the Manager) will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's extended five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the issuance of the Refinancing debt, the other
classes of secured notes, a variety of other changes to transaction
features will occur in connection with the refinancing. These
include: extension of the reinvestment period; extensions of the
stated maturity and non-call period; changes to certain collateral
quality tests; changes to the overcollateralization test levels;
and changes to the base matrix and modifiers.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2024.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
For modeling purposes, Moody's used the following base-case
assumptions:
Portfolio par: $580,000,000
Diversity Score: 85
Weighted Average Rating Factor (WARF): 3171
Weighted Average Spread (WAS): 3.30%
Weighted Average Recovery Rate (WARR): 46.0%
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 a Downgrade of the
Ratings:
The performance of the Refinancing debt is subject to uncertainty.
The performance of the Refinancing debt is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing debt.
AMMC CLO 26: S&P Assigns BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
B-1-R, C-R, D-1-R, D-2-R, and E-R debt from AMMC CLO 26 Ltd./AMMC
CLO 26 LLC, a CLO managed by American Money Management Corp that
was originally issued in March 2023. At the same time, S&P withdrew
its ratings on the original class B-1, C, D and E debt following
payment in full on the April 15, 2025, refinancing date. S&P also
affirmed its ratings on the class B-F and F debt, which were not
refinanced. The original class A-1 and A-2 debt and the replacement
class A-1-R and A-2-R were not rated by S&P Global Ratings.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The original class D debt was split into class D-1-R and class
D-2-R debt, with the aggregate principal balance equal to that of
the original class D debt. Class D-1-R is senior to class D-2-R.
-- The non-call period for the refinancing debt will end on Apr.
15, 2026.
-- The reinvestment period and the legal final maturity dates were
not extended.
S&P said, "Although the results of the cash flow analysis pointed
to a lower rating on the class F debt (which was not refinanced)
than the rating actions suggest, we view the overall lowered
weighted average cost of debt as an improvement to the transaction
and also considered the relatively stable overcollateralization
ratios. In our analysis, we did not believe that the class F debt
was vulnerable to nonpayment or was dependent upon favorable
business, financial, and economic conditions for the obligor to
meet its financial commitment. Therefore, this class does not fit
our definition of the 'CCC' or 'CC' according to our criteria,
"Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings,"
published Oct. 1, 2012."
Replacement And Original Debt Issuances
Replacement debt
-- Class B-1-R, $33.0 million: Three-month CME term SOFR + 1.90%
-- Class C-R, $24.0 million: Three-month CME term SOFR + 2.20%
-- Class D-1-R, $19.7 million: Three-month CME term SOFR + 3.30%
-- Class D-2-R, $3.9 million: Three-month CME term SOFR + 4.50%
-- Class E-R, $10.4 million: Three-month CME term SOFR + 6.50%
Original debt
-- Class B-1, $33.0 million: Three-month CME term SOFR + 2.45%
-- Class C, $24.0 million: Three-month CME term SOFR + 3.40%
-- Class D, $23.6 million: Three-month CME term SOFR + 5.75%
-- Class E, $10.4 million: Three-month CME term SOFR + 8.28%
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
AMMC CLO 26 Ltd./AMMC CLO 26 LLC
Class B-1-R, $33.0 million: AA (sf)
Class C-R, $24.0 million: A (sf)
Class D-1-R, $19.7 million: BBB- (sf)
Class D-2-R, $3.9 million: BBB- (sf)
Class E-R, $10.4 million: BB- (sf)
Ratings Withdrawn
AMMC CLO 26 Ltd./AMMC CLO 26 LLC
Class B-1 to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Ratings Affirmed
AMMC CLO 26 Ltd./AMMC CLO 26 LLC
Class B-F: 'AA (sf)'
Class F: 'B- (sf)'
Other Debt
AMMC CLO 26 Ltd./AMMC CLO 26 LLC
Subordinated notes, $36.04 million: NR
NR--Not rated.
ANCHORAGE CREDIT 2: Moody's Ups $25.3MM E-R Notes Rating From Ba1
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Anchorage Credit Funding 2, Ltd.:
US$72,600,000 Class B-R Senior Secured Fixed Rate Notes due 2038
(the "Class B-R Notes"), Upgraded to Aaa (sf); previously on August
5, 2024 Upgraded to Aa1 (sf)
US$24,800,000 Class C-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2038 (the "Class C-R Notes"), Upgraded to Aa1 (sf);
previously on August 5, 2024 Upgraded to A1 (sf)
US$24,800,000 Class D-R Mezzanine Secured Deferrable Fixed Rate
Notes due 2038 (the "Class D-R Notes"), Upgraded to Aa3 (sf);
previously on August 5, 2024 Upgraded to Baa1 (sf)
US$25,300,000 Class E-R Junior Secured Deferrable Fixed Rate Notes
due 2038 (the "Class E-R Notes"), Upgraded to A3 (sf); previously
on August 5, 2024 Upgraded to Ba1 (sf)
Anchorage Credit Funding 2, Ltd., originally issued in January 2016
and refinanced in February 2020, is a managed cashflow CBO. The
notes are collateralized primarily by a portfolio of corporate
bonds and loans. The transaction's reinvestment period will end in
April 2025.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
These rating actions reflect the benefit of the end of the deal's
reinvestment period in April 2025, and the transaction's
significant exposure to floating rate loans in the portfolio. In
light of the reinvestment restrictions during the amortization
period which limit the ability of the manager to effect significant
changes to the current collateral pool, Moody's analyzed the deal
assuming a higher likelihood that the collateral pool
characteristics will be maintained and continue to satisfy certain
covenant requirements.
In particular, Moody's assumed that the deal will benefit from
higher net interest margin and a lower weighted average rating
factor compared to their respective covenant levels. Moody's
modeled a weighted average rating factor of 2629 compared to its
covenant of 3103. Additionally, the CBO currently benefits from
high net interest income on floating rate portfolio assets which
represent approximately 33% of the asset pool. These floating rate
loans generate a weighted average spread (WAS) of 4.49% over their
reference rates, contributing significantly to the net interest
margin of the asset pool.
No action was taken on the Class A-R notes because its expected
loss remain commensurate with its current rating, after taking into
account the CBO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $496,594,391
Defaulted par: $8,360,782
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2629
Weighted Average Spread (WAS): 4.49%
Weighted Average Coupon (WAC): 5.47%
Weighted Average Recovery Rate (WARR): 34.47%
Weighted Average Life (WAL): 5.9 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and, lower recoveries on defaulted assets.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
APIDOS CLO XI: Moody's Assigns Ba3 Rating to $20.75MM E-R4 Notes
----------------------------------------------------------------
Moody's Ratings has assigned ratings to six classes of CLO
refinancing notes (the "Refinancing Notes") issued by Apidos CLO XI
(the "Issuer").
Moody's rating action is as follows:
US$1,315,790 Class X-R4 Floating Rate Notes due 2034, Assigned Aaa
(sf)
US$246,500,000 Class A-R4 Floating Rate Notes due 2034, Assigned
Aaa (sf)
US$36,000,000 Class B-R4a Floating Rate Notes due 2034, Assigned
Aa1 (sf)
US$18,750,000 Class C-R4 Deferrable Floating Rate Notes due 2034,
Assigned A1 (sf)
US$24,500,000 Class D-R4 Deferrable Floating Rate Notes due 2034,
Assigned Baa3 (sf)
US$20,750,000 Class E-R4 Deferrable Floating Rate Notes due 2034,
Assigned Ba3 (sf)
Additionally, Moody's have taken a rating action on the following
outstanding notes originally issued by the Issuer on April 29, 2021
(the "Original Issuance Date"):
US$13,500,000 Class B-R3b Fixed Rate Notes due 2034 (the "Class
B-R3b Notes"), Upgraded to Aa1 (sf); previously on April 29, 2021
Assigned Aa2 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans.
CVC Credit Partners, LLC (the "Manager") will continue to direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's remaining
reinvestment period.
The Issuer previously issued two other classes of secured notes and
one class of subordinated notes, which will remain outstanding.
In addition to the issuance of the Refinancing Notes, the non-call
period for those notes will be extended.
Moody's rating action on the Class B-R3b Notes is primarily a
result of the refinancing, which increases excess spread available
as credit enhancement to the rated notes. Additionally, the Notes
benefited from a shortening of the weighted average life (WAL).
No action was taken on the Class F-R3 notes because their expected
losses remain commensurate with its current rating, after taking
into account the CLO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $390,062,621
Defaulted par: $1,847,955
Diversity Score: 81
Weighted Average Rating Factor (WARF): 2851
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.23%
Weighted Average Recovery Rate (WARR): 46.30%
Weighted Average Life (WAL): 5.25 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Underlying the Rating Action
The principal methodology used in these ratings was "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.
ARES LOAN IX: Fitch Assigns 'BB-sf' Rating on Class E Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Ares Loan
Funding IX, Ltd.
Entity/Debt Rating
----------- ------
Ares Loan Funding IX,
Ltd.
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Ares Loan Funding IX, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Ares
CLO Management LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (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 24.24, versus a maximum covenant, in accordance with
the initial expected matrix point of 26.27. 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
97.37% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.61% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.22%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 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-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, 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 Ares Loan Funding
IX, 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.
ARES TRUST 2025-IND3: Moody's Assigns Ba3 Rating to Cl. E Certs
---------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to five classes of
CMBS securities, issued by ARES Trust 2025-IND3, Commercial
Mortgage Pass-Through Certificates, Series 2025-IND3:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Note: Moody's previously assigned a provisional rating to Class
X-IO of (P)Baa2 (sf), described in the prior press release, dated
April 1, 2025. Subsequent to the release of those provisional
ratings for this transaction, the overall structure of the
transaction was modified. Class X-IO is no longer being offered.
Based on the current structure, Moody's have withdrawn Moody's
provisional ratings for Class X-IO.
RATINGS RATIONALE
The mortgage loan is secured by the borrower's fee simple interest
in 37 warehouse/distribution industrial facilities containing a
total of 7,424,712 SF. The Portfolio provides geographic
diversification across 9 states and 12 distinct markets throughout
the United States including Dallas-Fort Worth (6 properties; 23.1%
of NRA), Atlanta (6 properties; 18.7% of NRA), Indianapolis (2
properties; 13.2% of NRA), Chicago (6 properties; 10.4% of NRA),
Central Valley (5 properties; 10.3% of NRA), Las Vegas (4
properties; 5.0% of NRA), and the remaining Properties are located
nationwide. The ten largest Properties total approximately
4,116,043 SF or 55.4% of SF.
The Portfolio offers a variety of box sizes, with an average box
size of 200,668 SF, ranging from 29,800 to 985,723 SF.
Approximately 75.3% of SF across 16 Properties comprises box sizes
that are larger than 200,000 SF and attract large institutional
industrial users such as Mondelez Global (985,723 SF), C.H.
Robinson (754,145 SF) and LX Pantos (405,785 SF), the three largest
tenants across the Portfolio. The Portfolio has a weighted average
year built of 2006, a weighted average clear height of
approximately 31.3', an overall office exposure of 3.6% of
Portfolio NRA. The Portfolio varies in year built, ranging from
1971 to 2023, with the majority of Portfolio NRA (41.4%) delivered
between 2019-2023.
Construction dates range between 1971 and 2023 and exhibit a
weighted average year built of 2006 (age of ~19 years). Four
facilities (4.3% of NRA) were built before 1984; 13 facilities
(32.7% of NRA) were built between 1985 and 1999; 20 facilities
(63.0% of NRA) were built since 2000. The collateral improvements
are in overall good condition and well maintained as observed
during Moody's site inspections and echoed in the appraisals.
As of March 1, 2025, the Portfolio was 89.9% leased. The largest
tenant based on underwritten base rent in the Portfolio accounts
for approximately 13.3% of NRA and 13.0% of underwritten base rent,
the top five tenants based on underwritten base rent in the
Portfolio account for approximately 33.4% of NRA and 33.6% of
underwritten base rent, and the top ten tenants based on
underwritten base rent in the Portfolio account for approximately
49.6% of NRA and 50.0% of underwritten base rent.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-backed Securitizations methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessments of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessments of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's makes various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also uses an adjusted loan balance that reflects
each loan's amortization profile.
The Moody's first mortgage actual DSCR is 1.08X and Moody's first
mortgage actual stressed DSCR is 0.73X. Moody's DSCR is based on
Moody's stabilized net cash flow.
The whole loan first mortgage balance of $563,900,000 represents a
Moody's LTV ratio of 110.5% based on Moody's value. Adjusted
Moody's LTV ratio for the first mortgage balance is 103.7%
(compared to 103.2% at Moody's provisional ratings) based on
Moody's Value using a cap rate adjusted for the current interest
rate environment.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and consider those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The collateral's
overall quality grade is 0.50.
Notable strengths of the transaction include: geographic diversity,
large share of industrial facilities in global gateway markets,
functionality characteristics, strong recent leasing, below market
leases, strong tenant profile, and institutional quality
sponsorship.
Notable concerns of the transaction include: tenant rollover,
single tenant exposure, age of the properties,
floating-rate/interest-only mortgage loan profile, and certain
credit negative legal features.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in January 2025.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
AVIS BUDGET 2023-1: Moody's Assigns Ba1 Rating to Class D Notes
---------------------------------------------------------------
Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the
Series 2023-1 Rental Car Asset Backed Notes, Class D issued by Avis
Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is
an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC
(ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group,
Inc., is the owner and operator of Avis Rent A Car System, LLC
(Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc,
Payless Car Rental, Inc. (Payless) and Budget Truck LLC.
The complete rating action is as follows:
Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-1
Series 2023-1 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The definitive rating assigned to the series 2023-1 class D notes
is based on (1) the credit quality of the collateral in the form of
rental fleet vehicles which ABCR uses in its rental car business,
(2) the credit quality of ABCR as the primary lessee and as
guarantor under the operating lease, (3) the track-record and
expertise of ABCR as sponsor and administrator, (4) the available
credit enhancement, which consists of subordination and
over-collateralization, (5) minimum liquidity in the form of cash
and/or a letter of credit, and (6) the transaction's legal
structure.
The class D notes benefit from dynamic credit enhancement primarily
in the form of overcollateralization. The credit enhancement level
for the 2023-1 class D note will fluctuate over time with changes
in the fleet composition and will be determined as the sum of (1)
5.00% for vehicles subject to a guaranteed depreciation or
repurchase program from eligible manufacturers (program vehicles)
rated at least Baa3 by us, (2) 8.50% for all other program
vehicles, (3) 14.50% minimum for non-program (risk) vehicles and
(4) 35.75% for medium and heavy duty trucks, in each case, as a
percentage of the aggregate outstanding balance of the class A, B,
C and D notes net of the series allocated cash amount.
As in prior issuances, the transaction documents will stipulate
that the required total enhancement shall include a minimum portion
which is liquid (in cash and/or a letter of credit), sized as a
percentage of the outstanding note balance, rather than fleet
vehicles.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the rating of the series 2023-1 class D note,
as applicable if, among other things, (1) the credit quality of the
lessee improves, (2) the likelihood of the transaction's sponsor
defaulting on its lease payments were to decrease, and (3)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to strengthen, as reflected by
a stronger mix of program and non-program vehicles and a stronger
credit quality of vehicle manufacturers.
Down
Moody's could downgrade the rating of the series 2023-1 class D
note if, among other things, (1) the credit quality of the lessee
weakens, (2) the likelihood of the transaction's sponsor defaulting
on its lease payments were to increase, (3) the likelihood of the
sponsor accepting its lease payment obligation in its entirety in
the event of a Chapter 11 bankruptcy were to decrease, and (4)
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 a weaker credit
quality of vehicle manufacturers.
AVIS BUDGET 2023-7: Moody's Assigns Ba1 Rating to Class D Notes
---------------------------------------------------------------
Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the
series 2023-7 class D rental car asset backed notes issued by Avis
Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is
an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC
(ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group,
Inc., is the owner and operator of Avis Rent A Car System, LLC
(Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc,
Payless Car Rental, Inc. (Payless) and Budget Truck.
The complete rating action is as follows:
Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-7
Series 2023-7 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The definitive rating assigned to the series 2023-7 class D notes
is based on (1) the credit quality of the collateral in the form of
rental fleet vehicles which ABCR uses in its rental car business,
(2) the credit quality of ABCR as the primary lessee and as
guarantor under the operating lease, (3) the track-record and
expertise of ABCR as sponsor and administrator, (4) the available
credit enhancement, which consists of subordination and
over-collateralization, (5) minimum liquidity in the form of cash
and/or a letter of credit, and (6) the transaction's legal
structure.
The class D notes benefit from dynamic credit enhancement primarily
in the form of overcollateralization. The credit enhancement level
for the 2023-7 class D note will fluctuate over time with changes
in the fleet composition and will be determined as the sum of (1)
5.00% for vehicles subject to a guaranteed depreciation or
repurchase program from eligible manufacturers (program vehicles)
rated at least Baa3 by us, (2) 8.50% for all other program
vehicles, (3) 14.25% minimum for non-program (risk) vehicles and
(4) 35.70% for medium and heavy duty trucks, in each case, as a
percentage of the aggregate outstanding balance of the class A, B,
C and D notes net of the series allocated cash amount.
As in prior issuances, the transaction documents will stipulate
that the required total enhancement shall include a minimum portion
which is liquid (in cash and/or a letter of credit), sized as a
percentage of the outstanding note balance, rather than fleet
vehicles.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the rating of the series 2023-7 class D note,
as applicable if, among other things, (1) the credit quality of the
lessee improves, (2) the likelihood of the transaction's sponsor
defaulting on its lease payments were to decrease, and (3)
assumptions of the credit quality of the pool of vehicles
collateralizing the transaction were to strengthen, as reflected by
a stronger mix of program and non-program vehicles and a stronger
credit quality of vehicle manufacturers.
Down
Moody's could downgrade the rating of the series 2023-7 class D
note if, among other things, (1) the credit quality of the lessee
weakens, (2) the likelihood of the transaction's sponsor defaulting
on its lease payments were to increase, (3) the likelihood of the
sponsor accepting its lease payment obligation in its entirety in
the event of a Chapter 11 bankruptcy were to decrease, and (4)
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 a weaker credit
quality of vehicle manufacturers.
BALBOA BAY 2022-1: S&P Assigns Prelim BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-R, A-LR, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt
from Balboa Bay Loan Funding 2022-1 Ltd./Balboa Bay Loan Funding
2022-1 LLC, a CLO managed by Pacific Investment Management Co. LLC
that was originally issued in May 2022.
The preliminary ratings are based on information as of April 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 class A, B, C, D, and E debt and assign ratings to the
replacement class X-R, A-R, A-LR, B-R, C-R, D-1-R, D-2-R, and E-R
debt. However, if the refinancing doesn't occur, we may affirm our
ratings on the original debt and withdraw our preliminary ratings
on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement debt is expected to be issued at a lower spread
over three-month CME term SOFR than the original debt.
-- The original class D debt is being replaced by two new classes
of debt, D-1-R and D-2-R, which are sequential in payment.
-- Class X-R debt is being issued in connection with this
refinancing. This debt is expected to be paid down using interest
proceeds during the first 10 payment dates beginning with the
payment date in July 20, 2025.
-- The reinvestment period will be extended to April 20, 2028.
-- The non-call period will be extended to April 20, 2026.
-- The legal final maturity dates (for the replacement debt and
the subordinated notes) will be extended to April 20, 2037.
-- The target initial par amount will remain at $400 million.
-- There will be no additional effective date or ramp-up period,
and the first payment date following the refinancing is July 20,
2025.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- 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
Balboa Bay Loan Funding 2022-1 Ltd./
Balboa Bay Loan Funding 2022-1 LLC
Class X-R, $4.0 million: AAA (sf)
Class A-R(i), $175.0 million: AAA (sf)
Class A-LR loans(i), $81.0 million: AAA (sf)
Class B-R, $48.0 million: AA (sf)
Class C-R (deferrable), $24.0 million: A (sf)
Class D-1-R (deferrable), $19.0 million: BBB (sf)
Class D-2-R (deferrable), $7.0 million: BBB- (sf)
Class E-R (deferrable), $12.0 million: BB- (sf)
Other Debt
Balboa Bay Loan Funding 2022-1 Ltd./
Balboa Bay Loan Funding 2022-1 LLC
Subordinated notes, $59.6 million(ii): Not rated
(i)No class A-R notes may be converted into class A-LR loans, and
no class A-LR loans may be converted into class A-R notes.
(ii)The balance includes additional subordinated notes that will be
issued on the refinancing date.
BANK 2017-BNK7: Fitch Lowers Rating on Two Tranches to 'Bsf'
------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed 10 classes of BANK
2017-BNK6 Commercial Mortgage Pass-Through Certificates, Series
2017-BNK6 (BANK 2017-BNK6). Classes D and X-D were assigned
Negative Rating Outlooks following their downgrades. The Outlooks
for classes C and X-B were revised to Negative from Stable.
Fitch has also downgraded six and affirmed nine classes of BANK
2017-BNK7 Commercial Mortgage Pass-Through Certificates Series
2017-BNK7. Classes D, E, X-D and X-E were assigned Negative
Outlooks following their downgrades. Fitch has revised the Outlook
to Negative from Stable on classes A-S, B, C and X-B.
Entity/Debt Rating Prior
----------- ------ -----
BANK 2017-BNK6
A-4 060352AE1 LT AAAsf Affirmed AAAsf
A-5 060352AF8 LT AAAsf Affirmed AAAsf
A-S 060352AJ0 LT AAAsf Affirmed AAAsf
A-SB 060352AC5 LT AAAsf Affirmed AAAsf
B 060352AK7 LT AA-sf Affirmed AA-sf
C 060352AL5 LT A-sf Affirmed A-sf
D 060352AV3 LT BB-sf Downgrade BBB-sf
E 060352AX9 LT CCCsf Downgrade B-sf
F 060352AZ4 LT CCCsf Affirmed CCCsf
X-A 060352AG6 LT AAAsf Affirmed AAAsf
X-B 060352AH4 LT A-sf Affirmed A-sf
X-D 060352AM3 LT BB-sf Downgrade BBB-sf
X-E 060352AP6 LT CCCsf Downgrade B-sf
X-F 060352AR2 LT CCCsf Affirmed CCCsf
BANK 2017-BNK7
A-3 06541XAC4 LT AAAsf Affirmed AAAsf
A-4 06541XAE0 LT AAAsf Affirmed AAAsf
A-5 06541XAF7 LT AAAsf Affirmed AAAsf
A-S 06541XAJ9 LT AAAsf Affirmed AAAsf
A-SB 06541XAD2 LT AAAsf Affirmed AAAsf
B 06541XAK6 LT AA-sf Affirmed AA-sf
C 06541XAL4 LT A-sf Affirmed A-sf
D 06541XAV2 LT BBsf Downgrade BBB-sf
E 06541XAX8 LT Bsf Downgrade BB-sf
F 06541XAZ3 LT CCCsf Downgrade B-sf
X-A 06541XAG5 LT AAAsf Affirmed AAAsf
X-B 06541XAH3 LT AA-sf Affirmed AA-sf
X-D 06541XAM2 LT BBsf Downgrade BBB-sf
X-E 06541XAP5 LT Bsf Downgrade BB-sf
X-F 06541XAR1 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
losses have increased since Fitch's prior rating action to 7.0% for
BANK 2017-BNK6 and 4.4% in BANK 2017-BNK7 from 5.1% and 3.8%, at
the last rating actions, respectively. The BANK 2017-BNK6
transaction includes 10 Fitch Loans of Concern (FLOCs; 23.8% of the
pool), including two specially serviced loans (10.2%). The BANK
2017-BNK7 transaction has eight FLOCs (27.6%), including one
specially serviced loan, First Stamford Place (2.3%).
BANK 2017-BNK6: The downgrades on classes D, E, X-D, and X-E in
BANK 2017-BNK6 reflect increased pool loss expectations since
Fitch's prior rating action, driven primarily by increased losses
on the specially serviced Starwood Capital Hotel Portfolio (7.7%),
high losses on specially Trumbull Marriott (2.5%), as well as the
Hall Office G4 (2.2%), loan. The Negative Outlooks in BANK
2017-BNK6 reflect the potential for future downgrades should
performance of the FLOCs continue to deteriorate, particularly the
specially serviced Starwood Capital Group Hotel Portfolio loan if
expected losses increase due to continued value declines and/or
increase in loan exposure due to higher expenses and fees.
BANK 2017-BNK7: The downgrades on classes D, E, F, X-D, X-E, and
X-F in BANK 2017-BNK7 reflect increased pool loss expectations
since Fitch's prior rating action, driven primarily by higher
expected losses on three office loans in the pool: Corporate Woods
(5.7%), 411 East Wisconsin (3.2%) and the specially serviced First
Stamford Place (2.3%). The Negative Outlooks in BANK 2017-BNK7
reflect possible downgrades should performance and submarket
fundamentals for these office loans not stabilize, the loans
default and/or with prolonged workouts.
Largest Contributors to Loss: The largest contributor to overall
loss expectations in BANK 2017-BNK6 is the Starwood Capital Hotel
Portfolio (7.7%) loan, which is secured by a portfolio comprised of
65 hotels totaling 6,370 keys and located across 21 states. The
loan recently transferred to the special servicer in February 2025
due to imminent monetary default although the loan has remained
current through March 2025. According to the March 2025 servicer
commentary, the servicer is negotiating modification terms with the
borrower, Starwood Capital Group.
Portfolio occupancy declined to 65.8% as of September 2024, from
67.2% at YE 2023, 72.7% at YE 2022 and 66.1% at YE 2021. The
servicer-reported portfolio NOI DSCR was 1.61x as of September
2024, a decline from 1.72x at YE 2023, 1.98x at YE 2022 and 1.62x
at YE 2021.
Fitch's 'Bsf' case loss of 28.4% (prior to a concentration
adjustment) is based on a 11.50% cap rate to the YE 2023 NOI, and
factors in an increased probability of default as the loan is in
special servicing. Fitch's 'Bsf' rating case loss for this loan at
the prior rating action was 4.8%.
The second largest contributor to expected losses in BANK 2017-BNK6
is the specially serviced Trumbull Marriott (2.5%) loan, which is
secured by a five-story, 325-key, full-service Marriott hotel
located in Trumbull, CT. The loan transferred to the special
servicer in May 2020 due to imminent monetary default. The borrower
defaulted on payments and the loan is 90+ days delinquent. A
receivership sale is scheduled to close in April 2025. According to
the March 2025 STR report, the hotel occupancy, ADR and RevPAR was
57.2%, $149.80, and $85.62, respectively, for the TTM ended
February 2025. The RevPAR penetration index was 80.6%.
Fitch's 'Bsf' case loss of 72.3% (prior to a concentration
adjustment) is based on a stress to the most recent November 2024
appraisal valuation and considers the available reserve funds.
The third largest contributor to overall loss expectations in BANK
2017-BNK6 is the Hall Office G4 loan (2.2%), which is secured by a
121,630-sf suburban office property located in Frisco, TX. The
property was 16.0% occupied as of the January 2025
servicer-provided rent roll, with The University of North Texas
(UNT) reported as the only tenant in occupancy at the property with
a lease expiry in December 2025. Occupancy declined due to several
major tenants vacating from the property: Randstad (Previously
34.9% of NRA) leased through April 2021, vacated the property in
August 2021, and Schlumberger Technology Corp. (Previously 33.4% of
NRA) leased through February 2022. According to the servicer, the
landlord has not received a notice of intent to renew from the
UNT.
The servicer-reported NOI DSCR was -0.41x as of the
trailing-nine-months ended September 2024, compared with -0.17x at
YE 2023, -0.12x at YE 2022 compared with 1.45x at YE 2021 and 1.62x
at issuance. The loan was reported as within the grace period as of
the March 2025 financial reporting and reported $2.7 million or
$22.5 psf in total reserves as of the March 2025 loan level reserve
report.
According to CoStar, the property lies within the Frisco/The Colony
Office Submarket of the Dallas-Fort Worth, TX market area. As of
1Q25, average rental rates were $40.07 psf and $32.19 psf for the
submarket and market, respectively. Vacancy for the submarket and
market was 16.1% and 17.9%, respectively.
Fitch's 'Bsf' case loss of 50.0% (prior to a concentration
adjustment) is based on a 10.0% cap rate and 50% stress to the YE
2021 NOI, and factors in an increased probability of default due to
the low occupancy and loan's heightened maturity default risk.
The largest contributor to overall loss expectations in BANK
2017-BNK7 is the specially serviced First Stamford Place (2.3%),
three office buildings totaling 810,475-sf and located in Stamford,
CT. The loan transferred to the special servicer in December 2023
due to imminent monetary default and became REO in February 2025.
The property's major tenants include Odyssey Reinsurance Company
(11.7% of NRA, leased through September 2033), Franklin Templeton
Companies, LLC (9.8%, September 2035), Partner Reinsurance Company
(7.0%, January 2029) and United Rentals, Inc (5.8%, July 2030).
Occupancy was 77.0% as of the February 2025 servicer-provided rent
roll, compared to 74.8% as of January 2024, 71.4% at YE 2022, 75.3%
at YE 2021 and 81.7% at YE 2020. Near term lease rollover includes
6.1% of NRA in 2025 across nine leases, and 4.1% of NRA in 2026
across seven leases.
Recent leasing includes The Guardian Life Insurance Company (1.6%
of NRA), lease commencing June 2025 through May 2028 at a rental
rate of $44.0 psf, Counterpointe Sustainable (1.2%) lease
commencing June 2025 through May 2035 at a rental rate of $32.0
psf, and Guggenheim Partners (1.3%) lease commencing April 2026
through March 2036.
According to CoStar, the property lies within the Stamford Office
Submarket of the Stamford, CT market area. As of 1Q25, average
rental rates were $38.75 psf and $34.23 psf for the submarket and
market, respectively. Vacancy for the submarket and market was
20.9% and 15.2%, respectively.
Fitch's 'Bsf' case loss of 37.9% (prior to a concentration
adjustment) is based on a 25.0% stress to the most recent January
2024 appraisal valuation.
The second largest contributor to overall loss expectations in BANK
2017-BNK7 is the Corporate Woods (5.7%) loan, which is secured by a
portfolio of 16 suburban office properties and one unanchored
retail property totaling approximately 2 million-sf located in
Overland Park, KS. The portfolio was 72.4% occupied as of the
December 2024 servicer-provided rent rolls, a decline from 83.3% at
YE 2023, 82.2% at YE 2022, 80.9% at YE 2021, and 86.2% at YE 2020.
Near-term lease rollover includes 14.5% of NRA in 2025 across 68
leases, however, no single tenant scheduled to roll through YE 2025
represents greater than 5.0% of total portfolio NRA.
The servicer-reported NOI DSCR was 1.24x as of the
trailing-nine-months ended September 2024, compared to 1.49x at YE
2023, 1.45x at YE 2022, 1.51x at YE 2021 and 1.68x at YE 2020.
Fitch's 'Bsf' case loss of 12.0% (prior to a concentration
adjustment) is based on a 10.0% cap rate and 20.0% stress to the
annualized trailing-nine-months ended September 2024 NOI, and
factors in an increased probability of default due to the loan's
heightened maturity default risk.
The third largest contributor to overall loss expectations in BANK
2017-BNK7 is the 222 Second Street (10.2%) loan, which is secured
by a 452,418-sf office building located in San Francisco, CA. The
property is 100% leased to LinkedIn with Microsoft guaranteeing the
lease. Approximately 34.6% of NRA is expected to roll in December
2025, Fitch requested for a status update on the lease, according
to the servicer, the landlord could not confirm the tenant's
intention to renew or vacate upon lease expiry. The loan is
currently cash managed.
Fitch's 'Bsf' case loss of 5.1% (prior to a concentration
adjustment) is based on a 9.0% cap rate and 20.0% stress to the YE
2024 NOI.
Fitch is also monitoring the performance of the 411 East Wisconsin
(3.2%) loan, which is secured by a 678,839-sf office property
located in downtown Milwaukee, WI. The property's major tenants
include Quarles & Brady LLP (24.0% of NRA, leased through September
2028), Von Briesen & Roper SC (13.7% NRA, May 2028) and WAC
Management (4.6% NRA, August 2028). The property was 73.9% occupied
as of the February 2025 servicer-provided rent roll, 73.4% at YE
2023, 74.1% at YE 2022 and 80.0% at YE 2021. The servicer-reported
NOI DSCR was 1.56x as of the trailing-nine-months ended September
2024, compared to 1.65x at YE 2023, 1.63x at YE 2022, and 1.61x at
YE 2021.
Fitch's 'Bsf' case loss of 11.5% (prior to a concentration
adjustment) is based on a 10.0% cap rate and 10.0% stress to the YE
2023 NOI, and factors in an increased probability of default due to
the loan's heightened maturity default risk.
Increase in Credit Enhancement (CE): As of the March 2025
distribution date, the aggregate pool balances of the BANK
2017-BNK6 and BANK 2017-BNK7 transactions have been reduced by
17.6% and 11.5%, respectively, since issuance. The BANK 2017-BNK6
transaction includes six loans (5.8% of the pool) that have fully
defeased. Three loans (2.1%) are fully defeased in BANK 2017-BNK7.
Interest Shortfalls: To date, the BANK 2017-BNK6 and BANK 2017-BNK7
transactions have not incurred any realized principal losses.
Interest shortfalls totaling $2.8 million are impacting the
non-rated class G, class F and risk retention class RRI in the BANK
2017-BNK6 transaction, and interest shortfalls totaling $83,242 are
impacting the non-rated class G and risk retention class RRI in the
BANK 2017-BNK7 transaction.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch does not expect downgrades to the senior 'AAAsf' rated
classes due to their high CE, position in the capital structure and
expected continued amortization and loan repayments. However,
downgrades may occur if deal-level losses increase significantly or
interest shortfalls occur.
A downgrade to the junior 'AAAsf' rated class with a Negative
Outlook in BANK 2017-BNK7 is possible if FLOC performance
deteriorates further, particularly for the Corporate Woods, 411
East Wisconsin and specially serviced First Stamford Place loans.
Downgrades are also possible if expected losses increase and there
is limited to no improvement in class CE, or if interest shortfalls
occur.
Downgrades to classes rated 'AAsf' and 'Asf' could occur if deal
level losses increase significantly from outsized losses on larger
FLOCs or if more loans than expected experience performance
deterioration or default.
Downgrades to classes with Negative Outlooks rated 'BBBsf', 'BBsf'
and 'Bsf' are possible if FLOC performance deteriorates further,
there are additional transfers to special servicing, or if
certainty of losses on the specially serviced loans and/or FLOCs
increases.
Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur
if additional loans transfer to special servicing or default, or as
losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated 'AAsf' and 'Asf' may be possible with
significantly increased CE, coupled with stable-to-improved
pool-level loss expectations and improved performance on the
FLOCs.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
Upgrades to 'BBsf' and 'Bsf' category rated classes could occur
only if the performance of the remaining pool is stable, recoveries
on the FLOCs are better than expected, and there is sufficient CE
to the classes.
Upgrades to distressed classes are not likely but may be possible
with better than expected recoveries on specially serviced loans
and/or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BBCMS MORTGAGE 2017-C1: Fitch Lowers Rating on Two Tranches to B-sf
-------------------------------------------------------------------
Fitch Ratings has downgraded seven classes and also affirmed seven
classes of BBCMS Mortgage Trust 2017-C1 commercial mortgage
pass-through certificates. Following their downgrades, classes C, D
and X-D were assigned Negative Rating Outlooks. The Outlooks for
affirmed classes A-S, B, and X-B remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
BBCMS 2017-C1
A-3 07332VBC8 LT AAAsf Affirmed AAAsf
A-4 07332VBD6 LT AAAsf Affirmed AAAsf
A-S 07332VBE4 LT AAAsf Affirmed AAAsf
A-SB 07332VBB0 LT AAAsf Affirmed AAAsf
B 07332VBF1 LT AA-sf Affirmed AA-sf
C 07332VBG9 LT BBB-sf Downgrade A-sf
D 07332VAA3 LT B-sf Downgrade BBsf
E 07332VAC9 LT CCCsf Downgrade B-sf
F 07332VAE5 LT CCsf Downgrade CCCsf
X-A 07332VBJ3 LT AAAsf Affirmed AAAsf
X-B 07332VBH7 LT AA-sf Affirmed AA-sf
X-D 07332VAL9 LT B-sf Downgrade BBsf
X-E 07332VAN5 LT CCCsf Downgrade B-sf
X-F 07332VAQ8 LT CCsf Downgrade CCCsf
KEY RATING DRIVERS
Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case loss
increased to 9.5% from 7.1% at the prior rating action. Sixteen
loans (44.9% of the pool), including eight loans (15.1%) in special
servicing, have been identified as Fitch Loans of Concern (FLOCs).
Of the eight loans in special servicing, four multi-family loans
(3.9%) have the same sponsor and transferred due to a partnership
dispute.
The downgrades reflect higher pool loss expectations since the
prior rating action, with the largest increase since the last
rating action and largest loss in the pool from the specially
serviced 1166 Avenue of the Americas loan. The loan represents 7.9%
of the pool and is the second largest in the transaction.
The Negative Outlooks reflect the potential for downgrades if the
value of 1166 Avenue of the Americas deteriorates beyond Fitch's
current expectations or if its resolution is prolonged, if expected
losses on the other FLOCs, including specially serviced loans,
increase or if additional loans experience performance declines.
The transaction also has a high concentration of office loans
(41.7%).
FLOCs; Largest Contributors to Expected Loss: The largest increase
in loss since the prior rating action and largest contributor to
overall pool loss expectations is 1166 Avenue of the Americas
(7.9%). The loan is secured by floors two through six totaling
196,241-sf (11.1% of the building's total square footage) of an
office property located in Midtown Manhattan built in 1974. The top
three tenants at issuance were DE Shaw & Co (43.5% NRA; lease
expiry in June 2024), Sprint (20%, January 2027) and Arcesium (20%,
June 2024). Both DE Shaw & Co and Arcesium vacated upon their
respective lease expirations causing occupancy to decline to 37%.
The loan transferred to special servicing in July 2024 for imminent
monetary default and the borrower has submitted a modification
proposal, which is currently under review.
The updated Fitch net cash flow (NCF) of $4 million is 29% below
Fitch's NCF at the prior review and 39% below Fitch's issuance NCF
of $6.6 million. The Fitch NCF reflects leases in place according
to the February 2025 rent roll and assumes Fitch's view of
sustainable, long-term performance. It includes a lease up of
vacant office spaces grossed up rents of $75 psf and a long-term
occupancy assumption of 75%; both assumptions are below the
submarket (85% occupancy and $84 psf rents per CoStar) given more
limited demand expectations as the availability of the vacant space
is on lower floors of the building.
Fitch's analysis also incorporated a higher stressed capitalization
rate of 8%, up from 7.75% at issuance, to factor increased office
sector concerns and comparable properties, resulting in a
Fitch-stressed valuation decline that is approximately 75% below
the issuance appraisal. Fitch's 'Bsf' ratings case loss of 35.2%
(prior to concentration add-ons) reflects Fitch's updated valuation
of the asset and considers an elevated probability of default due
to the specially serviced loan status.
The second largest contributor to expected loss is Center West
(4.2%), which is secured by leasehold interest on a 351,789-sf
office building located in Los Angeles, CA. Occupancy has remained
below 35% for the past three years and was most recently reported
at 32.4% as of October 2024 resulting in cash flow insufficient to
cover debt service. The NOI DSCR has consistently remained below
1.0x, reaching 0.63x at YE 2023, down from 1.92x in 2020 and 2.15x
at issuance.
Fitch's 'Bsf' ratings case loss of 44.2% (prior to concentration
add-ons) reflects an 10% cap rate, a 10% stress to the annualized
September 2024 NOI and factors an increased probability of default
to account for the loan's heightened maturity default concerns.
The third largest contributor to expected loss is Gateway Plaza at
Meridian (2.2%), which is secured by a 138,687 square foot suburban
office property located in Englewood, CO. The loan transferred to
special servicing in June 2023 and the property is 100% vacant.
According to a local media report, the property is under contract
with a hospital chain. Fitch's 'Bsf' ratings case loss of 42.7%
(prior to concentration add-ons) reflects an 9% cap rate, and a 25%
stress to the YE 2021 NOI to align the Fitch stressed value of $8.5
million, or $68 psf which is lower than the reported purchase
price.
Increase to Credit Enhancement: As of the March 2025 distribution
date, the pool's aggregate principal balance has paid down by 17.3%
to $708.1 million from $857.5 million.at issuance. Ten loans (9.9%
of the pool) are fully defeased. There are 12 (49.1% of pool)
full-term, interest-only loans; and 38 (50.9%) loans that are
currently amortizing. Sixteen (26% of pool) loans have a maturity
date in 2026, while the rest have a maturity date in 2027 with a
concentration in Q1 2027. Cumulative interest shortfalls and of
$644,854 are impacting the non-rated classes G and RRI.
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 credit enhancement (CE), 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 junior 'AAAsf' rated class with Negative Outlook are
possible with continued performance deterioration of the FLOCs,
most notably 1166 Avenue of the Americas, increased expected losses
and limited to no improvement in CE, or if interest shortfalls
occur.
Downgrades to classes rated in the 'AAsf' category could occur if
deal-level losses increase significantly beyond Fitch's
expectations from outsized losses on larger FLOCs and/or more loans
than expected experience performance deterioration.
A downgrade of up to one category to the junior 'AAAsf' and 'AAsf'
categories is possible should performance of the Center West,
Gateway Plaza at Meridian, and 1166 Avenue of the Americas loans
deteriorate further, fail to stabilize or if updated values are
lower than Fitch's expectations.
Downgrades to the 'BBBsf' and 'Bsf' rated categories are possible
with higher than expected losses from continued underperformance of
the FLOCs, in particular the office loans with deteriorating
performance and/or prolonged resolutions and greater certainty of
losses on the specially serviced loans and/or FLOCs noted above.
Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should
additional loans transfer to special servicing and/or default, or
as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to the 'AAsf' and 'Asf' rated classes may be possible with
significantly increased CE from paydowns and/or defeasance, coupled
with stable to improved pool-level loss expectations and improved
performance or valuations on the FLOCs, particularly 1166 Avenue of
the Americas.
Upgrades to the 'BBBsf' category rated class would be limited based
on sensitivity to concentrations or the potential for future
concentration and would only occur sustained improved performance
of the FLOCs;
Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely
until the later years in a transaction and would only occur if the
performance of the remaining pool is stable and there is sufficient
CE to the classes;
Upgrades to the distressed 'CCCsf' and 'CCsf' rated classes are not
expected, but possible with better-than-expected recoveries on
specially serviced loans.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BBCMS TRUST 2018-CBM: Moody's Lowers Rating on Cl. C Certs to Ba2
-----------------------------------------------------------------
Moody's Ratings has downgraded the ratings on three classes in
BBCMS Trust 2018-CBM, Commercial Mortgage Pass-Through
Certificates, Series 2018-CBM as follows:
Cl. A, Downgraded to A1 (sf); previously on Aug 1, 2024 Downgraded
to Aa2 (sf)
Cl. B, Downgraded to Baa2 (sf); previously on Aug 1, 2024
Downgraded to A2 (sf)
Cl. C, Downgraded to Ba2 (sf); previously on Aug 1, 2024 Downgraded
to Baa3 (sf)
RATINGS RATIONALE
The ratings on the P&I classes were downgraded due to an increase
in Moody's LTV as a result of the recent declines in the
portfolio's net cash flow (NCF), the loan's delinquent status and
the uncertainty around timing and extent of the portfolio's NCF
recovery. The floating rate loan has been in special servicing
since August 2023 after being unable to extend or payoff at its
third extended maturity date in July 2023. As of the March 2025
remittance statement, the loan was last paid through its November
2024 payment date leading to an aggregate $9.8 million in loan
advances, up from $3.4 million at Moody's last reviews.
Furthermore, the portfolio's operating expense growth in 2024
significantly outpaced increases in RevPAR growth and the NCF
remains well below levels in 2019.
The loan is secured by 30 select service hotels across 15 states
and while the portfolio's NCF had improved annually from 2021 to
2023, this trend recently reversed and the combined
trailing-twelve-month (TTM) September 2024 NCF dropped
approximately 19% from year-end 2023 largely due to increased
operating expenses. As a result of the decline in performance since
2019 and the significant increase in the floating interest rate in
recent years, the uncapped NCF DSCR on the mortgage debt was only
slightly above 1.00X as of the March 2025 remittance, and the total
debt DSCR (inclusive of the mezzanine debt) was well below 1.00X.
While the portfolio has experienced recent declines in performance,
the senior P&I classes Moody's rate, particularly Cl. A and Cl. B,
benefit from geographic diversity of the underlying collateral and
credit support in the form of subordinate mortgage debt balance and
could withstand further material declines in market value of the
portfolio prior to a risk of principal loss.
In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and the quality and geographic diversity of the properties, and
Moody's analyzed multiple scenarios to reflect various levels of
stress in property values could impact loan proceeds at each rating
level.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in January 2025.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking views of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or a significant improvement in
loan performance.
Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan or
increase in interest shortfalls.
DEAL PERFORMANCE
As of the March 17, 2025 distribution date, the transaction's
aggregate certificate balance remains unchanged at $415 million,
the same as securitization. There is additional mezzanine debt of
$135 million held outside the trust. The interest only
floating-rate loan is secured by 29 fee simple and one leasehold
(Courtyard San Francisco Airport representing 6.6% of balance)
interests in a portfolio of 30 select service hotels. All of the
properties are flagged as Courtyard by Marriott and contain a total
of 4,370 guestrooms located across 15 states. The properties are of
similar vintage having been built between 1984 and 1989 and each
property ranges from two-story to four-story construction with
guestroom count ranging between 130 to 146.
The portfolio's NCF as of TTM September 2024 was approximately
$29.9 million, compared to $36.8 million in December 2023, $46.3
million in 2019 and $49.5 million at securitization. The
portfolio's revenue through September 2024 was trending close to
its 2018 revenue levels, however, the significant increase in
operating expenses over the same timeframe has caused the cash flow
to remain well below levels at securitization. Furthermore, due to
the current interest rate environment, the floating rate loan's
interest rate is above 6.5% as of the March 2025 remittance
statement, resulting in a DSCR of approximately 1.07X on the
interest only debt service based on the December 2024 NCF, compared
to approximately 2.53X in 2019.
The largest market exposures by allocated loan balance are San
Francisco-Oakland-Hayward, CA (3 properties, 17.8% of ALA), Los
Angeles-Long Beach-Anaheim, CA (2 properties, 8.9% of ALA),
Washington-Arlington-Alexandria, DC-VA-MD-WV (2 properties, 4.9% of
ALA), Chicago-Naperville-Elgin, IL-IN-WI (1 property, 2.6% of ALA)
and New York-Newark Jersey City, NY-NJ-PA (1 property, 2.3% of
ALA). According to the year-end 2024 STR Report, overall US RevPAR
(revenue per available room) was up 15.2% compared to that of 2019.
However, the San Francisco/San Mateo MSA had the worst comparison
among the Top 25 MSAs at -32.4% compared to 2019 and the Chicago
and Los Angeles MSA's 2024 RevPAR were 8.1% higher and 2.8% lower,
respectively, than that of 2019. Despite the increases in RevPAR in
recent years, this portfolio's performance has lagged that of the
overall market and the combined 2024 RevPAR remains approximately
2.8% lower than its 2019 levels.
The loan initially transferred to special servicing in April 2020
for monetary default and was returned to the master servicer in
March 2021, having been granted forbearance. However, the loan
transferred back to the special servicer in August 2023 after the
borrower failed to payoff or execute an extension option. As of the
March 2025 remittance statement, the loan remains last paid through
its November 2024 payment date.
The most recent reported appraised value was $497.0 million as of
the July 2024 remittance statement represented a 26% decline from
securitization but remained above the mortgage loan amount of
$415.0 million and the total mortgage loan exposure of $424.8
million (when accounting for outstanding advances and accrued
unpaid interest amounts), however, it was below the total debt
balance of $550 million (inclusive of the mezzanine debt). Servicer
commentary indicates the special servicer was pursuing foreclosure
on all of the assets but is now evaluating alternative liquidation
strategies including holding discussions with the borrower for a
potential loan modification and extension.
Moody's NCF is now $29.3 million and the first mortgage balance of
$415.0 million represents Moody's LTV of 158% (not including
outstanding advances). Moody's Total Debt LTV (inclusive of the
mezzanine debt, excluding advances) is 209%. There are outstanding
loan advances and accrued unpaid interest totaling approximately
$9.8 million causing the aggregate loan exposure to be $424.8
million. Moody's first mortgage stressed debt service coverage
ratio (DSCR) at a 9.25% constant is 0.76X. There are outstanding
interest shortfalls totaling $3,117 affecting up to Cl. F and no
losses have been realized as of the current distribution date.
BENCHMARK 2019-B10: Fitch Lowers Rating on Class D Debt to 'BBsf'
-----------------------------------------------------------------
Fitch Ratings has downgraded 12 and affirmed three classes of
Benchmark 2019-B10 Mortgage Trust. Fitch has assigned Negative
Rating Outlooks to six classes following their downgrades. The
Outlooks are Stable for three affirmed classes.
Entity/Debt Rating Prior
----------- ------ -----
BMARK 2019-B10
A-3 08162VAD0 LT AAAsf Affirmed AAAsf
A-4 08162VAE8 LT AAAsf Affirmed AAAsf
A-M 08162VAG3 LT AA-sf Downgrade AAAsf
A-SB 08162VAC2 LT AAAsf Affirmed AAAsf
B 08162VAH1 LT A-sf Downgrade AA-sf
C 08162VAJ7 LT BBB-sf Downgrade A-sf
D 08162VAV0 LT BBsf Downgrade BBBsf
E 08162VAX6 LT CCCsf Downgrade Bsf
F 08162VAZ1 LT CCsf Downgrade CCCsf
G 08162VBB3 LT Csf Downgrade CCsf
X-A 08162VAF5 LT AA-sf Downgrade AAAsf
X-B 08162VAK4 LT BBB-sf Downgrade A-sf
X-D 08162VAM0 LT CCCsf Downgrade Bsf
X-F 08162VAP3 LT CCsf Downgrade CCCsf
X-G 08162VAR9 LT Csf Downgrade CCsf
KEY RATING DRIVERS
Deal-level 'Bsf' rating case loss increased to 9.5%, up from 8.5%
at Fitch's prior rating action. The BMARK 2019-B10 transaction has
a high concentration of Fitch Loans of Concern (FLOCs), totaling 13
loans (39.1% of the pool), including six loans (18.2%) in special
servicing.
The downgrades reflect higher pool loss expectations, driven
primarily by the performance deterioration and receipt of a lower
updated appraisal value since the prior rating action on the
specially serviced FLOCs Spring Hollow Apartments (2.4%) and 166
Geary Street (1.7%), as both properties are underperforming with
increased vacancies, as well as Flight (3.0%), which recently
transferred to special servicing in March 2025 and is 60 days
delinquent.
The downgrades also incorporate elevated loss expectations on other
FLOCs in the pool, specifically the second largest loan in the
pool, 3 Park Avenue (5.5%).
The Negative Outlooks reflect the office concentration in the pool
of 35.0% and possible further downgrades with additional value
degradation, a prolonged special servicing workout and/or increased
exposure on the 3 Park Avenue, Spring Hollow Apartments, 166 Geary
Street, and Flight loans, as well as limited performance
stabilization on other FLOCs.
Largest Increases in Loss Expectations: The largest increase in
loss since the prior rating action and the second largest
contributor to overall pool loss expectations is the Spring Hollow
Apartments loan, which is secured by a 506-unit multifamily
property located in Toledo, OH. The loan transferred to special
servicing in March 2024 due to payment default. According to the
servicer, a receiver was appointed as of October 2024 to address
the property's various condition issues, which are expected to be
completed by the end of April 2025, while also exploring options to
maximize recovery on the loan.
The most recent servicer-reported September 2023 NOI DSCR declined
to 0.98x from 1.31x at YE 2022. According to the January 2025
appraisal report, property occupancy declined to 39.7% from 61% at
September 2023 due to the receiver addressing various deferred
maintenance issues and repairs on units, as well as weakened market
fundamentals, significant increase in the cost of capital, and
reduced volume of transaction activity.
Fitch's 'Bsf' rating case loss of 52.7% (prior to concentration
add-ons) factors in a stress to the most recent January 2025
appraisal value of $19.1 million, which represents a 50.4% decline
from the appraisal value at issuance.
The second largest increase in loss since the prior rating action
and the third largest contributor to overall pool loss expectations
is the 166 Geary Street loan, which is secured by a 34,343-sf
office property located in San Francisco, CA. The loan transferred
to special servicing in July 2023 due to payment default and
receivership was granted in November 2023. According to the
servicer, the receiver has engaged a local third-party leasing and
property management company, and the special servicer is actively
pursuing foreclosure.
The most recent servicer-reported YE 2024 NOI DSCR declined to
0.52x from 0.75x at YE 2023. According to the December 2024 rent
roll, occupancy was 70.0% with the largest tenants being Mabre
Facial Cosmetic (15.1% of NRA, through October 2027), Soho
Workspaces (7.3%, through December 2027), and Browserbase Inc.
(7.2%, through October 2025).
Fitch's 'Bsf' rating case loss of 73.3% (prior to concentration
add-ons) reflects a stressed value of approximately $223 psf,
factoring the most recent January 2025 appraisal value of $9.6
million, which represents a 37.2% decline from the appraisal value
at issuance.
The third largest increase in loss since the prior rating action
and the sixth largest contributor to overall pool loss expectations
is the Flight loan, which is secured by a 137,047-sf office
property located in Denver, CO. The loan recently transferred to
special servicing in March 2025 due to payment default and is 60
days delinquent.
According to the servicer, the loan became delinquent after the
borrower requested a reserve disbursement to pay leasing
commissions that were not remitted by the master servicer. The
tenant, BOA Technology, subsequently paid the outstanding leasing
commissions and the loan accumulated sufficient funds to be
reinstated. As of February 2025, BOA Technology has resumed paying
their full rent and, according to the servicer, the lease is now in
good standing.
The most recent servicer-reported September 2024 NOI DSCR and
occupancy was 2.38x and 96%, respectively, compared with 1.86x and
97%, respectively, at YE 2023. According to the January 2025 rent
roll, the property was 96.2% occupied with the largest tenants
including BOA Technology (63.2%, through June 2035), Intelligent
Imaging Innovations (7.7%, through December 2026), Lightshade Labs
LLC (3.1%, through June 2025) and Impulsify (2.9%, through
September 2026). Upcoming rollover includes 11.7% of the NRA
through 2025 and 17.1% of the NRA through 2026.
According to CoStar, the Platte River Submarket reported a vacancy
rate and average asking rental rate of 27.6% and $60.26 psf,
respectively, compared with the Denver market vacancy rate and
average asking rental rate of 17.5% and $42.45 psf, respectively.
As of the rent roll dated January 2024, the subject's average
rental rate was $34.59 psf with a vacancy of 3.8%.
Fitch's 'Bsf' rating case loss of 16.0% (prior to concentration
add-ons) reflects a 10% cap rate, 15% stress to the YE 2023 NOI,
and a 50% probability of default to reflect the upcoming rollover
concerns and the soft submarket.
The largest contributor to overall loss expectations is the 3 Park
Avenue loan, which is secured by 641,186-sf of office space on
floors 14 through 41 and 26,260-sf of multi-level retail space
located on Park Avenue and 34th Street in the Murray Hill office
submarket of Manhattan. This FLOC was flagged for low occupancy and
DSCR. The loan transferred to special servicing in September 2024
for imminent default and the lender is dual tracking the
foreclosure process while discussing borrower's request for a loan
modification.
According to the June 2024 rent roll, property occupancy was 52%
compared with 54% at YE 2023, in line with 2022, but remains below
86% at issuance, largely from the departure of TransPerfect
Translations (13.7%) in 2019, Icon Capital Corporation (3.4%) in
2023 and several tenants that have downsized their spaces. The
largest three tenants are Houghton Mifflin Harcourt (15.2%, through
December 2027), P. Kaufman (6.9%, through December 2030) and Return
Path, Inc. (3.5%, through July 2025).
The servicer-reported NOI DSCR was 0.91x at YE 2023, compared with
0.81x at YE 2022 and significantly below 2.08x based on the
originator's underwritten NOI at issuance.
Fitch's 'Bsf' rating case loss of 24.1% (prior to concentration
add-ons) reflects an 8.5% cap rate, 10% stress to the September
2024 NOI, and a higher probability of default due to the
performance declines and low DSCR. Fitch also included an
additional sensitivity scenario in its analysis to account for
elevated refinance risk where the loan-level 'Bsf' sensitivity case
loss increases to 32.1% (prior to concentration add-ons); this
scenario contributed to the Negative Outlooks.
The fourth largest increase in loss since the prior rating action
and the fourth largest contributor to overall pool loss
expectations is the 116 University Place loan, which is secured by
a retail property located in New York, NY. The loan transferred to
special servicing in January 2022 and became REO in November 2023.
The special servicer has engaged a local brokerage firm to market
the property for sale.
Fitch's 'Bsf' rating case loss of 88.9% (prior to concentration
add-ons) reflects a stressed value of approximately $724 psf,
factoring the most recent September 2024 appraisal value of $1.9
million, which represents an 87% decline from the appraisal value
at issuance.
Increased Credit Enhancement (CE): As of the March 2025
distribution date, the pool's aggregate balance has been reduced by
13.3% to $1.1 billion from $1.3 billion at issuance. Three loans
(5.6% of pool) have been defeased.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to the senior 'AAAsf' rated classes are not expected
due to the position in the capital structure and expected continued
paydowns from amortization and loan repayments, but may happen if
deal-level losses increase significantly and/or interest shortfalls
occur or are expected to occur;
- Downgrades to the 'AAsf' and 'Asf' category rated classes could
occur should performance of the FLOCs, most notably Spring Hollow
Apartments, 166 Geary Street, Flight, 116 University Place, and 3
Park Avenue, deteriorate further, higher than expected losses on
the specially serviced loans and/or more loans than expected
default at or prior to maturity;
- Downgrades to the 'BBBsf' and 'BBsf' category rated classes are
likely with higher-than-expected losses from continued
underperformance of the FLOCs, particularly the aforementioned
FLOCs with deteriorating performance, and with greater certainty of
losses on the specially serviced loan or other FLOCs;
- Downgrades to the 'CCCsf', 'CCsf', and 'Csf' rated class would
occur should additional loans transfer to special servicing and/or
default, or as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to 'AAsf' and 'Asf' category rated classes are not
expected, but possible with increased CE from paydowns, coupled
with improved pool-level loss expectations and performance
stabilization of the FLOCs, including Spring Hollow Apartments, 166
Geary Street, Flight, 116 University Place, and 3 Park Avenue;
- Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls;
- Upgrades to the 'BBsf' category rated class are not likely until
the later years in a transaction and only if the performance of the
remaining pool is stable, recoveries on the FLOCs are better than
expected and there is sufficient CE to the classes;
- Upgrades to the 'CCCsf', 'CCsf', and 'Csf' category rated classes
are not likely, but may be possible with better-than-expected
recoveries on specially serviced loans and/or significantly higher
values on the FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BENCHMARK 2021-B30: Fitch Affirms 'B-sf' Rating on Two Tranches
---------------------------------------------------------------
Fitch Ratings has affirmed 35 classes of the Benchmark 2021-B26
Mortgage Trust (BMARK 2021-B26) and Benchmark 2021-B30 (BMARK
2021-B30) transactions. Additionally, the Rating Outlooks for
classes E, F, G, X-D, X-F, and X-G in BMARK 2021-B26 have been
revised to Negative from Stable.
Entity/Debt Rating Prior
----------- ------ -----
Benchmark 2021-B30
A-1 08163KBC4 LT AAAsf Affirmed AAAsf
A-2 08163KBD2 LT AAAsf Affirmed AAAsf
A-4 08163KBF7 LT AAAsf Affirmed AAAsf
A-5 08163KBG5 LT AAAsf Affirmed AAAsf
A-M 08163KBJ9 LT AAAsf Affirmed AAAsf
A-SB 08163KBE0 LT AAAsf Affirmed AAAsf
B 08163KBK6 LT AA-sf Affirmed AA-sf
C 08163KBL4 LT A-sf Affirmed A-sf
D 08163KAL5 LT BBBsf Affirmed BBBsf
E 08163KAN1 LT BBB-sf Affirmed BBB-sf
F 08163KAQ4 LT BB-sf Affirmed BB-sf
G 08163KAS0 LT B-sf Affirmed B-sf
X-A 08163KBH3 LT AAAsf Affirmed AAAsf
X-B 08163KAA9 LT A-sf Affirmed A-sf
X-D 08163KAC5 LT BBB-sf Affirmed BBB-sf
X-F 08163KAE1 LT BB-sf Affirmed BB-sf
X-G 08163KAG6 LT B-sf Affirmed B-sf
Benchmark 2021-B26
A-1 08163EAY1 LT AAAsf Affirmed AAAsf
A-2 08163EAZ8 LT AAAsf Affirmed AAAsf
A-3 08163EBA2 LT AAAsf Affirmed AAAsf
A-4 08163EBC8 LT AAAsf Affirmed AAAsf
A-5 08163EBD6 LT AAAsf Affirmed AAAsf
A-M 08163EBF1 LT AAAsf Affirmed AAAsf
A-SB 08163EBB0 LT AAAsf Affirmed AAAsf
B 08163EBG9 LT AA-sf Affirmed AA-sf
C 08163EBH7 LT A-sf Affirmed A-sf
D 08163EAH8 LT BBBsf Affirmed BBBsf
E 08163EBL8 LT BBB-sf Affirmed BBB-sf
F 08163EAL9 LT BB-sf Affirmed BB-sf
G 08163EAN5 LT B-sf Affirmed B-sf
X-A 08163EBE4 LT AAAsf Affirmed AAAsf
X-B 08163EBJ3 LT A-sf Affirmed A-sf
X-D 08163EAX3 LT BBB-sf Affirmed BBB-sf
X-F 08163EAB1 LT BB-sf Affirmed BB-sf
X-G 08163EAD7 LT B-sf Affirmed B-sf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: The affirmations reflect
generally stable pool performance and loss expectations since
Fitch's prior rating action. Transaction-level 'B' rating case
losses for BMARK 2021-B26 and BMARK 2021-B30 are 3.64% and 3.50%,
respectively.
The Negative Outlooks for classes E, F, G, X-D, X-F and X-G in
BMARK 2021-B26 reflect the potential for future downgrades due to
the increased loss expectations for the ninth largest loan in the
pool, 8111 Gatehouse Road (3.8% of the pool) and the elevated risk
from high office exposure (40.8%).
Fitch Loans of Concern (FLOCs) and Specially Serviced Loans: Four
loans representing 8.2% of the BMARK 2021-B26 transaction are
FLOCs, including one specially serviced loan (141 Livingston; 1.3%
of the pool). Four loans representing 12.4% of the BMARK 2021-B30
transaction are FLOCs, including two specially serviced loans which
comprise 3.9% of the pool.
8111 Gatehouse Road (3.8% of BMARK 2021-B26): 8111 Gatehouse Road
is a FLOC and the largest loss contributor for the BMARK 2021-B26
transaction. The loan is secured by a six-floor, 275,745-sf
suburban office building constructed in 1973 and located in
Merrifield/Falls Church, VA, approximately 15 miles west of
Washington D.C. The property experienced a significant decline in
occupancy in 2024 after the largest tenant, Inova Health Care
Services (34% of NRA), vacated at the lease expiration. The
property reports an occupancy rate of 51% as of December 2024. The
largest tenants remaining are GSA entities with no termination
options.
Fitch's 'Bsf' rating case loss of 23.1% (prior to a concentration
adjustment) is based on a 10.25% cap rate and a 50% stress to YE
2023 NOI. Fitch also performed an additional sensitivity scenario,
which factors in a higher probability of default to account for the
anticipated challenges in stabilizing performance of the property
given the low occupancy and elevated market vacancy of 17% per
CoStar as of 1Q25.
iPark 84 Innovation Center (6.1% of BMARK 2021-B26): iPark 84
Innovation Center is the second largest loss contributor for the
BMARK 2021-B26 transaction. The loan is secured by 938,339-sf of
industrial and R&D space across multiple buildings situated within
the broader iPark 84 Innovation Center in Hopewell Junction, NY.
The loan recently returned from special servicing as a corrected
mortgage following a loan modification installing a replacement for
the deceased guarantor and the execution of a lease amendment for
IBM (10.8% of NRA) which extended its lease term through 2027.
Fitch's 'Bsf' rating case loss of 7.1% (prior to a concentration
adjustment) is based on a 9.25% cap rate and Fitch's sustainable
net cash flow (NCF) from issuance.
141 Livingston (1.3% of BMARK 2021-B26): 141 Livingston is a FLOC
and currently the only specially serviced loan in the BMARK
2021-B26 pool (transferred in October 2024). The loan is secured by
a 213,745-sf office building located in Brooklyn, NY and originally
constructed in 1959.
The property serves as a mission critical location for Brooklyn's
civil court systems with The City of New York Department of
Citywide Administrative Services (NYC DCAS) occupying 96% of the
total NRA. NYC DCAS occupies its space under a lease with an
original term that is set to expire in December 2025. The loan
transferred to special servicing after NYC DCAS did not renew its
lease for a five-year term 18-months prior to the original lease
expiration date, which triggered monthly reserve obligations that
the borrower has not posted.
As a result of the monthly reserve non-compliance, the master
servicer ceased applying debt service payments and the loan went
delinquent. Per the servicer, NYC DCAS was prepared to sign a
two-year renewal with three extension options which, if exercised,
would extend the renewal lease term to five years beyond the
current expiration. Legal counsel determined that the two-year
renewal with extension options did not meet the requirements
outlined in the loan agreement. Negotiations over renewal terms
with NYC DCAS are ongoing. The property has been 100% occupied
since issuance and the YE 2023 NOI DSCR is 2.85x.
Fitch's 'Bsf' rating case loss of 19.4% (prior to a concentration
adjustment) is based on a 9.25% cap rate and Fitch's sustainable
NCF from issuance. Additionally, Fitch's loss expectation for the
loan factors in an adjustment to the probability of default as the
loan was transferred to special servicing due to a technical
default; the property's performance remains stable and lease
renewal negotiations are ongoing with the major tenant.
Amazon Hunts Point (3.7% of BMARK 2021-B30): Amazon Hunts Point is
the largest loss contributor for the BMARK 2021-B30 pool. The loan
is secured by the leased fee interest in the subject property which
consists of a parking lot and a warehouse that is 100% leased to
Amazon and contains 120,000-sf of space in the Bronx, NY.
Fitch's 'Bsf' rating case loss of 9.4% (prior to a concentration
adjustment) is based on a 9.00% cap rate and Fitch's sustainable
NCF from issuance.
Brush Factory Lofts (3.5% of BMARK 2021-B30): Brush Factory Lofts
is secured by a 151-unit multifamily property located in
Philadelphia, PA. The loan transferred to special servicing in
August 2024 due to monetary default following a history of
delinquent payments. However, the loan was brought current as a
result of a preferred equity recapitalization and is expected to
return to the master servicer as a corrected mortgage after
amassing a period of timely payments. The property continues to
exhibit stable performance with recent periods reporting DSCRs
above 1.70x and YE 2024 occupancy rate reaching 97%.
Fitch's 'Bsf' rating case loss of 1.0% (prior to a concentration
adjustment) accounts for special servicing fees as a discount to
the October 2024 appraised value is above the current loan
balance.
Marginal Change to Credit Enhancement (CE): As of the March 2025
reporting, the BMARK 2021-B26 pool's aggregate balance has reduced
0.2% since issuance, and the pool has no defeasance concentration
to date.
As of the March 2025 reporting, the BMARK 2021-B30 pool's aggregate
balance has reduced 0.8% since issuance, and the pool has no
defeasance concentration to date.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to the 'AAAsf' and 'AAsf' classes are not expected due
to the position in the capital structure and expected continued
amortization and loan repayments, but may occur if deal-level
losses increase significantly and/or interest shortfalls affect
these classes.
- Downgrades to classes rated in the 'Asf' and 'BBBsf' categories
could occur if deal-level losses increase significantly from
outsized losses on larger FLOCs, particularly the 8111 Gateway Road
loan (BMARK 2021-B26), or if more loans than expected default
during the term and/or at or prior to maturity.
- Downgrades to classes rated in the 'BBsf' and 'Bsf' categories,
particularly those with Negative Outlooks, are possible with
higher-than-expected losses from continued underperformance of the
FLOCs and/or lack of resolution and increased exposures on the
specially serviced loans.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to classes rated in the 'AAsf' and 'Asf' categories may
be possible with significantly increased CE from paydowns and/or
defeasance, coupled with stable-to-improved pool-level loss
expectations and improved performance on the FLOCs;
- Upgrades to classes rated in the 'BBBsf' category would be
limited based on the sensitivity to concentrations or the potential
for future concentrations. Classes would not be upgraded above
'Asf' if there were likelihood of interest shortfalls;
- Upgrades to classes rated in the 'BBsf' and 'Bsf' categories are
not likely until the later years in the transaction and only if the
performance of the remaining pool is stable and/or there is
sufficient CE.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BENCHMARK 2025-V14: Fitch Assigns 'B-sf' Rating on Class G-RR Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Benchmark 2025-V14 Mortgage Trust Commercial Mortgage Pass-Through
Certificates Series V14 as follows:
- $2,019,000 class A-1 'AAAsf'; Outlook Stable;
- $18,500,000 class A-2 'AAAsf'; Outlook Stable;
- $130,000,000 class A-3 'AAAsf'; Outlook Stable;
- $506,951,000 class A-4 'AAAsf'; Outlook Stable;
- $759,613,000a class X-A 'AAAsf'; Outlook Stable;
- $102,143,000 class A-M 'AAAsf'; Outlook Stable;
- $45,788,000 class B 'AA-sf'; Outlook Stable;
- $37,570,000 class C 'A-sf'; Outlook Stable;
- $11,552,000ab class X-D 'BBB+sf'; Outlook Stable;
- $11,552,000b class D 'BBB+sf'; Outlook Stable;
- $20,147,000bc class E-RR 'BBB-sf'; Outlook Stable;
- $14,089,000bc class F-RR 'BBsf'; Outlook Stable;
- $15,263,000bc class G-RR 'B-sf'; Outlook Stable.
The following class is not rated by Fitch:
- $35,221,692bc class J-RR.
(a)Notional amount and interest only.
(b) Privately placed and pursuant to Rule 144A.
(c) Horizontal risk retention.
Since Fitch published its expected ratings on March 17, 2025, the
following changes have occurred. The balances for classes A-3 and
A-4 were finalized. At the time the expected ratings were
published, the initial aggregate certificate balance of the A-3
class was expected to be in the range of $0-$300,000,000, subject
to a variance of plus or minus 5%. The final class balance for
class A-3 is $130,000,000. The initial aggregate certificate
balance of the A-4 class was expected to be in the range of
$336,951,000-$636,951,000, subject to a variance of plus or minus
5%. The final class balance for class A-4 is $506,951,000.
The final ratings are based on information provided by the issuer
as of April 15, 2025.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 35 loans secured by 61
commercial properties having an aggregate principal balance of
$939,243,693 as of the cut-off date. The loans were contributed to
the trust by German American Capital Corporation, Citi Real Estate
Funding Inc., Goldman Sachs Mortgage Company, Barclays Capital Real
Estate Inc. and Bank of Montreal.
The master servicer is Midland Loan Services, a division of PNC
Bank, National Association, and the special servicer is Greystone
Servicing Company LLC. The certificates will follow a sequential
paydown structure.
Since Fitch published its expected ratings on March 17, 2025, class
X-B was removed from the transaction structure by the issuer. At
the time the expected ratings were published, class X-B had an
expected rating of 'A-(EXP)sf'. Fitch has withdrawn the expected
ratings for class X-B because the class was removed from the final
deal structure by the issuer. The classes above reflect the final
ratings and deal structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed detailed cash flow analysis
for 21 loans in the pool (60.0% by balance) and asset summary
reviews of all the loans in the pool. Fitch's aggregate net cash
flow (NCF), including the prorated trust portion of any pari passu
loan, is $428.6 million, which represents a 17.0% decline from the
issuer's aggregate underwritten net cash flow NCF of $516.2
million.
Higher Fitch Leverage: The pool has leverage in line with recent
five-year multiborrower transactions rated by Fitch. The pool's
Fitch loan-to-value ratio (LTV) of 98.6% is slightly better than
the 2025 YTD five-year multiborrower transaction average of 100.2%
but higher than the 2024 five-year multiborrower transaction
average of 95.2%. The pool's Fitch NCF debt yield (DY) of 9.3% is
weaker than both the five-year YTD 2025 and 2024 five-year averages
of 9.7% and 10.2%, respectively.
Higher Office Concentration: Loans secured by office properties
(designated by Fitch) represent 32.0% of the pool are above both
the YTD 2025 and 2024 averages of 21.9% and 21.3%, respectively. In
particular, the office concentration includes three of the largest
four loans.
Investment Grade Credit Opinion Loans: Four loans representing
16.8% of the pool balance received investment-grade credit
opinions. Project Midway (7.5% of pool) received an
investment-grade credit opinion of 'BBB+sf*' on a standalone basis.
The Spiral (4.3% of pool) received an investment-grade credit
opinion of 'AA-sf*' on a standalone basis. Uber Headquarters (3.2%
of pool) received an investment-grade credit opinion of 'BBBsf*' on
a standalone basis. Herald Center (1.9% of pool) received an
investment-grade credit opinion of 'BBB-sf*' on a standalone basis.
The pool's total credit opinion percentage is higher than both the
2025 YTD average of 10.9% and the 2024 average of 12.6% for
Fitch-rated five-year multiborrower transactions.
Shorter-Duration Loans: Loans with five-year terms constitute 100%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default than 10-year loans,
all else being 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 table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B-sf';
- 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'/'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AA+sf'/'A+sf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by 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 mortgage loan. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BENEFIT STREET XXX: S&P Assigns Prelim BB-(sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from
Benefit Street Partners CLO XXX Ltd./Benefit Street Partners CLO
XXX LLC, a CLO originally issued in Feb. 2023 that is managed by
BSP CLO Management LLC.
The preliminary ratings are based on information as of April 14,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the April 25, 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-R, A-2-R, B-R, C-R, D-1-R, and E-R
debt is expected to be issued at a lower spread than the original
debt.
-- The replacement class D-2-R debt is expected to be issued at a
coupon.
-- The non-call period will be extended to April 25, 2027.
-- The stated maturity will be extended to April 25, 2038.
-- The reinvestment period will be extended to April 25, 2030.
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
Benefit Street Partners CLO XXX Ltd./
Benefit Street Partners CLO XXX LLC
Class A-1-R, $267.75 million: AAA (sf)
Class A-2-R, $8.50 million: AAA (sf)
Class B-R, $46.75 million: AA (sf)
Class C-R (deferrable), $25.50 million: A (sf)
Class D-1-R (deferrable), $25.50 million: BBB- (sf)
Class D-2-R (deferrable), $4.25 million: BBB- (sf)
Class E-R (deferrable), $12.75 million: BB- (sf)
Other Debt
Benefit Street Partners CLO XXX Ltd./
Benefit Street Partners CLO XXX LLC
Subordinated notes, $38.97 million: Not rated
BGME 2021-VR: DBRS Confirms BB(high) Rating on HRR Certs
--------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of the
Commercial Mortgage Pass-Through Certificates, Series 2021-VR
issued by BGME Trust 2021-VR as follows:
-- Class A at AAA (sf)
-- Class B at A (high) (sf)
-- Class C at BBB (high) (sf)
-- Class D at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the stable performance of
the transaction since the previous Morningstar DBRS credit rating
action in April 2024. The collateralized office buildings have been
fully occupied by Meta Platforms, Inc. (Meta), an investment-grade
tenant, since issuance.
The loan is secured by the borrower's fee-simple interest in
Burlingame Point, a four-building Class A office and research
property totaling 805,118 square feet (sf) in Burlingame,
California. All four buildings are solely occupied by Meta, on a
12.5-year triple net lease, co-terminus with the loan's final
maturity date in January 2033. The collateral is located between
Silicon Valley and downtown San Francisco and serves as the
headquarters for the company's Meta Quest division (formerly,
Oculus).
The whole loan amount of $620.0 million includes $380.0 million of
senior debt, of which $260.0 million is held within the subject
transaction. There is also $240.0 million of junior debt, with the
entirety held in the trust. An additional $130.0 million of
mezzanine debt is held outside of the trust. The whole loan is
interest only with an anticipated repayment date in July 2030,
after which the loan will amortize on a 30-year schedule and
hyper-amortize if excess cash flow is available through the final
maturity date in January 2023.
The loan is sponsored by Kylli Inc. (Kylli), a subsidiary of Genzon
Investment Group, a full-service real estate investment management
company that focuses on acquiring, developing, and managing
institutional-quality assets in the Western United States. Since
acquiring the property for $45.7 million in 2015, Kylli has spent
approximately $757.0 million to transform the asset.
According to September 2024 rent roll, the collateral properties
remain fully occupied by Meta. Per its lease terms, Meta has two
eight-year renewal options that are exercisable by the borrower at
95.0% of market rent, as long as the tenant does not default under
the lease. There are no contraction or termination options
available during the lease term. Meta currently pays an average
rental rate of $61.60 per square foot, above the average effective
rental rate of $44.33 per square foot for office properties in the
Central San Mateo submarket, according to YE2024 Reis reporting.
Reis also reported a vacancy rate of 20.0% for the submarket.
The availability rate recently increased in the submarket, as
according to a CoStar news article dated February 11, 2025, Meta
has made more than 500,000 sf of space across three properties
available for sublease. The properties are located down the street
from the subject collateral. The article notes Meta plans to reduce
its Bay Area office portfolio with a projected overall staff
reduction of 5.0%. While there is no impact on the collateral
properties, Morningstar DBRS notes Meta's intention to downsize its
lease in the submarket and will continue to monitor the
developments.
The servicer reported an annualized net cash flow (NCF) for the
trailing nine months ended September 30, 2024, of $49.1 million,
reflecting a debt service coverage ratio (DSCR) of 2.58 times (x).
The cash flow figure is consistent with YE2023 reporting of $50.0
million (DSCR of 2.63x), but remains slightly below the Morningstar
DBRS NCF of $51.19 million (DSCR of 2.74x) derived at closing. Cash
flow is expected to increase year over year, however, as Meta's
lease includes 3.0% annual rent escalations.
At the April 2024 Morningstar DBRS credit rating action,
Morningstar DBRS completed 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 the purpose of this credit rating action, Morningstar
DBRS continued 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 $51.2 million. Morningstar DBRS also
maintained positive qualitative adjustments to the loan-to-value
(LTV)-sizing benchmarks, totaling 8.75% to reflect the
investment-grade tenancy, substantial capital investment made into
the property, and the property's strong market position. The
resulting Morningstar DBRS value is $699.3 million, which
represents a -33.4% variance from the issuance appraised value of
$1.05 billion and reflects an LTV of 107.26%.
Notes: All figures are in U.S. dollars unless otherwise noted.
BLACKROCK RAINIER VI: S&P Assigns Prelim 'BB-' Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the proposed
new class X-R debt and replacement class A-1-R, A-1-L-R, A-2-R,
A-2-L-R, B-1-R, B-1-L-R, B-2-R, C-R, D-R, and E-R debt from
BlackRock Rainier CLO VI Ltd./Blackrock Rainier CLO VI LLC, a CLO
originally issued in February 2021 that is managed by BlackRock
Capital Investment Advisors LLC.
The preliminary ratings are based on information as of April 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 and proposed
new 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 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 21, 2027.
-- The reinvestment period will be extended to April 20, 2029.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes) will be extended to April 20, 2037.
-- No additional assets will be purchased on the April 21, 2025
refinancing date, and the target initial par amount will remain at
$800 million. There will be no additional effective date or ramp-up
period, and the first payment date following the refinancing is
July 20, 2025.
-- New class X-R debt will be issued on the refinancing date and
is expected to be paid down using interest proceeds during the
first 24 payment dates in equal installments of $1.21 million,
beginning on the October 2025 payment date.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each 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
Blackrock Rainier CLO VI Ltd./Blackrock Rainier CLO VI LLC
Class X-R, $29.00 million: AAA (sf)
Class A-1-R, $301.00 million: AAA (sf)
Class A-1-L-R, $139.00 million: AAA (sf)
Class A-2-R, $11.70 million: AAA (sf)
Class A-2-L-R $12.30 million: AAA (sf)
Class B-1-R, $59.20 million: AA (sf)
Class B-1-L-R, $4.80 million: AA (sf)
Class B-2-R, 16.00 million: AA (sf)
Class C-R (deferrable), $60.00 million: A (sf)
Class D-R (deferrable), $52.00 million: BBB-(sf)
Class E-R (deferrable), $48.00 million: BB- (sf)
Other Debt
Blackrock Rainier CLO VI Ltd./Blackrock Rainier CLO VI LLC
Subordinated notes, $86.00 million: Not rated
BRAVO RESIDENTIAL 2025-CES1: Fitch Assigns 'Bsf' Rating on B2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to BRAVO Residential
Funding Trust 2025-CES1 (BRAVO 2025-CES1).
Entity/Debt Rating Prior
----------- ------ -----
Bravo 2025-CES1
A-1 LT AAAsf New Rating AAA(EXP)sf
A1A LT AAAsf New Rating AAA(EXP)sf
A1X LT AAAsf New Rating AAA(EXP)sf
A2 LT AAsf New Rating AA(EXP)sf
A3 LT Asf New Rating A(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
B1 LT BBsf New Rating BB(EXP)sf
B2 LT Bsf New Rating B(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
M1 LT BBBsf New Rating BBB(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
The transaction is expected to close on April 15, 2025. The notes
are supported by one collateral group that consists of 3,886
primarily newly originated, closed-end second lien (CES) loans with
a total balance of $292 million as of the cutoff date.
NewRez LLC (NewRez), PennyMac Loan Services, LLC (PennyMac), and
Nationstar Mortgage LLC dba Mr. Cooper (Nationstar), originated
approximately 28.8%, 34.1%, and 36.4% of the loans, respectively.
PennyMac, Rushmore Loan Management Services, LLC (Rushmore), and
Shellpoint will service the loans. The servicers will not advance
delinquent monthly payments of principal and interest (P&I).
Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential structure with an
interest-only class A-1X, whose interest payments are made pari
passu with class A-1A, based on their respective entitlements. The
sequential-pay structure locks out principal to the subordinated
notes until the most senior notes outstanding are paid in full. In
addition, excess cash flow can be used to repay losses or net
weighted average coupon shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): As a result of its
updated view on sustainable home prices, Fitch views the home price
values of this pool as 11.3% above a long-term sustainable level
(versus 11.1% on a national level as of 3Q24). Affordability is the
worst it has been in decades driven by both high interest rates and
elevated home prices. Home prices have increased 3.8% yoy
nationally as of November 2024, despite modest regional declines,
but are still being supported by limited inventory.
Closed-End Second Liens (Negative): The entirety of the collateral
pool is composed of newly originated CES mortgages. Fitch assumed
no recovery and 100% loss severity (LS) on second lien loans based
on the historical behavior of second lien loans in economic stress
scenarios. Fitch assumes second lien loans default at a rate
comparable to first lien loans; after controlling for credit
attributes, no additional penalty was applied.
Strong Credit Quality (Positive): The pool consists of
new-origination CES loans, seasoned approximately six months (as
calculated by Fitch), with a relatively strong credit profile —
weighted average model credit score of 736, a 37% debt-to-income
ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV)
of 77%.
Roughly 100% of the loans were treated as full documentation in
Fitch's analysis. None of the loans have experienced any
modifications since origination.
Sequential-Pay Structure with Realized Loss and Writedown Feature
(Positive): The transaction's cash flow is based on a
sequential-pay structure, whereby the subordinate classes do not
receive principal until the senior classes are repaid in full.
Losses are allocated in reverse-sequential order. Furthermore, the
provision to reallocate principal to pay interest on the 'AAAsf'
rated notes prior to other principal distributions is highly
supportive of timely interest payments to those notes in the
absence of servicer advancing.
Second lien loans that are delinquent for 180 days or more under
the Mortgage Bankers Association method will be subject to an
equity analysis and may be charged off, and therefore will cause
the most subordinated class to be written down. Despite the 100% LS
assumed for each defaulted second lien loan, Fitch views the
writedown feature positively, as there will be more excess interest
to repay and protect against losses if writedowns occur earlier. In
addition, subsequent recoveries realized after the writedown
(excluding active forbearance or loss mitigation loans) will be
passed on to bondholders as principal.
Unlike prior CES deals, excess interest is only available to repay
current or prior losses and not to turbo down the bonds. This has
resulted in a higher amount of credit enhancement compared to
structures with a partial turbo feature.
No Servicer P&I Advances (Neutral): The servicers will not advance
delinquent monthly payments of P&I. Structural provisions and cash
flow priorities, together with increased subordination, provide for
timely payments of interest to the 'AAAsf' and 'AA-sf' rated
classes. Fitch views the servicer advancing framework as neutral
because, with a projected 100% LS, no credit would be given for
advances on the structural side and no additional adjustments
related to LS would be necessary.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This defined negative rating sensitivity analysis shows how ratings
would react to steeper market value declines (MVDs) at the national
level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in
addition to the model-projected 42.4%, at 'AAAsf'. The analysis
indicates there is some potential rating migration, with higher
MVDs for all rated classes compared with model projections.
Specifically, a 10% additional decline in home prices would lower
all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated classes, excluding those being assigned ratings of
'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by multiple third-party review firms. 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 adjustments to
its analysis:
- A 5% PD credit was applied at the loan level for all loans graded
either 'A' or 'B';
- Fitch lowered its loss expectations by approximately 78bps as a
result of the diligence review.
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.
BRYANT PARK 2025-26: S&P Assigns Prelim BB- (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Bryant Park
Funding 2025-26 Ltd./Bryant Park Funding 2025-26 LLC's floating-
and fixed-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Marathon Asset Management L.P.
The preliminary ratings are based on information as of April 10,
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, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
Bryant Park Funding 2025-26 Ltd. /
Bryant Park Funding 2025-26 LLC
Class A, $244.00 million: AAA (sf)
Class B-1, $52.00 million: AA+ (sf)
Class B-2, $16.00 million: AA (sf)
Class C (deferrable), $16.00 million: A (sf)
Class D-1 (deferrable), $19.00 million: BBB+ (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class D-3 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $36.00 million: Not rated
BX PURE 2025-PURE2: Moody's Assigns Ba3 Rating to Cl. E Certs
-------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to five classes of
CMBS securities, issued by BX Pure Industrial Issuer Trust Canada,
Commercial Mortgage Pass-Through Certificates, Series 2025-PURE2:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
*Please note that all values presented for the BX Pure Industrial
Issuer Trust Canada transaction are in Canadian Dollars (CAD).
RATINGS RATIONALE
The mortgage loan is secured by the borrower's fee simple interests
in 31 industrial facilities containing a total of 3,371,353 SF
across four distinct industrial subtypes: distribution warehouse
(13 properties; 59.2% of NRA), general warehouse (8 properties,
11.7% NRA), flex (5 properties; 17.1% of NRA), and light
manufacturing (5 properties; 12.1% of NRA). The facilities are all
located in Canada within the MSAs of Toronto (29 properties; 93.2%
NRA) and Vancouver (2 properties; 6.8% NRA). Both MSAs are
considered global gateway markets and benefit for several major
transportation arteries.
Property sizes range between 14,944 SF and 764,182 SF, averaging
108,753 SF. Ten facilities (75.1% of NRA) is represented by
facilities of 100,000 SF or greater. Ceiling clear heights for the
Portfolio range between 14.0 feet and 32.0 feet, averaging
approximately 25.1 feet. Total office utility varies widely given
the assortment of industrial subtypes. While office utility
averages 19.8%, office space ranges between a low of 2.0% for one
of the warehouse distribution facilities to a high of 78.8% for one
of the flex facilities. The Portfolio's overall functionality is
adequate for its current use but lacks competitive specifications
compared to newer industrial products within their respective
markets.
Construction dates range between 1971 and 2009 and exhibit a
weighted average year built of 1991 (age of -34 years). Six
facilities (30.6% of NRA) were built before 1980; nineteen
facilities (32.6% of NRA) were built between 1980 and 1990; six
facilities (26.8% of NRA) were built since 1990. The collateral
improvements are in overall good condition and well maintained as
observed during Moody's site inspections and echoed in the
appraisals.
As of March 31, 2025, the Portfolio was 92.4% leased to
approximately 100 unique tenants. The top 10 properties in the
Portfolio account for approximately 73.7% of the Portfolio's total
ALA and account for 2.5 million SF, or 74.3% of NRA and 71.7% of
in-place NOI. Of note, single-tenant properties are entirely
occupied and represent 70.4% of NRA.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-backed Securitizations methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessments of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessments of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's makes various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also uses an adjusted loan balance that reflects
each loan's amortization profile.
The Moody's first mortgage actual DSCR is 1.29x compared to 1.30x
at Moody's provisional ratings due to an interest rate increase.
Moody's first mortgage actual stressed DSCR is 0.73x. Moody's DSCR
is based on Moody's stabilized net cash flow.
The whole loan first mortgage balance of $650,000,000 represents a
Moody's LTV ratio of 109.4% based on Moody's value. Adjusted
Moody's LTV ratio for the first mortgage balance is 102.7%,
compared to 102.2% at Moody's provisional ratings, based on Moody's
Value using a cap rate adjusted for the current interest rate
environment.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and consider those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The collateral's
overall quality grade is 0.25.
Notable strengths of the transaction include: global gateway
markets, strong leasing momentum and rent growth, below market
rents, economically diverse and granular tenancy, multiple property
pooling, Canadian commercial real estate environment and
experienced sponsorship.
Notable concerns of the transaction include: tenant rollover,
single tenant exposure, age of the properties, uncertainty in
rising trade tensions, floating-rate/interest-only mortgage loan
profile, non-sequential prepayment provision, reallocations of loan
amounts and certain credit negative legal features.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in January 2025.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
CAMB 2021-CX2: DBRS Confirms BB(high) Rating on HRR Certs
---------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates issued by CAMB
2021-CX2 Mortgage Trust as follows:
-- Class A at AAA (sf)
-- Class X at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction, which has remained in line with
expectations since the previous Morningstar DBRS credit rating
action in April 2024. The collateral office buildings are 100%
occupied by Aventis, Inc. (Aventis), a wholly owned subsidiary of
the French healthcare conglomerate Sanofi, on long-term leases that
run through 2036.
The underlying loan is secured by the borrower's simple interest in
350 Water Street and 450 Water Street, two recently constructed,
Class A, LEED Gold certified, life-sciences office buildings
totaling 916,233 square feet (sf) in Cambridge, Massachusetts. The
collateral properties are part of the Cambridge Crossing
Development (CX), a large master-planned urban district developed
by the sponsor, DivcoWest, which has delivered more than 2.1
million sf of science and technology space. The community also
features a diverse range of retail space, restaurants, and
residential space.
The $1.2 billion whole loan consists of $814.0 million of senior
debt and $411.0 million of junior debt. The entirety of the junior
debt and $285.0 million of the senior debt are secured in the
subject transaction. The remaining $529.0 million of senior debt
was placed across several commercial mortgage-backed securities
transactions, including BANK 2022-BNK39, which is rated by
Morningstar DBRS. The fixed rate interest-only (IO) loan features
an anticipated repayment date in November 2031 and final loan
maturity date in November 2036.
The collateral serves as the headquarters for Aventis, which fully
occupies both buildings on two 15-year triple-net leases that are
co-terminus with the loan's final maturity date in November 2036.
At issuance, the final buildout for the Aventis space was ongoing,
with lease commencement dates in July 2021 and October 2021. The
final construction of the tenant's space was completed by the
middle of 2022. Aventis is paying an average rental rate of $76.27
per square foot, per the September 2024 rent roll, and is subject
to 2.5% annual rent escalations, with two 10-year renewal options
at fair market value. Both leases are guaranteed by the parent
company, Sanofi, which is rated investment-grade by Moody's and S&P
Global Ratings. The tenant has a termination option that is
exercisable in the 14th lease year (2034) and is subject to a
termination fee equal to 12 months of rent, operating expenses, and
taxes.
According to the Q3 2024 financials, the collateral reported an
annualized consolidated net cash flow (NCF) figure of $80.2 million
and a debt service coverage ratio (DSCR) of 2.30 times, which is in
line with the Morningstar DBRS NCF of $77.6 million derived at
issuance. The Morningstar DBRS NCF figure reflects the long-term
credit tenant treatment for Aventis, with straight-lined rents
reflecting rent steps over the loan term, and no leasing costs
assumed for the space. The improved reported NCF growth over the
Morningstar DBRS NCF figure is largely the result of a higher
expense recovery ratio over the past few years.
For this review, Morningstar DBRS maintained the valuation approach
from the April 2024 review, when Morningstar DBRS updated its value
for the collateral buildings from the issuance analysis to reflect
an increased capitalization (cap) rate of 6.75% from the issuance
Morningstar DBRS cap rate of 6.5%. The Morningstar DBRS NCF of
$77.6 million was maintained from issuance, and the resulting
Morningstar DBRS value was $1.15 billion, representing a -41.18%
variance from the issuance appraised value of $1.95 billion and
indicative of a whole loan-to-value ratio (LTV) of 106.6%.
Morningstar DBRS also maintained positive qualitative adjustments
totaling 9.5% to reflect the presence of a long-term tenant, strong
property quality, and its location within a strong market.
Morningstar DBRS expects performance will continue to be stable to
improving given the stable tenancy and strong, experienced
institutional sponsorship in the form of a joint venture
partnership among DivcoWest, the California State Teachers
Retirement System, and Teacher Retirement System of Texas.
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Notes: All figures are in U.S. dollars unless otherwise noted.
CAPITAL FOUR III: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Capital Four US CLO III Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Capital Four US
CLO III Ltd
A-1-R LT NRsf New Rating
A-2-R LT AAAsf New Rating
B 14016LAE6 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 14016LAG1 LT PIFsf Paid In Full Asf
C-1-R LT Asf New Rating
C-2-R LT Asf New Rating
D-1 14016LAJ5 LT PIFsf Paid In Full BBB-sf
D-1-R LT BBB-sf New Rating
D-2 14016LAL0 LT PIFsf Paid In Full BBB-sf
D-2-R LT BBB-sf New Rating
E 14016NAA0 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Transaction Summary
Capital Four US CLO III Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Capital Four US CLO
Management LLC that originally closed in January 2023. This is the
first refinancing, which will refinance the existing secured notes
in whole on April 9, 2025. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first-lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 23.1, versus a maximum covenant, in
accordance with the initial expected matrix point of 24.0. 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
95.9% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 72.1% versus a
minimum covenant, in accordance with the initial expected matrix
point of 70.8%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 40.0% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R notes,
between 'BB+sf' and 'A+sf' for class B-R notes, between 'B+sf' and
'BBB+sf' for class C-1-R and C-2-R notes, between less than 'B-sf'
and 'BBB-sf' for class D-1-R notes, between less than 'B-sf' and
'BB+sf' for class D-2-R notes, and between less than 'B-sf' and
'B+sf' for class E-R notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R notes, 'AA+sf' for class C-1-R
and C-2-R notes, 'A+sf' for class D-1-R notes, 'A-sf' for class
D-2-R notes, and 'BBBsf' for class E-R notes.
Key Rating Drivers and Rating Sensitivities are further described
in the presale report, which is available at www.fitchratings.com.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Capital Four US CLO
III 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.
CFIP CLO 2017-1: S&P Lowers Class E-R Notes Rating to 'B+ (sf)'
---------------------------------------------------------------
S&P Global Ratings lowered its rating on the class E-R debt from
CFIP CLO 2017-1 Ltd., a U.S. CLO managed by CFI Partners LLC, and
removed it from CreditWatch with negative implications. At the same
time, S&P affirmed its ratings on the class A-R, B-R, C-R, and D-R
debt from the same transaction.
The CLO is in its reinvestment phase, which is expected to end in
October 2026. Today's rating actions follow S&P's review of the
transaction's performance using data from the Feb. 28, 2025,
trustee report.
Though the trustee-reported overcollateralization (O/C) ratios of
all tranches are currently passing, they have declined since close.
The reported O/C ratios changed between the February 2025 report
and the September 2021 report (when the CLO went effective):
-- The class A/B O/C ratio declined to 128.04% from 131.57%.
-- The class C O/C ratio declined to 118.70% from 121.97%.
-- The class D O/C ratio declined to 110.62% from 113.67%.
-- The class E O/C ratio declined to 105.78% from 108.69%.
-- The CLO has an interest diversion clause that is set at the
class E O/C level. If this test is not satisfied during the
reinvestment period, the lower of 50% of remaining interest
proceeds or the amount necessary to bring the test back into
compliance at the discretion of the manager would be deposited into
the principal proceeds collection account, or the senior debt would
be paid down according to the principal payment sequence. S&P took
into account that this deal will be reinvesting through October
2026, and that this interest diversion test will no longer be
calculated after the transaction exits its reinvestment period.
The drop in the O/C ratios is primarily due to par losses since
close. In addition, although some of the portfolio's credit quality
has improved during this period, the recovery rates have declined
overall. As a result of these two factors, credit support has
weakened for all tranches, and the cash flow of the class E-R debt
is no longer passing at the previous rating.
Though the class E-R notes cash flows indicated a lower rating, S&P
limited the downgrade to one notch after considering other
qualitative aspects, such as an increase in the portfolio's S&P
Global Ratings' weighted average rating factor (SPWARF) that points
to higher credit quality, minimal defaults, low exposure to 'CCC'
and 'CCC-' rated assets, and passing O/Cs. However, any increase in
defaults or par losses could lead to potential negative rating
actions in the future.
The affirmed ratings reflect adequate credit support at the current
rating levels. Though the cash flow results indicated higher
ratings for the class B-R and C-R debt, S&P's actions considered
that the CLO is still in its reinvestment period (scheduled to
expire October 2026) and that future reinvestment activity could
change some of the portfolio characteristics.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults and recoveries upon default under various
interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with this rating action.
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Rating Lowered And Removed From CreditWatch
CFIP CLO 2017-1 Ltd.
Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch neg'
Ratings Affirmed
CFIP CLO 2017-1 Ltd.
Class A-R: AAA (sf)
Class B-R: AA (sf)
Class C-R: A (sf)
Class D-R: BBB- (sf)
CITIGROUP 2012-GC8: Moody's Downgrades Rating on 2 Tranches to C
----------------------------------------------------------------
Moody's Ratings has affirmed the ratings on two classes and
downgraded the ratings on three classes in Citigroup Commercial
Mortgage Trust 2012-GC8, Commercial Mortgage Pass-Through
Certificates, Series 2012-GC8 as follows:
Cl. C, Downgraded to Caa1 (sf); previously on Mar 31, 2023
Downgraded to B2 (sf)
Cl. D, Downgraded to C (sf); previously on Mar 31, 2023 Affirmed
Caa3 (sf)
Cl. E, Affirmed C (sf); previously on Mar 31, 2023 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Mar 31, 2023 Affirmed C (sf)
Cl. X-B*, Downgraded to C (sf); previously on Mar 31, 2023
Downgraded to Ca (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on P&I classes, Cl. C and Cl. D, were downgraded due to
interest shortfall risks and the potential for higher expected
losses from the significant exposure to specially serviced loans.
The remaining two loans (100% of the pool) are in special servicing
and the largest loan, Pinnacle at Westchase (51% of the pool) has
been Real Estate owned (REO) since June 2021. The other loan in the
pool, Gansevoort Park Hotel (49% of the pool) has also passed its
original maturity date and has had a DSCR below 1.00x since 2017.
The ratings on the P&I classes, Cl. E and Cl. F, were affirmed
because the ratings are consistent with Moody's expected loss.
The rating on the IO Class (Class X-B) was downgraded due to a
decline in the credit quality of its referenced classes. The IO
Class references all P&I classes including Class G, which is not
rated by us.
Moody's rating action reflects a base expected loss of 67.9% of the
current pooled balance, compared to 55.2% at Moody's last reviews.
Moody's base expected loss plus realized losses is now 10.5% of the
original pooled balance, compared to 8.7% at the last review.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except the
interest-only class was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
January 2025.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determine a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then apply the aggregate loss from specially
serviced loans to the most junior classes and the recovery as a pay
down of principal to the most senior classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
DEAL PERFORMANCE
As of the March 12, 2025 distribution date, the transaction's
aggregate certificate balance has decreased by 88% to $125.6
million from $1.040 billion at securitization. The certificates are
collateralized by two remaining specially serviced mortgage loans.
Two loans have been liquidated from the pool, contributing to an
aggregate realized loss of $24.5 million (for an average loss
severity of 40.3%).
The largest specially serviced loan is the Pinnacle at Westchase
loan ($63.6 million – 50.6%of the pool), which is secured by a
471,000 square feet (SF) suburban office complex in the Westchase
submarket of Houston, Texas. The loan transferred to special
servicing in February 2020 due to imminent monetary default and
became real estate owned (REO) in June 2021. As of January 2025,
the property was only 24% leased after departures of the two
largest tenants. The remaining sole tenant is expected to vacate
the property in 2025. The most recent appraisal from December 2023
valued the property 88% below the value at securitization. As of
the March 2025 remittance report the loan has amortized by 20.3%
since securitization.
The other specially serviced loan is the Gansevoort Park Avenue
($62.0 million – 49.4% of the pool), which represents a pari
passu portion of a $115.7 million senior mortgage. The loan is
backed by the 249-key full-service boutique hotel located on East
29th Street and Park Avenue South in Manhattan, New York. The
property was known as the Gansevoort Park Avenue at securitization,
however, the property was sold for approximately $200,000,000
($803,213 per key) and renamed Royalton Park Avenue in late 2017.
The property's cash flow has generally declined annually since
securitization due to lower revenues coupled with increased
operating expenses. The property's performance was further
significantly impacted by the pandemic and the hotel was
temporarily closed and re-opened in September 2021. The asset has
not been generating sufficient cash flow to cover debt service
since 2020. The loan was previously modified in 2021, which
included a two-year extension to June 2024 and a conversion to
interest-only through the remainder of the term. The loan was
current on its debt service payments as of the March 2025
remittance. In December 2024, the loan was modified again with an
18-month forbearance agreement commencing in June 2024 and a $12.5
million equity injection. The most recent appraisal from July 2024
valued the property 58% below the value at securitization. The loan
will remain in special servicing until the extended maturity date.
As of the March 2025 remittance statement cumulative interest
shortfalls were $14.1 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
CITIGROUP 2015-GC35: Moody's Lowers Rating on 2 Tranches to Ba2
---------------------------------------------------------------
Moody's Ratings has affirmed the ratings on four classes and
downgraded the ratings on four classes in Citigroup Commercial
Mortgage Trust 2015-GC35, Commercial Mortgage Pass-Through
Certificates, Series 2015-GC35 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Jun 27, 2023 Affirmed Aaa
(sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 27, 2023 Affirmed Aaa
(sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 27, 2023 Affirmed Aaa
(sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Jun 27, 2023 Affirmed
Aaa (sf)
Cl. A-S, Downgraded to Baa1 (sf); previously on Jun 27, 2023
Downgraded to A1 (sf)
Cl. B, Downgraded to Ba2 (sf); previously on Jun 27, 2023
Downgraded to Baa2 (sf)
Cl. X-A*, Downgraded to Aa2 (sf); previously on Jun 27, 2023
Affirmed Aa1 (sf)
Cl. X-B*, Downgraded to Ba2 (sf); previously on Jun 27, 2023
Downgraded to Baa2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on the four principal and interest (P&I) classes were
affirmed because of their significant credit support and the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.
The ratings on the two principal and interest (P&I) classes, Cl.
A-S and Cl. B, were downgraded due to higher anticipated losses
primarily driven by the exposure to specially serviced (12.1% of
the pool) and troubled loans (20.7% of the pool) with declines in
loan performance. The two largest specially serviced loans,
Illinois Center loan (6.0% of the pool) and 750 Lexington Avenue
loan (4.6% of the pool), are more than 90 days delinquent and
secured by office properties that have experienced significant
declines in occupancy and cash flow in recent years. Furthermore,
the 750 Lexington Avenue loan has been deemed non-recoverable by
the master servicer and is secured by a leasehold interest in which
the ground rent has recently made up more than 20% of the
property's revenue. The largest loan Moody's identified as troubled
loan was the Paramus Park loan (12.9% of the pool), which is
secured by a regional mall that had declining revenue since
securitization due to the lower occupancy and will likely face
increased refinance risk at its September 2025 maturity date.
Nearly all the remaining loans mature by November 2025 and given
the higher interest rate environment and loan performance certain
loans may be unable to pay off at their maturity date, which may
increase interest shortfall risk for the outstanding classes.
The ratings on the two IO (interest-only) classes, Cl. X-A and Cl.
X-B, were downgraded due to a decline in the credit quality of
their respective referenced classes.
Social risk (IPS S-4) for this transaction is high as Moody's
regards e-commerce competition as a social risk under Moody's ESG
framework. The rise in e-commerce and changing consumer behavior
presents challenges to brick- and-mortar discretionary retailers.
The transaction's Credit Impact Score is CIS-2.
Moody's rating action reflects a base expected loss of 18.9% of the
current pooled balance, compared to 15.2% at Moody's last reviews.
Moody's base expected loss plus realized losses is now 16.1% of the
original pooled balance, compared to 13.2% at the last review.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in rating all classes except interest-only
classes were "US and Canadian Conduit/Fusion Commercial
Mortgage-backed Securitizations" published in June 2024.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the March 2025 distribution date, the transaction's aggregate
certificate balance has decreased by 16% to $929.5 million from
$1.1 billion at securitization. The certificates are collateralized
by 56 mortgage loans ranging in size from less than 1% to 12.9% of
the pool, with the top ten loans (excluding defeasance)
constituting 71.7% of the pool. One loan, constituting 10.8% of the
pool, have investment-grade structured credit assessments. Sixteen
loans, constituting 9.2% of the pool, have defeased and are secured
by US government securities.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 13, compared to 14 at Moody's last review.
Thirteen loans, constituting 25.6% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, the agency reviews the
watchlist to assess which loans have material issues that could
affect performance.
No loans have been liquidated from the pool and three loans,
constituting 12.1% of the pool, are currently in special servicing.
The largest specially serviced loan is the Illinois Center Loan
($55.4 million – 6.0% of the pool), which represents a pari passu
portion of a $239.9 million mortgage loan. The loan is secured by
the fee interest in two adjoining Class A office towers located in
Chicago's East Loop submarket, totaling roughly 2.1 million square
feet (SF). The properties were only a combined 39% leased as of
September 2024, compared to 48% in December 2023, 65% in December
2022 and 72% at securitization. As of result of tenant departures,
the 233 North Michigan building was only 23% leased and the 111
East Wacker building was 55% leased as of September 2024. The loan
had an initial 5-year interest only period and has now amortized
approximately 23% since securitization. However, this loan
transferred to special servicing in April 2024 due to delinquent
payments and as of the March 2025 remittance statement was last
paid through its May 2024 payment date. An 25% appraisal reduction
has been recognized on this loan as an updated appraisal value has
not yet been reported. Special servicer commentary indicates they
will continue to gather additional information and simultaneously
discuss workout strategies. Due to the significant decline in
property performance and weak fundamentals of the submarket Moody's
assumed a significant loss on this loan.
The second largest specially serviced loan is the 750 Lexington
Avenue Loan ($43.1 million – 4.6% of the pool), which represents
a pari passu portion of $122.9 million mortgage loan. The loan is
secured by the fee simple interest and leasehold interests in a
382,000 square foot, 31-story Class A office tower located in
Manhattan's Midtown East submarket on Lexington Avenue between 59th
and 60th Streets. The property was reportedly 68% leased as of
September 2024, compared to 100% at securitization. The property's
largest tenant, WeWork (21.6% of NRA) stopped paying rent in
October 2023 ahead of their bankruptcy filing, but did not reject
its lease at the property. Servicer commentary indicates a
conditionally approved lease amendment with WeWork that shortened
the lease term and converted to a gross lease with a revenue share
structure. The property also had a ground rent reset in 2018 which
increased the ground rent expense by over $1.5 million and the
ground rent made up over 20% of the property's revenue in both 2022
and 2023. The increased expenses combined with a decline in rental
revenue have caused DSCR to be well below 1.00X since 2022. The
loan has been in special servicing since October 2023 and as of the
March 2025 remittance statement was last paid through its July 2023
payment date. The most recently reported appraisal value in 2024
valued the property nearly 60% below the outstanding loan balance
and the loan has been deemed non-recoverable by the master
servicer. Special servicer commentary indicates foreclosure was
filed and lender will dual track the foreclosure process while
discussing workout alternatives with borrower.
The third largest specially serviced loan is the Cortez Plaza East
Loan ($14.0 million – 1.5% of the pool), which is secured by an
approximately 176,000 SF shopping center located in Bradenton,
Florida. The loan has been in special servicing since June 2018. A
loan modification was executed in November 2021 which extended the
loan's maturity date from November 2020 to July 2025. The loan was
current on debt service payments as of the March 2025 remittance
report and is under cash management/sweep due to loss of major
tenant. Special servicer commentary indicates that the space has
been re-leased as of December 2024 and occupancy was approximately
91% in December 2024. Servicer commentary indicates they are
currently reviewing the borrower's request for an extension of the
upcoming June 2025 loan maturity.
Moody's have also assumed a high default probability for five
poorly performing loans and estimated an aggregate $143.1 million
loss for the specially serviced and troubled loans (47% expected
loss on average).
The largest loan Moody's identified as troubled loan is the Paramus
Park Loan ($120.0 million – 12.9% of the pool), which is secured
by the borrower's fee and leasehold interests in a 309,000 SF
component of a 768,000 SF regional mall located in Paramus, New
Jersey, between the Garden State Parkway and Route-17. The property
is anchored by Macy's (non-collateral) and a former non-collateral
Sears, which vacated in 2018, although approximately 60% of the
former Sears space is leased by Stew Leonard's Grocery which opened
for business in November 2019. The property's occupancy has
gradually declined due to tenant departures and the collateral was
79% leased, compared to 82% in December 2023, 89% in December 2021
and 95% at securitization. Due to lower occupancy and revenues, the
property performance has annually declined since 2019 and the
September 2024 NOI was 53% lower than in 2015. The loan remains
current on debt service payments and as of September 2024 had an
NOI DSCR of 1.37X based on its interest only payments at a 4.1%
interest rate. However, the loan has an upcoming maturity date in
September 2025 and due to the decline in performance and higher
interest rate environment will likely face increased refinance
risk.
The second largest troubled loan is the Doubletree Jersey City Loan
($60.0 million - 6.5% of the pool), which is secured by a 198 room,
13 story full-service hotel located in Jersey City, New Jersey,
across the Hudson River from Manhattan. The loan transferred to
special servicing in October 2020 due to business disruptions
stemming from the coronavirus pandemic. A judicial foreclosure
complaint including a receivership petition was filed in June 2022
and the property sale and assumed closed in June 2024 including a
2-year loan extension through October 2027. The loan returned to
the master servicer in November 2024 and was current on debt
service payments as of the March 2025 remittance. Property
performance initially rebounded in 2023, however, reported NOI DSCR
through June 2024 was below 1.00X and the property's performance
has remained below levels at securitization.
The three remaining troubled loans are the Kensington Park & Dean
Lakes Loan ($5.9 million – 0.6% of the deal), the Rite Aid
Allentown Loan ($3.5 million – 0.4% of the deal) and the Tractor
Supply (Chandler) Loan ($3.0 million – 0.3% of the deal). All
three properties have had a decline in DSCR as a result of
declining occupancy and revenue.
As of the March 2025 remittance statement cumulative interest
shortfalls were $4.7 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans and/or modified loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications
and extraordinary trust expenses.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessments of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessments of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's makes various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also uses an adjusted loan balance that reflects
each loan's amortization profile. The MLTV reported in this
publication reflects the MLTV before the adjustments described in
the methodology.
Moody's received full year 2023 operating results for the entire
pool, and partial year 2024 operating results for 76% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit MLTV is 116%, compared to 124% at Moody's last
reviews. Moody's conduits component excludes loans with structured
credit assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 23% to the most recently available net operating
income (NOI). Moody's Value reflects a weighted average
capitalization rate of 10.2%.
Moody's actual and stressed conduit DSCRs are 1.56X and 0.99X,
respectively, compared to 1.51X and 0.91X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.
The loan with a structured credit assessment is the 590 Madison
Avenue Loan ($100.0 million – 10.8% of the pool), which
represents a pari passu portion of a $369.4 million senior mortgage
loan. A controlling subordinate loan with a principal balance of
$280.6 million is subordinate to the three senior interests. The
loan is secured by a 43-story Class A office building located in
Midtown Manhattan. Additional loan collateral includes a 78-space
tenant-only parking facility and a 15,000 SF glass enclosed atrium.
The property's occupancy declined to 79% in September 2024 from 86%
in December 2023 due to two large tenants that vacated in 2024 (a
combined 16.7% of the NRA). However, Louis Vuitton recently signed
a lease for 150,000 square feet (or 10.5% of NRA). As of September
2024, the property's NOI was $47.4 million. Moody's structured
credit assessment and stressed DSCR are a3 (sca.pd) and 1.29X,
respectively.
The top three conduit loans represent 24.3% of the pool balance.
The largest conduit loan is the South Plains Mall Loan ($100.0
million – 10.8% of the pool), which represents a pari passu
portion of a $200 million mortgage loan. The loan is secured by the
borrower's fee simple interest in a 984,000 SF component of a 1.1
million SF super-regional mall located in Lubbock, Texas. The
property is the dominant mall in its trade area and is the only
enclosed regional mall for over 100 miles. The property is anchored
by JCPenney, Dillard's Women, Dillard's Men & Children, 16-screen
Premier Cinemas, a free-standing Home Depot (non-collateral) and
Barnes & Noble. There was a 148,000 SF Sears (non-collateral
anchor) at the property which closed during early 2019, however,
Dillard's subsequently closed its original locations in this mall
and relocated to the former Sear's space in 2024. As of September
2024, the total occupancy was 84%, essentially the same as in
December 2023 and compared to 96% in December 2022 and 97% at
securitization. The September 2024 trailing-twelve-month comparable
in-line sales (
CITIGROUP 2016-GC37: Fitch Lowers Rating on Two Tranches to 'Bsf'
-----------------------------------------------------------------
Fitch Ratings has downgraded five and affirmed eight classes of
Citigroup Commercial Mortgage Trust Commercial Mortgage
Pass-Through Certificates, series 2016-GC36 (CGCMT 2016-GC36). The
Rating Outlooks for one of the affirmed classes was revised to
Negative from Stable. Fitch assigned a Negative Outlook to five
classes, following their downgrades.
Fitch has also downgraded six and affirmed seven classes of
Citigroup Commercial Mortgage Trust Commercial Mortgage
Pass-Through Certificates, series 2016-GC37 (CGCMT 2016-GC37). The
Rating Outlooks for two of the affirmed classes was revised to
Negative from Stable. Fitch assigned a Negative Outlook to four
classes following their downgrades.
Entity/Debt Rating Prior
----------- ------ -----
CGCMT 2016-GC36
A-3 17324TAC3 LT AAAsf Affirmed AAAsf
A-4 17324TAD1 LT AAAsf Affirmed AAAsf
A-5 17324TAE9 LT AAAsf Affirmed AAAsf
A-AB 17324TAF6 LT AAAsf Affirmed AAAsf
A-S 17324TAJ8 LT Asf Downgrade AAsf
B 17324TAK5 LT BBBsf Downgrade Asf
C 17324TAM1 LT BB-sf Downgrade BBB-sf
D 17324TAN9 LT CCCsf Affirmed CCCsf
E 17324TAQ2 LT CCsf Affirmed CCsf
EC 17324TAL3 LT BB-sf Downgrade BBB-sf
F 17324TAS8 LT Csf Affirmed Csf
X-A 17324TAG4 LT Asf Downgrade AAsf
X-D 17324TAY5 LT CCCsf Affirmed CCCsf
CGCMT 2016-GC37
A-3 17290XAS9 LT AAAsf Affirmed AAAsf
A-4 17290XAT7 LT AAAsf Affirmed AAAsf
A-AB 17290XAU4 LT AAAsf Affirmed AAAsf
A-S 17290XAV2 LT AAAsf Affirmed AAAsf
B 17290XAW0 LT AA-sf Affirmed AA-sf
C 17290XAX8 LT BBB-sf Downgrade A-sf
D 17290XAA8 LT Bsf Downgrade BBsf
E 17290XAC4 LT CCCsf Downgrade B-sf
EC 17290XBA7 LT BBB-sf Downgrade A-sf
F 17290XAE0 LT CCsf Downgrade CCCsf
X-A 17290XAY6 LT AAAsf Affirmed AAAsf
X-B 17290XAZ3 LT AA-sf Affirmed AA-sf
X-D 17290XAL4 LT Bsf Downgrade BBsf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations; Increasing Maturity Default
Risk: Since Fitch's prior rating action, the deal-level 'Bsf'
rating case loss has increased to 14.7% in CGCMT 2016-GC36 and
10.0% in CGCMT 2016-GC37. The CGCMT 2016-GC36 transaction has 13
Fitch Loans of Concern (FLOCs; 55.1% of the pool), including three
loans (21.1%) in special servicing. The CGCMT 2016-GC37 transaction
has seven FLOCs (41.5%), including one loan (4.8%) in special
servicing. All of the loans in both transactions mature in the next
twelve months in 2025 and 2026.
The downgrades in CGCMT 2016-GC36 reflect higher pool loss
expectations since Fitch's prior rating action, driven by the
increased risks on loans expected to default at maturity, and/or
are currently specially serviced, which include FLOCs Glenbrook
Square (8.7% of the pool), 5 Penn Plaza (11.3%), King of Prussia
Hotel Portfolio (3.2%), South Plains Mall (2.9%), and Park Place
(4.4%).
The downgrades in CGCMT 2016-GC37 reflect higher pool loss
expectations since Fitch's prior rating action, driven by the
increased risks on loans expected to default at maturity, and/or
are currently specially serviced, which include 79 Madison Avenue
(7.6% of the pool), Hotel on Rivington (6.5%), West LA Office - 350
South Beverly (6.1%), 5 Penn Plaza (4.8%), and Park Place (3.4%).
The Negative Outlooks on CGCMT 2016-GC36 and CGCMT 2016-GC37
reflect the reliance on FLOCs for repayment and the potential for
downgrades if expected losses on these loans increase or if
occupancy and cashflow continue to deteriorate, performance fails
to stabilize, and/or the workout of the FLOCs that default at or
prior to maturity is prolonged. Additionally, approximately 31% of
the pool in CGCMT 2016-GC36 and 36% in CGCMT 2016-GC37 are secured
by office properties.
The largest increase in loss expectations since the prior rating
action in CGCMT 2016-GC36 and CGCMT 2016-GC37 is the 5 Penn Plaza
loan, secured by a 650,329-sf office property located in Midtown
Manhattan. The loan transferred to special servicing in November
2024 due to Imminent Default, as the borrower requested a loan
modification due to declining occupancy. The loan has an upcoming
maturity date in January 2026.
The two largest tenants, Thomas Publishing Company (14.3% of NRA
through December 2025) and Sirius XM Radio (13.2%; November 2029)
utilize the property as their corporate headquarters. The ground
retail portion of the property is 100% occupied by CVS, TD Bank,
CityMD, and Cafe Cinq.
As of 2Q24, the property was 83% occupied, compared to 78% at YE
2023, 84% at YE 2022, and 93% at YE 2021. By YE 2025, 18.4% of the
NRA, includes the largest tenant will roll over. The
servicer-reported NOI DSCR was 0.86x as of YE 2023, compared to
1.52x at YE 2022, 1.81x at YE 2021, and 1.70x at YE 2020.
Fitch's 'Bsf' rating case loss of 21.4% (prior to concentration
add-ons) reflects a 9% cap rate and a 20% stress to the YE 2023 NOI
to reflect concerns with upcoming rollover. The loan has remained
current and there is no updated appraisal value reported.
The second-largest increase in loss expectations since the prior
rating action in CGCMT 2016-GC36 and CGCMT 2016-GC37 is the Park
Place loan, secured by a 523,673-sf office building built in 2009
to 2015. The property is in the area known as the "Silicon Desert,"
which contains 3,200 acres and 9.7 million sf of office and
industrial space in the western part of Chandler, AZ. The loan has
an upcoming maturity date in January 2026.
At issuance, the tenant, Keap, represented 50.4% of the NRA. Keap
reduced its total footprint at the property to 36.8% in September
2021 upon lease expiration. Keap subsequently reduced its footprint
to 17.6% after vacating part of its space in December 2024. The
remainder of Keap's space rolls over in December 2026.
Major tenants at the property include Aetna Life Insurance Company
(19.1% of NRA leased through June 2027), Keap (17.6%; December
2026), and LoanDepot.com LLC (10.4%; January 2028).
The property was 78.2% occupied as of the October 2024 rent roll.
However, implied occupancy will drop to 59% with the loss of Keap
(19.2%, rolled in December 2024). The October 2024 occupancy level
at the property is a slight drop from the 81% occupancy as of YE
2023, 86% at September 2022, 83% at YE 2021, 91% at YE 2020, and
81% at YE 2019.
The servicer-reported NOI DSCR was 1.47x as of Q3 2024, 1.59x at YE
2023, 1.17x at YE 2022, 1.54x at YE 2021, and 1.14x at YE 2020.
With Keap downsizing and the loss of Tivity Health Inc (8.8% of the
NRA, rolled in September 2024), NOI DSCR will drop below 1.00x.
Fitch's 'Bsf' rating case loss of 24.7% (prior to concentration
add-ons) reflects a 9% cap rate and 30% stress to the YE 2023 NOI.
It also factors a higher probability of default due to the recent
drop in occupancy and expected refinancing concerns.
The largest contributor to overall loss expectations in CGCMT
2016-GC36 is the Glenbrook Square loan, secured by 784,604-sf of a
1,005,604-sf super-regional mall in Fort Wayne, IN. The loan, which
is sponsored by Brookfield Property Partners, transferred to
special servicing in July 2020 for payment default. The loan has
been periodically brought current on payments through the
application of trapped cash throughout 2021 and 2022; the loan is
current as of the March 2025 remittance. According to the special
servicer, the property is in receivership (Spinoso Real Estate) as
of September 2022, and the receiver has been able to attract new
tenants and maintain tenancy.
Collateral anchors include Macy's (25% of NRA leased through
January 2027) and JCPenney (19%; May 2028). Former collateral
anchor Carson's (12.1%) and non-collateral anchor Sears both closed
their stores at the property in 2018, and the Sears store has been
demolished. Collateral occupancy was 82.3% occupied as of the April
2024 rent roll, compared with 80.7% as of the September 2022, 79.3%
in August 2021, 80.4% in December 2020, and 82.3% in March 2019.
The servicer-reported NOI DSCR fell to 1.14x at YE 2022 from 1.37x
at June 2020 and 1.32x at YE 2019.
Fitch's 'Bsf' rating case loss of 70.5% (prior to concentration
add-ons) considers a discount to the February 2024 appraisal value
and implies a 26% cap rate to the YE 2022 NOI.
The largest contributor to overall loss expectations in CGCMT
2016-GC37 is the 79 Madison Avenue loan, secured by a 17-story,
274,084-sf office building with ground floor retail located on
Madison Avenue in Manhattan. The property was flagged as a FLOC due
to the large exposure to WeWork, along with the declining occupancy
since issuance.
As of the September 2024 rent roll, the property was 42.0%
occupied, compared to 68% at YE 2023, which had remained unchanged
since WeWork reduced their space by 72,000 SF or 26% of the NRA in
2021. The further decline in occupancy seen in 2024 was attributed
to Ted Moudis Associates Inc (13% NRA) vacating upon its July 2024
expiration and WeWork further reducing its space by another 14% of
the NRA in 1H24.
Major tenants at the property include WeWork (35.2% of the NRA
through April 2029) and Blu Dot Design & Manufacturer (6.5% NRA;
September 2031). The servicer-reported NOI DSCR was 1.26x at YE
2023, compared to 2.91x at YE 2022, 2.71x at YE 2021, 2.75x at YE
2020, and 2.64x at YE 2019.
Fitch's 'Bsf' rating case loss of 34.1% (prior to concentration
add-ons) reflects an 9% cap rate and a 40% stress to the YE 2023
NOI to account for the significant decline in occupancy since 2023.
It also factors an increased probability of default due to low
occupancy, continued WeWork exposure and expected refinance
challenges.
The second-largest contributor to overall loss expectations in
CGCMT 2016-GC37 is the West LA Office - 350 South Beverly Drive
loan, secured by a 60,281-sf class B office building located in
Beverly Hills, CA.
Occupancy at the property has been volatile over the past few
years, with occupancy declining to 52% in September 2022. As of
3Q24, the property was 76% occupied. In 2025, 8.3% of the NRA is
scheduled to roll, while no tenants are scheduled to roll in 2026.
Major tenants at the property include First Citizens Bank (13.2%;
December 2028), American Jewish University (12.3%; September 2034),
and Sam Najmabadi M.D. (11.7%; November 2033). Notable vacated
tenants include Untitled Entertainment LLC (22% of the NRA), FS US
services (6%), and Agency for Performing Arts (13%) vacating at
their respective lease expirations in 2020 and 2021.
The servicer-reported NOI DSCR has been low since the loan started
amortizing in 2020. As of 3Q24, the servicer-reported NOI DSCR was
0.76x, compared to 0.64x at YE 2023, 0.56x at YE 2022, 0.67x at YE
2021, 1.08x at YE 2020, and 1.74x at YE 2019.
Fitch's 'Bsf' rating case loss of 38.9% (prior to concentration
add-ons) reflects a 9.5% cap rate, 10% stress to the annualized Q3
2024 NOI, and factors an increased probability of default due to
its continued low DSCR and expected refinance challenges.
Increased Credit Enhancement (CE): As of the March 2025
distribution date, the pool's aggregate balance for CGCMT 2016-GC36
has been reduced by 12.0% to $1.02 billion from $1.16 billion at
issuance. The pool includes 12 loans (8%) that have fully defeased.
Of the loans, eight (34.7%) are full-term interest-only, and the
remaining 65.3% of the pool is amortizing. In 2025, 27 loans
(42.1%) mature, and the remaining 28 loans (57.9%) mature at the
beginning of 2026.
As of the March 2025 distribution date, the pool's aggregate
balance for CGCMT 2016-GC37 has been reduced by 24.3% to $526.0
million from $694.7 million at issuance. The pool includes 12 loans
(16%) that have fully defeased. Of the loans, six (29.0%) are
full-term interest-only, and the remaining 71.0% of the pool is
amortizing. In 2025, 17 loans (15.3%) mature, and the remaining 30
loans (84.7%) mature in 2026.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not likely due to
the expected continued amortization and loan payoffs, and
increasing CE relative to loss expectations, but may occur should
interest shortfalls affect these classes;
- Downgrades to junior 'AAAsf' rated classes are possible with
continued performance deterioration of the FLOCs, increased
expected losses and limited to no improvement in class CE, or if
interest shortfalls occur;
- Downgrades to the 'AAsf' and 'Asf' category rated classes, which
have Negative Outlooks, will occur if expected losses increase
significantly from further performance declines on the FLOCs,
particularly Glenbrook Square, 5 Penn Plaza, King of Prussia Hotel
Portfolio, South Plains Mall, and Park Place in CGCMT 2016-GC36 and
79 Madison Avenue, Hotel on Rivington, West LA Office - 350 South
Beverly, 5 Penn Plaza, and Park Place in CGCMT 2016-GC37.
Downgrades are also likely should more loans than expected default
at or prior to maturity;
- Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' rated classes, which
have Negative Outlooks, are possible with higher expected losses
from continued performance of the aforementioned FLOCs and with
greater certainty of losses to these classes;
- Further downgrades to the distressed 'CCCsf', 'CCsf', and 'Csf'
rated classes would occur as losses become more certain and/or as
losses are incurred;
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to the 'Asf' and 'AAsf' rated classes are not expected,
but may occur with significant improvement in CE and/or defeasance,
as well as with the stabilization of performance on the FLOCs,
specifically the Glenbrook Square, 5 Penn Plaza, King of Prussia
Hotel Portfolio, South Plains Mall, and Park Place in CGCMT
2016-GC36 and 79 Madison Avenue, Hotel on Rivington, West LA Office
- 350 South Beverly, 5 Penn Plaza, and Park Place in CGCMT
2016-GC37;
- Upgrades to the 'BBBsf', 'BBsf', and 'Bsf' rated classes could
occur only if the performance of the remaining pool is stable,
recoveries on the FLOCs are better than expected, and there is
sufficient CE to the classes;
- Upgrades to distressed rating of 'CCCsf', 'CCsf', and 'Csf'
classes are not expected but would be possible with better than
expected recoveries 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 2025-4: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to COLT 2025-4
Mortgage Loan Trust's mortgage pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans (some with interest-only periods) to
both prime and nonprime borrowers. The loans are secured by
single-family residential properties, planned-unit developments,
condominiums, a townhouse, two- to four-family residential
properties, and a condotel. The pool consists of 636 loans, which
are non-QM/ability-to-repay (ATR)-compliant and ATR-exempt loans.
The preliminary ratings are based on information as of April 9,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator and originators; and
-- S&P's outlook that considers our current projections for U.S.
economic growth, unemployment rates, and interest rates, as well as
its view of housing fundamentals, and is updated, if necessary,
when these projections change materially.
Preliminary Ratings Assigned(i)
COLT 2025-4 Mortgage Loan Trust
Class A-1, $225,757,000: AAA (sf)
Class A-2, $18,979,000: AA (sf)
Class A-3, $27,244,000: A (sf)
Class M-1, $13,316,000: BBB (sf)
Class B-1, $5,510,000: BB+ (sf)
Class B-2, $11,173,000: B (sf)
Class B-3, $4,133,083: NR
Class A-IO-S, notional(ii): NR
Class X, notional(ii): NR
Class R, not applicable: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate principal balance
of the mortgage loans as of the first day of the related due
period.
NR--Not rated.
COMM 2013-300P: Fitch Affirms 'B-sf' Rating on Class C Debt
-----------------------------------------------------------
Fitch Ratings has affirmed seven classes of COMM 2013-300P Mortgage
Trust. The Rating Outlooks for classes A1, A1P, and X-A were
revised to Stable from Negative. The Outlooks for classes B and C
remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
COMM 2013-300P
A1 12625XAA5 LT BBB-sf Affirmed BBB-sf
A1P 12625XAC1 LT BBB-sf Affirmed BBB-sf
B 12625XAG2 LT BB-sf Affirmed BB-sf
C 12625XAJ6 LT B-sf Affirmed B-sf
D 12625XAL1 LT CCCsf Affirmed CCCsf
E 12625XAN7 LT CCCsf Affirmed CCCsf
X-A 12625XAE7 LT BBB-sf Affirmed BBB-sf
KEY RATING DRIVERS
Stabilizing Performance; Near-Term Maturity: The affirmations and
revision of Outlooks to Stable for classes A1, A1P, and X-A reflect
the continued performance stabilization of the property, including
improved occupancy and positive leasing momentum since Fitch's last
rating action.
The Negative Outlooks for classes B and C reflect concerns
regarding the loan's refinanceability given the upcoming maturity
in August 2025 and a fixed rate coupon of 4.41%, the aggregate
level of outstanding debt and Fitch's stressed DSCR on the total
debt of 0.65x.
Upcoming Maturity: The loan was transferred back to the master
servicer in June 2023 following a modification where the maturity
date was extended from August 2023 to August 2024. The borrower
exercised its option for an additional one-year extension until
August 2025. As part of the modification, the borrower also
established a $5 million shortfall reserve and a $20 million
reserve for capital expenses and leasing costs. The combined
balance of these reserves is $13 million as of March 2025.
Improving Occupancy and Fitch Net Cash Flow (NCF): Reported
occupancy as of the December 2024 rent roll was 93%, compared with
83% in December 2023, 84% in December 2022, 81% in August 2022,
78.5% in June 2021, 89.7% in June 2020 and 98.9% in June 2019.
Fitch estimates current occupancy to be approximately 98% when
incorporating recent new leasing activity in 2025.
Current major tenants include Colgate-Palmolive (31.4% of NRA;
lease expires June 2033), Ally Bank (7.1%; October 2026) and
GoldenTree Asset Management (6.1%; June 2033). Upcoming lease
rollover consists of 1.2% of the NRA in 2025, 7.1% in 2026, and
5.7% in 2027.
Fitch's updated sustainable property NCF of $28.4 million is 11%
above Fitch's NCF of $25.6 million at the last rating action,
largely due to an increase in expense reimbursements and other
income, which includes Studio coworking space revenue based on fee
collections for desk/workspace rentals.
Fitch's updated NCF incorporates in-place leases as of the YE 2024
rent roll, with credit for near-term contractual rent steps and
tenants expected to take occupancy, in addition to straight-lined
rent credit for Colgate-Palmolive's lease through 2033.
Additionally, Fitch's updated NCF assumes a sustainable long-term
property occupancy of 92.5%, compared to in-place occupancy of 98%,
to be more in line with the submarket.
The building's leasing momentum has been strong with 16 tenants
(22.4% of NRA) commencing leases in 2024 and 2025. Tenants taking
over vacant spaces include Yieldstreet (4.2% of NRA; lease
expiration in October 2027), Rosenthal & Rosenthal (3.9%; September
2035), Peapack-Gladstone Bank (3.1%; June 2033), Maxim Group (2.5%;
June 2033), The Nassau Companies of New York (1.6%; November 2029),
Cambridge Mercantile Corp. (1.0%; December 2035), Paloma Partners
Management (0.9%; October 2029), Taula Capital Management (0.9%;
July 2027), MCP Operator (0.8%; March 2030), and Bleichmar Fonti &
Auld LLP (0.8%; June 2033).
When factoring in Fitch rent assumptions of $75 psf on lower floors
and $80 psf for higher floors given a lack of new leasing details
provided, combined with contractual rent bumps and straight-lined
rent for the investment-grade-rated tenant, the overall average
rent for the office space is approximately $86 psf, in line with
the last rating action.
The servicer-reported September 2024 NCF DSCR was 1.27x compared
with 1.38x in 2023, 1.56x in 2022, 1.22x in 2021 and 1.49x in 2020
for the interest-only loan.
High Fitch Leverage: The $485 million mortgage loan ($630 psf) has
a Fitch-stressed DSCR and LTV of 0.65x and 136.7%, respectively,
compared to 1.32x and 67.2%, respectively, at issuance and 0.59x
and 151.8%, respectively, at the last rating action in May 2024.
Fitch maintained a cap rate of 8% from the last rating action,
compared to 7.75% at issuance.
Sponsorship: The loan sponsor is controlled by Prime Plus
Investments, Inc. (PPI), a private Maryland REIT. PPI is a
partnership of a Tishman Speyer-affiliated entity, the National
Pension Service of Korea and the second Swedish National Pension
Fund AP2, which owns 51.0% of PPI and an affiliate of GIC Real
Estate Private Ltd. (a sovereign wealth fund established and funded
by the Singapore government), which owns the remaining 49%.
Strong Location; ESG Factors: 300 Park Avenue consists of a
25-story, LEED Gold high-rise office building totaling 770,054 sf.
The property's LEED certification was upgraded to Gold in 2017 from
Silver at the time of issuance. The property's location is in the
Plaza District submarkets and is situated between 49th and 50th
Streets on the west side of Park Avenue. The location is four
blocks north of Grand Central Terminal and offers excellent
accessibility and proximity to public transportation. The building
holds a LEED Gold designation, which has a positive impact on the
transaction's ESG score for Waste & Hazardous Materials Management;
Ecological Impacts.
The property underwent substantial renovations between 1998 and
2000, including a new lobby, elevator modernization and upgraded
building systems. In addition, a facade renovation around the same
time completely transformed the property's exterior with new
windows, aluminum spandrel panels and retail storefronts. Fitch
assigned 300 Park Avenue a property quality grade of B+ at
issuance. The building is also a part of Tishman Speyer's global
amenity network for tenants called ZO, which is a comprehensive
suite of services including wellness, backup childcare, on-site
health screenings and medical services, corporate services, travel
planning, community volunteer engagement, and more.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades may be possible should leasing momentum slow or reverse
course, or if new leasing occurs at rates significantly below the
submarket, resulting in performance below Fitch's expectations on
sustainable performance.
Downgrades may be possible in the event the loan transfers to the
special servicer for not being able to refinance before the fully
extended August 2025 modified maturity date and it results in a
workout that is prolonged or incurs fees/expenses that affect the
trust.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades are not considered likely given the single-event risk and
the current ratings reflecting Fitch's view of sustainable
performance, but they are possible with significant and sustained
leasing that contributes to improved Fitch sustainable NCF and if
the prospects for refinancing/payoff are more certain.
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
COMM 2013-300P has an ESG Relevance Score of '4' [+] for Waste &
Hazardous Materials Management; Ecological Impacts due to the
collateral's sustainable building practices including green
building certificate credentials, which has a positive impact on
the credit profile, and is relevant to the ratings in conjunction
with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
COMM 2021-2400: DBRS Confirms B(low) Rating on Class F Certs
------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on all classes of
Commercial Mortgage Pass-Through Certificates, Series 2021-2400,
issued by COMM 2021-2400 Mortgage Trust, as follows:
-- Class A at AAA (sf)
-- Class X-EXT at AAA (sf)
-- Class B at AA (low) (sf)
-- Class C at A (low) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class F at B (low) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction since last review, which remains in
line with Morningstar DBRS' expectations since issuance. For the
past three years, occupancy has remained above 98%, with cash flows
correspondingly consistent since closing in 2021. The floating rate
structure has resulted in lower debt service coverage ratios
(DSCRs), with the servicer most recently reporting a DSCR of 0.85
times (x) as of Q3 2024, generally flat from the DSCR of 0.87x
reported for YE2023. There is an interest rate cap with a strike
rate of 2.0% in place, and in December 2023, the loan was paid down
by approximately $14.6 million, applied to the Class A certificate
balance. Morningstar DBRS does not rate the Class HRR or Class G
certificates, which combine for $45.5 million of the total
remaining transaction balance of $205.4 million.
The collateral for the underlying loan consists of a
592,476-square-foot (sf) Class A office and retail building in
Philadelphia. In 2019, the sponsors converted the property from
warehouse use at a cost of $235.0 million and secured a lease with
Aramark Corporation (Aramark) to relocate its headquarters to the
property. The subject loan had a balance of $220.0 million at
issuance and refinanced existing debt for the sponsor, who
contributed $1.8 million to close. The property consists of 502,486
sf of office space, 80,392 sf of retail space, and 9,598 sf of
storage space. The two-year floating-rate loan pays interest only
and had three one-year extension options at issuance, with a fully
extended maturity date in December 2026. The extension options are
exercisable subject to the borrower's extension of the interest
rate cap agreement and a minimum debt yield of 7.25%.
Per the September 2024 financial statement, the loan reported an
annualized Q3 2024 net cash flow (NCF) of $15.0 million, which
remains in line with the YE2023 and YE2022 reported figures of
$14.9 million and $14.4 million, respectively, and an improvement
over the Morningstar DBRS NCF derived at issuance of $12.5 million.
Per the January 2025 rent roll, the property is 99.0%, generally
flat from 2023 and 2022. The property's two largest tenants,
Aramark Services, Inc. (49.5% of net rentable area (NRA)) and
Fitler Club, LLC (13.4% of NRA), are on long-term leases with
expiration dates in October 2034 and July 2036, respectively. The
second-largest tenant occupies the commercial space at the property
and operates a private club that offers coworking space, as well as
a gym and indoor pool and socializing space for members.
There are no tenants with lease expirations in the next 12 months,
and scheduled rollover is minimal through the fully extended loan
term. However, there are three tenants (4.2% of NRA) listed in the
January 2025 rent roll that had lease expirations in 2024. These
factors, along with the generally healthy submarket, should
contribute to stable cash flows through the remainder of the loan
term. According to Reis, the Center City Submarket had a Q4 2024
vacancy rate of 13.6%, which is a decrease from the Q4 2023 figure
of 14.6%. Reis projects the submarket will continue to improve,
with a vacancy rate of 11.8% forecast in 2030.
Morningstar DBRS updated the LTV Sizing to reflect the $14.6
million paydown in December 2023, maintaining the Morningstar DBRS
Value derived as part of the April 2024 credit rating action of
$166.2 million. A capitalization (cap) rate of 7.5%, up from the
cap rate of 6.75% used at issuance, was applied to the Morningstar
DBRS NCF of $12.5 million. The Morningstar DBRS Value represents a
-47.6% variance from the issuance appraised value of $317.3 million
and results in a Morningstar DBRS Loan-to-Value Ratio (LTV) of
123.6% on the total debt amount (96.2% on the Morningstar DBRS
credit rated portion of the capital stack), compared with the LTV
of 64.7% based on the issuance appraisal and the total loan
balance. Morningstar DBRS maintained positive qualitative
adjustments totaling 3.5% to reflect the portfolio's generally low
cash flow volatility and recent renovations. The property upgrades
completed in the years prior to the subject loan's closing combine
with the favorable waterfront location on the Schuylkill River to
draw tenants seeking robust amenity packages and higher-end
finishes.
Notes: All figures are in U.S. dollars unless otherwise noted.
CONNECTICUT AVE 2022-R05: Moody's Ups Rating on 3 Tranches to Ba3
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 188 bonds from three
credit risk transfer (CRT) RMBS issued by Fannie Mae to share the
credit risk on a reference pool of mortgages with the capital
markets.
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: Connecticut Avenue Securities Trust 2022-R05
Cl. 2A-I1*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I2*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I3*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I4*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2B-1, Upgraded to Baa3 (sf); previously on Jun 7, 2024 Upgraded
to Ba1 (sf)
Cl. 2B-1B, Upgraded to Baa3 (sf); previously on Jun 7, 2024
Upgraded to Ba1 (sf)
Cl. 2B-1X*, Upgraded to Baa3 (sf); previously on Jun 7, 2024
Upgraded to Ba1 (sf)
Cl. 2B-1Y, Upgraded to Baa3 (sf); previously on Jun 7, 2024
Upgraded to Ba1 (sf)
Cl. 2B-2, Upgraded to Ba3 (sf); previously on Jun 7, 2024 Upgraded
to B1 (sf)
Cl. 2B-2X*, Upgraded to Ba3 (sf); previously on Jun 7, 2024
Upgraded to B1 (sf)
Cl. 2B-2Y, Upgraded to Ba3 (sf); previously on Jun 7, 2024 Upgraded
to B1 (sf)
Cl. 2B-I1*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2B-I2*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2B-I3*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2B-I4*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2C-I1*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2C-I2*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2C-I3*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2C-I4*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-A1, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A2, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A3, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A4, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-B1, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-B2, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-B3, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-B4, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-C1, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-C2, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-C3, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-C4, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-D1, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D2, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D3, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D4, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D5, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-F1, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-F2, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-F3, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-F4, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-F5, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2-J1, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-J2, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-J3, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-J4, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-K1, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-K2, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-K3, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-K4, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2M-1, Upgraded to A1 (sf); previously on Jun 7, 2024 Upgraded
to A2 (sf)
Cl. 2M-2, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2M-2A, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2M-2B, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2M-2C, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2M-2X*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2M-2Y, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2-X1*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2-X2*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2-X3*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2-X4*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2-Y1*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2-Y2*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2-Y3*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2-Y4*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Issuer: Connecticut Avenue Securities Trust 2022-R09
Cl. 2A-I1*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I2*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I3*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I4*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2B-1, Upgraded to Ba1 (sf); previously on Jun 7, 2024 Upgraded
to Ba2 (sf)
Cl. 2B-1A, Upgraded to Baa3 (sf); previously on Jun 7, 2024
Upgraded to Ba1 (sf)
Cl. 2B-1B, Upgraded to Ba2 (sf); previously on Jun 7, 2024 Upgraded
to Ba3 (sf)
Cl. 2B-1X*, Upgraded to Ba1 (sf); previously on Jun 7, 2024
Upgraded to Ba2 (sf)
Cl. 2B-1Y, Upgraded to Ba1 (sf); previously on Jun 7, 2024 Upgraded
to Ba2 (sf)
Cl. 2B-I1*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2B-I2*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2B-I3*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2B-I4*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2C-I1*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2C-I2*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2C-I3*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2C-I4*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-A1, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A2, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A3, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A4, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-B1, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-B2, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-B3, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-B4, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2E-C1, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-C2, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-C3, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-C4, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-D1, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D2, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D3, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D4, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D5, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-F1, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-F2, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-F3, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-F4, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2E-F5, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2-J1, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-J2, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-J3, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-J4, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-K1, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-K2, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-K3, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2-K4, Upgraded to Baa2 (sf); previously on Jun 7, 2024 Upgraded
to Baa3 (sf)
Cl. 2M-1, Upgraded to A2 (sf); previously on Sep 28, 2022
Definitive Rating Assigned A3 (sf)
Cl. 2M-2, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2M-2A, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2M-2B, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2M-2C, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2M-2X*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2M-2Y, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2-X1*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2-X2*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2-X3*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2-X4*, Upgraded to Baa1 (sf); previously on Sep 28, 2022
Definitive Rating Assigned Baa3 (sf)
Cl. 2-Y1*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2-Y2*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2-Y3*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2-Y4*, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Issuer: Connecticut Avenue Securities Trust 2023-R03
Cl. 2A-I1*, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I2*, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I3*, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2A-I4*, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2B-1, Upgraded to Baa3 (sf); previously on Jun 7, 2024 Upgraded
to Ba1 (sf)
Cl. 2B-1A, Upgraded to Baa2 (sf); previously on Jun 7, 2024
Upgraded to Baa3 (sf)
Cl. 2B-1B, Upgraded to Ba1 (sf); previously on Jun 7, 2024 Upgraded
to Ba2 (sf)
Cl. 2B-1X*, Upgraded to Baa3 (sf); previously on Jun 7, 2024
Upgraded to Ba1 (sf)
Cl. 2B-1Y, Upgraded to Baa3 (sf); previously on Jun 7, 2024
Upgraded to Ba1 (sf)
Cl. 2B-I1*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2B-I2*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2B-I3*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2B-I4*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2C-I1*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2C-I2*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2C-I3*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2C-I4*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-A1, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A2, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A3, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-A4, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2E-B1, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-B2, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-B3, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-B4, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-C1, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-C2, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-C3, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-C4, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2E-D1, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-D2, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-D3, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-D4, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-D5, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-F1, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-F2, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-F3, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-F4, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2E-F5, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-J1, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-J2, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-J3, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-J4, Upgraded to Baa1 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-K1, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-K2, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-K3, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-K4, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2M-1, Upgraded to A1 (sf); previously on Jun 7, 2024 Upgraded
to A3 (sf)
Cl. 2M-2, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2M-2A, Upgraded to A2 (sf); previously on Jun 7, 2024 Upgraded
to Baa1 (sf)
Cl. 2M-2B, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2M-2C, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2M-2X*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2M-2Y, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-X1*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-X2*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-X3*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-X4*, Upgraded to A3 (sf); previously on Jun 7, 2024 Upgraded
to Baa2 (sf)
Cl. 2-Y1*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2-Y2*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2-Y3*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
Cl. 2-Y4*, Upgraded to Baa1 (sf); previously on Jun 7, 2024
Upgraded to Baa2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, recent performance, and Moody's
updated loss expectations on the underlying pool.
The transactions Moody's reviewed continue to display strong
collateral performance, with lower than .01% cumulative loss to
date and a low level of delinquency. In addition, enhancement
levels for the tranches have grown significantly as the pools
amortized. The credit enhancement since closing has grown, on
average, by 16% for the tranches upgraded.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief. Moody's analysis also
considered the relationship of exchangeable bonds to the bonds they
could be exchanged for.
No actions were taken on the remaining 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 and credit
enhancement.
Principal Methodologies
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 of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
CRESTLINE DENALI XVII: Moody's Ups Rating on $26MM D Notes from Ba1
-------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Crestline Denali CLO XVII, Ltd.:
US$20,000,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-R Notes"), Upgraded to Aa1 (sf);
previously on June 20, 2024 Assigned A1 (sf)
US$26,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Upgraded to Baa2 (sf); previously
on June 12, 2020 Downgraded to Ba1 (sf)
Crestline Denali CLO XVII, Ltd., originally issued in October 2018,
partially refinanced in March 2021 and partially refinanced in June
2024, 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
October 2023.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since June 2024. The Class A-RR
notes have been paid down by approximately 50% or $110.2 million
since then. Based on Moody's calculations, the OC ratios for the
Class C-R and Class D notes are currently 133.42% and 116.71%,
respectively, versus June 2024 levels of 121.04% and 111.14%,
respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
since the June 2024. Based on Moody's calculations, the weighted
average rating factor (WARF) is currently 3277 compared to 2962 in
June 2024.
No actions were taken on the Class A-RR, Class B-RR and Class E
notes because their expected losses remain commensurate with their
current ratings, after taking into account the CLO's latest
portfolio information, its relevant structural features and its
actual over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $241,971,153
Defaulted par: $744,006
Diversity Score: 54
Weighted Average Rating Factor (WARF): 3277
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.49%
Weighted Average Recovery Rate (WARR): 46.76%
Weighted Average Life (WAL): 3.5 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
CSMC TRUST 2017-CALI: S&P Lowers X-B Certs Rating to 'CCC (sf)'
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from CSMC Trust
2017-CALI, a U.S. CMBS transaction. At the same time, S&P affirmed
its 'CCC- (sf)' rating on the class F certificates from the
transaction.
This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a portion ($250.0 million, as of the March 12, 2025, trustee
remittance report) of a 3.8% per annum fixed-rate, interest-only
(IO) $300.0 million mortgage whole loan secured by the borrower's
fee-simple interests in One California Plaza, a 1985-built,
42-story, 1.05 million-sq.-ft. class A LEED Platinum-certified
office building in the Downtown Los Angeles office submarket.
Rating Actions
The downgrades on classes A, B, C, D, and E and affirmation on
class F primarily reflect:
-- S&P's revised expected-case value, which is 20.3% lower than
the valuation it derived in its last review in August 2024 due
primarily to its expected further decrease in occupancy at the
property.
-- The vacancy and availability rates, although stabilizing,
remain elevated in the property's office submarket. We considered
that the ongoing weakened office submarket fundamentals will
continue to challenge leasing efforts for any space that is, or may
become, vacant.
-- S&P's belief that an updated appraised value of the office
property would be significantly below the issuance's appraised
value of $459.0 million. The special servicer indicated that an
updated appraisal value has been received and is expected to be
released, along with an appraisal reduction amount (ARA)
calculation, as early as the April 2025 trustee remittance report.
-- S&P's concerns that the special servicer's workout options are
limited because, based on the transaction documents, the loan
cannot be extended beyond November 2025. The loan transferred to
the special servicing on Sept. 9, 2024, due to imminent maturity
default. The loan matured on Nov. 6, 2024. The special servicer is
currently evaluating resolution options.
S&P said, "The downgrades on classes C and D to 'CCC (sf)' and on
class E to 'CCC- (sf)', as well as the affirmation on class F at
'CCC- (sf)', also reflect our qualitative consideration that the
repayment of these classes are dependent upon favorable business,
financial, and economic conditions and that the classes are
vulnerable to default.
"The downgrades on the class X-A and X-B IO certificates are based
on our criteria for rating IO securities, in which the rating on
the IO securities would not be higher than that of the lowest-rated
reference class. Class X-A's notional amount references class A.
Class X-B's notional amount references classes B and C.
"We will continue to monitor the performance of the office property
and resolution of the special servicing transfer. If we receive
information that differs materially from our expectations, such as
an updated appraisal value from the special servicer that is
substantially below our revised expected-case value, property
performance that is below our expectations, an ARA or
nonrecoverable determination or a special servicing workout that
negatively impacts the transaction's liquidity and recovery, we may
revisit our analysis and take additional rating actions as we deem
appropriate."
Property-Level Analysis Updates
S&P said, "In our August 2024 review, we noted that occupancy was
73.2% as of the March 2024 rent roll, but occupancy may decline if
the sponsor was not able to timely backfill the space being vacated
by the second-largest tenant, Skadden, Arps, Slate, Meagher & Flom
LLP (Skadden; 10.3% of net rentable area [NRA]), at its November
2024 lease expiration. We were also concerned that the borrower
would face difficulty refinancing the loan ahead of its November
2024 maturity without backfilling that space. At that time, we
derived a sustainable net cash flow (NCF) of $12.9 million using
the in-place 73.2% occupancy rate, an S&P Global Ratings $46.67 per
sq. ft. gross rent, a 56.4% operating expense ratio, and higher
tenant improvement costs. Using a 7.00% S&P Global Ratings
capitalization rate, we arrived at an S&P Global Ratings
expected-case value of $183.9 million or $176 per sq. ft.
Since that time, Skadden departed, and per our understanding, no
additional office space has been leased. Additionally, the loan
transferred to the special servicer for imminent maturity default
on Sept. 9, 2024. Initially, the borrower was granted a short-term
forbearance while negotiations were ongoing; however, the special
servicer, Green Loan Services, stated that the forbearance expired
Jan. 9, 2025, and was not extended. Negotiations continue,
according to Green Loan Services, but enforcement actions are also
being considered. The transaction documents indicate that the
loan's maturity date may not be extended beyond seven years prior
to the rated final distribution date of November 2032.
According to the December 2024 rent roll, the property was 62.8%
occupied, after adjusting for known tenant movements. The five
largest tenants comprising 33.8% of NRA are:
-- AECOM (11.9% of NRA, 17.2% of gross rent as calculated by S&P
Global Ratings, February 2032 lease expiration);
-- Morgan Lewis & Bockius LLP (9.8%, 16.5%, September 2027);
-- Nixon Peabody LLP (4.5%, 7.7%, April 2028);
-- Troutman Pepper Lock (4.0%, 7.5%, September 2025); and
-- Financial Industry Regulatory Authority (3.7%, 4.7%, December
2025).
The property faces staggered rollover: 11.6% of NRA in 2025, 4.8%
in 2026, 10.0% in 2027, and 7.7% in 2028.
According to CoStar, the Downtown Los Angeles office submarket,
where the property is located, has a 24.8% vacancy rate, a 24.3%
availability rate, and a $43.43 per sq. ft. asking rent for 4- and
5-star properties as of year-to-date April 2025. This compares with
the property's adjusted in-place vacancy of 37.2% and S&P Global
Ratings' gross rent of $49.34 per sq. ft.
S&P said, "In our current analysis, we used a 37.2% vacancy rate,
an S&P Global Ratings' $49.34 per sq. ft. gross rent, a 56.6%
operating expense ratio, and higher tenant improvement costs to
derive an S&P Global Ratings NCF of $11.7 million, 8.9% below the
NCF we derived in our August 2024 review.
"Utilizing an S&P Global Ratings' capitalization rate of 8.00% (up
100 basis points from our last review to reflect our perceived
higher risk premium for a weak-performing office property in a
still weak office submarket), we arrived at an S&P Global Ratings'
expected case value of $146.5 million, which is 20.3% lower than
that of our August 2024 review and a 68.1% decline from the
September 2017 appraised value of $459.0 million. This yielded an
S&P Global Ratings' loan-to-value ratio of over 100% on the whole
loan balance."
Table 1
Servicer-reported collateral performance
Year-to- date ended June 30, 2024(i) 2023(i) 2022(i)
Occupancy rate (%) 73.0 75.7 72.0
Net cash flow (mil. $) 7.7 14.6 13.6
Debt service coverage (x) 1.33 1.26 1.18
Appraisal value (mil. $)(ii) 459.0 459.0 459.0
(i)Reporting period.
(ii)At issuance.
Table 2
S&P Global Ratings' key assumptions
Current review Last review At issuance
(April 2025)(i) (August 2024)(i) (Nov 2017)(i)
Occupancy rate (%) 62.8 73.2 82.2
Net cash flow (mil. $) 11.7 12.9 17.9
Capitalization rate (%) 8.00 7.00 7.00
Value (mil. $) 146.5 183.9 255.8
Value per sq. ft. ($) 140 176 244
Loan-to-value ratio (%) 190.1(ii) 163.2(iii) 117.3(iii)
(i)Review period.
(ii)On a $278.5 million whole loan balance, assuming the servicer
applies the $21.5 million currently held in reserves to paydown the
whole loan balance.
(iii)On the whole loan balance of $300.0 million.
Ratings Lowered
CSMC Trust 2017-CALI
Class A to 'BB+ (sf)' from 'BBB+ (sf)'
Class B to 'B (sf)' from 'BB (sf)'
Class C to 'CCC (sf)' from 'B+ (sf)'
Class D to 'CCC (sf)' from 'B- (sf)'
Class E to 'CCC- (sf)' from 'CCC (sf)'
Class X-A to 'BB+ (sf)' from 'BBB+ (sf)'
Class X-B to 'CCC (sf)' from 'B+ (sf)'
Rating Affirmed
CSMC Trust 2017-CALI
Class F: CCC- (sf)
DBGS 2021-W52: DBRS Confirms BB Rating on Class E Certs
-------------------------------------------------------
DBRS Limited confirmed its credit ratings on all classes of DBGS
2021-W52 Mortgage Trust Commercial Mortgage Pass-Through
Certificates issued by DBGS 2021-W52 Mortgage Trust as follows:
-- Class A at AAA (sf)
-- Class X-CP at AAA (sf)
-- Class X-EXT at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at AA (low) (sf)
-- Class D at BBB (sf)
-- Class E at BB (sf)
-- Class F at B (high) (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
overall stable performance of the underlying collateral, which
generally remains in line with Morningstar DBRS' expectations since
the previous credit rating action in April 2024, when the credit
ratings for Classes C, D, E, and F were downgraded by one to two
notches. The April 2024 credit rating actions were the result of a
lower Morningstar DBRS Value, which was updated to reflect a higher
capitalization (cap) rate, as further described below. Although
Morningstar DBRS believes the recent occupancy declines for the
subject collateral property, as well as the generally increased
credit risks for office properties in the post-COVID-19 pandemic
environment, remain noteworthy considerations, the subject property
benefits from a recent $128.0 million renovation executed by the
borrower, Harbor Group International, LLC, (Harbor), and lease
renewals for the two largest tenants, Wachtell Lipton (28.7% of the
net rentable area (NRA), lease extended through July 2034) and
Orrick, Herrington & Sutcliffe (24.2% of the NRA, lease extended
through August 2043).
The subject transaction's underlying loan is collateralized by 51
West 52nd Street (also known as the Black Rock Building or the CBS
Building), consisting of approximately 880,000 square feet (sf), in
a Class A, office high-rise property in Midtown Manhattan. The
building was constructed in 1963 as the headquarters for CBS
Corporation (CBS). CBS merged with Viacom in 2019 and has since
fully vacated the property. Inclusive of the CBS vacancy, occupancy
was most recently reported at 77.0% as per the December 2024 rent
roll, approximately 20.0% below the occupancy figure of 96.7% at
issuance.
The $420 million mortgage loan, along with $378.1 million in
borrower equity, was used to acquire the property for $760 million,
pay $32.6 million in closing costs and fund $5.5 million in upfront
tax reserve. At issuance, there was additional mezzanine financing
of $25.0 million, providing additional upfront reserves for tenant
improvement and leasing costs (TI/LC) and capital expenditures. The
associated mezzanine loan provides for up to $113.4 million in
future advances that would be reserved for additional future
leasing costs ($87.9 million), additional capital improvement
($15.0 million), and future shortfalls ($10.5 million). At
issuance, Harbor noted the future advances would fund planned
renovations to reposition the collateral and achieve higher rental
rates that are in line with some of Midtown Manhattan's premier
trophy assets. Several articles have noted that Harbor completed
the planned upgrades at the property by April 2024, which included
upgrades to the lobby, a new elevator, upgraded interior spaces and
an addition of a tenant lounge, fitness center, and private café
in the basement.
The interest-only (IO), floating-rate loan had an initial maturity
of October 2024; however, the borrower exercised the first of three
one-year extension options available, and the loan is now scheduled
to mature in October 2025. There are no performance triggers,
financial covenants, or fees required for the borrower to exercise
any of the extension options; however, the execution of each option
is conditional upon, among other things, no events of default and
the borrower's purchase of an interest rate cap agreement with a
strike rate at 3.5% for each extension term.
The loan has been on the servicer's watchlist since November 2022
due to the commencement of the additional reserve sweep period. The
cash sweep fund is capped at $25.0 million, with 40.0% allocated to
a shortfall reserve, 45.0% to leasing cost reserve, and 15.0% to a
capital improvement reserve. In addition, the lease sweep trigger
also commenced in March 2023 after CBS began vacating its space.
Per the loan agreement, excess cash flow will be swept up to $150
per square foot (psf). Morningstar DBRS has requested confirmation
of the reserve balances, and the servicer's response is pending.
As of the most recent reporting, the loan reported a YE2024 debt
service coverage ratio (DSCR) of 0.40 times (x), compared with the
Morningstar DBRS DSCR of 3.38x at issuance. The cash flow was most
recently reported at $15.5 million with the YE2024 financial
reporting. In comparison, YE2023 net cash flow (NCF) was $28.6
million, and the Morningstar DBRS NCF derived at issuance was $33.8
million. The NCF declines are attributable to the fluctuation in
the collateral's occupancy rate over the past few years, primarily
due to the departure of CBS (formerly occupied 32.3% of the NRA)
upon lease expiry dates in August 2023 and August 2024. The low
in-place DSCR is attributable to the cash flow decline and the
loan's floating interest rate structure; however, Morningstar DBRS
notes an interest rate cap is in place, with a 3.5% strike rate, as
noted above.
According to the December 2024 rent roll, Orrick Herring (24.2% of
NRA) is downsizing its space by approximately 67,738 sf at the
November 2026 lease expiry as part of a long-term renewal through
August 2043 for a reduced footprint representing 16.4 % of the NRA.
With the lease renewal, the tenant will receive rental abatements
and a tenant improvement allowance, along with an increased rental
rate of $95.33 psf, compared with the previous rental rate of
$82.86 psf. As per Reis, office properties located in the Plaza
submarket reported an average vacancy rate of 12.1% and an
effective rental rate of $81.24 psf, compared with the subject's
vacancy rate of 23.1% and average rental rate of $80.87 psf.
In the analysis for this review, Morningstar DBRS maintained the
valuation approach from its April 2024 review, which was based on a
capitalization rate of 7.5% applied to the Morningstar DBRS NCF of
$33.8 million. Morningstar DBRS also maintained positive
qualitative adjustments to the loan-to-value ratio sizing
benchmarks totaling 4.0% to reflect the recent renovations that
improve the quality of the asset and the stability of demand for
buildings near major transportation arteries, such as the Grand
Central Terminal. The Morningstar DBRS Value of $450.5 million
represents a -42.2% variance from the issuance appraised value of
$780.0 million.
Notes: All figures are in U.S. dollars unless otherwise noted.
EXETER SELECT 2025-1: S&P Assigns Prelim BB (sf) Rating on E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Select Automobile Receivables Trust 2025-1's automobile
receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of April 14,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 42.11%, 36.07%, 27.69%,
21.05%, and 18.13% credit support (hard credit enhancement and
haircut to excess spread) for the class A (classes A-1, A-2, and
A-3, collectively), B, C, D, and E notes, respectively, based on
stressed cash flow scenarios. These credit support levels provide
at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's
expected cumulative net loss of 12.00% for classes A, B, C, D, and
E, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.75x S&P's expected loss level), all else being equal, its
preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB
(sf)' ratings on the class A, B, C, D, and E notes, respectively,
will be within its credit stability limits.
-- The timely payment of interest and repayment of 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' subprime
automobile loans, our view of the collateral's credit risk, our
updated macroeconomic forecast, and forward-looking view of the
auto finance sector.
-- S&P's assessment of the series' bank accounts at Citibank N.A.,
which do not constrain the preliminary ratings.
-- S&P's operational risk assessment of Exeter Finance LLC as
servicer, along with its view of the company's underwriting and its
backup servicing arrangement with Citibank.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
Exeter Select Automobile Receivables Trust 2025-1
Class A-1, $30.00 million: A-1+ (sf)
Class A-2, $105.30 million: AAA (sf)
Class A-3, $89.50 million: AAA (sf)
Class B, $23.41 million: AA (sf)
Class C, $37.55 million: A (sf)
Class D, $35.03 million: BBB (sf)
Class E, $6.73 million: BB (sf)
GREAT LAKES VI: S&P Assigns Prelim 'BB-' Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
X-R, A-1R, A-1R-L, A-2R, B-R, C-R, D-R, and E-R replacement debt
from Great Lakes CLO VI LLC, a CLO originally issued in December
2021 that is managed by BMO Asset Management Corp.
The preliminary ratings are based on information as of April 14,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the April 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 majority of replacement notes by dollar amount are expected
to be issued at a lower spread than the original notes.
-- All replacement classes are expected to be issued at a floating
rate.
-- The stated maturity and reinvestment periods will each be
extended 3.5 and years.
-- There will be no additional subordinated notes issued in
connection with this refinancing.
-- The class X-R notes issued in connection with this refinancing
are expected to be paid down using interest proceeds during the
first 17 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. 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
Great Lakes CLO VI LLC
Class X-R, $26.50 million: AAA (sf)
Class A-1R, $57.77 million: AAA (sf)
Class A-1R-L loans, $150.00 million: AAA (sf)
Class A-2R, $10.94 million: AAA (sf)
Class B-R, $29.16 million: AA (sf)
Class C-R (deferrable), $29.16 million: A (sf)
Class D-R (deferrable), $21.87 million: BBB- (sf)
Class E-R (deferrable), $20.05 million:
Subordinated notes, $45.00 million: Not rated
GS MORTGAGE 2014-GC22: Moody's Lowers Rating on 2 Tranches to B2
----------------------------------------------------------------
Moody's Ratings has affirmed the rating on one class and downgraded
the ratings on six classes in GS Mortgage Securities Trust
2014-GC22, Commercial Mortgage Pass-Through Certificates, Series
2014-GC22 as follows:
Cl. A-5, Affirmed Aaa (sf); previously on Jun 4, 2024 Affirmed Aaa
(sf)
Cl. A-S, Downgraded to Baa1 (sf); previously on Jun 4, 2024
Downgraded to A1 (sf)
Cl. B, Downgraded to B2 (sf); previously on Jun 4, 2024 Downgraded
to Ba2 (sf)
Cl. C, Downgraded to Caa3 (sf); previously on Jun 4, 2024
Downgraded to B3 (sf)
Cl. PEZ, Downgraded to B3 (sf); previously on Jun 4, 2024
Downgraded to Ba3 (sf)
Cl. X-A*, Downgraded to A2 (sf); previously on Jun 4, 2024
Downgraded to Aa2 (sf)
Cl. X-B*, Downgraded to B2 (sf); previously on Jun 4, 2024
Downgraded to Ba2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating on one P&I class was affirmed due to the significant
credit support and expected principal paydowns from the remaining
loans in the pool. Cl. A-5 has already paid down 76% since
securitization and will benefit from priority of principal payments
from liquidations or payoffs from the remaining loans in the pool.
The ratings on three P&I classes were downgraded due to higher
anticipated losses and interest shortfall risks as a result of the
significant exposure to specially serviced loans. All five loans
of the remaining loans in the pool are in special servicing and
have passed their original maturity dates. The two largest
specially serviced loans in the pool, Maine Mall (34.4% of the
pool) and Selig Portfolio (30.7% of the pool) were current on their
monthly debt service payments after being unable to pay off at
their respective maturity dates, however, both loans have had
significant declines in performance since loan origination and the
occupancy on the Selig Portfolio has continued to decline. The
remaining three loans have been in special servicing since 2023 and
are either REO or in foreclosure and have all been deemed
non-recoverable. Due to the non-recoverable determinations and
appraisal reduction amounts interest shortfalls have impacted up to
Cl. C but may increase if the two largest specially serviced loans
become delinquent on debt service payments.
The rating on the IO class (Class X-A) was downgraded due to the
decline in the credit quality of its reference classes and from
principal paydowns of higher quality reference classes.
The rating on the IO class (Class X-B) was downgraded due to a
decline in the credit quality of its referenced class.
The rating on the exchangeable class (Class PEZ) was downgraded due
to a decline in the credit quality of its referenced exchangeable
classes.
Social risk (IPS S-4) for this transaction is high as Moody's
regard e-commerce competition as a social risk under Moody's ESG
framework. The rise in e-commerce and changing consumer behavior
presents challenges to brick-and-mortar discretionary retailers.
The transaction's Credit Impact Score is CIS-2.
Moody's rating action reflects a base expected loss of 41.3% of the
current pooled balance, compared to 27.2% at Moody's last reviews.
Moody's base expected loss plus realized losses is now 15.8% of the
original pooled balance, compared to 12.8% at the last review.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
January 2025.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan and
estimate a loss given default based on a review of broker's
opinions of value (if available), other information from the
special servicer, available market data and Moody's internal data.
The loss given default for each loan also takes into consideration
repayment of servicer advances to date, estimated future advances
and closing costs. Translating the probability of default and loss
given default into an expected loss estimate, Moody's then apply
the aggregate loss from specially serviced to the most junior
classes and the recovery as a pay down of principal to the most
senior classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the March 12, 2025 distribution date, the transaction's
aggregate certificate balance has decreased by 67% to $320 million
from $961 million at securitization. The certificates are
collateralized by five remaining specially serviced mortgage loans.
As of the March 2025 remittance report, the three smallest
remaining loans, representing 35.0% of the pool, were deemed
non-recoverable by the Master Servicer and one loan has been
liquidated from the pool, contributing to an aggregate realized
loss of $19.7 million (for an average loss severity of 45.6%).
As of the March 2025 remittance statement cumulative interest
shortfalls were $6.1 million. Moody's anticipates interest
shortfalls will continue because of the exposure to specially
serviced loans. Interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications and extraordinary trust
expenses.
The largest specially serviced loan is the Maine Mall loan ($110.0
million – 34.4% of the pool), which is secured by a 730,444
square feet (SF) component of a 1.0 million SF super-regional mall
located in Portland, Maine. The loan represents a pari passu
portion of a $235.0 million first-mortgage loan and is
interest-only through maturity. The mall contains four anchors,
which include Macy's, J.C. Penney, Jordans Furniture (former
Bon-Ton) and Best Buy. Macy's is not part of the collateral for the
loan and J.C. Penney is under a ground lease. Jordan's Furniture
replaced the Bon-Ton space (17% of NRA), a former collateral anchor
that vacated in August 2017. In 2018, Round 1 Bowling & Amusement
moved into the prior Sports Authority space (6% of NRA) that went
dark in 2017. Property performance has steadily declined since 2016
and the September 2024 reported NOI is 22% lower than at
securitization. As of September 2024, the property was 92% leased,
compared to 91% in 2023 and 97% at securitization. The loan
transferred to special servicing in February 2024 for imminent
default as a result of the borrower's inability to pay off the loan
in full at its April 2024 maturity date. The property is generating
sufficient cash flow to cover debt service and the loan remains
current as of the March 2025 remittance report.
The second largest specially serviced loan is the Selig Portfolio
loan ($98.1 million – 30.7% of the pool), which represents a pari
passu portion of a $234.4 million whole loan. The loan is secured
by a portfolio of seven office properties, totaling 1.1 million SF,
all located in the Seattle area. The largest two properties
represent 55% of the portfolio NRA, and the tenant base is varied
and includes government agencies, and Amazon. From 2014 through
2019, the portfolio averaged 95% occupancy. However, as of
September 2024, portfolio occupancy had declined to 60%, resulting
in a decline in NOI. The loan transferred to special servicing in
March 2024 for imminent default as a result of the borrower's
inability to pay off the loan in full at its May 2024 maturity
date. The loan is current on its debt service payment. Previous
attempts to close the proposed modifications have failed due to the
borrower's inability to raise capital. The special servicer is
continuing discussions with the borrower while also evaluating
rights and remedies as outlined under the loan agreement.
The third largest specially serviced loan is the EpiCentre loan
($85.0 million – 26.6% of the pool), which is secured by an
approximately 300,000 SF mixed-use property located in the
commercial business district (CBD) of Charlotte, North Carolina.
The loan transferred to special servicing in March 2021 for
imminent monetary default. The loan has been in REO status since
September 2022. The property was 37% leased in January 2025,
compared to 35% in 2023 and 90% at securitization. The most recent
appraisal from March 2024 valued the property 38% below the value
at securitization, and as of the May 2024 remittance, the master
servicer has recognized a 26% appraisal reduction based on the
current loan balance and the loan has been deemed non-recoverable.
The fourth largest specially serviced loan is the Maccabees Center
loan ($17.5 million – 5.4% of the pool) which is secured by the
borrower's fee simple interest in a 360,280 SF office building
located in Detroit, Michigan. Performance has declined
significantly due to a decline in occupancy and as of February
2025, the property was 28% leased compared to 31% in 2024. The loan
transferred to special servicing in November 2023 for imminent
monetary default. A receiver was appointed in August 2024 and the
special servicer is dual tracking foreclosure while remaining
available to discuss alternatives. The loan has been deemed
non-recoverable.
The smallest specially serviced loan is the Westwood Plaza loan
($9.7 million – 3.0% of the pool), which is secured by a 201,712
SF shopping center located in Johnstown, Pennsylvania. The loan
transferred to special servicing in May 2019 due to payment
default. The borrower indicated that they cannot meet debt
obligations and can no longer support the collateral. In June 2021,
a receiver was appointed, and the special servicer pursued
foreclosure. The loan has been in REO status since May 2022. The
most recent appraisal from July 2024 valued the property 63% below
the value at securitization, and as of the March 2025 remittance,
the master servicer has recognized an 80% appraisal reduction based
on the current loan balance, and the loan has been deemed
non-recoverable.
GS MORTGAGE 2025-PJ3: DBRS Finalizes B(low) Rating on B5 Notes
--------------------------------------------------------------
DBRS, Inc. finalized the following provisional credit ratings on
the Mortgage-Backed Notes, Series 2025-PJ3 (the Notes) issued by GS
Mortgage-Backed Securities Trust 2025-PJ3:
-- $259.1 million Class A-1 at AAA (sf)
-- $259.1 million Class A-2 at AAA (sf)
-- $259.1 million Class A-3 at AAA (sf)
-- $194.4 million Class A-4 at AAA (sf)
-- $194.4 million Class A-5 at AAA (sf)
-- $194.4 million Class A-6 at AAA (sf)
-- $155.5 million Class A-7 at AAA (sf)
-- $155.5 million Class A-8 at AAA (sf)
-- $155.5 million Class A-9 at AAA (sf)
-- $38.9 million Class A-10 at AAA (sf)
-- $38.9 million Class A-11 at AAA (sf)
-- $38.9 million Class A-12 at AAA (sf)
-- $103.7 million Class A-13 at AAA (sf)
-- $103.7 million Class A-14 at AAA (sf)
-- $103.7 million Class A-15 at AAA (sf)
-- $64.8 million Class A-16 at AAA (sf)
-- $64.8 million Class A-17 at AAA (sf)
-- $64.8 million Class A-18 at AAA (sf)
-- $22.9 million Class A-19 at AAA (sf)
-- $22.9 million Class A-20 at AAA (sf)
-- $22.9 million Class A-21 at AAA (sf)
-- $282.0 million Class A-22 at AAA (sf)
-- $282.0 million Class A-23 at AAA (sf)
-- $282.0 million Class A-24 at AAA (sf)
-- $282.0 million Class A-25 at AAA (sf)
-- $282.0 million Class A-X-1 at AAA (sf)
-- $259.1 million Class A-X-2 at AAA (sf)
-- $259.1 million Class A-X-3 at AAA (sf)
-- $259.1 million Class A-X-4 at AAA (sf)
-- $194.4 million Class A-X-5 at AAA (sf)
-- $194.4 million Class A-X-6 at AAA (sf)
-- $194.4 million Class A-X-7 at (AAA (sf)
-- $155.5 million Class A-X-8 at AAA (sf)
-- $155.5 million Class A-X-9 at AAA (sf)
-- $155.5 million Class A-X-10 at AAA (sf)
-- $38.9 million Class A-X-11 at AAA (sf)
-- $38.9 million Class A-X-12 at AAA (sf)
-- $38.9 million Class A-X-13 at AAA (sf)
-- $103.7 million Class A-X-14 at AAA (sf)
-- $103.7 million Class A-X-15 at AAA (sf)
-- $103.7 million Class A-X-16 at AAA (sf)
-- $64.8 million Class A-X-17 at AAA (sf)
-- $64.8 million Class A-X-18 at AAA (sf)
-- $64.8 million Class A-X-19 at AAA (sf)
-- $22.9 million Class A-X-20 at AAA (sf)
-- $22.9 million Class A-X-21 at AAA (sf)
-- $22.9 million Class A-X-22 at AAA (sf)
-- $282.0 million Class A-X-23 at AAA (sf)
-- $282.0 million Class A-X-24 at AAA (sf)
-- $282.0 million Class A-X-25 at AAA (sf)
-- $282.0 million Class A-X-26 at AAA (sf)
-- $11.4 million Class B-1 at AA (low) (sf)
-- $11.4 million Class B-1A at AA (low) (sf)
-- $11.4 million Class B-X-1 at AA (low) (sf)
-- $4.9 million Class B-2 at A (low) (sf)
-- $4.9 million Class B-2A at A (low) (sf)
-- $4.9 million Class B-X-2 at A (low) (sf)
-- $2.9 million Class B-3 at BBB (low) (sf)
-- $2.0 million Class B-4 at BB (low) (sf)
-- $458.0 thousand 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, and A-18 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 7.50% 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 3.75%, 2.15%, 1.20%, 0.55%, and 0.40% credit
enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
This securitization is a portfolio of first-lien, fixed-rate, prime
residential mortgages funded by the issuance of the Mortgage-Backed
Notes, Series 2025-PJ3 (the Notes). The Notes are backed by 240
loans with a total principal balance of $304,884,591 as of the
Cut-Off Date.
The pool consists of first-lien, fully amortizing, fixed-rate
mortgages with original terms to maturity of 30 years. The
weighted-average original combined loan-to-value for the portfolio
is 69.8%. 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
(33.9%), CMG Mortgage, Inc. doing business as (dba) CMG Financial
(10.6%), PennyMac Loan Services, LLC (PennyMac; 10.3%), and various
other originators, each comprising less than 10.0% of the pool.
The mortgage loans will be serviced by Newrez, LLC, dba Shellpoint
Mortgage Servicing (79.7%), PennyMac (19.4%), and loanDepot.com,
LLC (0.9%).
Computershare Trust Company, N.A. will act as the Master Servicer,
Paying Agent, Loan Agent, and Custodian. U.S. Bank Trust National
Association will act as Delaware Trustee. U.S. Bank Trust Company
will act as Collateral Trustee. Pentalpha Surveillance LLC 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 home equity line of credit (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.
Notes: All figures are in US dollars unless otherwise noted.
HPS LOAN 2023-17: S&P Assigns BB- (sf) Rating on Class E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
B-R, C-R, D-1-R, D-2-R, and E-R debt from HPS Loan Management
2023-17 Ltd./HPS Loan Management 2023-17 LLC, a CLO managed by HPS
Investment Partners CLO (UK) LLP that was originally issued in
March 2023. At the same time, S&P withdrew its ratings on the
original class A-L loans, class A-L notes, and class A, B-1, B-2,
C, D, and E debt following payment in full on the April 8, 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-L-R loans and class A-R, C-R, and E-R
debt were issued at a lower spread over three-month CME term SOFR
than the original debt.
-- The replacement class B-R debt was issued at a floating spread,
replacing the current class B-1 floating spread and class B-2 fixed
coupon debt.
-- The replacement class D-1-R and D-2-R debt were issued at a
floating spread, replacing the current class D floating spread
debt.
-- The stated maturity and reinvestment period were extended by
two years.
-- The non-call period was extended just over two years to April
23, 2027.
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
HPS Loan Management 2023-17 Ltd./HPS Loan Management 2023-17 LLC
Class A-R, $52.00 million: NR
Class A-L-R loans(i), $200.00 million: NR
Class B-R, $52.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-1-R (deferrable), $24.00 million: BBB- (sf)
Class D-2-R (deferrable), $3.00 million: BBB- (sf)
Class E-R (deferrable), $13.00 million: BB- (sf)
Ratings Withdrawn
HPS Loan Management 2023-17 Ltd./HPS Loan Management 2023-17 LLC
Class B-1 to NR from 'AA (sf)'
Class B-2 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
HPS Loan Management 2023-17 Ltd./HPS Loan Management 2023-17 LLC
Subordinated notes, $39.70 million: NR
(i)The class A-L-R loans can be converted to class A-R debt. Any
such converted amount will increase the class A-R debt outstanding
amount and decrease the class A-L-R loans outstanding amount.
Therefore, the maximum amount of class A-R debt would be $252.005
million.
NR--Not rated.
JP MORGAN 2013-LC11: Moody's Lowers Rating on Cl. B Certs to B2
---------------------------------------------------------------
Moody's Ratings has downgraded the ratings on three classes and
affirmed the ratings on three classes in J.P. Morgan Chase
Commercial Mortgage Securities Trust 2013-LC11, Commercial Mortgage
Pass-Through Certificates, Series 2013-LC11 as follows:
Cl. B, Downgraded to B2 (sf); previously on Apr 23, 2024 Downgraded
to Ba3 (sf)
Cl. C, Downgraded to Ca (sf); previously on Apr 23, 2024 Downgraded
to Caa2 (sf)
Cl. D, Affirmed C (sf); previously on Apr 23, 2024 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Apr 23, 2024 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Apr 23, 2024 Affirmed C (sf)
Cl. X-B*, Downgraded to Caa2 (sf); previously on Apr 23, 2024
Downgraded to B3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on two P&I classes, Cl. B and Cl. C, were downgraded
due to anticipated losses and interest shortfalls as a result of
the significant exposure to specially serviced loans (100% of the
pool). The specially serviced loans are all already real estate
owned (REO) and two of the specially serviced loans, World Trade
Center I & II (39.5% of the pool) and Tysons Commerce Center
(12.5%), have been deemed non-recoverable and the other two
specially serviced loans have recognized appraisal reductions
ranging from 20% to 54% of their outstanding loan balances. As a
result of the appraisal reduction amounts and non-recoverability
determinations, Cl. C received no interest proceeds in the February
2025 and March 2025 remittance statements. Due to the distressed
performance of the remaining loans, the risk of increased interest
shortfalls and higher potential losses may increase if the
outstanding loans become further delinquent.
The ratings on three P&I classes, Cl. D, Cl. E and Cl. F, were
affirmed because their ratings are consistent with Moody's expected
loss.
The rating on the IO class was downgraded based on a decline in the
credit quality of its referenced classes.
Social risk for this transaction is high (IPS S-4) and the
transaction's Credit Impact Score is CIS-4. Moody's regard
e-commerce competition as a social risk under Moody's ESG
framework. The rise in e-commerce and changing consumer behavior
presents challenges to brick-and-mortar discretionary retailers.
Moody's rating action reflects a base expected loss of 65.0% of the
current pooled balance, compared to 52.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 12.9% of the
original pooled balance, compared to 12.7% at the last review.
METHODOLOGY UNDERLYING THE RATING ACTION
The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations" published in
January 2025.
Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 100% of the pool is in
special servicing. In this approach, Moody's determines a
probability of default for each specially serviced loan that it
expects will generate a loss and estimates a loss given default
based on a review of broker's opinions of value (if available),
other information from the special servicer, available market data
and Moody's internal data. The loss given default for each loan
also takes into consideration repayment of servicer advances to
date, estimated future advances and closing costs. Translating the
probability of default and loss given default into an expected loss
estimate, Moody's then apply the aggregate loss from specially
serviced loans to the most junior classes and the recovery as a pay
down of principal to the most senior classes.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's
forward-looking views of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.
DEAL PERFORMANCE
As of the March 17, 2025 distribution date, the transaction's
aggregate certificate balance has decreased by 81% to $244.8
million from $1.32 billion at securitization. The certificates are
collateralized by four mortgage loans which have all passed their
original maturity dates, are in special servicing and already are
real estate owned (REO).
As of the March 2025 remittance statement cumulative interest
shortfalls were $9.7 million and impact up to Cl. C. Moody's
anticipates interest shortfalls will continue because of the
exposure to the specially serviced loans. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal entitlement reductions (ASERs), loan modifications,
non-recoverable determinations and extraordinary trust expenses.
The largest specially serviced loan is the World Trade Center I &
II loan ($96.8 million -- 39.5% of the pool), which is secured by
two adjacent 28-story and 29-story Class A office buildings
totaling 770,000 square feet (SF) and located in the CBD of Denver,
Colorado. The property is also encumbered with $17.6 million of
additional mezzanine financing held outside of the trust. The
property's performance has declined significantly since
securitization as a result of both lower revenue and higher
operating expenses. Additionally, the Denver CBD has experienced a
significant increase in the submarket vacancy rate. The loan
transferred to special servicing in July 2020 after two major
tenants vacated the property and became REO in July 2022. As of
December 2023, the property was only 32% occupied. The most recent
appraisal from January 2024 valued the property 81% below the value
at securitization and the loan has been deemed non-recoverable by
the master servicer and was last paid through its June 2022 payment
date. Servicer commentary indicated the loan was previously listed
for sale but did not sell.
The second largest specially serviced loan is the Pecanland Mall
loan ($71.2 million -- 29.1% of the pool), which is secured by a
433,200 SF component of a 965,238 SF super-regional mall in Monroe,
Louisiana. Current non-collateral anchor tenants include Dillard's,
J.C. Penney, and Belk. Property performance generally improved from
securitization through 2017 but has since declined. The loan
previously transferred to special servicing in September 2020 due
to payment delinquencies, however, the loan was reinstated to the
master servicer effective in March 2022 as a corrected mortgage
loan. This loan transferred back to special servicing in February
2023 due to imminent maturity default ahead of its March 2023
maturity date. The property's 2023 NOI was 7% lower than its 2022
level and 27% lower than the levels at securitization. The loan had
an in-place NOI DSCR of 1.34X as of December 2023. The property
became REO in December 2024 and Spinoso Real Estate Group is the
property manager and is working on additional leasing. The most
recent appraisal from May 2024 valued the property 76% below the
value at securitization, and as of the March 2025 remittance, the
master servicer has recognized a 54% appraisal reduction based on
the current loan balance. As of the March 2025 remittance, the loan
has amortized almost 21% since securitization and was last paid
through December 2024.
The third largest specially serviced loan is the Dulles View loan
($46.1 million -- 18.9% of the pool), which is secured by two
eight-story, Class A, LEED Gold Certified office buildings located
in Herndon, Virginia. The buildings are connected by a common
two-story glass atrium across from the Washington-Dulles
International Airport. The loan had previously transferred to
special servicing in February 2018 due to imminent default
associated with significant tenant turnover. Occupancy at the
property had declined to 48% in December 2018 from 93% in December
2017. However, occupancy has consistently trended higher since
2019, with the most recent occupancy at 71% in September 2024,
compared to 75% in January 2024. The loan was returned to the
master servicer in February 2019 as a corrected loan but
transferred back to special servicing in March 2023 due to imminent
maturity default ahead of its April 2023 maturity date. While
occupancy has improved since 2019, the property's 2023 NOI was 24%
lower than securitization levels. Per the servicer commentary, the
foreclosure sale was completed in December 2023 and the loan became
REO in January 2024. The most recent appraisal from March 2024
valued the property 57% below the value at securitization. As of
the March 2025 remittance, the loan was last paid through its
January 2025 payment date and has amortized 23% since
securitization. The servicer is working to sell the property in the
near term.
The fourth specially serviced loan is the Tysons Commerce Center
Loan ($30.7 million -- 12.5% of the pool), which is secured by a
single, eight-story, multi-tenant office building totaling 181,542
SF located 15 miles west of downtown Washington D.C. The property
was 66% leased as of December 2023 compared to 68% in 2021, 75% in
2020, and 96% at securitization. Due to the decrease in occupancy,
the property's revenue and NOI have declined since 2018 and the
year-end 2023 NOI was 26% below securitization levels. The loan
transferred to special servicing in December 2022 because it failed
to pay off at its scheduled maturity date and is in default. The
loan became REO in April 2024. The most recent appraisal from June
2024 valued the property 83% below the value at securitization and
as of the March 2025 remittance, the master servicer deemed the
loan non-recoverable for principal and interest advances. The loan
was last paid through its March 2024 payment date and has amortized
13% since securitization.
Moody's estimates an aggregate loss of $159.1 million (a 65.0%
expected) from these specially serviced loans.
JP MORGAN 2018-WPT: S&P Lowers XB-FX Certs Rating to 'BB- (sf)'
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on 11 classes of commercial
mortgage pass-through certificates from J.P. Morgan Chase
Commercial Mortgage Securities Trust 2018-WPT, a U.S. CMBS
transaction.
This is a U.S. stand-alone (single-borrower) CMBS transaction
backed by a portion of an interest-only (IO) mortgage whole loan.
The whole loan is currently secured by the borrowers' fee-simple
and leasehold interests in a portfolio of 144 suburban office, flex
(office/industrial), and retail properties, totaling 9.7 million
sq. ft., in Arizona, Florida, Minnesota, and Pennsylvania.
Rating Actions
The downgrades on the class A-FL, B-FL, C-FL, D-FL, A-FX, B-FX,
C-FX, and D-FX certificates reflect:
-- S&P's revised expected-case value, which is 16.0% lower than
the valuation we derived in our last published review in October
2023 (after adjusting for released properties) due primarily to
reported declines in occupancies at the portfolio properties;
-- S&P's consideration that the ongoing weakened office submarket
fundamentals, where the suburban office properties are located,
will continue to challenge leasing efforts for any space that is,
or may become, vacant for these properties in the portfolio; and
-- That the loan, which has a reported 30-day-delinquent payment
status, transferred back to the special servicer on Nov. 13, 2024,
due to nonmonetary default arising out of shortfalls in its cash
management account. S&P believes that based on the loan's weak
credit metrics, the borrowers will continue to face challenges in
timely refinancing of the loan, which is set to mature in July
2025.
The downgrades on the class XA-FX, XB-FX, and X-FL IO certificates
reflect S&P's criteria for rating IO securities, under which the
ratings on the IO securities would not be higher than that of the
lowest-rated reference class. The notional amount of class XA-FX
references class A-FX, while class XB-FX references classes B-FX,
C-FX, and D-FX. In addition, class X-FL references classes A-FL,
B-FL, C-FL, and D-FL.
S&P said, "We will continue to monitor the performance of the
portfolio properties and resolution of the special servicing
transfer. If we receive information that differs materially from
our expectations, such as an updated aggregated appraisal value
from the special servicer that is substantially below our revised
expected-case value, portfolio performance that is below our
expectations, an appraisal reduction amount or nonrecoverable
determination, or a special servicing workout that negatively
affect the transaction's liquidity and recovery, we may revisit our
analysis and take additional rating actions as we determine
necessary."
Property-Level Analysis
The collateral portfolio currently consists of 144 properties, down
from 147 at the time of issuance. They include 85 suburban office
buildings, 58 flex (office/industrial) buildings, and one retail
property, totaling 9.7 million sq. ft. in the four U.S. states of
Arizona, Florida, Minnesota, and Pennsylvania. The properties were
built between 1972 and 2013. Since issuance, three properties were
released: 300-309 Lakeside Drive (a 43,832-sq.-ft. flex building in
Horsham Township, Pa.) in June 2020, 300 Welsh Road #5 Building (a
33,205-sq.-ft. suburban office building in Horsham Township, Pa.)
in June 2024, and 333 Phoenixville Pike (an 84,000-sq.-ft. suburban
office building in East Whiteland Township, Pa.) in February 2025.
In S&P's June 2023 and October 2023 reviews, it noted that the
properties were generally performing in keeping with its
expectation.
Since then, the overall occupancies have trended downward for the
remaining properties. The portfolio's reported net cash flow (NCF)
was $41.2 million for six months ended June 30, 2024, down from
$50.3 million for the same period in 2023.
According to CoStar, the weighted average vacancy rate and gross
rent for the submarkets where the properties are located were 11.6%
and $24.75 per sq. ft., respectively, as of year-to-date March
2025. This compares to the overall portfolio vacancy of 24.0%
(after adjusting for known tenant movements) and gross rent of
$22.15 per sq. ft. using the September 2024 rent roll.
S&P said, "In our current review, we assumed a 25.0% vacancy rate
(up from our assumed 20.0% rate in our last review), a $23.48 per
sq. ft. gross rent, a 45.6% operating expense ratio, and higher
tenant improvement costs to arrive at S&P Global Ratings' NCF of
$80.7 million for the 144 remaining properties. Utilizing S&P
Global Ratings' capitalization rate of 9.00% (comparable to our
last review), we derived S&P Global Ratings' expected-case value of
$897.0 million or $92 per sq. ft. This yielded an S&P Global
Ratings loan-to-value ratio of 137.1% on the current whole loan
balance."
Table 1
Servicer-reported collateral performance
Six months ended June 30, 2024(i) 2023(i) 2022(i) 2021(i)
No. of properties 146 146 146 146
Occupancy rate (%) 76.0 78.6 80.7 84.4
Net cash flow (mil. $) 41.2 100.0 97.6 101.2
Debt service coverage (x) 1.11 1.33 1.44 1.57
Appraisal value (mil. $)(ii) 1,630.8 1,630.8 1,630.8 1,630.8
(i)Reporting period.
(ii)Issuance appraisal, excluding 300-309 Lakeside Drive, which was
released in 2000. The performances of the other two property
releases in 2024 and 2025 are included in the figures above.
Table 2
S&P Global Ratings' key assumptions
Last published
Current review review At issuance
(April 2025)(i) (Oct 2023)(i) (July 2018)(i)
Whole loan balance (mil. $) 1,229.8 1,236.2 1,275.0
No. of properties 144 146 147
Occupancy rate (%) 75.0 80.0 80.0
Net cash flow (mil. $) 80.7 91.9 91.9
Capitalization rate (%) 9.00 8.97 8.80
Value (mil. $) 897.0 1,056.2 1,078.6
Value per sq. ft. ($) 92 107 109
Loan-to-value ratio(ii)(%) 137.1 117.0 118.2
(i)Review period. (ii)Based on the whole loan balance at the time
of review.
Transaction Summary
The IO mortgage whole loan had an initial balance of $1.275 billion
and a current balance (as of the April 2025 trustee remittance
report) of $1.230 billion (after reflecting three property
releases). The whole loan is bifurcated into a fixed-rate component
totaling $1.02 billion and a floating-rate component totaling
$209.8 million (down from $255.0 million at issuance). The
fixed-rate component pays an annual fixed interest rate of 5.37%,
and the floating-rate component pays a floating interest rate
indexed to one-month SOFR plus a 3.627% spread and a 0.011%
benchmark adjustment.
The whole loan is further split into:
-- A $533.7 million senior component (down from $579.0 million at
issuance), which consists of a $463.2 million fixed-rate component
and a $70.6 million floating-rate component (down from $115.8
million at issuance); and
-- A $696.0 million junior component, which consists of a $556.8
million fixed-rate component and a $139.2 million floating-rate
component.
The senior fixed- and floating-rate components are pari passu and
senior to the subordinate fixed- and floating-rate components.
According to the transaction documents, prepayments are applied
sequentially and will pay down the floating-rate components first.
According to the April 7, 2025, trustee remittance report, the
$1.06 billion trust balance consists of the following components:
-- $293.2 million of senior fixed rate;
-- $70.6 million of senior floating rate;
-- $556.8 million of junior fixed rate; and
-- $139.2 million of junior floating rate.
To date, the trust has not incurred any principal losses.
The whole loan originally matured on July 1, 2023. It was initially
transferred to the special servicer on April 25, 2023, due to
imminent maturity default. The loan was modified and extended
effective July 1, 2023. The terms included, among other items:
-- Extension of the loan's maturity date to July 1, 2025;
-- The borrower contributing about $58.2 million in new capital to
pay down $30.0 million of the outstanding balance of component A
and $16.4 million will be deposited into a tenant
improvements/leasing commissions replacement reserve account. The
remaining amount will be used to pay closing costs, fees and
expenses ($9.7 million), and a 24-month SOFR interest rate cap
agreement ($2.1 million).
-- The guarantor providing a guaranty to cover interest shortfalls
up to $10.2 million.
-- The loan was returned to the master servicer on Oct. 1, 2023.
As S&P previously stated, the loan transferred back to special
servicing in November 2024 due to imminent nonmonetary default. The
special servicer, KeyBank Real Estate Capital, indicated that it is
currently in negotiations with the borrower on a plan to invest
additional capital in the properties to stabilize the performance.
Ratings Lowered
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
Class A-FL to 'AA+ (sf)' from 'AAA (sf)'
Class A-FX to 'AA+ (sf)' from 'AAA (sf)'
Class B-FL to 'A (sf)' from 'AA- (sf)'
Class B-FX to 'A (sf)' from 'AA- (sf)'
Class C-FL to 'BBB- (sf)' from 'A- (sf)'
Class C-FX to 'BBB- (sf)' from 'A- (sf)'
Class D-FL to 'BB- (sf)' from 'BBB- (sf)'
Class D-FX to 'BB- (sf)' from 'BBB- (sf)'
Class X-FL to 'BB- (sf)' from 'BBB- (sf)'
Class XA-FX to 'AA+ (sf)' from 'AAA (sf)'
Class XB-FX to 'BB- (sf)' from 'BBB- (sf)'
LAKE SHORE I: Moody's Cuts Rating on $29MM Class E-R Notes to B1
----------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Lake Shore MM CLO I Ltd.:
US$36,000,000 Class B-R Senior Secured Floating Rate Notes due
2033, Upgraded to Aa1 (sf); previously on May 26, 2021 Assigned Aa2
(sf)
Moody's have also downgraded the rating on the following notes:
US$29,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2033, Downgraded to B1 (sf); previously on May 26, 2021
Assigned Ba3 (sf)
Lake Shore MM CLO I Ltd., originally issued in April 2019 and
refinanced in May 2021, is a managed cashflow SME CLO. The notes
are collateralized primarily by a portfolio of small and medium
enterprise loans. The transaction's reinvestment period will end in
April 2025.
A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating action reflects the benefit of the short period
of time remaining before the end of the deal's reinvestment period
in April 2025. In light of the reinvestment restrictions during the
amortization period which limit the ability of the manager to
effect significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will be maintained and continue to satisfy
certain covenant requirements. In particular, Moody's assumed that
the deal will benefit from higher weighted average spread (WAS)
compared to the covenant levels. Moody's modeled a WAS of 4.96%
compared to its current covenant level of 4.85%.
The downgrade rating action on the Class E-R notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's March 2025 report [1], the OC ratio for the Class E-R
notes is reported at 106.89%% versus March 2024 [2] level of
108.33%. Additionally, Moody's notes that Moody's calculated
portfolio WARF is 4382 compared to the test level of 3718, partly
due to 8.4% of assets in the portfolio subject to default
probability stresses for carrying credit estimates that were
assigned over a year ago.
No actions were taken on the Class A-1R, Class A-2R, Class C-R, and
Class D-R notes because their expected losses remain commensurate
with their current ratings, after taking into account the CLO's
latest portfolio information, its relevant structural features and
its actual over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $368,977,176
Defaulted par: $3,470,808
Diversity Score: 43
Weighted Average Rating Factor (WARF): 4382
Weighted Average Spread (WAS): 4.96%
Weighted Average Coupon (WAC): 1.47%
Weighted Average Recovery Rate (WARR): 45.23%
Weighted Average Life (WAL): 3.5 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and, lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
LAKESIDE PARK CLO: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Lakeside Park CLO
Ltd./Lakeside Park 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 Blackstone Liquid Credit Strategies
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
Lakeside Park CLO Ltd./Lakeside Park CLO LLC
Class A, $392.2 million: AAA (sf)
Class B-1, $70.3 million: AA (sf)
Class B-2, $12.5 million: AA (sf)
Class C (deferrable), $37.5 million: A (sf)
Class D (deferrable), $37.5 million: BBB- (sf)
Class E (deferrable), $25.0 million: BB- (sf)
Subordinated notes, $66.9 million: NR
NR--Not rated.
LCM LTD XXV: Moody's Cuts Rating on $18MM Class E Notes to Caa1
---------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by LCM XXV Ltd.:
US$3,000,000 Class C-1 Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class C-1 Notes"), Upgraded to Aaa (sf); previously on
September 19, 2024 Upgraded to Aa1 (sf)
US$16,250,000 Class C-2 Deferrable Mezzanine Floating Rate Notes
due 2030 (the "Class C-2 Notes"), Upgraded to Aaa (sf); previously
on September 19, 2024 Upgraded to Aa1 (sf)
US$10,000,000 Class C-3 Deferrable Mezzanine Fixed Rate Notes due
2030 (the "Class C-3 Notes"), Upgraded to Aaa (sf); previously on
September 19, 2024 Upgraded to Aa1 (sf)
Moody's have also downgraded the rating on the following notes:
US$18,000,000 Class E Deferrable Mezzanine Floating Rate Notes due
2030 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on
August 13, 2020 Downgraded to B1 (sf)
LCM XXV Ltd., originally issued in August 2017 and refinanced in
February 2022 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 2022.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating actions are primarily a result of deleveraging
of the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since September 2024. The Class
A-R notes have been paid down by approximately 61.6% or $44.7
million since then. Based on Moody's calculations, the OC ratio for
the Class C notes is currently 143.68%, versus September 2024 level
of 134.15%.
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
Moody's calculations, the OC ratio for the Class E notes is
currently 103.18% versus September 2024 level of 104.94%.
Furthermore, Moody's calculated weighted average rating factor
(WARF) is currently 3175, compared to 3088 in September 2024.
No actions were taken on the Class A-R, Class B-1, Class B-2, Class
D and Secured Rated Notes because their expected losses remain
commensurate with their current ratings, after taking into account
the CLO's latest portfolio information, its relevant structural
features and its actual over-collateralization and interest
coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $155,384,456
Defaulted par: $3,042,126
Diversity Score: 48
Weighted Average Rating Factor (WARF): 3175
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.28%
Weighted Average Recovery Rate (WARR): 46.07%
Weighted Average Life (WAL): 3.07 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
MARANON LOAN 2022-1: S&P Assigns BB-(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, A-L, B-R, B-L, C-R, and D-R debt from Maranon Loan Funding
2022-1 Ltd./Maranon Loan Funding 2022-1R LLC and replacement class
E-R debt from Maranon Loan Funding 2022-1 Ltd. The transaction is a
CLO managed by Eldridge Capital Advisers LLC that was originally
issued in November 2022. At the same time, S&P withdrew its ratings
on the class X, A, B, C, D, and E debt following payment in full on
the April 15, 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 issuer of the original debt, Maranon Loan Funding 2022-1
LLC, merged at closing with Maranon Loan Funding 2022-1 Ltd., which
will in turn be issuing the replacement debt with the co-issuer,
Maranon Loan Funding 2022-1R LLC (other than for class E-R, which
was issued by Maranon Loan Funding 2022-1 Ltd. only).
-- The replacement class X-R, A-R, A-L, B-R, B-L, C-R, D-R, and
E-R debt was issued at a lower spread over three-month SOFR than
the original debt.
-- The stated maturity and reinvestment period was 3.39 years.
-- The transaction added two loan classes, classes A-L and B-L.
All or a portion of each class of loans can be converted into class
A and B debt, respectively.
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
Maranon Loan Funding 2022-1 Ltd./
Maranon Loan Funding 2022-1R LLC
Class X-R, $20.0 million: AAA (sf)
Class A-R, $152.0 million: AAA (sf)
Class A-L loans, $80.0 million: AAA (sf)
Class B-R, $27.5 million: AA (sf)
Class B-L loans, $12.5 million: AA (sf)
Class C-R (deferrable), $32.0 million: A (sf)
Class D-R (deferrable), $24.0 million: BBB- (sf)
Class E-R (deferrable), $24.0 million: BB- (sf)
Ratings Withdrawn
Maranon Loan Funding 2022-1 LLC
Class X to NR from 'AAA (sf)'
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A- (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
Maranon Loan Funding 2022-1 Ltd./
Maranon Loan Funding 2022-1R LLC
Subordinated notes, $57.5 million: NR
NR--Not rated.
MCF CLO 10: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class X-R, A-1-R, B-R, C-R, D-2-R, and E-R debt, and
the class A-1A-R, A-1B-R, A-1C-R and A-2-R loans to MCF CLO 10 Ltd.
S&P also assigned its preliminary ratings to the new class A-2-R
and D-1-R debt and new A-2-R loans. MCF CLO 10 Ltd./MCF CLO 10 LLC
is a CLO managed by Apogem Capital LLC that was originally issued
in March 2023.
The preliminary ratings are based on information as of April 10,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the April 15, 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 and proposed
new 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 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 15, 2027.
-- The reinvestment period will be extended to April 15, 2029.
-- The legal final maturity dates (for the replacement debt and
the existing subordinated notes) will be extended to April 15,
2037.
-- The target initial par amount will increase to $450 million
from $421 million. There will be no additional effective date or
ramp-up period, and the first payment date following the
refinancing is July 15, 2025.
-- Replacement class X-R debt will be issued on the refinancing
date and is expected to be paid down using interest proceeds during
the first eight payment dates in equal installments of $687,500,
beginning on the July 2025 payment date.
-- New class A-2-R and D-1-R debt is expected to be issued on the
refinancing date.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- Approximately $1.9 million in additional subordinated notes
will be issued on the refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Preliminary Ratings Assigned
MCF CLO 10 Ltd./MCF CLO 10 LLC
Class X-R, $5.50 million: AAA (sf)
Class A-1-R, $171.00 million: AAA (sf)
Class A-1A-R Loans, $50.00 million: AAA (sf)
Class A-1B-R Loans, $15.00 million: AAA (sf)
Class A-1C-R Loans, $25.00 million: AAA (sf)
Class A-2-R, $8.00 million: AAA (sf)
Class A-2-R Loans, $10.00 million: AAA (sf)
Class B-R, $27.00 million: AA (sf)
Class C-R (deferrable), $36.00 million: A (sf)
Class D-1-R (deferrable), $27.00 million: BBB (sf)
Class D-2-R (deferrable), $8.05 million: BBB- (sf)
Class E-R (deferrable), $18.95 million: BB- (sf)
Other Debt
MCF CLO 10 Ltd./MCF CLO 10 LLC
Subordinated notes, $52.30 million: Not rated
MELLO WAREHOUSE 2025-1: DBRS Gives Prov. B Rating on 2 Classes
--------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to Mello Warehouse
Securitization Notes, Series 2025-1 (the Notes) to be issued by
Mello Warehouse Securitization Trust 2025-1 (MWST 2025-1) as
follows:
-- $201.0 million Class A at (P) AAA (sf)
-- $3.3 million Class B at (P) AA (sf)
-- $31.5 million Class C at (P) A (sf)
-- $28.1 million Class D at (P) BBB (sf)
-- $24.2 million Class E at (P) B (sf)
-- $12.0 million Class F at (P) B (sf)
The (P) AAA (sf) credit rating reflects 33.00% of credit
enhancement provided by subordinated notes. The (P) AA (sf), (P) A
(sf), and (P) BBB (sf) credit ratings reflect 31.90%, 21.40%, and
12.05% of credit enhancement, respectively. The (P) B (sf) credit
ratings on the Class E and Class F Notes reflect the Long-Term
Issuer Rating of the Repo Guarantor.
Other than the classes specified above, Morningstar DBRS does not
rate any other classes in this transaction.
The securitization is backed by a three-year revolving warehouse
facility and funded by the issuance of the Notes.
The warehouse facility will be sponsored by loanDepot.com, LLC
(loanDepot) and consists of a revolving pool of first-lien, fixed-
or adjustable-rate eligible mortgage loans originated by loanDepot
in accordance with the purchase criteria of Fannie Mae or Freddie
Mac or in accordance with the criteria of Ginnie Mae for the
guarantee of securities backed by mortgage loans. The
characteristics of the revolving pool include a minimum
weighted-average (WA) FICO score of 720 and a maximum WA
loan-to-value ratio of 85.0%.
All the mortgage loans in this warehouse facility may be originated
with electronic contracts. The electronic contracts will be held in
an electronic vault or in some manner intended to satisfy the
requirements to establish control of a transferable record pursuant
to the requirements under E-SIGN and Uniform Electronic
Transactions Act.
This transaction is the 11th warehouse securitization sponsored by
loanDepot. Only one of the previously issued securitizations is
outstanding and the remaining nine have paid off.
U.S. Bank National Association (rated AA with a Stable trend by
Morningstar DBRS) will act as the Standby Servicer and Securities
Intermediary. U.S. Bank Trust Company, National Association (rated
AA with a Stable trend by Morningstar DBRS) will act as Indenture
Trustee, Note Calculation Agent, and Collateral Agent. Wilmington
Savings Fund Society, FSB will serve as the Owner Trustee, and
Deutsche Bank National Trust Company will serve as the Mortgage
Loan Custodian.
The Repo Buyer (MWST 2025-1) will enter into a master repurchase
agreement (MRA) with the Repo Seller (loanDepot) and the Collateral
Agent. The MRA will provide for the transfer by the Repo Seller,
against the transfer of the purchase price by the Repo Buyer, of
eligible mortgage loans, with a simultaneous agreement by the Repo
Buyer to transfer such purchased mortgage loans to the Repo Seller
against the transfer of the repurchase price.
The Repo Seller will repurchase all purchased mortgage loans no
later than 30 days following the related purchase date. However,
such loans will automatically be purchased again by the Repo Buyer
unless (1) such the loan has already been in the facility for more
than 120 days in the aggregate (whether or not consecutive), (2)
the loan is purchased by a takeout investor, (3) the loan ceases to
be an eligible mortgage loan, or (4) at the expiration of the
facility. If any purchased loan exits this transaction and the Repo
Seller has not exercised its prepayment option, the Repo Seller
will be required to transfer one or more additional eligible
mortgage loans and/or cash in exchange for the purchased mortgage
loans that have been reacquired by the Repo Seller.
The aggregate principal balance of all purchased mortgage loans
pledged as collateral plus amounts on deposit in the Repo Buyer's
account will at all times be at least equal to the outstanding
aggregate balance of the Notes. The minimum amount of eligible
mortgage loans purchased by the Repo Buyer will be $30,000,000.
The MRA will terminate on the earlier of (1) April 10, 2028, (2)
the Repo Seller exercising its right to optional prepayment in
full, or (3) the date of the occurrence of a repo event of
default.
During the revolving period, the Repo Seller will be required to
make interest payments to the Notes and additionally post cash or
additional eligible mortgage loans to meet any margin deficit. In
general, it is expected that the Notes will not receive payments of
principal until the end of the revolving period unless the Repo
Seller chooses to exercise an optional prepayment. If the Repo
Seller defaults under the MRA then the source of interest and
principal payments to the Notes is expected to be the purchased
mortgage loans that remain in the facility.
If an event of default occurs and it has not been waived, the
Indenture Trustee will be required to conduct one or more auctions
over a four-month period to sell the collateral. The Trustee is not
allowed to sell the collateral unless liquation proceeds are
adequate to make the Class A, Class B, Class C, Class D, and Class
E Notes whole (minimum sale price). If the collateral is not sold,
then collections from the purchased mortgages are used to make
payments to the Notes. Post default, the transaction employs a
sequential-payment structure.
LD Holdings Group LLC (LD Holdings), rated B with a Stable trend by
Morningstar DBRS, will serve as Repo Guarantor in this transaction.
Please refer to the press release "Morningstar DBRS Confirms
loanDepot, Inc. Long-Term Issuer Rating of B With a Stable Trend,"
published September 19, 2024, regarding LD Holdings' Long-Term
Issuer Rating. LD Holdings is a holding company that owns majority
equity interest in loanDepot and several other affiliated
businesses operating in the broader real estate and mortgage
sectors. As a Repo Guarantor, LD Holdings will guaranty all the
payment obligations of Repo Seller under the MRA. For this
transaction, the ratings assigned to the Notes are the higher of
(1) the Repo Guarantor's Long-Term Issuer Rating and (2) the
ratings of the Notes solely based on the strength of the mortgage
loans backing the Notes. At the end of the revolving period, if the
Repo Guarantor does not satisfy its obligations, then the ratings
of the Notes will be evaluated only on the strength of the mortgage
loans backing the Notes. As of the Closing Date, the credit ratings
on the Class E and Class F Notes will be based on the Long-Term
Issuer Rating of the Repo Guarantor.
The coupon rates for the Notes are based on the one-month term
Secured Overnight Financing Rate (SOFR). There are replacement
provisions in place in the event that SOFR is no longer available,
please see the Private Placement Memorandum (PPM) for more
details.
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. On February 17, 2025, however, the
OFR issued a statement of their support for recently introduced
legislation in the Maryland state senate to clarify that a person,
including a passive trust, would not need to be licensed as an
Installment Lender or a Mortgage Lender so long as the person does
not originate, broker, make, or fund mortgage loans or service
mortgage loans for others (including by holding mortgage servicing
rights). Such legislation also affirmatively indicated that
non-consumer mortgage loans are not subject to the initial January
10, 2025, regulation. Additionally, on February 18, 2025, the OFR
published updated guidance that pushes back the current enforcement
compliance date to July 6, 2025. In a situation where the proposed
legislation does not become law and the Issuer fails to obtain the
appropriate Maryland licenses, it 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.
No more than 5% of the purchased mortgage loans will be secured by
mortgaged properties located in Maryland. While the ultimate
resolution of this regulation is still unclear, in a sensitivity
analysis, Morningstar DBRS ran an additional scenario assuming no
recoveries given default on 5% of the pool.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2016-C29: Fitch Cuts Rating on 2 Tranches to 'B-sf'
------------------------------------------------------------------
Fitch Ratings has downgraded nine classes and affirmed four classes
of Morgan Stanley Capital I Trust (MSCI) Commercial Mortgage
Pass-Through Certificates, series 2016-UBS9. Following their
downgrades, classes A-S, B, C and X-B have been assigned Negative
Rating Outlooks.
Fitch has also downgraded nine classes and affirmed five classes of
Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage
Trust 2016-C29 commercial mortgage pass-through certificates. Fitch
has revised the Outlook on affirmed class A-S to Negative from
Stable. Following their downgrades, classes B, C, D, X-B and X-D
have been assigned Negative Outlooks.
Fitch has additionally downgraded seven classes and affirmed seven
classes of Bank of America Merrill Lynch Commercial Mortgage Trust
2016-UBS10 (BACM 2016-UBS10) commercial mortgage pass-through
certificates. The Outlook on affirmed classes B and X-B have been
revised to Negative from Stable. Following their downgrades,
classes C, D and X-D have been assigned Negative Outlooks.
Entity/Debt Rating Prior
----------- ------ -----
MSBAM 2016-C29
A-3 61766EBD6 LT AAAsf Affirmed AAAsf
A-4 61766EBE4 LT AAAsf Affirmed AAAsf
A-S 61766EBH7 LT AAAsf Affirmed AAAsf
A-SB 61766EBC8 LT AAAsf Affirmed AAAsf
B 61766EBJ3 LT A-sf Downgrade AA-sf
C 61766EBK0 LT BBB-sf Downgrade A-sf
D 61766EAL9 LT B-sf Downgrade BBB-sf
E 61766EAN5 LT CCCsf Downgrade B-sf
F 61766EAQ8 LT CCsf Downgrade CCCsf
X-A 61766EBF1 LT AAAsf Affirmed AAAsf
X-B 61766EBG9 LT A-sf Downgrade AA-sf
X-D 61766EAA3 LT B-sf Downgrade BBB-sf
X-E 61766EAC9 LT CCCsf Downgrade B-sf
X-F 61766EAE5 LT CCsf Downgrade CCCsf
MSCI 2016-UBS9
A-3 61766CAD1 LT AAAsf Affirmed AAAsf
A-4 61766CAE9 LT AAAsf Affirmed AAAsf
A-S 61766CAG4 LT AAsf Downgrade AAAsf
A-SB 61766CAF6 LT AAAsf Affirmed AAAsf
B 61766CAK5 LT BBBsf Downgrade A-sf
C 61766CAL3 LT BBsf Downgrade BBB-sf
D 61766CAV1 LT CCCsf Downgrade Bsf
E 61766CAX7 LT CCsf Downgrade CCCsf
F 61766CAZ2 LT Csf Downgrade CCsf
X-A 61766CAH2 LT AAAsf Affirmed AAAsf
X-B 61766CAJ8 LT BBBsf Downgrade A-sf
X-D 61766CAM1 LT CCCsf Downgrade Bsf
X-E 61766CAP4 LT CCsf Downgrade CCCsf
BACM 2016-UBS10
A-3 06054MAD5 LT AAAsf Affirmed AAAsf
A-4 06054MAE3 LT AAAsf Affirmed AAAsf
A-S 06054MAH6 LT AAAsf Affirmed AAAsf
A-SB 06054MAC7 LT AAAsf Affirmed AAAsf
B 06054MAJ2 LT AA-sf Affirmed AA-sf
C 06054MAK9 LT BBB-sf Downgrade A-sf
D 06054MAW3 LT B-sf Downgrade BB-sf
E 06054MAY9 LT CCCsf Downgrade B-sf
F 06054MBA0 LT CCsf Downgrade CCCsf
X-A 06054MAF0 LT AAAsf Affirmed AAAsf
X-B 06054MAG8 LT AA-sf Affirmed AA-sf
X-D 06054MAL7 LT B-sf Downgrade BB-sf
X-E 06054MAN3 LT CCCsf Downgrade B-sf
X-F 06054MAQ6 LT CCsf Downgrade CCCsf
KEY RATING DRIVERS
Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case
losses increased to 12% in MSCI 2016-UBS9, 11% in MSCI 2016-C29 and
15.3% in BACM 2016-UBS10, from 8.5%, 7.7% and 11.5%, respectively,
at Fitch's last rating action. Fitch Loans of Concern (FLOCs)
comprise seven loans (36.6% of the pool) in MSCI 2016-UBS9,
including one specially serviced loan (8.5%); 11 loans (32%) in
MSBAM 2016-C29, including two specially serviced loans (3.4%); and
eight loans (38.1%) in BACM 2016-UBS10, including two specially
serviced loans (10.9%).
MSCI 2016-UBS9: The downgrades reflect increased pool loss
expectations since the last rating action, driven by the
performance deterioration and refinanceability concerns of the
office FLOCs, particularly 525 Seventh Avenue (10.9%), Princeton
Pike Corporate Center (8.5%) and 2100 Ross (9.5%), in addition to
continued underperformance of the Best Western Oakland (1%), Grove
City Premium Outlets (3.8%) and Gulfport Premium Outlooks (1.8%)
loans.
MSCI 2016-C29: The downgrades reflect increased pool loss
expectations since the last rating action due to performance and/or
valuation declines on the office FLOCs, including 300 Four Falls
(7.5%), One Canal Place (3.6%) and the specially serviced 696
Centre (2.1%) and Princeton Pike Corporate Center (2.2%) loans.
Loss expectations remain elevated for retail FLOCs, Grove City
Premium Outlets (8.4%), Gulfport Premium Outlooks (2.5%) and the
REO Crossings at Halls Ferry (1.2%) asset.
BACM 2016-UBS10: The downgrades reflect increased pool loss
expectations since the prior rating action, driven primarily by the
performance declines and refinanceability concerns of the office
FLOCs, including Belk Headquarters (9.1%), 525 Seventh Avenue
(7.2%), 2100 Ross (5.6%), 300 Four Falls (3.5%) and Princeton Pike
Corporate Center (3.5%). Loss expectations remain elevated for
retail FLOCs, Grove City Premium Outlets (4.2%) and Burbank Retail
Center (1.8%).
Across all three transactions, the Negative Outlooks reflect the
potential for further downgrades if performance of the
aforementioned office, hotel and retail FLOCs deteriorates beyond
current expectations, including worsened recovery and/or prolonged
workout on the specially serviced loans/assets, and/or more loans
than anticipated fail to refinance. These pools have significant
upcoming maturities in fourth quarter 2025 and first half of 2026.
Additionally, in MSCI 2016-UBS9 and BACM 2016-UBS10, the Negative
Outlook also accounts for these pools' high office concentration of
35%.
FLOCs; Largest Contributors to Losses: The largest increase in loss
expectations since the last rating action in the MSCI 2016-UBS9
transaction and the second largest increase in the BACM 2016-UBS10
transaction is the 525 Seventh Avenue loan, which is secured by a
23-story office property containing 505,273-sf located in the
Garment District of Manhattan. There is also a ground floor retail
component that spans the entire perimeter of the building occupied
by a Starbucks, Duane Reade, FedEx and an Italian restaurant.
The loan has been designated as a FLOC due to rollover concerns and
maturity default risk; the loan matures in November 2025. The
servicer-reported NOI DSCR was 1.31x at YE 2023 compared with 1.22x
at YE 2022 and 1.30x at YE 2021.
As of the June 2024 rent roll, occupancy has improved to 94% from
87% in September 2022, attributed to a new 10-year lease commencing
in 2023 with a sponsor-affiliated tenant for 5% of the NRA.
Near-term rollover includes 16.1% of the NRA (11% of the GPR) in
2025 and 8.5% (10.5%) in 2026.
Fitch's 'Bsf' rating case loss of approximately 25% (prior to
concentration add-ons) reflects a 10% cap rate and a 10% haircut to
the YE 2023 NOI. Fitch also increased the probability of default to
100% due to anticipated refinance concerns.
The largest increase in loss expectations since the last rating
action in the MSBAM 2016-C29 transaction and the third largest
increase in the BACM 2016-UBS 10 transaction is the 300 Four Falls
loan, which is secured by a 298,482-sf suburban office property
located in West Conshohocken, PA. This FLOC was flagged due to
maturity default risk; the loan matures in February 2026. The
servicer-reported NOI DSCR was 1.97x at YE 2023 compared with 2.29x
at YE 2022 and 1.99x at YE 2021.
As of the December 2024 rent roll, the property occupancy was 83%,
with upcoming rollover that includes 6.1% of the NRA (7.8% of the
GPR) in 2025, followed by 10.5% (12%) in 2026 and 2.8% (3.1%) in
2027.
Fitch's 'Bsf' rating case loss of approximately 23% (prior to
concentration add-ons) reflects a 10% cap rate and a 10% haircut to
the YE 2023 NOI. Fitch also increased the probability of default to
100% due to anticipated refinance concerns.
The second largest increase in loss expectations since the last
rating action in the MSBAM 2016-C29 transaction is the 696 Centre
loan, which is secured by a 204,552-sf suburban office property
located in Farmington Hills, MI. The loan transferred to special
servicing in February 2024 due to monetary default. Occupancy
declined to 10% as of March 2024 from 32% in September 2023 and 75%
in September 2022. According to servicer updates, workout
discussions are ongoing. Fitch's 'Bsf' rating case loss of 76%
(prior to concentration add-ons) reflects a discount to the
September 2024 appraisal, reflecting a stressed value of
approximately $24 psf.
The third largest increase in loss expectations since the last
rating action in the MSBAM 2016-C29 transaction is the One Canal
Place loan, which is secured by a 631,627-sf CBD office property
located in New Orleans, LA. This FLOC was flagged for occupancy
declining to 69% as of December 2024 from 75% at YE 2023. Upcoming
rollover at the property includes 11% of the NRA (10% of the GPR)
in 2025, followed by 8% (7.3%) in 2026 and 11.3% (10%) in 2027. The
servicer-reported NOI DSCR was 2.54x at YE 2024 compared with 2.17x
at YE 2023 and 2.36x at YE 2022. Fitch's 'Bsf' rating case loss of
approximately 14% (prior to concentration add-ons) reflects a 10%
cap rate and a 10% haircut to the YE 2023 NOI. Fitch also increased
the probability of default to 100% due to anticipated refinance
concerns.
The largest increase in loss since the last rating action and the
largest contributor to overall pool loss expectations in BACM
2016-UBS10 is the Belk Headquarters loan, secured by a 473,698-sf
office property located in Charlotte, NC. The property is 100%
leased to Belk through March 2031 and had served as Belk's
headquarters since 1989. In July 2021, Belk announced it was
looking to sublease its headquarters after the decision to shift to
predominantly remote work for corporate employees. The property
remains vacant with no sublease proposals received to date.
The loan had transferred back to special servicing at the request
of the borrower in December 2022 to negotiate for a deed-in-lieu of
foreclosure and a potential purchase and sale agreement. According
to servicer updates, the borrower is considering various options,
including returning title to the lender or a potential loan
assumption. Following the guarantor's death, the borrower, who is
also the executor of the estate, has not replaced the guarantor.
Legal counsel has been hired to enforce rights and remedies.
Fitch's 'Bsf' rating case loss of 75% reflects a stressed value of
$24.7 million, or $52 psf, aligning with comparable vacant single
tenanted properties. The elevated base case loss reflects the
binary nature of the current resolution. Should talks of a
potential purchase and sale agreement fail to materialize, a
prolonged workout is possible.
One of the largest contributors to loss in the MSCI 2016-UBS9 and
BACM 2016-UBS10 transactions is the 2100 Ross loan, which is
secured by a 33-story, 843,728-sf office building located in the
Arts District of downtown Dallas, TX. This FLOC was flagged due to
performance declines and maturity default risk. The loan matures in
February 2026.
Occupancy was 63% as of March 2024, relatively consistent from
62.4% in December 2023 and 63% at YE 2022, but down from 81% at YE
2020. CBRE (15% of NRA) vacated in 2022. The largest current
tenants include Lockton Companies (11.7% of NRA; lease expires in
3/2026), Netherland, Sewell & Associates (7.3%; 9/2025), Prudential
Mortgage Capital (6.5%, 2027) and Merril Lynch, Pierce, Fenner and
Smith (5.6%, 2027) Upcoming rollover at the property includes 4.9%
of the NRA (7.6% of the GPR) in 2025, 15.7% (22%) in 2026 and 16.6%
(24.3%) in 2027.
Fitch's 'Bsf' rating case loss of 26.5% (prior to concentration
add-ons) reflects a stressed value of approximately $70 psf and is
based on a 10% cap rate, 15% haircut to the YE 2023 NOI and 100%
probability of default, reflecting low occupancy, upcoming rollover
concerns and maturity default risk.
Another large contributor of loss in all three transactions is the
Princeton Pike Corporate Center loan, which is secured by an
818,140-sf suburban office property consisting of eight buildings
located in Lawrence Township, NJ. The loan re-emerged from special
servicing in September 2021 with a loan modification allowing for
the conversion of debt service to interest-only (IO) payments and
the implementation of an ongoing cash trap for the remainder of the
loan term. However, the loan transferred back to special servicing
in February 2024 for imminent default.
As of the most recently available reporting, occupancy had fallen
to 60% as of YE 2023, compared with 74% at YE 2022 and 77% at YE
2021. The property occupancy has been steadily declining since its
peak in 2018 at 91%. According to servicer updates, the borrower is
planning to make another modification proposal. Workout discussions
are ongoing.
Fitch's 'Bsf' rating case loss of approximately 39% reflects a
stressed value of $61 psf and is based on an 11% cap rate and 50%
haircut to the YE 2022 NOI, reflecting occupancy declines, lack of
performance and valuation updates and a 100% probability of default
due to the specially serviced loan status and ongoing performance
deterioration.
The largest contributor to losses in the MSBAM 2016-C29 transaction
is the Grove City Premium Outlets, which is secured by a 531,200-sf
open-air outlet center located in Grove City, PA, a tertiary market
located along I-79, approximately 55 miles north of Pittsburgh.
This FLOC was flagged due to declining occupancy and maturity
default risk. Occupancy was 74% as of June 2024, which is in line
with prior years. The loan matures in December 2025.
Fitch's 'Bsf' rating case loss of approximately 34% (prior to
concentration add-ons) reflects a 15% cap rate and a 10% haircut to
the YE 2023 NOI to reflect upcoming rollover concerns.
Additionally, Fitch increased the probability of default to 100% to
factor the continued underperformance and maturity default risk.
Increased Credit Enhancement (CE): As of the March 2025 remittance
report, the aggregate pool balance of BACM 2016-UBS10 has been
reduced by 35.4% since issuance. The deal has incurred $1 million
in realized losses to date and interest shortfalls of $602,000 are
currently affecting the non-rated class H.
As of the March 2025 distribution date, the aggregate pool balance
for the MSCI 2016-UBS9 and MSBAM 2016-C29 transactions has been
reduced by 21% and 17% respectively, since issuance. MSBAM 2016-C29
has incurred $2.8 million in realized losses to date, and interest
shortfalls of $2.1 million are currently affecting the non-rated
classes G and H and $16,000 are affecting class F. MSCI 2016-UBS9
has incurred no realized losses to date and $177,551 of interest
shortfalls are affecting the non-rated class H.
Defeasance: The BACM 2016-UBS10 transaction includes nine loans
(17% of the pool) that have been fully defeased, while MSCI
2016-UBS9 has eight defeased loans (22%), and MSBAM 2016-C29 has 22
defeased loans (26.2%).
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to the super senior 'AAAsf' rated classes are not
expected due to the position in the capital structure and expected
continued paydowns from loan amortization and repayments but may
occur if deal-level losses increase significantly and/or interest
shortfalls occur or are expected to occur.
Downgrades to junior 'AAAsf' and classes rated in the 'AAsf' and
'Asf' categories, which have Negative Outlooks, could occur if
deal-level losses increase significantly from outsized losses on
larger office and retail FLOCs and/or more loans than expected
experience performance deterioration and/or default at or prior to
maturity. Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' category are
likely with higher-than-expected losses from continued
underperformance of the FLOCs, in particular the office and retail
outlet center FLOCs, and/or greater certainty of losses on the
specially serviced loans and/or FLOCs. These elevated risk loans
include Grove City Premium Outlets, 300 Four Falls, One Canal and
696 Centre in MSBAM 2016-C29; 525 Seventh Avenue and 2100 Ross in
MSC 2016-UBS9; and Belk Headquarters, 2100 Ross and 525 Seventh
Avenue in BACM 2016-UBS10. Princeton Pike Corporate Center is an
elevated risk loan in all three transactions.
Downgrades to the distressed classes would occur as losses are
realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with increased CE from additional paydowns and/or
defeasance, coupled with stable-to-improved pool-level loss
expectations and stable-to-improved performance on the FLOCs,
including Grove City Premium Outlets, 300 Four Falls, One Canal and
696 Centre in MSBAM 2016-C29; 525 Seventh Avenue and 2100 Ross in
MSC 2016-UBS9; and Belk Headquarters, 2100 Ross and 525 Seventh
Avenue in BACM 2016-UBS10.
Upgrades to the 'BBBsf' would be limited based on sensitivity to
concentrations or the potential for future concentration. Classes
would not be upgraded above 'AA+sf' if there is likelihood for
interest shortfalls.
Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable, recoveries on the FLOCs and
special serviced loans are better than expected and there is
sufficient CE to the classes.
Upgrades to distressed ratings are unlikely, but possible with
better-than-expected recoveries on specially serviced loans and/or
significantly higher improved performance of the FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
MORGAN STANLEY 2025-21: Fitch Assigns 'BB-sf' Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Morgan
Stanley Eaton Vance CLO 2025-21, Ltd.
Entity/Debt Rating
----------- ------
Morgan Stanley Eaton
Vance CLO 2025-21, Ltd.
A-1 LT AAAsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Morgan Stanley Eaton Vance CLO 2025-21, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that is
managed by Morgan Stanley Eaton Vance CLO Manager LLC. Net proceeds
from the issuance of the secured and subordinated notes will
provide financing on a portfolio of approximately $400 million of
primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 22.78 versus a maximum covenant, in
accordance with the initial expected matrix point of 26. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
99.52% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 74.76% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.5%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 42.5% of the portfolio balance in aggregate while
the top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'B+sf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and
'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Morgan Stanley
Eaton Vance CLO 2025-21, 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.
MORGAN STANLEY 2025-HX1: S&P Assigns B (sf) Rating on B-2 Notes
---------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Morgan
Stanley Residential Mortgage Loan Trust 2025-HX1's mortgage-backed
certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed-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 787 loans, which are QM safe harbor (APOR), QM
rebuttable presumption (APOR), non-QM/ATR-compliant, and ATR-exempt
loans.
The preliminary ratings are based on information as of April 10,
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 (R&W) framework;
-- The mortgage aggregators, Morgan Stanley Mortgage Capital
Holdings LLC (MSMCH) and Morgan Stanley Bank N.A. (MSBNA);
-- The reviewed mortgage originator, HomeXpress Mortgage Corp.
(HomeXpress);
-- The 100% due diligence results consistent with represented loan
characteristics; and
S&P said, "Our outlook that considers our current projections for
U.S. economic growth, unemployment rates, and interest rates, as
well as our view of housing fundamentals, which is updated if
necessary, when these projections change materially. Please refer
to "Economic Outlook U.S. Q2 2025: Losing Steam Amid Shifting
Policies," published March 25, 2025, for our economic outlook."
Preliminary Ratings Assigned
Morgan Stanley Residential Mortgage Loan Trust 2025-HX1(i)
Class A-1-A, $183,991,000: AAA (sf)
Class A-1-B, $29,942,000: AAA (sf)
Class A-1, $213,933,000: AAA (sf)
Class A-2, $25,750,000: AA- (sf)
Class A-3, $27,846,000: A- (sf)
Class M-1, $12,725,000: BBB- (sf)
Class B-1, $6,737,000: BB (sf)
Class B-2, $7,485,000: B (sf)
Class B-3, $4,941,338: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R-PT, $14,975,338: NR
Class PT, $284,442,000: 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 $299,417,338.
NR--Not rated.
NASSAU LTD 2018-I: Moody's Cuts Rating on $20.1MM E Notes to Caa1
-----------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Nassau 2018-I Ltd.:
US$20,100,000 Class E Secured Deferrable Floating Rate Notes,
Downgraded to Caa1 (sf); previously on Nov 15, 2024 Downgraded to
B1 (sf)
Moody's have also upgraded the rating on the following notes:
US$32,600,000 Rated Repack B Notes (composed of components
representing $11,800,000 of Class C Notes, $11,300,000 of Class D
Notes, and US$9,500,000 of Subordinated Notes due 2031
(collectively, the "Repack B Underlying Components")) (current
outstanding balance $16,768,528) (the " Rated Repack B Notes"),
Upgraded to Aa1 (sf); previously on Nov 15, 2024 Upgraded to Aa2
(sf)
Nassau 2018-I Ltd., issued in June 2018, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans and Rated Repack B Notes
are collateralized by their underlying components. The
transaction's reinvestment period ended in July 2023.
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 Class E notes reflects the
specific risks to the junior notes posed by par loss and excess
spread deterioration observed in the underlying CLO portfolio.
Based on Moody's calculations, the OC ratio for the Class E notes
is currently 102.44% versus November 2024 level of 103.10%.
Furthermore, Moody's calculated weighted average spread (WAS) has
been deteriorating, and the current level is 3.25%, compared to
3.41% in November 2024.
The upgrade rating action on the Rated Repack B Notes is primarily
the result of an increase in the Repack B Underlying Components'
over-collateralization (OC) ratios since November 2024. The Repack
B Rated Notes are fully collateralized by the Class C Notes and
Class D Notes Underlying Components. Based on Moody's calculations,
the OC ratios for the Class C and Class D notes are currently
131.21% and 111.99% respectively, versus November 2024 levels of
126.58% and 111.11%, respectively. Additionally, the outstanding
principal balance of Repack B Notes has been paid down by $0.4
million or 2.6% since that time.
No actions were taken on the Class A, Class B, Class C, Class D and
Repack A Notes because their expected losses remain commensurate
with their current ratings, after taking into account the CLO's
latest portfolio information, its relevant structural features and
its actual over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $241,515,115
Defaulted par: $788,930
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2752
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.25%
Weighted Average Recovery Rate (WARR): 46.71%
Weighted Average Life (WAL): 3.8 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and, lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
NYC COMMERCIAL 2021-909: DBRS Confirms BB(low) Rating on E Certs
----------------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on the following classes of
Commercial Mortgage Pass Through Certificates, Series 2021-909
issued by NYC Commercial Mortgage Trust 2021-909, Series 2021-909
as follows:
-- Class A at AAA (sf)
-- Class X at AA (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
transaction's overall performance, as the collateral office
building reported a healthy YE2024 debt service coverage ratio
(DSCR) and occupancy rate of 2.20 times (x) and 95.6%,
respectively, supporting the credit rating actions.
The underlying loan is secured by the leasehold interest in a
32-story, 1.35 million-square-foot (sf) Class A office property
located at 909 Third Avenue in Midtown Manhattan. The office
portion of the collateral sits atop 492,375 sf of flex industrial
space, which is occupied by the United States Postal Service's
(USPS) main New York City mail-handling facility. The property is
subject to a ground lease that is scheduled to expire in May 2041,
with one remaining option to extend to November 2063.
The fixed-rate loan is interest only (IO), with a 10-year term
maturing in April 2031. The trust loan of $250.0 million consists
of $135.6 million of senior debt and $114.4 million of junior debt;
additional senior notes are held outside the trust. The loan
sponsor, Vornado, is a leading landlord in New York City whose
portfolio is filled with office properties concentrated in Midtown
Manhattan. Since acquisition, Vornado's commitment to the property
is demonstrated through an investment of more than $184 million of
capital, including more than $46.9 million of base building
upgrades.
The subject property tenancy is composed of a roster that includes
a handful of investment-grade rated tenants that account for more
than half of the building's net rentable area (NRA) and gross rent,
which have lease expiries that extend between 2027 and 2038. The
USPS has been a tenant at the property since 1968 and currently
occupies 36.5% of the NRA on a lease expiring in October 2028. The
tenant has two five-year extensions remaining, bringing the fully
extended lease expiration date to October 2038. Given the unique
nature of the space, its mission-critical location in the heart of
Manhattan, the tenant's renewal history, and its well-below-market
rents reported at $13.06 per sf (psf) as of the January 2025 rent
roll, Morningstar DBRS expects that the USPS will continue to renew
and believes there is substantial long-term upside embedded in this
space.
According to the January 2025 rent roll, the occupancy rate is
95.6%, with an average in-place rent of $46.35 psf for all tenants
($66.83 psf when excluding USPS lease) compared with the Reis Q4
2024 Plaza submarket vacancy rate of 11.9% and average asking rent
of $101.89. In the near term, Morningstar DBRS notes that tenant,
Geller & Company LLC (9.3% of NRA and 13.9% of base rent) has an
upcoming lease expiration in April 2025, and the space is currently
listed as available on the sponsor's website, which will result in
a temporary decline in net cash flow (NCF). Media articles have
pointed to several deals and dwindling availability that highlights
an uptick in demand for spaces on Third Avenue, given the proximity
to Grand Central Terminal, amid rent increases for adjacent Park
Avenue and Sixth Avenue buildings. Given the property benefits from
its desirable location along Third Avenue in the Plaza submarket
and its strong sponsorship in Vornado, Morningstar DBRS expects the
space to be backfilled in the near to moderate term with cash flow
rebounding soon thereafter. Aside from Geller & Company LLC, tenant
rollover is minimal over the next 12 months with less than 2.0% of
the NRA having lease expirations.
Based on the YE2024 financials, the loan reported an NCF of $25.3
million (with a DSCR of 2.20x) compared with the YE2023 figure of
$25.9 million (with a DSCR of 2.26x), and the Morningstar DBRS
figure of $26.3 million. In its analysis, Morningstar DBRS
straight-lined USPS' rent over the term of the loan, 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. 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 7.0% applied to the Morningstar DBRS NCF of
$26.3 million. Morningstar DBRS also maintained positive
qualitative adjustments to the loan-to value ratio (LTV)-sizing
benchmarks, which total 5.50% to reflect the property's
investment-grade tenancy, upside potential for the USPS space given
the below-market rent, property quality, and prominent location
occupying the full eastern block of Third Avenue between 54th
Street and 55th Street. The Morningstar DBRS concluded value of
$378.0 million represents a -44.0% variance from the issuance
appraised value of $675.0 million and an implied all-in LTV of
92.6%.
Notes: All figures are in U.S. dollars unless otherwise noted.
OAKTREE CLO 2025-29: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Oaktree CLO 2025-29
Ltd./Oaktree CLO 2025-29 LLC's floating-rate debt
The debt issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans. The transaction is managed by Oaktree CLO
Management Co. 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
Oaktree CLO 2025-29 Ltd./Oaktree CLO 2025-29 LLC
Class A, $256.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $22.00 million: BBB (sf)
Class D-2 (deferrable), $8.00 million: BBB- (sf)
Class E (deferrable), $10.00 million: BB- (sf)
Subordinated notes, $37.58 million: NR
NR--Not rated.
OCP CLO 2025-42: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP CLO
2025-42 Ltd./OCP CLO 2025-42 LLC's fixed- and floating-rate debt.
The debt issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans. The transaction is managed by Onex Credit
Partners LLC, a subsidiary of Onex Corp.
The preliminary ratings are based on information as of April 15,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
Preliminary Ratings Assigned
OCP CLO 2025-42 Ltd./OCP CLO 2025-42 LLC
Class A, $243.0 million: NR
Class A-L loans(i), $103.5 million: NR
Class B-1, $61.5 million: AA (sf)
Class B-2, $10.0 million: AA (sf)
Class C (deferrable), $33.0 million: A (sf)
Class D-1 (deferrable), $33.0 million: BBB- (sf)
Class D-2 (deferrable), $5.5 million: BBB- (sf)
Class E (deferrable), $16.5 million: BB- (sf)
Subordinated notes, $55.0 million: NR
(i)All or a portion of the class A-L loans can be converted into
class A notes. Upon such conversion, the class A-L loans will be
decreased by such converted amount with a corresponding increase in
class A notes. The class A notes cannot be converted to class A-L
loans.
NR--Not rated.
OCTAGON 58: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Octagon 58, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Octagon 58, Ltd.
A-1-R LT NR(EXP)sf Expected Rating
A-2-R LT AAA(EXP)sf Expected Rating
B-R LT AA(EXP)sf Expected Rating
C-R LT A(EXP)sf Expected Rating
D-1-R LT BBB-(EXP)sf Expected Rating
D-2-R LT BBB-(EXP)sf Expected Rating
E-R LT BB-(EXP)sf Expected Rating
Transaction Summary
Octagon 58, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Octagon Credit Investors, LLC that originally closed in June 2022.
On April 15t, 2025, the existing secured notes will be redeemed in
full with refinancing proceeds. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $700 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.7, versus a maximum covenant, in accordance with
the initial expected matrix point of 26. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
98.33% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.79% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 44% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a 5-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting 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 between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R,
and between less than 'B-sf' and 'BB+sf' for class D-2-R and
between less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
Most of the underlying assets or risk-presenting entities have
ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Octagon 58, 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.
OCTAGON 58: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
-----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Octagon
58, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Octagon 58, Ltd.
A-1-R LT NRsf New Rating NR(EXP)sf
A-2-R LT AAAsf New Rating AAA(EXP)sf
B-R LT AAsf New Rating AA(EXP)sf
C-R LT Asf New Rating A(EXP)sf
D-1-R LT BBB-sf New Rating BBB-(EXP)sf
D-2-R LT BBB-sf New Rating BBB-(EXP)sf
E-R LT BB-sf New Rating BB-(EXP)sf
Transaction Summary
Octagon 58, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Octagon Credit Investors, LLC that originally closed in June 2022.
On April 15, 2025, the existing secured notes will be redeemed in
full with refinancing proceeds. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $700 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 23.7, versus a maximum covenant, in accordance with
the initial expected matrix point of 26. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
98.33% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.79% versus a
minimum covenant, in accordance with the initial expected matrix
point of 72%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 44% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio and matrices analysis is 12 months less than the WAL
covenant to account for structural and reinvestment conditions
after the reinvestment period. In Fitch's opinion, these conditions
would reduce the effective risk horizon of the portfolio during
stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between
'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R,
and between less than 'B-sf' and 'BB+sf' for class D-2-R and
between less than 'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
Most of the underlying assets or risk-presenting entities have
ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
Date of Relevant Committee
April 10, 2025
ESG Considerations
Fitch does not provide ESG relevance scores for Octagon 58, 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
OHA CREDIT 14-R: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the reissued class A,
B-1, B-2, C, D-1, D-2, and E floating-rate debt from OHA Credit
Funding 14-R Ltd./OHA Credit Funding 14-R LLC, a reissue of the
transaction originally issued in 2023 and managed by Oak Hill
Advisors L.P. At the same time, S&P withdrew its ratings on the
original class B, C, D, and E floating-rate debt.
The reissued debt was issued via an indenture, which outlines the
terms of the reissued debt. According to the indenture:
-- The original class B debt was replaced by two new classes: B-1,
a floating-rate tranche; and B-2, a fixed-rate tranche. The class
B-1 and B-2 debt are pro rata in payment.
-- The original class D debt was replaced by two new floating-rate
classes: D-1 and D-2, which are sequential in payment.
-- The non-call period was extended to April 11, 2027.
-- The reinvestment period was extended to April 20, 2030.
-- The legal final maturity dates (for the existing subordinated
notes) were extended to April 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 notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
OHA Credit Funding 14-R Ltd./OHA Credit Funding 14-R LLC
Class A, $305.0 million: AAA (sf)
Class B-1, $62.0 million: AA (sf)
Class B-2, $13.0 million: AA (sf)
Class C (deferrable), $30.0 million: A (sf)
Class D-1 (deferrable), $30.0 million: BBB- (sf)
Class D-2 (deferrable), $2.5 million: BBB- (sf)
Class E (deferrable), $17.5 million: BB- (sf)
Other Debt
OHA Credit Funding 14-R Ltd./ OHA Credit Funding 14-R LLC
Subordinated notes, $45.0 million: NR
Ratings Withdrawn
OHA Credit Funding 14 Ltd./OHA Credit Funding 14 LLC
Class B, $56.25 million: AA (sf)
Class C (deferrable), $32.75 million: A (sf)
Class D (deferrable), $28.50 million: BBB- (sf)
Class E (deferrable), $17.50 million: BB- (sf)
Other Debt
OHA Credit Funding 14 Ltd./OHA Credit Funding 14 LLC
Class A, $320.0 million: NR
Subordinated notes, $45.0 million: NR
NR--Not rated.
OHA CREDIT 20: S&P Assigns BB- (sf) Rating on Class E Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to OHA Credit Funding 20
Ltd./OHA Credit Funding 20 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 Oak Hill Advisors L.P.
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
OHA Credit Funding 20 Ltd./OHA Credit Funding 20 LLC
Class A, $157.50 million: AAA (sf)
Class A-L, $0.00 million: AAA (sf)
Class A-L loans(i), $150.00 million: AAA (sf)
Class B-1, $62.50 million: AA (sf)
Class B-2, $10.00 million: AA (sf)
Class C-1 (deferrable), $30.00 million: A (sf)
Class C-2 (deferrable), $5.00 million: A (sf)
Class D-1 (deferrable), $25.00 million: BBB- (sf)
Class D-2 (deferrable), $5.00 million: BBB- (sf)
Class E (deferrable), $15.00 million: BB- (sf)
Subordinated notes, $43.89 million: NR
(i)All or a portion of the class A-L loans can be converted into
class A-L debt. Upon such conversion, the class A-L loans will be
decreased by such converted amount with a corresponding increase in
the class A-L debt. No class A-L debt or any other class of debt
may be converted into class A-L loans.
NR--Not rated.
PALMER SQUARE 2023-2: Moody's Assigns Ba2 Rating to Cl. D-R Notes
-----------------------------------------------------------------
Moody's Ratings has assigned ratings to five classes of CLO
refinancing notes issued and one class of loans (collectively, the
"Refinancing Debts") incurred by Palmer Square Loan Funding 2023-2,
Ltd. (the "Issuer").
Moody's rating action is as follows:
US$202,466,766 Class A-1-R Loans maturing 2032, Assigned Aaa (sf)
US$26,995,568 Class A-1-R Senior Secured Floating Rate Notes due
2032, Assigned Aaa (sf)
US$60,000,000 Class A-2-R Senior Secured Floating Rate Notes due
2032, Assigned Aaa (sf)
US$26,100,000 Class B-R Senior Secured Deferrable Floating Rate
Notes due 2032, Assigned Aa3 (sf)
US$20,575,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2032, Assigned Baa1 (sf)
US$18,325,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2032, Assigned Ba2 (sf)
The notes and loans listed are referred to herein, collectively, as
the "Rated Debt".
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.
The Issuer is a static cash flow collateralized loan obligation
(CLO). The Refinancing Debts are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans.
The Issuer previously issued one class of subordinated notes, which
will remain outstanding.
In addition to the issuance of the Refinancing Debts, other changes
to transaction features will occur in connection with the
refinancing, including extension of the Refinancing Debts' non-call
period.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $389,515,012
Diversity Score: 72
Weighted Average Rating Factor (WARF): 2534
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.08%
Weighted Average Coupon (WAC): 4.48%
Weighted Average Recovery Rate (WARR): 46.82%
Weighted Average Life (WAL): 4.12 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2024.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Debt is subject to uncertainty. The
performance of the Rated Debt is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Debt.
PPLUS TRUST LTD-1: S&P Raises Class A/B Certs Rating to 'BB-'
-------------------------------------------------------------
S&P Global Ratings raised its ratings on PPLUS Trust Series LTD-1's
$25 million class A and B certificates to 'BB-' from 'B+'.
S&P's ratings on the certificates are dependent on its rating on
the underlying security, Bath & Body Works Inc.'s $350 million
6.95% debenture due March 1, 2033 ('BB-').
The rating actions reflect the April 11, 2025, raising of S&P's
rating on the underlying security to 'BB-' from 'B+'.
S&P may take subsequent rating actions on this transaction if its
rating on the underlying security changes.
PRET 2025-RPL2: DBRS Finalizes BB Rating on Class B1 Notes
----------------------------------------------------------
DBRS, Inc. finalized provisional credit ratings to the
Mortgage-Backed Notes, Series 2025-RPL2 (the Notes) to be issued by
PRET 2025-RPL2 Trust (PRET 2025-RPL2 or the Trust) as follows:
-- $315.8 million Class A-1 at AAA (sf)
-- $26.0 million Class A-2 at AA (high) (sf)
-- $341.8 million Class A-3 at AA (high) (sf)
-- $366.1 million Class A-4 at A (sf)
-- $383.7 million Class A-5 at BBB (sf)
-- $24.3 million Class M-1 at A (sf)
-- $17.7 million Class M-2 at BBB (sf)
-- $11.7 million Class B-1 at BB (sf)
-- $7.9 million Class B-2 at B (high) (sf)
The Class A-3, Class A-4, and Class A-5 Notes are exchangeable.
These classes can be exchanged for combinations of initial
exchangeable notes as specified in the offering documents.
The AAA (sf) credit rating on the Notes reflects 25.90% of credit
enhancement provided by subordinated notes. The AA (high) (sf), A
(sf), BBB (sf), BB (sf), and B (high) (sf) credit ratings reflect
19.80%, 14.10%, 9.95%, 7.20%, and 5.35% of credit enhancement,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
PRET 2025-RPL2 is a securitization of a portfolio of seasoned
performing and reperforming first-lien residential mortgages funded
by the issuance of the Notes. The Notes are backed by 2,297 loans
with a total principal balance of $448,563,944 as of the Cut-Off
Date (February 28, 2025).
The mortgage loans are approximately 191 months seasoned. As of the
Cut-Off Date, 93.7% of the loans are current (including 1.8%
bankruptcy-performing loans), and 6.3% of the loans are 30 days
delinquent (including 0.2% bankruptcy loan) under the Mortgage
Bankers Association (MBA) delinquency method. Under the MBA
delinquency method, 42.5% and 70.0% of the mortgage loans have been
zero times 30 days delinquent for the past 24 months and 12 months,
respectively.
The portfolio contains 84.8% modified loans as determined by the
Issuer. Morningstar DBRS considers the modifications happened more
than two years ago for 86.8% of these loans. Within the pool, 842
mortgages have an aggregate non-interest-bearing deferred amount of
$35,347,524, which comprises 7.9% of the total principal balance.
PRET 2025-RPL2 is the fifth rated securitization of seasoned
performing and reperforming residential mortgage loans on the PRET
shelf. The Sponsor, Goldman Sachs Mortgage Company (GSMC), is a New
York limited partnership.
The Mortgage Loan Seller will contribute the loans to the Trust
through GS Mortgage Securities Corp. (the Depositor). As the
Sponsor, GSMC or its majority-owned affiliate will retain an
eligible vertical interest in the transaction consisting of an
uncertificated interest in the Issuer representing the right to
receive at least 5% of the amounts collected on the mortgage loans
to satisfy the credit risk retention requirements under Section 15G
of the Securities Exchange Act of 1934 and the regulations
promulgated thereunder.
All the loans are being serviced by Selene Finance LP (Selene).
There will not be any advancing of delinquent principal and
interest (P&I) on any mortgages by the Servicer or any other party
to the transaction; however, the Servicer is obligated to make
advances in respect of homeowners association fees in super lien
states and, in certain cases, taxes and insurance as well as
reasonable costs and expenses incurred in the course of servicing
and disposing of the properties.
The Controlling Holder also will have the right to direct the
Servicer to sell any mortgage loan that has become 90 or more days
delinquent in payment of any related loan payment. In addition, if
the Controlling Holder objects to a proposed or contemplated
foreclosure action with respect to a mortgage loan, the Controlling
Holder must repurchase such mortgage loan at a price equal to the
sum of (1) unpaid principal balance plus interest, (2) any
outstanding Post-Cut-Off Date Deferred Amount, and (3) any
pre-existing servicing advances, unreimbursed servicing advances,
or unpaid servicing fees with respect to such mortgage loan.
On any Payment Date on or after the earlier of (1) the three-year
anniversary of the Closing Date and (2) the date on which the
aggregate Principal Balance of the Mortgage Loans is reduced to
less than 30% of the Aggregate Cut-Off Date Principal Balance of
the Mortgage Loans, the Controlling Holder will have the option to
purchase all remaining loans and other property of the Issuer at
the redemption price (Optional Redemption). The Redemption Right
Holder will be the beneficial owner of more than 50% the Class X
Notes.
The Controlling Holder has the option to, on any business day on or
after the Payment Date in April 2027, purchase all of the
outstanding Notes (Optional Clean-up Call) for a price equal to the
sum of (1) the Class Principal Balance of each Class of Notes and
(2) any accrued and unpaid interest thereon (including any Cap
Carryover Amounts due to the Class A-1, Class A-2, Class M-1, and
Class M-2 and any outstanding amounts due to the Class X Notes).
The transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on the
Notes, but such shortfalls on Class A-2 and more subordinate P&I
bonds will not be paid from principal proceeds until the more
senior classes are retired.
Notes: All figures are in US dollars unless otherwise noted.
PRPM 2025-RCF2: DBRS Gives Prov. BB Rating on Class M-2 Notes
-------------------------------------------------------------
DBRS, Inc. assigned the following provisional credit ratings to the
Mortgage-Backed Notes, Series 2025-RCF2 (the Notes) to be issued by
PRPM 2025-RCF2, LLC (PRPM 2025-RCF2 or the Trust):
-- $184.9 million Class A-1 at (P) AAA (sf)
-- $19.4 million Class A-2 at (P) AA (low) (sf)
-- $13.4 million Class A-3 at (P) A (low) (sf)
-- $9.3 million Class M-1 at (P) BBB (low) (sf)
-- $5.9 million Class M-2 at (P) BB (sf)
The (P) AAA (sf) credit rating on the Class A-1 Notes reflects
26.70% of credit enhancement provided by the subordinated notes.
The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), and
(P) BB (sf) credit ratings reflect 19.00%, 13.70%, 10.00%, and
7.65% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Trust is a securitization of a portfolio of newly originated
and seasoned, performing and reperforming, first-lien residential
mortgages, to be funded by the issuance of mortgage-backed notes
(the Notes). The Notes are backed by 841 loans with a total
principal balance of $252,239,765 as of the Cut-Off Date (February
28, 2025).
Morningstar DBRS calculated the portfolio to be approximately 52
months seasoned on average, though the age of the loans is quite
dispersed, ranging from two months to 441 months. Approximately
78.0% of the loans had origination guideline or document
deficiencies, which prevented these loans from being sold to Fannie
Mae, Freddie Mac, or another purchaser, and the loans were
subsequently put back to the sellers. In its analysis, Morningstar
DBRS assessed such defects and applied certain penalties,
consequently increased expected losses on the mortgage pool.
In the portfolio, 16.4% of the loans are modified. The
modifications happened more than two years ago for 95.7% of the
modified loans. Within the portfolio, 118 mortgages have
non-interest-bearing deferred amounts representing 0.9% of the
total unpaid principal balance. Unless specified otherwise, all
statistics on the mortgage loans in this report are based on the
current UPB, including the applicable non-interest-bearing deferred
amounts.
Based on Issuer-provided information, certain loans in the pool
(17.6%) are not subject to or exempt from the Consumer Financial
Protection Bureau's (CFPB) Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules because of seasoning or because they are
business-purpose loans. The loans subject to the ATR rules are
designated as QM Safe Harbor (42.1%), QM Rebuttable Presumption
(2.3%), and Non-Qualified Mortgage (Non-QM; 38.0%) by UPB.
BM-SC, LLC. (the Sponsor) acquired the mortgage loans prior to the
up-coming Closing Date and, through a wholly owned subsidiary, PRP
Depositor 2025-RCF2, LLC (the Depositor), will contribute the loans
to the Trust. As the Sponsor, BM-SC, LLC. or one of its
majority-owned affiliates will acquire and retain a portion of the
Class B Notes and the membership certificate representing the
initial overcollateralization amount to satisfy the credit risk
retention requirements.
PRPM 2025-RCF2 is the tenth "scratch and dent" rated securitization
for the Issuer. The Sponsor has securitized many rated and unrated
transactions under the PRPM shelf, most of which have been
seasoned, reperforming, and nonperforming securitizations.
On or before 45 days after the closing date, loans serviced by
interim servicers, representing 3.7% of the mortgage loans, will be
transferred to SN Servicing Corporation (SNSC), bringing total
loans serviced to 55.5% of the pool. Nationstar Mortgage LLC doing
business as Rushmore Servicing (Rushmore) will service the
remaining 44.5% of the pool.
The Servicers will not advance any delinquent principal and
interest (P&I) on the mortgages; however, the Servicers are
obligated to make advances in respect of prior liens, insurance,
real estate taxes, and assessments as well as reasonable costs and
expenses incurred in the course of servicing and disposing of
properties.
The Issuer has the option to redeem the Notes in full at a price
equal to the sum of (1) the remaining aggregate Note Amount; (2)
any accrued and unpaid interest due on the Notes through the
redemption date (including any Cap Carryover); and (3) any fees and
expenses of the transaction parties, including any unreimbursed
servicing advances (Redemption Price). Such Optional Redemption may
be exercised on or after the payment date in April 2027 (Optional
Redemption).
Additionally, a failure to pay the Notes in full by the Payment
Date in April 2030 will trigger a mandatory auction of the
underlying certificates on the May 2030 payment date by the Asset
Manager or an agent appointed by the Asset Manager. If the auction
fails to elicit sufficient proceeds to make-whole the Notes,
another auction will follow every four months for the first year
and subsequent auctions will be carried out every six months. If
the Asset Manager fails to conduct the auction, the holder of more
than 50% of the Class M-2 Notes will have the right to appoint an
auction agent to conduct the auction.
The transaction employs a sequential-pay cash flow structure with a
bullet feature to Class A-2 and more subordinate notes on the
Expected Redemption Date (Payment Date in April 2029) or the
occurrence of a Credit Event. Interest and principal collections
are first used to pay interest and any Cap Carryover amount to the
Notes sequentially and then to pay Class A-1 until its balance is
reduced to zero, which may provide for timely payment of interest
on certain rated Notes. Class A-2 and below are not entitled to any
payments of principal until the Expected Redemption Date or upon
the occurrence of a Credit Event, except for remaining available
funds representing net sale proceeds of the mortgage loans. Prior
to the Expected Redemption Date or a Credit Event, any available
funds remaining after Class A-1 is paid in full will be deposited
into a Redemption Account. Beginning on the Payment Date in April
2029, the Class A-1 and the other offered Notes will be entitled to
the initial Note Rate plus the step-up note rate of 1.00% per
annum. If the Issuer does not redeem the rated Notes in full by the
payment date in July 2031, or an Event of Default occurs and is
continuing, a Credit Event will have occurred. Upon the occurrence
of a Credit Event, accrued interest on Class A-2 and the other
offered Notes will be paid as principal to Class A-1 or the
succeeding senior Notes until it has been paid in full. The
redirected amounts will accrue on the balances of the respective
Notes and will later be paid as principal payments.
NATURAL DISASTERS/WILDFIRES
With regard to any mortgage loan that may have suffered material
damage prior to the Closing Date as a result of the Los Angeles
Wildfires, the Sponsor will either remove or repurchase the
Potentially Affected Wildfire Property, as defined in the
Indenture, prior to the Closing Date within ninety (90) days of
receipt of evidence and determination by the Sponsor at the
Repurchase Price, as defined in the Indenture, and provide notice
to the Indenture Trustee of such repurchase.
MARYLAND CONSUMER PURPOSE
In 2024, the Maryland Appellate Court ruled that a statutory trust
that held a defaulted home equity line of credit (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 1.7% of the pool (17 loans) are Maryland
consumer-purpose mortgage loans.
Notes: All figures are in U.S. dollars unless otherwise noted.
PRPM 2025-RCF2: Fitch Assigns 'BB-sf' Final Rating on Cl. M-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to PRPM 2025-RCF2, LLC.
PRPM 2025-RCF2 utilizes Fitch's new Interactive RMBS Presale
feature. To access the interactive feature, click the link at the
top of the presale report first page, log into dv01 and explore
Fitch's loan-level loss expectations.
Entity/Debt Rating Prior
----------- ------ -----
PRPM 2025-RCF2,
LLC
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AA-sf New Rating AA-(EXP)sf
A-3 LT A-sf New Rating A-(EXP)sf
B LT NRsf New Rating NR(EXP)sf
CERT LT NRsf New Rating NR(EXP)sf
M-1 LT BBB-sf New Rating BBB-(EXP)sf
M-2 LT BB-sf New Rating BB-(EXP)sf
Transaction Summary
Fitch has rated the series 2025-RCF2 residential mortgage-backed
notes issued by PRPM 2025-RCF2, LLC as indicated above. The notes
are supported by 841 loans with a balance of $252.24 million as of
the cutoff date. This is the eighth PRPM RCF transaction rated by
Fitch.
The notes are secured by a pool of recently originated and seasoned
fixed-rate, step-rate and adjustable-rate fully amortizing,
balloon, and performing and reperforming mortgage loans. The notes
are secured by first liens primarily on one- to four-family
residential properties, units in planned unit developments (PUDs),
townhouses, condominiums/cooperatives and manufactured housing.
Based on Fitch's analysis of the pool, 78.0% of the pool loans
represent collateral with a defect or exception to guidelines that
preclude the loans from a government-sponsored entity (GSE) pool.
The remaining 22.0% of the loan types are performing or
reperforming. Based on the transaction documents, 78.3% of the pool
had a defect or exception to guidelines that precluded the loans
from being in a GSE pool and 21.7% are performing or reperforming
loans.
According to Fitch, 38.0% of the loans are non-qualified mortgage
(non-QM), as defined by the Ability to Repay Rule (ATR Rule); 43.4%
are safe-harbor or high-priced QM loans; and the remaining 18.6%
are exempt from the QM rule, as they are investment properties or
were originated prior to the ATR Rule taking effect in January
2014. The transaction documents state that, of the loans, 39.0% are
non-QM, 47.7% are high-priced QM or safe-harbor QM loans, and 13.3%
are exempt from the QM rule. The discrepancy in non-QM percentages
is due to the fact that Fitch had considered scratch and dent (S&D)
loans originated as non-investor prior to January 2014, and then,
after that date, as non-QM loans.
The loans were originated by various originators, with no
originator contributing more than 15% to the pool. SN Servicing
Corp. (SNSC), rated 'RSS3' by Fitch, will service 51.8% of the
loans in the pool; Nationstar Mortgage LLC dba Rushmore Servicing
(Rushmore), rated 'RSS2' by Fitch, will service 44.5% of the loans;
NewRez LLC, rated 'RSS2+' by Fitch, will service 3.6% of the loans;
and the remaining 0.1% will be serviced by Fay Servicing LLC, rated
'RSS2' by Fitch.
The offered A and M notes are fixed rate and capped at available
funds. The B note is a principal-only (PO) bond and is not entitled
to interest. Similar to non-QM transactions, classes A and M have a
step-up coupon feature that is triggered if the deal is not called
in April 2029.
Fitch was only asked to rate class A-1, A-2, A-3, M-1 and M-2
notes.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.2% 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 have increased 3.8% YoY nationally as of
November 2024, despite modest regional declines, but are still
being supported by limited inventory.
Nonprime Credit Quality (Negative): The collateral consists of 841
first and second lien, fixed-rate, step rate and ARM loans with
maturities of up to 40 years totaling $252.24 million, including
deferred balances. Specifically, the pool comprises 62.6% 30-year,
fully amortizing fixed-rate loans (including 1.3% 10-year
interest-only [IOs]), 17.6% over 30-year fully amortizing
fixed-rate loans, 12.4% less than 30-year, fully amortizing
fixed-rate loans (including 3.5% 10-year IOs), and 7.4% ARM and
step rate loans (including 0.8% 10-year IOs) based on Fitch's
analysis. The pool is seasoned at 54 months, according to Fitch.
The borrowers in this pool have relatively strong credit profiles
with a Fitch-determined weighted average (WA) FICO score of 733,
which is similar to the 739 non-zero WA FICO, per the transaction
documents, and a 46.7% Fitch-determined debt-to-income ratio (DTI).
The borrowers also have moderate leverage, with an original
combined loan-to-value (CLTV) ratio, as determined by Fitch, of
74.9% (74.7%, according to transaction documents), translating to a
Fitch-calculated sustainable LTV (sLTV ) ratio of 67.1%.
In its analysis, occupancy was re-coded based on due diligence
findings for some loans. As a result, Fitch will have more investor
properties in its analysis than shown in the transaction documents.
In its analysis, Fitch considers 80.4% of the pool to consist of
loans where the borrower maintains a primary residence (83.3%, per
the transaction documents). Fitch considers 15.2% of the pool loans
as comprising investor properties (9.9%, per the transaction
documents) and 4.3% as representing second homes (4.3%, per the
transaction documents).
In its analysis, property types were re-coded based on due
diligence findings. As a result, the percentages will not tie out
to the property types in the transaction documents. In Fitch's
analysis, a majority of the loans (81.5%) are to single-family
homes, townhouses and PUDs; 9.0% are to condominiums; 1.4% are to
cooperatives; 7.6% are to multifamily homes and manufactured
housing; and 0.5% account for other property types. In the
analysis, Fitch treated manufactured properties and properties
coded as other occupancy types as multifamily and, as a result, the
probability of default (PD) was increased for these loans.
In total, 10.1% of the loans were originated through a reviewed
retail channel that was reviewed by Fitch. In total, 74.8% of the
pool was originated through a retail channel. According to Fitch,
38.0% of the loans are designated as non-QM loans and 43.4% are
safe-harbor or high-priced QM loans, while the remaining 18.6% are
exempt from QM status. In its analysis, Fitch considers S&D loans
originated as non-investor and, after January 2014, to be non-QM
since they are no longer eligible for GSE pools. As a result,
Fitch's non-QM, QM and exempt from QM percentages will not be in
line with the transaction documents. Based on Fitch's analysis, the
pool contains 22 loans over $1.0 million, with the largest loan at
$6.30 million.
Fitch determined that self-employed borrowers make up 21.3% of the
pool, salaried borrowers constitute 67.8% and the remaining 10.9%
are of unknown borrower type. About 15.2% of the pool loans (111)
are of investor properties, according to Fitch, and 5.0% (55 loans)
have subordinate financing. According to Fitch, 55 loans had
subordinate financing because Fitch assumed an 80% LTV and 100%
CLTV for any loan missing an original appraisal. Fitch viewed all
loans in the pool to be in the first lien position, based on the
data and confirmation from the servicer.
About 30.3% of the pool loans are concentrated in California. The
largest MSA concentration is in Los Angeles (13.4%), followed by
New York (8.6%) and Riverside-San Bernardino (4.5%). The top three
MSAs account for 26.5% of the pool. There was no penalty for
geographic concentration.
According to Fitch, 95.9% of the pool was current as of the cutoff
date. Overall, the pool characteristics resemble nonprime
collateral; therefore, the pool was analyzed using its nonprime
model.
Loan Count Concentration (Negative): The loan count for this pool
(841 loans) results in a loan count concentration penalty. The loan
count concentration penalty applies when the WA number (WAN) of
loans is less than 300; in this pool, the WAN is 283. The loan
count concentration for this pool results in a 1.02x penalty, which
increases loss expectations by 32 bps at the 'AAAsf' rating
category.
Guideline Exception Loans (Negative): Roughly 78.0% of the
collateral consists of loans that had defects or exceptions to
guidelines at origination with a substantial portion originally
underwritten to GSE guidelines. The exceptions ranged from those
that are immaterial to Fitch's analysis (loan seasoning and
mortgage insurance issues), to those handled by Fitch's model due
to tape attributes (prior delinquencies and LTVs above guidelines)
and to loans with potential compliance exceptions that received
loss adjustments (loans with miscalculated DTIs and potential ATR
issues). In addition, loans with missing documentation may extend
foreclosure timelines or increase loss severity (LS), which Fitch
is able to account for in its loss analysis.
Non-QM Loans with Less than Full Documentation (Negative):
According to Fitch, about 33.4% of the pool loans were underwritten
to less than full documentation. Per the transaction documents,
82.7% were underwritten to full documentation and 17.3% to less
than full documentation. Specifically, 5.3% were underwritten to
alternative documentation, 0.4% to a streamline refinance, 6.9% to
an unknown program, and 0.6% to a debt service coverage ratio
(DSCR) program, including no ratio loans. Overall, Fitch increased
the PD on non-full documentation loans to reflect the additional
risk.
In its analysis, Fitch considered 15.2% of the less than full
documentation loans as stated documentation, 7.2% as less than full
documentation and 11.0% as no documentation. The remaining 66.6%
were considered full documentation. Due to diligence findings and
documentation treatment of certain loan documentation types (e.g.
no doc, alt-doc and streamline refinance), Fitch's documentation
types will not match the types in the transaction documents, which
viewed the transaction as 82.7% full documentation.
A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protection Bureau's (CFPB)
ATR Rule. This reduces risk of borrower default arising from lack
of affordability, misrepresentation or other operational quality
risks due to the rigor of the Rule's mandates with respect to
underwriting and documentation of the borrower's ATR.
Sequential Deal Structure with Overcollateralization and No DQ P&I
Advancing (Mixed): The transaction utilizes a sequential-payment
structure with no advances of delinquent (DQ) principal or
interest. The transaction also includes a structural feature where
it reallocates interest from the more junior classes to pay
principal on the more senior classes on or after the occurrence of
a credit event. The amount of interest paid out as principal to the
more senior classes is added to the balance of the affected junior
classes. This feature allows for a faster paydown of the senior
classes.
An offset to the positive feature of the sequential structure is
that the transaction will not write down the bonds due to potential
losses or undercollateralization. In periods of adverse
performance, the subordinate bonds will continue to be paid
interest, at the expense of principal payments that otherwise would
support the more senior bonds; in a more traditional structure, the
subordinate bonds would be written down and accrue a smaller amount
of interest. The potential for increasing amounts of
undercollateralization is mitigated by reallocation of available
funds after the 80th payment date.
The servicers will not be advancing DQ monthly payments of
principal and interest (P&I). Because P&I advances made on behalf
of loans that become DQ and eventually liquidate reduce liquidation
proceeds to the trust, the loan-level LS is less in this
transaction than for those where the servicer is obligated to
advance P&I. To provide liquidity and ensure timely interest will
be paid to the 'AAAsf' rated classes and ultimate interest will be
paid on the remaining rated classes, principal will need to be used
to pay for interest accrued on DQ loans. This will result in stress
on the structure and the need for additional credit enhancement
(CE) compared to a pool with limited advancing.
In this structure, interest payments and fees are paid from the
interest waterfall prior to the occurrence of a credit event. The
principal waterfall will pay any current and unpaid accrued
interest amounts to the classes prior to principal being paid
sequentially, starting with the A-1 class prior to the occurrence
of a credit event. On and after the occurrence of a credit event,
fees will be paid out of available funds; after the fees are paid,
interest and principal will be paid out of available funds with
interest still being prioritized in the structure over the payment
of principal.
Coupons on the notes are based on the lower of the available funds
cap (AFC) and the stated coupon. If the AFC is paid, it is
considered a coupon cap shortfall (interest shortfall) and the
coupon cap shortfall amount is the difference between interest that
was paid (per the AFC) and what should have been paid based on the
stated coupon. If the transaction is not called on the expected
redemption date (April 2029), the coupons step up 100bps. Class B
and the certificate class will be issued as PO bonds and will not
accrue interest.
The transaction has overcollateralization (OC), which will provide
subordination and protect the classes from losses. Classes will not
be written down by realized losses.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 41.7%, at 'AAA'. The analysis indicates there is
some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class, excluding those being
assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by ProTitle, Infinity and SitusAMC. The third-party due
diligence described in Form 15E for Infinity focused on these
areas: compliance, data integrity, payment history, and title/lien
review. The third-party due diligence described in Form 15E for
SitusAMC in addition covered modification payment history, credit,
valuation, and compliance review. The third-party due diligence
described in Form 15E for ProTitle focused on title/lien for 418
loans. Fitch considered this information in its analysis.
Based on the results of the 100% due diligence performed on the
pool, Fitch increased its loss expectations to account for the due
diligence findings (missing HUD-1 and other state compliance
testing failures, ATR Risk, high cost, property damage, TILA/RESPA
failures, and timeline extensions for missing documents only). This
is in addition to the increase in its loss expectations based on
the exceptions noted for the scratch and dent loans. Overall, the
losses were increased by roughly 6.75% at the 'AAAsf' rating
category to account for both the due diligence findings and the
scratch and dent exceptions noted.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria."
The sponsor engaged Infinity and SitusAMC to perform the review.
Loans reviewed under these engagements were given initial and final
compliance grades (100% of the pool). The sponsor also engaged
Infinity and ProTitle to conduct a title review/lien search.
Fitch also received notes on exceptions based on the post close QC
performed by the GSEs on 78.0% of the pool (per Fitch's analysis).
The GSE post close QC consisted of a review of compliance, credit,
and valuations. Fitch considers the scope of the GSE's credit and
valuation post close QC consistent with rating agency standards. As
a result, Fitch used the GSE's post close credit and valuation QC
for the non-seasoned loans in the pool since the scope is
consistent with Fitch's criteria. Fitch took these notes from the
GSE post close QC into account during its analysis of the
transaction.
The remaining 22.0% of loans represent reperforming/performing
loans, according to Fitch's analysis.
Seasoned loans do not require a credit/valuation TPR review, per
Fitch's criteria. Fitch viewed this as acceptable given the loan
level R&Ws in the transaction, the conservative assumptions Fitch
used in its loss analysis and because compliance due diligence was
performed on the loans. Using a sample of loans is acceptable for
due diligence review, per Fitch's criteria.
TPR also performed a review of the payment history, a servicer
comment review, and a title/lien review. All of which are
consistent with Fitch's criteria.
An exception and waiver report was provided to Fitch, indicating
that the pool of reviewed loans has a number of exceptions and
waivers. Fitch determined that some of the exceptions and waivers
do materially affect the overall credit risk of the loans and
increased its loss expectations on these loans to account for the
issues found in the due diligence process on the loans that are
considered scratch and dent with material findings.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout were populated by the
due diligence company and no material discrepancies were noted.
ESG Considerations
PRPM 2025-RCF2 has an ESG Relevance Score of '4' for Transaction
Parties and Operational Risk due to elevated operational risk,
which resulted in an increase in expected losses. The reviewed
originators and servicing parties did not have a material impact on
expected losses; the Tier 2 reps and warranties (R&W) framework
with an unrated counterparty, along with approximately 82% of the
loans in the pool being underwritten by originators that have not
been assessed by Fitch, resulted in an increase in expected losses
and are relevant to the ratings.
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.
PRPM LLC 2025-RPL3: Fitch Assigns BB-(EXP) Rating on Cl. M-2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to PRPM 2025-RPL3,
LLC.
Entity/Debt Rating
----------- ------
PRPM 2025-RPL3
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AA-(EXP)sf Expected Rating
A-3 LT A-(EXP)sf Expected Rating
M-1 LT BBB-(EXP)sf Expected Rating
M-2 LT BB-(EXP)sf Expected Rating
B LT NR(EXP)sf Expected Rating
CERT LT NR(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed notes to be
issued by PRPM 2025-RPL3, LLC mortgage-backed notes, series
2025-RPL3 (PRPM 2025-RPL3), as indicated above. The notes are
supported by 1,784 loans with a balance of $355.81 million as of
the cutoff date. This will be the fourth PRPM reperforming loan
(RPL) transaction rated by Fitch.
The notes are secured by a pool of fixed, step-rate and
adjustable-rate mortgage loans, some of which have an initial
interest-only (IO) period, that are primarily fully amortizing with
original terms to maturity of 30 years. The loans are primarily
secured by first liens largely on single-family residential
properties, units in planned unit developments (PUDs), townhouses,
co-ops, condominiums, and manufactured housing.
In the pool, 100% of the loans are seasoned performing,
non-performing, and re-performing loans.
According to Fitch, 6.3% of the loans are nonqualified mortgages
(non-QM, or NQM) as defined by the Ability to Repay (ATR) rule (the
Rule), 60.4% are safe-harbor or high-priced QM loans and the
remaining 33.3% are exempt from the QM rule as they are investment
properties or were originated prior to the ATR rule taking effect
in January 2014.
SN Servicing Corp. (SNSC), rated 'RPS3'/Stable by Fitch, and
Nationstar Mortgage LLC, d/b/a Rushmore Servicing and rated
'RSS2'/Stable by Fitch, will service all of the loans in the pool.
The majority of the loans in the collateral pool comprise
fixed-rate mortgages, though Fitch considered 2.5% of the pool to
be comprised of step loans or loans with an adjustable rate.
The offered class A and M notes are fixed rate and capped at the
available funds cap (AFC). The note rate for the class A-2, A-3,
M-1, and M-2, notes will the lesser of (i) the applicable fixed
rate per annum set forth in the table above or (ii) the related AFC
and interest will accrue on each class of notes (other than the
class B notes) on a 30/360 basis. The class B notes will not have a
note rate and will not be entitled to any payments of interest.
Furthermore, classes A and M have a step-up coupon feature if the
deal is not called in April 2028.
Fitch was only asked to rate the class A-1, A-2, A-3, M-1, and M-2
notes.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Fitch views the home
price values of this pool as 10.7% above a long-term sustainable
level (versus 11.1% on a national level as of 3Q24, down 0.5% since
last quarter, based on Fitch's updated view on sustainable home
prices). Housing affordability is the worst it has been in decades
driven by both high interest rates and elevated home prices. Home
prices increased 3.8% yoy nationally as of November 2024, despite
modest regional declines, but are still being supported by limited
inventory.
Seasoned Performing, Reperforming, and Non-Performing Credit
Quality (Mixed): The collateral consists of 1,784 primarily
first-lien, fixed-rate and ARM loans with maturities of mainly 30
years totaling $355.81 million, including deferred balances.
Specifically, the pool comprises 97.5% fully amortizing fixed-rate
loans, 2.3% fully amortizing ARM loans, and 0.2% step loans that
were treated as ARM loans. The pool is seasoned at 94 months per
the transaction documents (97 months, as determined by Fitch).
The borrowers in this pool have relatively strong credit profiles
with a Fitch-determined weighted average (WA) FICO score of 702
(698 WA non-zero FICO, per the transaction documents) and a 43.5%
Fitch-determined debt-to-income ratio (DTI), as well as moderate
leverage, with an original combined loan-to-value ratio (CLTV), as
determined by Fitch, of 83.3%, translating to a Fitch-calculated
sustainable loan-to-value ratio (sLTV) of 56.4%.
In its analysis, 80.4% of the pool consists of loans where the
borrower maintains a primary or secondary residence, while 19.6%
comprises investor properties or properties where the occupancy
status was unknown or vacant. Fitch treated loans with an occupancy
status or unknown or vacant as investor occupied. Investor loans
have a higher probability of default (PD) than owner occupied
homes
In Fitch's analysis, the majority of the loans, 92.8%, are to
single-family homes and PUDs, 6.0% are to condos, 1.1% are to
manufactured housing, and 0.1% are to co-ops. As such, Fitch
treated manufactured properties as multifamily and, as a result,
the PD was increased for these loans.
According to Fitch, 6.3% of the loans are designated as non-QM
loans and 60.4% are safe-harbor or high-priced QM loans, while the
remaining 33.3% are exempt from QM status as they are investor
occupied or originated prior to January 2014. The pool contains
five loans over $1.0 million, with the largest loan at $1.74
million.
Fitch considered 45 loans to have subordinate financing, due to
delinquent (DQ) interest amounts. These DQ interest amounts are not
being securitized but are still owed to the trust. For the loans
with the DQ interest, the CLTV was increased, which increased both
the PD and loss severities (LS) and resulted in higher losses than
loans without DQ interest owed with similar collateral
characteristics.
Fitch viewed all but one of the pool loans as first lien based on
data provided in the tape and confirmation from the servicer on the
lien position.
Around 18.3% of the pool is concentrated in California. The largest
MSA concentration is in the Los Angeles MSA at 7.7%, followed by
the New York MSA at 6.6% and the Washington MSA at 4.1%. The top
three MSAs account for 18.4% of the pool. There was no penalty for
geographic concentration. According to Fitch, 76.4% of the pool is
current as of the cutoff date.
Overall, the pool characteristics reflect RPL collateral;
therefore, the pool was analyzed using its RPL model and Fitch
extended liquidation timelines as it typically does for RPL pools.
No Advancing (Mixed): The servicers will not be advancing DQ
monthly payments of principal and interest (P&I). Because P&I
advances made on behalf of loans that become DQ and eventually
liquidate reduce liquidation proceeds to the trust, the loan-level
LS are less for this transaction than for those where the servicer
is obligated to advance P&I.
To provide liquidity and ensure timely interest will be paid to the
'AAAsf' rated notes, principal will need to be used to pay for
interest accrued on DQ loans. This will result in stress on the
structure and the need for additional credit enhancement (CE)
compared to a pool with limited advancing. These structural
provisions and cash flow priorities, together with increased
subordination, provide for timely payments of interest to the
'AAAsf' rated class.
Sequential Deal Structure with Overcollateralization (OC) (Mixed):
The transaction utilizes a sequential payment structure with no
advances of DQ principal or interest. The transaction also includes
a structural feature where it reallocates interest from the more
junior classes to pay principal on the more senior classes on or
after the occurrence of a credit event. The amount of interest paid
out as principal to the more senior class(es) is added to the
balance of the impacted junior class(es). This feature allows for a
faster paydown of the senior classes.
Offsetting this positive is the transaction will not write down the
bonds due to potential losses or undercollateralization. In periods
of adverse performance, the subordinate bonds will continue to be
paid interest from available funds, at the expense of principal
payments that otherwise would support the more senior bonds, while
a more traditional structure would have them written down and
accruing a smaller amount of interest. The potential for increasing
amounts of undercollateralization is partially mitigated by
reallocation of available funds on and after the May 2029 payment
date.
The coupons on the notes are based upon the lower of the AFC or the
stated coupon. If the AFC is paid, it is considered a coupon cap
shortfall (interest shortfall) and the coupon cap shortfall amount
is the difference between interest that was paid (per the AFC) and
what should have been paid based on the stated coupon. If the
transaction is not called, the coupons step up 100 bps. The class B
and the Membership Certificate class will be issued as principal
only (PO) bonds and will not accrue interest.
The transaction has overcollateralization (OC), which will provide
subordination and protect the classes from losses. Classes will not
be written down by realized losses.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 41.9%, at 'AAA'. The analysis indicates there is
some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E)
prepared by Infinity, AMC, and ProTitle. The third-party due
diligence described in Form 15E focused on four areas: compliance
review, data integrity, servicing review, and title review. Fitch
considered this information in its analysis. Fitch increased its
loss expectations by 250 bps at the 'AAAsf' rating category to
account for the due diligence findings.
Fitch also received confirmation from the servicer that the lien
status and payment history provided in the tape is accurate per its
records. There is one second-lien loan in the pool. As a result,
Fitch was comfortable relying on the payment history data and the
lien status provided in the tape.
The title search did note $171,719 (per the 15E) in HOA liens in
super lien states, Muni/Water/Sewer/Code violations and $311,422 in
delinquent taxes. The servicer will need to advance on these liens
to maintain the lien position. Fitch increased the LS by the amount
of the municipal and code liens, HOA liens in super lien states,
and delinquent taxes, but the impact was not material and did not
increase the actual LS in any rated stress.
There were four loans that had material TRID issues where the
statute of limitations has not yet expired. For these loans, Fitch
increased the LS by $15,500 per loan to account for these findings.
Fitch did not consider this increase in LS to be material as it did
not increase Fitch's loss expectations.
The custodian is actively tracking down missing documents. In the
event a missing document materially delays or prevents a
foreclosure, the sponsor will have 120 days to find the document or
cure the issue. If the sponsor cannot cure the issue or find the
missing documents, they will repurchase the loan at the repurchase
price. As such, Fitch only extended timelines for missing
documents.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor
engaged Infinity, AMC, and ProTitle to perform the review. Loans
reviewed under this engagement were given initial and final
compliance grades. None of the loans in the pool received a credit
or valuation review.
An exception and waiver report was provided to Fitch, indicating
that the pool of reviewed loans has a number of exceptions and
waivers. Fitch determined that the exceptions and waivers do
materially affect the overall credit risk of the loans; please
refer to the Third-Party Due Diligence section of the presale
report for more details.
Fitch also received confirmation from the servicer that the lien
status and payment history provided in the tape is accurate per its
records. Fitch took this information into consideration in its
analysis.
Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. The loan-level
information Fitch received was provided in the American
Securitization Forum's (ASF) data layout format. The ASF data tape
layout was established with input from various industry
participants, including rating agencies, issuers, originators,
investors and others, to produce an industry standard for the
pool-level data in support of the U.S. RMBS securitization market.
The data contained in the data tape layout was populated by the due
diligence company, and no material discrepancies were noted.
ESG Considerations
PRPM 2025-RPL3 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to elevated operational risk, which
resulted in an increase in expected losses. The Tier 2
representations and warranties (R&W) framework with an unrated
counterparty resulted in an increase in expected losses. This has a
negative impact on the credit profile and is relevant to the
ratings in conjunction with other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
RAD CLO 29: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
RAD CLO 29, Ltd.
Entity/Debt Rating
----------- ------
RAD CLO 29, Ltd.
A LT NR(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D-1 LT BBB-(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
Transaction Summary
RAD CLO 29, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Irradiant Partners LP. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.00, versus a maximum covenant, in accordance with
the initial expected matrix point of 24.00. Issuers rated in the
'B' rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
98.62% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.22% versus a
minimum covenant, in accordance with the initial expected matrix
point of 68.25%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 45% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf'
and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for
class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and
between less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'A-sf' for
class D-1, and 'BBB+sf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for RAD CLO 29, 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.
RCKT MORTGAGE 2025-CES4: Fitch Gives 'B(EXP)sf' Rating on 5 Classes
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
issued by RCKT Mortgage Trust 2025-CES4 (RCKT 2025-CES4).
Entity/Debt Rating
----------- ------
RCKT 2025-CES4
A-1A LT AAA(EXP)sf Expected Rating
A-1B LT AAA(EXP)sf Expected Rating
A-2 LT AA(EXP)sf Expected Rating
A-3 LT A(EXP)sf Expected Rating
M-1 LT BBB(EXP)sf Expected Rating
B-1 LT BB(EXP)sf Expected Rating
B-2 LT B(EXP)sf Expected Rating
B-3 LT NR(EXP)sf Expected Rating
A-1 LT AAA(EXP)sf Expected Rating
A-4 LT AA(EXP)sf Expected Rating
A-5 LT A(EXP)sf Expected Rating
A-6 LT BBB(EXP)sf Expected Rating
B-1A LT BB(EXP)sf Expected Rating
B-X-1A LT BB(EXP)sf Expected Rating
B-1B LT BB(EXP)sf Expected Rating
B-X-1B LT BB(EXP)sf Expected Rating
B-2A LT B(EXP)sf Expected Rating
B-X-2A LT B(EXP)sf Expected Rating
B-2B LT B(EXP)sf Expected Rating
B-X-2B LT B(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
Transaction Summary
The notes are supported by 4,406 closed-end second-lien (CES) loans
with a total balance of approximately $399 million as of the cutoff
date. The pool consists of CES mortgages acquired by Woodward
Capital Management LLC from Rocket Mortgage LLC. Distributions of
principal and interest (P&I) and loss allocations are based on a
traditional senior-subordinate, sequential structure in which
excess cash flow can be used to repay losses or net weighted
average coupon (WAC) shortfalls.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): As a result of its
updated view on sustainable home prices, Fitch views the home price
values of this pool as 11.0% above a long-term sustainable level
(versus 11.1% on a national level as of 3Q24). Affordability is the
worst it has been in decades driven by both high interest rates and
elevated home prices. Home prices have increased 3.8% yoy
nationally as of November 2024, despite modest regional declines,
but are still being supported by limited inventory.
Prime Credit Quality (Positive): The collateral consists of 4,406
loans totaling approximately $399 million and seasoned at about
three months in aggregate, as calculated by Fitch (one month, per
the transaction documents) — taken as the difference between the
origination date and the cutoff date. The borrowers have a strong
credit profile, including a WA Fitch model FICO score of 745, a
debt-to-income ratio (DTI) of 40% and moderate leverage, with a
sustainable loan-to-value ratio (sLTV) of 75%.
Of the pool, 99.1% of the loans are of a primary residence and 0.9%
represent investor properties or second homes, and 87.2% of loans
were originated through a retail channel. Additionally, 70.4% of
loans are designated as safe-harbor qualified mortgages (SHQMs) and
10.9% are higher-priced qualified mortgages (HPQMs). Given the 100%
loss severity (LS) assumption, no additional penalties were applied
for the HPQM loan status.
Second-Lien Collateral (Negative): The entire collateral pool
comprises CES loans originated by Rocket Mortgage. Fitch assumed no
recovery and a 100% LS based on the historical behavior of
second-lien loans in economic stress scenarios. Fitch assumes
second-lien loans default at a rate comparable to first-lien loans;
after controlling for credit attributes, no additional penalty was
applied to Fitch's probability of default (PD) assumption.
Sequential Structure (Positive): The transaction has a typical
sequential payment structure. Principal is used to pay down the
bonds sequentially and losses are allocated reverse sequentially.
Monthly excess cash flow is derived from remaining amounts after
allocation of the interest and principal priority of payments.
These amounts will be applied as principal, first to repay any
current and previously allocated cumulative applied realized loss
amounts and then to repay any potential net WAC shortfalls. The
senior classes incorporate a step-up coupon of 1.00% (to the extent
still outstanding) after the 48th payment date.
180-Day Chargeoff Feature (Positive): The class XS majority
noteholder has the ability, but not the obligation, to instruct the
servicer to write off the balance of a loan at 180 days delinquent
(DQ) based on the Mortgage Bankers Association (MBA) delinquency
method. To the extent the servicer expects meaningful recovery in
any liquidation scenario, the class XS majority noteholder may
direct the servicer to continue to monitor the loan and not charge
it off. While the 180-day chargeoff feature will result in losses
being incurred sooner, there is a larger amount of excess interest
to protect against them. This compares favorably with a delayed
liquidation scenario, where losses occur later in the life of a
transaction and less excess is available to cover them. If a loan
is not charged off due to a presumed recovery, this will provide
added benefit to the transaction, above Fitch's expectations.
Additionally, recoveries realized after the writedown at 180 days
DQ (excluding forbearance mortgage or loss mitigation loans) will
be passed on to bondholders as principal.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. 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 42.1% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, already rated
'AAAsf', the analysis indicates there is potential positive rating
migration for all of the rated classes. Specifically, a 10% gain in
home prices would result in a full category upgrade for the rated
class excluding those assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence, LLC. The third-party due diligence
described in Form 15E focused on credit, regulatory compliance and
property valuation. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% PD credit to the 25.1% of the pool by loan count
in which diligence was conducted. This adjustment resulted in a
19bps reduction to the 'AAAsf' expected loss.
ESG Considerations
RCKT 2025-CES4 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to lower operational risk
considering the R&W, transaction due diligence results, as well as
originator and servicer quality, which has a positive impact on the
credit profile, and is relevant to the ratings in conjunction with
other factors.
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
SCULPTOR CLO XXXV: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Sculptor CLO
XXXV Ltd./Sculptor CLO XXXV LLC's fixed- and floating-rate debt.
The debt issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans. The transaction is managed by Sculptor CLO
Advisors LLC.
The preliminary ratings are based on information as of April 15,
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
Sculptor CLO XXXV Ltd./Sculptor CLO XXXV LLC
Class A-1, $252.0 million: AAA (sf)
Class A-2, $8.0 million: AAA (sf)
Class B-1, $24.0 million: AA (sf)
Class B-2, $20.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1A (deferrable), $14.0 million: BBB (sf)
Class D-1B (deferrable), $5.0 million: BBB (sf)
Class D-2 (deferrable), $8.0 million: BBB- (sf)
Class E (deferrable), $13.0 million: BB- (sf)
Subordinated notes, $40.0 million: NR
NR--Not rated.
SILVER POINT 8: Fitch Assigns 'BB+sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Silver
Point CLO 8, Ltd.
Entity/Debt Rating
----------- ------
Silver Point
CLO 8, Ltd.
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BB+sf New Rating
F LT NRsf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Silver Point CLO 8, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Silver
Point CLO Management, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first-lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security (Positive): The indicative portfolio consists of
99.75% first-lien senior secured loans and has a weighted average
recovery assumption of 73.86%. Fitch stressed the indicative
portfolio by assuming a higher portfolio concentration of assets
with lower recovery prospects and further reduced recovery
assumptions for higher rating stresses.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity required by industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'BB-sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other Nationally
Recognized Statistical Rating Organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assesses the asset portfolio
information. Overall, and together with any assumptions referred to
above, Fitch's assessment of the information relied upon for the
rating agency's rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Silver Point CLO 8,
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.
SKY1 TRUST 2025-LINE: Moody's Assigns Ba2 Rating to Cl. HRR Certs
-----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to five classes of
CMBS securities, issued by SKY1 Trust 2025-LINE, Commercial
Mortgage Pass-Through Certificates, Series 2025-LINE:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. HRR, Definitive Rating Assigned Ba2 (sf)
The certificates are collateralized by a single, floating rate,
partially amortizing loan secured by a first lien mortgage on six
office properties (collectively, the "Portfolio"). Moody's ratings
are based on the credit quality of the loan and the strength of the
securitization structure.
The mortgage loan is secured by the borrower's fee simple and
leasehold interest in a Portfolio of six office buildings located
across markets in Los Angeles, San Francisco, San Jose and Seattle
totaling 1,427,548 sf. Construction and renovation dates range from
1945 to 2024. Property sizes range between 57,120 SF and 501,804
SF, and average 237,925 SF. The three largest properties in the
Portfolio account for approximately 70.2% of ALA and 68.4% of the
portfolio's total in-place net cash flow.
The Portfolio properties are located in two states and within four
real estate markets comprising of Los Angeles, CA (two properties,
62.7% of ALA), Seattle, WA (two properties, 24% of ALA), San Jose,
CA (1 property, 7.5% of ALA) and San Francisco, CA (one property,
5.8% of ALA)
As of January 31, 2025, the rentable area was approximately 93.5%
leased to 75 unique tenants. The portfolio has a weighted average
lease term of 5.7 years and 45.6% of UW base rent is attributed to
investment grade tenants. The top 10 tenants account for
approximately 77.6% of the UW base rent. 11601`Wilshire Boulevard
is the largest asset in the portfolio with 24.1% of UW NOI.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-backed Securitizations methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also consider a range of qualitative issues as well as the
transaction's structural and legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessments of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessments of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also uses an adjusted loan balance that reflects
each loan's amortization profile.
The Moody's first mortgage actual DSCR is 0.89x compared to 0.94x
at Moody's provisional ratings due to an interest rate increases
and Moody's first mortgage actual stressed DSCR is 0.82x. Moody's
DSCR is based on Moody's stabilized net cash flow and the partially
amortizing loan.
The loan first mortgage balance of $475,000,000 represents a
Moody's LTV ratio of 100.0%. Moody's LTV ratio is based on Moody's
Value. Adjusted Moody's LTV ratio for the first mortgage balance is
93.9% compared with 93.4% at Moody's provisional ratings based on
Moody's Value using a cap rate adjusted for the current interest
rate environment.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The portfolio's
weighted average property quality grade is 1.54.
Notable strengths of the transaction include: (i) strategic
locations in technology-centric markets, (ii) asset quality, (iii)
tenant direct investment and use, (iv) multiple property pooling
and (v) experienced sponsorship.
Notable concerns of the transaction include: (i)) single-tenant
properties, (ii)floating-rate profile, (iii) high potential
rollover, (iv) soft market fundamentals and (v) certain credit
negative legal features.
Moody's rating approach considers sequential pay in connection with
a collateral release as a credit neutral benchmark. Although the
loans' release premium mitigates the risk of a ratings downgrade
due to adverse selection, the pro rata payment structure limits
ratings upgrade potential as mezzanine classes are prevented from
building enhancement. The benefit received from pooling through
cross- collateralization is also reduced.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in January 2025.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
SOHO TRUST 2021-SOHO: DBRS Confirms B Rating on 2 Tranches
----------------------------------------------------------
DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2021-SOHO issued by SOHO Trust
2021-SOHO as follows:
-- Class A at A (low) (sf)
-- Class B at BBB (low) (sf)
-- Class C at BB (low) (sf)
-- Class D at B (sf)
-- Class HRR at B (sf)
All trends are Stable.
The credit rating confirmations and Stable trends reflect the
overall stable performance and outlook for the collateral office
property, a 786,891-square-foot (sf), Class A office/retail
property known as One SoHo Square, comprising two adjacent mid-rise
office buildings separated by an adjoined 19-story glass tower on
the northwest corner of Sixth Avenue and Spring Street in
Manhattan's SoHo neighborhood. The sponsor acquired the buildings
in 2012 and spent nearly $270.0 million in upgrades to reposition
the property within the neighborhood as a top-tier office and
retail complex.
The analysis for this credit rating action maintained the value
approach from the last credit rating action, when the Morningstar
DBRS Value was updated to reflect an increased capitalization (cap)
rate of 7.0%, up from the cap rate of 6.6% applied as part of the
analysis at issuance in 2021. The increased cap rate reflected
Morningstar DBRS' view that office property types are inherently
riskier than they were in the pre-coronavirus pandemic times. The
approximately 40 basis points (bps) increase in the cap rate for
the subject compared with the average increase of 70 bps for the
cap rates for all Single-Asset/Single-Borrower transactions
included in the April 15, 2024, bulk credit rating action. Based on
the 7.0% cap rate and the Morningstar DBRS NCF figure of $54.7
million--maintained from issuance--the resulting Morningstar DBRS
Value was $781.3 million, which results in a loan-to-value (LTV)
ratio of 100.5% on the full mortgage debt amount of $785.0 million.
The appraised value at issuance was $1.35 billion, resulting in an
LTV of 58.0%. The LTV sizing also considered qualitative
adjustments totaling 6.0%, reflecting credits for cash flow
volatility, property quality, and market fundamentals.
Whole mortgage loan proceeds of $785.0 million include senior
A-note debt in the amount of $470.0 million and junior B-note debt,
totaling $315.0 million. There is also $120.0 million of mezzanine
debt in place. The subject transaction totals $316.0 million and
consists of three senior A notes with an aggregate principal
balance of $1.0 million and the full B-note debt. The remaining
companion senior A notes are securitized in other transactions not
rated by Morningstar DBRS. The mortgage debt has a fixed interest
rate and is fully interest only, maturing in August 2028 with no
built-in extension options. The sponsor, Stellar Management, has 40
years of ownership and management experience in New York City and
currently owns almost 3.0 million sf of office space, and more than
13,000 residential units in New York City.
The property benefits from its investment-grade tenancy, which
includes the three largest tenants at the property: Flatiron Health
(Flatiron; 32.4% of the net rentable area (NRA), expiring February
2031 and November 2034), Aetna Inc. (13.3% of the NRA, expiring
July 2029), and MAC Cosmetics (11.1% of the NRA, expiring March
2034). According to the September 30, 2024, rent roll, the property
was 88.2% occupied, flat from YE2023 and less than 93.0% at YE2022.
The property's fifth-largest tenant, Warby Parker (10.4% of the
NRA) showed lease expirations in January and February 2025 as of
the September 2024 rent roll, but a January 2025 article in the New
York Business Journal stated the company, which houses its
headquarters at the subject property, renewed the lease. Details of
the renewal have been requested from the servicer.
Remaining scheduled rollover through the loan term represents
approximately 6.0% of the NRA. However, there is a notable amount
of sublease space available at the property, with Juul Labs (Juul,
6.9% of the NRA, expiring May 2032) previously offering the
entirety of its 55,105-sf space and later securing a tenant for one
of its two floors in late 2022. The property's largest tenant,
Flatiron, previously listed nearly half of its leased space for
sublease, but that was later significantly reduced. A Commercial
Observer article dated December 2024 reported that Evergreen
Trading had signed a sublease for part of the Flatiron space,
taking 20,309 sf, moving from 99 Hudson Street. As of March 2025,
Morningstar DBRS located listings, which suggested 50,000 sf of
space (6.3% of the NRA) across the fifth and sixth floors at the
One SoHo Square West building (161 Avenue of the Americas) was
listed for sublease; this space appears to be part of Flatiron's
space for which the lease expires in November 2034. In addition, a
listing for 30,064 sf (3.8% of the NRA) on the eighth floor of the
One SoHo Square East building (633 Spring Street) was listed for
sublease, which appears to be space leased to Juul through May
2032.
Office tenants at the property showed an average rental rate of
$96.96 per square foot (psf) as of the September 2024 rent roll,
which, according to Reis, is higher than the average asking rental
rate of $72.50 psf as of Q4 2024. The subject's vacancy rate of
approximately 12.0% as of September 2024 compares to the
submarket's overall vacancy rate of 15.7% at Q4 2024; Reis projects
the submarket vacancy rate will decline incrementally over the next
several years, with the 2028 baseline vacancy rate forecast at
10.5%.
For the trailing nine months ended September 30, 2024, the
annualized net cash flow (NCF) was reported at $58.1 million
(reflecting a debt service coverage ratio (DSCR) of 2.08 times
(x)), just less than the YE2023 figure of $58.8 million (a DSCR of
2.11x) and the DBRS Morningstar NCF of $54.7 million. Although
there is some subleasing activity and the loan's leverage point is
considered high, these risks are mitigated by the property's strong
tenancy, minimal scheduled tenant rollover through the remaining
loan term, and desirable location with significant capital
improvements by the sponsor to bring the overall property quality
up significantly.
Notes: All figures are in U.S. dollars unless otherwise noted.
STEELE CREEK 2022-1: Fitch Assigns 'BB-sf' Rating on Two Tranches
-----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Steele
Creek CLO 2022-1, Ltd. reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Steele Creek
CLO 2022-1, Ltd.
X-R LT AAAsf New Rating AAA(EXP)sf
A1-R LT NRsf New Rating NR(EXP)sf
A2-R LT AAAsf New Rating AAA(EXP)sf
B-R LT AAsf New Rating AA(EXP)sf
C1-R LT A+sf New Rating A+(EXP)sf
C2-R LT Asf New Rating A(EXP)sf
D-R LT BBB-sf New Rating BBB-(EXP)sf
E1-R LT BB-sf New Rating BB-(EXP)sf
E2-R LT BB-sf New Rating BB-(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
Transaction Summary
Steele Creek CLO 2022-1, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) managed by Steele Creek
Investment Management LLC that originally closed in March 2022. The
existing secured notes will be redeemed in full on April 15, 2025
(the closing date). Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $350 million of primarily first-lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 21.34 versus a maximum covenant, in
accordance with the initial expected matrix point of 22. 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
100% first-lien senior secured loans. The weighted average recovery
rate (WARR) of the indicative portfolio is 76.41% versus a minimum
covenant, in accordance with the initial expected matrix point of
74.3%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management(Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X-R, between 'A-sf' and 'AAAsf' for
class A2-R, between 'BBB-sf' and 'AAsf' for class B-R, between
'BB+sf' and 'A+sf' for class C1-R, between 'B+sf' and 'Asf' for
class C2-R, between less than 'B-sf' and 'BB+sf' for class D-R,
between less than 'B-sf' and 'B+sf' for class E1-R, and between
less than 'B-sf' and 'B+sf' for class E2-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R and class
A2-R notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C1-R,
'AA+sf' for class C2-R, 'A+sf' for class D-R, 'BBB+sf' for class
E1-R, and 'BBB+sf' for class E2-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
Date of Relevant Committee
09-Apr-2025
ESG Considerations
Fitch does not provide ESG relevance scores for Steele Creek CLO
2022-1, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
STEELE CREEK 2022-1: Fitch Assigns BB-(EXP) Rating on Two Classes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Steele Creek CLO 2022-1, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Steele Creek
CLO 2022-1, Ltd.
X-R LT AAA(EXP)sf Expected Rating
A1-R LT NR(EXP)sf Expected Rating
A2-R LT AAA(EXP)sf Expected Rating
B-R LT AA(EXP)sf Expected Rating
C1-R LT A+(EXP)sf Expected Rating
C2-R LT A(EXP)sf Expected Rating
D-R LT BBB-(EXP)sf Expected Rating
E1-R LT BB-(EXP)sf Expected Rating
E2-R LT BB-(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
Transaction Summary
Steele Creek CLO 2022-1, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) managed by Steele Creek
Investment Management LLC that originally closed in March 2022. The
existing secured notes will be redeemed in full on April 15, 2025
(the closing date). Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $350 million of primarily first-lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 21.34 versus a maximum covenant, in
accordance with the initial expected matrix point of 22. 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
100% first-lien senior secured loans. The weighted average recovery
rate (WARR) of the indicative portfolio is 76.41% versus a minimum
covenant, in accordance with the initial expected matrix point of
74.3%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 39% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X-R, between 'A-sf' and 'AAAsf' for
class A2-R, between 'BBB-sf' and 'AAsf' for class B-R, between
'BB+sf' and 'A+sf' for class C1-R, between 'B+sf' and 'Asf' for
class C2-R, between less than 'B-sf' and 'BB+sf' for class D-R,
between less than 'B-sf' and 'B+sf' for class E1-R, and between
less than 'B-sf' and 'B+sf' for class E2-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R and class
A2-R notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C1-R,
'AA+sf' for class C2-R, 'A+sf' for class D-R, 'BBB+sf' for class
E1-R, and 'BBB+sf' for class E2-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Steele Creek CLO
2022-1, Ltd. In cases where Fitch does not provide ESG relevance
scores in connection with the credit rating of a transaction,
programme, instrument or issuer, Fitch will disclose in the key
rating drivers any ESG factor which has a significant impact on the
rating on an individual basis.
STRUCTURED ASSET 2006-BC2: Moody's Ups Rating on A1 Certs to Caa1
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings of two bonds and
downgraded the ratings of one bond, issued by Structured Asset
Securities Corp Trust (SASCO) 2006-BC2. The collateral backing this
deal consists of subprime mortgages.
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: Structured Asset Securities Corp Trust 2006-BC2
Cl. A1, Upgraded to Caa1 (sf); previously on Dec 29, 2016 Upgraded
to Caa3 (sf)
Cl. A3, Downgraded to Caa1 (sf); previously on Jun 25, 2024
Downgraded to B3 (sf)
Cl. A4, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structure, Moody's updated loss expectations on the
underlying pool and Moody's revised loss-given-default expectation
on the bonds.
Each of the bonds experiencing a rating change have either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
Principal Methodologies
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
TOWD POINT 2025-CES1: DBRS Gives Prov. B(low) Rating on B2 Notes
----------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Asset-Backed Securities, Series 2025-CES1 (the Notes) to be issued
by Towd Point Mortgage Trust 2025-CES1 (TPMT 2025-CES1 or the
Trust):
-- $323.0 million Class A1 at (P) AAA (sf)
-- $31.8 million Class A2 at (P) AAA (sf)
-- $23.1 million Class M1 at (P) AA (low) (sf)
-- $19.3 million Class M2A at (P) A (low) (sf)
-- $13.6 million Class M2B at (P) BBB (low) (sf)
-- $13.3 million Class B1 at (P) BB (low) (sf)
-- $7.8 million Class B2 at (P) B (low) (sf)
-- $31.8 million Class A2A at (P) AAA (sf)
-- $31.8 million Class A2AX at (P) AAA (sf)
-- $31.8 million Class A2B at (P) AAA (sf)
-- $31.8 million Class A2BX at (P) AAA (sf)
-- $31.8 million Class A2C at (P) AAA (sf)
-- $31.8 million Class A2CX at (P) AAA (sf)
-- $31.8 million Class A2D at (P) AAA (sf)
-- $31.8 million Class A2DX at (P) AAA (sf)
-- $23.1 million Class M1A at (P) AA (low) (sf)
-- $23.1 million Class M1AX at (P) AA (low) (sf)
-- $23.1 million Class M1B at (P) AA (low) (sf)
-- $23.1 million Class M1BX at (P) AA (low) (sf)
-- $23.1 million Class M1C at (P) AA (low) (sf)
-- $23.1 million Class M1CX at (P) AA (low) (sf)
-- $23.1 million Class M1D at (P) AA (low) (sf)
-- $23.1 million Class M1DX at (P) AA (low) (sf)
-- $19.3 million Class M2AA at (P) A (low) (sf)
-- $19.3 million Class M2AAX at (P) A (low) (sf)
-- $19.3 million Class M2AB at (P) A (low) (sf)
-- $19.3 million Class M2ABX at (P) A (low) (sf)
-- $19.3 million Class M2AC at (P) A (low) (sf)
-- $19.3 million Class M2ACX at (P) A (low) (sf)
-- $19.3 million Class M2AD at (P) A (low) (sf)
-- $19.3 million Class M2ADX at (P) A (low) (sf)
-- $13.6 million Class M2BA at (P) BBB (low) (sf)
-- $13.6 million Class M2BAX at (P) BBB (low) (sf)
-- $13.6 million Class M2BB at (P) BBB (low) (sf)
-- $13.6 million Class M2BBX at (P) BBB (low) (sf)
-- $13.6 million Class M2BC at (P) BBB (low) (sf)
-- $13.6 million Class M2BCX at (P) BBB (low) (sf)
-- $13.6 million Class M2BD at (P) BBB (low) (sf)
-- $13.6 million Class M2BDX at (P) BBB (low) (sf)
The (P) AAA (sf) credit rating on the Notes reflects 20.15% of
credit enhancement provided by subordinated notes. The (P) AA (low)
(sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and
(P) B (low) (sf) credit ratings reflect 14.95%, 10.60%, 7.55%,
4.55%, and 2.80% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
TPMT 2025-CES1 is a securitization of a portfolio of fixed, prime
and near-prime, closed-end second-lien (CES) residential mortgages
funded by the issuance of the Asset-Backed Securities, Series
2025-CES1 (the Notes). The Notes are backed by 5,258 mortgage loans
with a total principal balance of $444,267,082 as of the Cut-Off
Date (February 28, 2025).
The portfolio, on average, is nine months seasoned, though
seasoning ranges from one to 32 months. Borrowers in the pool
represent prime and near-prime credit quality, and the loans have a
weighted-average (WA) Morningstar DBRS-calculated FICO score of
733, a Morningstar DBRS-calculated original combined loan-to-value
ratio (CLTV) of 74.4%, and are 100.0% originated with
Issuer-defined full documentation. All the loans are current and
98.3% of the mortgage pool has been clean for the last 24 months or
since origination.
TPMT 2025-CES1 represents the ninth CES securitization by FirstKey
Mortgage, LLC and second by CRM 2 Sponsor, LLC (CRM). Spring EQ,
LLC (Spring EQ; 64.9%), Rocket Mortgage, LLC (Rocket; 17.7%), and
Nationstar Mortgage LLC d/b/a Mr. Cooper (Nationstar; 17.3%) are
the originators for the mortgage pool.
Newrez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint;
64.9%), Rocket 17.7%), and Nationstar (17.3%) are the Servicers of
the loans in this transaction.
U.S. Bank Trust Company, National Association (rated AA with a
Stable trend by Morningstar DBRS) will act as the Indenture
Trustee, Paying Agent, Administrative Trustee, Note Registrar, and
Administrator. U.S. Bank National Association (rated AA with a
Stable trend by Morningstar DBRS) and Computershare Trust Company,
N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS)
will act as Custodians.
CRM will acquire the loans from various transferring trusts on the
Closing Date. The transferring trusts acquired the mortgage loans
from the Originators. CRM and the transferring trusts are
beneficially owned by funds managed by affiliates of Cerberus
Capital Management, L.P. Upon acquiring the loans from the
transferring trusts, CRM will transfer the loans to CRM 2
Depositor, LLC (the Depositor). The Depositor, in turn, will
transfer the loans to Towd Point Mortgage Grantor Trust 2025-CES1
(the Grantor Trust). The Grantor Trust will issue two classes of
certificates: P&I Grantor Trust Certificate and IO Grantor Trust
Certificate. The Grantor Trust certificates will be issued in the
name of the Issuer. The Issuer will pledge P&I Grantor Trust
Certificate with the Indenture Trustee and will be the primary
asset of the Trust. As a Sponsor, CRM, through one or more
majority-owned affiliates, will acquire and retain a 5% eligible
vertical interest in each class of securities to be issued (other
than any residual certificates) to satisfy the credit risk
retention requirements.
Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's Ability-to-Repay (ATR) rules, they
were made to borrowers who generally do not qualify for agency,
government, or private-label nonagency prime jumbo products for
various reasons. In accordance with the Qualified Mortgage (QM)/ATR
rules, 24.2% of the loans are designated as non-QM, 25.1% are
designated as QM Rebuttable Presumption, and 48.1% are designated
as QM Safe Harbor. Approximately 2.6% of the mortgages are loans
made to investors for business purposes and were not subject to the
QM/ATR rules.
The Servicers (except servicers servicing the Scheduled Serviced
Mortgage Loans) will generally fund advances of delinquent
principal and interest (P&I) on any mortgage until such loan
becomes 60 days delinquent under the Office of Thrift Supervision
(OTS) delinquency method (equivalent to 90 days delinquent under
the Mortgage Bankers Association (MBA) delinquency method),
contingent upon recoverability determination. However, the Servicer
will stop advancing delinquent P&I if the aggregate amount of
unreimbursed P&I advances owed to a Servicer exceeds 95.0% of the
amounts on deposit in the custodial account maintained by such
Servicer. In addition, the related servicer is obligated to make
advances in respect of homeowner association fees, taxes, and
insurance, installment payments on energy improvement liens, and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties unless a determination is made that
there will be material recoveries.
For this transaction, any loan that is 150 days delinquent under
the OTS delinquency method (equivalent to 180 days delinquent under
the MBA delinquency method), upon review by the related Servicer,
may be considered a Charged Off Loan. With respect to a Charged Off
Loan, the total unpaid principal balance will be considered a
realized loss and will be allocated reverse sequentially to the
Noteholders. If there are any subsequent recoveries for such
Charged Off Loans, the recoveries will be included in the principal
remittance amount and applied in accordance with the principal
distribution waterfall; in addition, any class principal balances
of Notes that have been previously reduced by allocation of such
realized losses may be increased by such recoveries sequentially in
order of seniority. Morningstar DBRS' analysis assumes reduced
recoveries upon default on loans in this pool.
This transaction incorporates a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on Class M1
and subordinate bonds will not be paid from principal proceeds
until the Class A1 and A2 Notes are retired.
On or after (1) the payment date in March 2028 or (2) the first
payment date when the aggregate pool balance of the mortgage loans
(other than the Charged Off Loans and the REO properties) is
reduced to less than 30.0% of the Cut-Off Date balance, the call
option holder will have the option to purchase P&I Grantor Trust
Certificate so long as the aggregate proceeds from such purchase
exceeds the minimum price (Optional Redemption). Minimum price will
at least equal sum of (A) class balances of the Notes plus the
accrued interest and unpaid interest, (B) any fees, expenses and
indemnification amounts, and (C) accrued and unpaid amounts owed to
the Class X Certificates minus the Class AX distributable amount.
On or after the first payment date on which the aggregate pool
balance of the mortgage loans and the REO properties is less than
10% of the aggregate pool balance as of the Cut-Off Date, the call
option holder will have the option to purchase P&I Grantor Trust
Certificate at the minimum price (Clean-Up Call).
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns March 2025 Update," published on March 26, 2025. These
baseline macroeconomic scenarios replace Morningstar DBRS' moderate
and adverse coronavirus pandemic scenarios, which were first
published in April 2020.
Notes: All figures are in U.S. dollars unless otherwise noted.
TRUPS FINANCIALS 2019-2: Moody's Ups $47.3MM B Notes Rating to Ba1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by TruPS Financials Note Securitization 2019-2 Ltd:
US$203,000,000 Class A-1 Senior Secured Floating Rate Notes due
2039 (current balance $141,122,000.00), Upgraded to Aaa (sf);
previously on January 16, 2020 Definitive Rating Assigned Aa1 (sf)
US$30,500,000 Class A-2 Mezzanine Deferrable Floating Rate Notes
due 2039 (current balance $30,500,000), Upgraded to Aa3 (sf);
previously on January 16, 2020 Definitive Rating Assigned A2 (sf)
US$47,300,000 Class B Mezzanine Deferrable Floating Rate Notes due
2039 (current balance $47,300,000), Upgraded to Ba1 (sf);
previously on January 16, 2020 Definitive Rating Assigned Ba2 (sf)
TruPS Financials Note Securitization 2019-2 Ltd, issued in January
2020, is a collateralized debt obligation (CDO) backed mainly by a
portfolio of bank and insurance trust preferred securities
(TruPS).
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes and an increase in the transaction's
over-collateralization (OC) ratios since one year ago.
The Class A-1 notes have paid down by approximately 12.0% or $19.3
million since a year ago, using principal proceeds from the
redemption of the underlying assets. Based on Moody's calculations,
the OC ratios for the Class A-1, Class A-2 and Class B notes have
improved to 193.94%, 159.47% and 125.02%, respectively, from April
2024 levels of 182.63%, 153.46% and 122.99%, respectively.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, 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: $273.7 million
Defaulted/deferring par: $3.5 million
Weighted average default probability: 8.69% (implying a WARF of
1011)
Weighted average recovery rate upon default of 10.0%
In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenarios include, among others, deteriorating credit
quality of the portfolio.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily
of unrated assets whose default probability Moody's assess through
credit scores derived using RiskCalc(TM) or credit estimates.
Because these are not public ratings, they are subject to
additional estimation uncertainty.
UBS COMMERCIAL 2019-C18: Fitch Lowers Rating on 2 Tranches to 'Bsf'
-------------------------------------------------------------------
Fitch has downgraded 11 and affirmed five classes of UBS Commercial
Mortgage Trust 2019-C18 commercial mortgage pass-through
certificates, series 2019-C18. Following their downgrades, classes
A-S, B, C, D, E, X-B and X-D were assigned Negative Rating
Outlooks.
Entity/Debt Rating Prior
----------- ------ -----
UBS 2019-C18
A-2 90278PAX8 LT AAAsf Affirmed AAAsf
A-3 90278PAZ3 LT AAAsf Affirmed AAAsf
A-4 90278PBA7 LT AAAsf Affirmed AAAsf
A-S 90278PBD1 LT AAsf Downgrade AAAsf
A-SB 90278PAY6 LT AAAsf Affirmed AAAsf
B 90278PBE9 LT Asf Downgrade AA-sf
C 90278PBF6 LT BBBsf Downgrade A-sf
D 90278PAG5 LT BBsf Downgrade BBBsf
E 90278PAJ9 LT Bsf Downgrade BBB-sf
F 90278PAL4 LT CCCsf Downgrade BB-sf
G 90278PAN0 LT CCsf Downgrade B-sf
X-A 90278PBB5 LT AAAsf Affirmed AAAsf
X-B 90278PBC3 LT Asf Downgrade AA-sf
X-D 90278PAA8 LT Bsf Downgrade BBB-sf
X-F 90278PAC4 LT CCCsf Downgrade BB-sf
X-G 90278PAE0 LT CCsf Downgrade B-sf
KEY RATING DRIVERS
Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case loss
increased to 6.8% from 4.7% at the prior rating action. Twelve
loans (25.4% of the pool), including five loans (16.3%) in special
servicing, have been identified as Fitch Loans of Concern (FLOCs).
The downgrades reflect higher pool loss expectations since the
prior rating action, driven primarily by the declining Fitch value
of the specially serviced 225 Bush loan, which represents 5.0% of
the pool and is the largest loan in the transaction. The Negative
Outlooks reflect the potential for downgrades if the value of 225
Bush continues to deteriorate or if its resolution is prolonged, if
expected losses on the other larger FLOCs, including specially
serviced loans increase or if additional loans experience
performance declines. Office loans comprise 25.6% of the pool.
Largest Increases in Loss Expectations: The largest increase in
loss since the prior rating action and largest contributor to
overall pool loss expectations is 225 Bush (5.0%), which is secured
by a 579,987-sf office property located in San Francisco, CA. The
loan transferred to special servicing in November 2024 due to
maturity default; the loan did not repay at its Nov. 6, 2024,
maturity and as of the March 2025 remittance is categorized as
non-performing matured. Occupancy has been declining since issuance
and the sponsor has been unable to backfill increasing vacancies.
According to the servicer, the sponsor is not interested in
retaining the property or executing a loan modification.
The largest tenant at issuance, Twitch (14.5% of NRA), vacated upon
its lease expiration in August 2021. In addition, tenant Knotel
(4.6% of NRA) and several other smaller tenants vacated upon lease
expiration, causing occupancy to decline to 40% as of June 2024
compared to 47% at December 2023, 55% at December 2022 and 97.8% at
issuance. According to Costar, as of 1Q25, the submarket vacancy
and asking rents were reported at 30.5% and $50.85 psf,
respectively; these metrics have significantly worsened from 8.1%
and $75.29, respectively, at the time of issuance.
The updated Fitch NCF of $10.6 million is 11% below Fitch's NCF at
the prior review and 54% below Fitch's issuance NCF of $23.2
million. The Fitch NCF reflects leases in place according to the
June 2024 rent roll and assumes Fitch's view of sustainable,
long-term performance. It includes a lease up of vacant office
spaces grossed up to a discounted rate below in-place rents and a
sustainable long-term occupancy assumption of 70%, which is in line
with the submarket.
Fitch's analysis incorporated a higher stressed capitalization rate
of 9%, up from 8.75% at the prior rating action and 7.75% at
issuance, to factor increased office sector and submarket
performance concerns, resulting in a Fitch-stressed valuation
decline that is approximately 80% below the issuance appraisal. The
Fitch value/sf is in line with recent comparable sales in the
market for similar quality assets. Fitch's 'Bsf' ratings case loss
of 40.1% (prior to concentration add-ons) reflects Fitch's updated
valuation of the asset and considers the potential for a loan
disposition by the special servicer given that a loan modification
is considered unlikely.
The second largest increase in loss since the prior rating action
and third largest contributor to overall pool loss expectations is
1413 Germantown Avenue (1.5%), which is secured by 50-unit
multifamily property located in Philadelphia, PA. The loan
transferred to special servicing in November 2024 due to imminent
monetary default. Performance failed to stabilize after significant
declines due to the pandemic. The property benefits from a 10-year
tax abatement in place that limits real estate taxes to the land
portion of the property. YE 2023 NOI DSCR was at 0.68x compared to
0.31x at YE 2022 and 0.41x at YE 2021. Property occupancy was at
82.4% at YE 2023 compared to 50.9% at YE 2022 and 54.9% at YE
2021.
Fitch's 'Bsf' rating case loss of 37.5% (prior to a concentration
adjustment) is based on an 8.75% cap rate, YE 2023 NOI and recent
transfer to special servicing.
The third largest increase in loss since the prior rating action
and fourth largest contributor to overall pool loss expectations is
4041 Central (2.9%), which is secured by 406,453-sf office building
located in Phoenix, AZ. There is U.S. government concentration:
U.S. Government IRS (28.7% NRA; expiring June 28, 2029) and U.S.
Government GSA (9.0% NRA; expiring Sept. 30, 2028). The loan is a
FLOC due to low occupancy and a weak submarket. Servicer reported
occupancy and NOI DSCR were 69% and 1.61x respectively, as of June
2024. There is limited rollover of 2% in 2025 and 4.1% in 2026. The
annualized June 2024 NOI is 20% below YE 2022 and 7% below the
Fitch issuance NCF.
Fitch's 'Bsf' rating case loss of 16.7% (prior to a concentration
adjustment) is based on a 10.25% cap rate and a 10% haircut to
annualized June 2024 NOI, and factors the loan's history of being
delinquent four times in the past 12 months.
Credit Enhancement (C/E): As of the March 2025 distribution date,
the transaction has paid down 5.5% since issuance. Two loans (1.9%)
have been defeased. There have been no realized losses to date.
Interest shortfalls totaling approximately $350,000 are impacting
the risk retention class VRR and class NR-RR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to senior 'AAAsf' rated classes are not expected due
increasing CE and expected continued amortization and loan
repayments, but may occur if deal-level losses increase
significantly and/or interest shortfalls occur or are expected to
occur;
- Downgrades to the 'AAsf' and 'Asf' rated classes, which have
Negative Outlooks, could occur with further value deterioration
with respect to 225 Bush, if performance of the other FLOCs
deteriorates further or if more loans than expected default at or
prior to maturity;
- Downgrades for classes rated in the 'BBBsf', 'BBsf' and 'Bsf'
categories are likely with additional deterioration in performance
of the FLOCs, if additional loans or with greater certainty of
losses on the specially serviced loans or other FLOCs;
- Downgrades to the 'CCCsf' and 'CCsf' rated classes would occur
should additional loans transfer to special servicing and/or
default, or as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to the 'AAsf' and 'Asf' rated classes may be possible
with significantly increased CE from paydowns and/or defeasance,
coupled with stable to improved pool-level loss expectations and
improved performance or valuations on the FLOCs, particularly 225
Bush;
- Upgrades to the 'BBBsf' category rated class would be limited
based on sensitivity to concentrations or the potential for future
concentration and would only occur sustained improved performance
of the FLOCs;
- Upgrades to 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and would only occur
if the performance of the remaining pool is stable and there is
sufficient CE to the classes;
- Upgrades to the distressed 'CCCsf' and 'CCsf' rated classes are
not expected, but possible with better-than-expected recoveries on
specially serviced loans.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
VELOCITY COMMERCIAL 2025-2: DBRS Gives Prov. B Rating on 3 Classes
------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the
Mortgage-Backed Certificates, Series 2025-2 (the Certificates) to
be issued by Velocity Commercial Capital Loan Trust 2025-2 (VCC
2025-2 or the Issuer) as follows:
-- $253.8 million Class A at (P) AAA (sf)
-- $23.4 million Class M-1 at (P) AA (low) (sf)
-- $20.2 million Class M-2 at (P) A (low) (sf)
-- $43.2 million Class M-3 at (P) BBB (low) (sf)
-- $24.1 million Class M-4 at (P) BB (sf)
-- $12.8 million Class M-5 at (P) B (high) (sf)
-- $9.6 million Class M-6 at (P) B (sf)
-- $253.8 million Class A-S at (P) AAA (sf)
-- $253.8 million Class A-IO at (P) AAA (sf)
-- $23.4 million Class M1-A at (P) AA (low) (sf)
-- $23.4 million Class M1-IO at (P) AA (low) (sf)
-- $20.2 million Class M2-A at (P) A (low) (sf)
-- $20.2 million Class M2-IO at (P) A (low) (sf)
-- $43.2 million Class M3-A at (P) BBB (low) (sf)
-- $43.2 million Class M3-IO at (P) BBB (low) (sf)
-- $24.1 million Class M4-A at (P) BB (sf)
-- $24.1 million Class M4-IO at (P) BB (sf)
-- $12.8 million Class M5-A at (P) B (high) (sf)
-- $12.8 million Class M5-IO at (P) B (high) (sf)
-- $9.6 million Class M6-A at (P) B (sf)
-- $9.6 million Class M6-IO at (P) B (sf)
Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are
interest-only (IO) certificates. The class balances represent
notional amounts.
Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable
certificates. These classes can be exchanged for combinations of
initial exchangeable certificates as specified in the offering
documents.
The (P) AAA (sf) credit ratings on the Certificates reflect 35.35%
of credit enhancement (CE) provided by subordinated certificates.
The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB
(sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect
29.40%, 24.25%, 13.25%, 7.10%, 3.85%, and 1.40% of CE,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
VCC 2025-2 is a securitization of a portfolio of newly originated
and seasoned fixed rate, first-lien residential mortgages
collateralized by investor properties with one to four units
(residential investor loans) and small-balance commercial mortgages
(SBC) collateralized by various types of commercial, multifamily
rental, and mixed-use properties. Eleven of these loans were
originated through the U.S. SBA 504 loan program and are backed by
first-lien, owner-occupied, commercial real estate. The
securitization is funded by the issuance of the Mortgage-Backed
Certificates, Series 2025-2 (the Certificates). The Certificates
are backed by 906 mortgage loans with a total principal balance of
$392,642,688 as of the Cut-Off Date (March 1, 2025).
Approximately 45.4% of the pool comprises residential investor
loans, about 49.4% are traditional SBC loans, and about 5.1% are
the SBA 504 loans mentioned above. Most of the loans in this
securitization (80.1%) were originated by Velocity Commercial
Capital, LLC (Velocity or VCC). Forty-five loans (19.6%) were
originated by New Day Commercial Capital, LLC, a wholly owned
subsidiary of Velocity Commercial Capital, LLC, which is wholly
owned by Velocity Financial, Inc. One loan was originated by
Century Health and Housing Capital, LLC, which is a majority-owned
subsidiary of Velocity Financial, Inc.
The loans were generally underwritten to program guidelines for
business-purpose loans where the lender generally expects the
property (or its value) to be the primary source of repayment (with
the exception being the five SBA 504 loans which, per SBA
guidelines, were underwritten to the small business cash flows,
rather than to the property value). For all of the New Day
originated loans, underwriting was based on business cash flows,
but loans were secured by real estate. For the SBC and residential
investor loans, the lender reviews the mortgagor's credit profile,
though it does not rely on the borrower's income to make its credit
decision. However, the lender considers the property-level cash
flows or minimum debt-service coverage ratio (DSCR) in underwriting
SBC loans with balances more than $750,000 for purchase
transactions and more than USD $500,000 for refinance transactions.
Because the loans were made to investors for business purposes,
they are exempt from the Consumer Financial Protection Bureau's
Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure
rule.
On January 5, 2024, a suit was filed in the U.S. District Court for
the Central District of California by Harvest Small Business
Finance, LLC and Harvest Commercial Capital, LLC against certain
employees of New Day Business Finance LLC and Velocity Commercial
Capital, LLC d/b/a New Day Commercial Capital, LLC (New Day)
alleging violations of the Defend Trade Secrets Act, the California
Uniform Trade Secrets Act and the California Unfair Competition
Law. New Day has indicated that it does not believe that this suit
is material.
PHH Mortgage Corporation (PMC) will service all loans within the
pool for a servicing fee of 0.30% per annum. New Day will act as
Subservicer for the 45 New Day originated loans (including the 11
SBA 504 loans), Century will subservice the one loan they
originated, and PHH will also act as the Backup Servicer for these
loans. If New Day fails to service these loans in accordance with
the related subservicing agreement, PHH will terminate the
subservicing agreement and commence directly servicing such
mortgage loans within 30 days. In addition, Velocity will act as a
Special Servicer, servicing the loans that defaulted or became 60
or more days delinquent under Mortgage Bankers Association (MBA)
method and other loans, as defined in the transaction documents
(Specially Serviced Mortgage Loans). The Special Servicer will be
entitled to receive compensation based on an annual fee of 0.75%
and the balance of Specially Serviced Loans.
Also, the Special Servicer is entitled to a liquidation fee equal
to 2.00% of the net proceeds from the liquidation of a Specially
Serviced Mortgage Loan, as described in the transaction documents.
The Servicer will fund advances of delinquent principal and
interest (P&I) until the advances are deemed unrecoverable. Also,
the Servicer is obligated to make advances with respect to taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing properties.
U.S. Bank National Association (U.S. Bank; rated AA with a Stable
trend by Morningstar DBRS) will act as the Custodian. U.S. Bank
Trust Company, National Association (rated AA with a Stable trend
by Morningstar DBRS) will act as the Trustee.
The Seller, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of the Class XS Certificates, collectively
representing at least 5% of the fair value of all Certificates, to
satisfy the credit risk-retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder. Such retention aligns Sponsor and investor interest in
the capital structure.
On or after the later of (1) the three-year anniversary of the
Closing Date or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Closing Date
balance, the Depositor may purchase all outstanding Certificates
(Optional Purchase) at a price equal to the sum of the remaining
aggregate balance of the Certificates plus accrued and unpaid
interest, and any fees, expenses, and indemnity payments due and
unpaid to the transaction parties, including any unreimbursed P&I
and servicing advances, and other amounts due as applicable. The
Optional Purchase will be conducted concurrently with a qualified
liquidation of the Issuer.
Additionally, if on any date on which the unpaid mortgage loan
balance and the value of REO properties has declined to less than
10% of the initial mortgage loan balance as of the Cut-Off Date,
the Directing Holder, the Special Servicer, or the Servicer, in
that order of priority, may purchase all of the mortgages, REO
properties, and any other properties from the Issuer (Optional
Termination) at a price specified in the transaction documents. The
Optional Termination will be conducted as a qualified liquidation
of the Issuer. The Directing Holder (initially, the Seller) is the
representative selected by the holders of more than 50% of the
Class XS certificates (the Controlling Class).
The transaction uses a structure sometimes referred to as a
modified pro rata structure. Prior to the Class A CE falling below
10.0% of the loan balance as of the Cut-Off Date (Class A Minimum
CE Event), the principal distributions allow for amortization of
all senior and subordinate bonds based on CE targets set at
different levels for performing (same CE as at issuance) and
nonperforming (higher CE than at issuance) loans. Each class'
target principal balance is determined based on the CE targets and
the performing and nonperforming (those that are 90 or more days
MBA delinquent, in foreclosure and REO, and subject to a servicing
modification within the prior 12 months) loan amounts. As such, the
principal payments are paid on a pro rata basis, up to each class'
target principal balance, so long as no loans in the pool are
nonperforming. If the share of nonperforming loans grows, the
corresponding CE target increases. Thus, the principal payment
amount increases for the senior and senior subordinate classes and
falls for the more subordinate bonds. The goal is to distribute the
appropriate amount of principal to the senior and subordinate bonds
each month, to always maintain the desired level of CE, based on
the performing and nonperforming pool percentages. After the Class
A Minimum CE Event, the principal distributions are made
sequentially.
Relative to the sequential pay structure, the modified pro rata
structure is more sensitive to the timing of the projected defaults
and losses as the losses may be applied at a time when the amount
of credit support is reduced as the bonds' principal balances
amortize over the life of the transaction.
COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY¿SBC
LOANS
The collateral for the SBC portion of the pool consists of 299
individual loans secured by 300 commercial and multifamily
properties with an average Cut-Off Date loan balance of $649,099.
None of the mortgage loans are cross-collateralized or
cross-defaulted with each other. Given the complexity of the
structure and granularity of the pool, Morningstar DBRS applied its
"North American CMBS Multi-Borrower Rating Methodology" (the CMBS
Methodology).
The CMBS loans have a weighted-average (WA) fixed interest rate of
10.9%. This is approximately 30 basis points (bps) lower than the
VCC 2025-1 transaction, 10 bps lower than the VCC 2024-6
transaction, 20 bps higher than the VCC 2024-5 transaction, 50 bps
lower than the VCC 2024-4 transaction, 80 bps lower than the VCC
2024-3 transaction, and 70 bps lower than both of the VCC 2024-2
and VCC 2024-1 transactions. Most of the loans have original term
lengths of 30 years and fully amortize over 30-year schedules.
However, 18 loans, which represent 9.9% of the SBC pool, have an
initial IO period of 60 or 120 months. In addition, one loan,
representing 0.8% of the SBC pool, has an original term length of
37 months and is IO for the full loan term.
All the SBC loans were originated between September 2024 and
February 2025 (100.0% of the Cut-Off Date pool balance), resulting
in a WA seasoning of 0.5 months. The SBC pool has a WA original
term length of 357 months or approximately 30 years. Based on the
original loan amount and the current appraised values, the SBC pool
has a WA loan-to-value ratio (LTV) of 60.9%. However, Morningstar
DBRS made LTV adjustments to 50 loans that had an implied
capitalization rate more than 200 bps lower than a set of minimal
capitalization rates established by the Morningstar DBRS Market
Rank. The Morningstar DBRS minimum capitalization rates range from
5.0% for properties in Market Rank 8 to 8.0% for properties in
Market Rank 1. This resulted in a higher Morningstar DBRS LTV of
67.6%. Lastly, 298 of the 299 loans fully amortize over their
respective remaining terms, resulting in 99.2% expected
amortization; this amount of amortization is greater than what is
typical for CMBS conduit pools. Morningstar DBRS' research
indicates that, for CMBS conduit transactions securitized between
2000 and 2021, average amortization rate by year has ranged between
6.5% and 22.0%, with a median rate of 16.5%.
As contemplated and explained in the CMBS Methodology, the most
significant risk to an IO cash flow stream is term default risk. As
Morningstar DBRS noted in the CMBS Methodology, for a pool of
approximately 63,000 CMBS loans that had fully cycled through to
their maturity defaults, the average total default rate across all
property types was approximately 17%, the refinance default rate
was 6% (approximately one third of the total default rate), and the
term default rate was approximately 11%. Morningstar DBRS
recognizes the muted impact of refinance risk on IO certificates by
notching the IO credit rating up by one notch from the Reference
Obligation credit rating. When using the 10-year Idealized Default
Table default probability to derive a probability of default (POD)
for a CMBS bond from its credit rating, Morningstar DBRS estimates
that, in general, a one-third reduction in the CMBS Reference
Obligation POD maps to a tranche credit rating that is
approximately one notch higher than the Reference Obligation or the
Applicable Reference Obligation, whichever is appropriate.
Therefore, similar logic regarding term default risk supported the
rationale for Morningstar DBRS to reduce the POD in the North
American CMBS Insight Model (the CMBS Insight Model) by one notch
because refinance risk is largely absent for this SBC pool of
loans.
Morningstar DBRS' CMBS Insight Model does not contemplate the
ability to prepay loans, which is generally seen as credit positive
because a prepaid loan cannot default. The CMBS Insight Model was
calibrated using loans that have prepayment lockout features. The
historical prepayment performance of those loans is close to a 0%
conditional prepayment rate (CPR). If the CMBS Insight Model had an
expectation of prepayments, Morningstar DBRS would expect the
default levels to be reduced. Any loan that prepays is removed from
the pool and can no longer default. This collateral pool does not
have any prepayment lockout features, and Morningstar DBRS expects
this pool will have prepayments over the remainder of the
transaction. Morningstar DBRS applied a 5.0% reduction to the
cumulative default assumptions to provide credit for expected
payments. The assumption reflects Morningstar DBRS' opinion that,
in a rising-interest-rate environment, fewer borrowers may elect to
prepay their loan.
As a result of higher interest rate and lending spreads, the SBC
pool has a significant increase in interest rates compared with
prior VCC transactions. Consequently, approximately 65.2% of the
loans in the deal (198 SBC loans) have an Issuer net operating
income (NOI) debt service coverage ratio (DSCR) less than 1.0 times
(x), which is in line with the previous 2025 and 2024 transactions,
but a larger composition than the previous VCC transactions in 2023
and 2022. Additionally, although the CMBS Insight Model does not
contemplate FICO scores, it is important to point out the WA FICO
score of 716 for the SBC loans, which is relatively similar to
prior VCC transactions. With regard to the aforementioned concerns,
Morningstar DBRS applied a 5.0% penalty to the fully adjusted
cumulative default assumptions to account for risks given these
factors.
The SBC pool is quite diverse based on loan count and size, with an
average Cut-Off Date balance of $649,099, a concentration profile
equivalent to that of a transaction with 135 equal-size loans, and
a top 10 loan concentration of 18.3%. Increased pool diversity
helps insulate the higher-rated classes from event risk.
The loans are mostly secured by traditional property types (i.e.,
multifamily, retail, office, and industrial).
Of the 299 loans in the SBC pool, 298 fully amortize over their
respective remaining loan terms, reducing refinance risk.
The SBC pool contains one loan that is collateralized by vacant
commercial land, which will be used in the future for a 100-unit
multifamily development. There is no lease or cash flow in place to
support the debt service for this loan. In addition, the SBC pool
contains two loans where an Income Approach to value was not
contemplated in the appraisal and an Issuer net cash flow (NCF) was
not provided. Morningstar DBRS applied POD penalties to the three
loans to mitigate these risks.
As classified by Morningstar DBRS for modeling purposes, the SBC
pool contains a significant exposure to retail (32.4% of the SBC
pool) and office (14.8% of the SBC pool), which are two of the
higher-volatility asset types. Loans counted as retail include
those identified as automotive and potentially commercial
condominium. Combined, retail and office properties represent
approximately 47.2% of the SBC pool balance. Morningstar DBRS
applied a 20.3% reduction to the NCF for retail properties and a
30.0% reduction to the NCF for office assets in the SBC pool, which
is above the average NCF reduction applied for comparable property
types in CMBS analyzed deals.
Morningstar DBRS did not perform site inspections on loans within
its sample for this transaction. Instead, Morningstar DBRS relied
upon analysis of third-party reports and online searches to
determine property quality assessments. Of the 80 loans Morningstar
DBRS sampled, one was Average + quality (3.3% of sample), 23 were
Average quality (32.1%), 39 were Average - quality (40.6%), 16 were
Below Average quality (21.9%), and one was Poor quality (2.2%).
Morningstar DBRS assumed unsampled loans were Average - quality,
which has a slightly increased POD level. This is consistent with
the assessments from sampled loans and other SBC transactions rated
by Morningstar DBRS.
Limited property-level information was available for Morningstar
DBRS to review. Asset summary reports, property condition reports,
Phase I/II environmental site assessment (ESA) reports, and
historical cash flows were generally not available for review in
conjunction with this securitization. Morningstar DBRS received and
reviewed appraisals for sampled loans within the top 32 of the
pool, which represent 34.3% of the SBC pool balance. These
appraisals were issued between October 2024 and February 2025.
Morningstar DBRS was able to perform a loan-level cash flow
analysis on 29 loans in the pool. The NCF haircuts for these loans
ranged from 0.5% to -92.1%, with an average of -24.3%; however,
Morningstar DBRS generally applied more conservative haircuts on
the nonsampled loans. ESA reports were neither provided nor
required by the Issuer for 297 of the 299 loans; however, 296 loans
have an environmental insurance policy that provides coverage to
the Issuer and the securitization trust in the event of a claim.
The remaining loan is collateralized by vacant commercial land that
does not have an environmental product. No probable maximum loss
information or earthquake insurance requirements are provided.
Therefore, a loss given default penalty was applied to all
properties in California to mitigate this potential risk.
Morningstar DBRS received limited borrower information, net worth
or liquidity information, and credit history. Additionally, the WA
interest rate of the deal is 10.9%, which is indicative of the
broader increased interest rate environment and represents a large
increase over VCC deals in 2022 and early 2023. Morningstar DBRS
generally initially assumed loans had Weak sponsorship scores,
which increases the stress on the default rate. The initial
assumption of Weak sponsorship reflects the generally less
sophisticated nature of small balance borrowers and assessments
from past small balance transactions rated by Morningstar DBRS.
Furthermore, Morningstar DBRS received a 12-month pay history on
each loan through February 28, 2025. If any loan has more than two
late payments within this period or is currently 30 days past due,
Morningstar DBRS applied an additional stress to the default rate.
This occurred for one loan, representing 0.8% of the SBC pool
balance.
SBA 504 LOANS
The transaction includes 11 SBA 504 loans, totaling approximately
$20.1 million or 5.11% of the aggregate VCC 2025-2 collateral pool.
These are owner-occupied, first-lien commercial real estate
(CRE)-backed loans, originated via the U.S. Small Business
Administration's 504 loan program (SBA 504) in conjunction with
community development companies (CDC), made to small businesses,
with the stated goal of community economic development.
The SBA 504 loans are fixed rate with 360-month original terms and
are fully amortizing. The loans were originated between December
10, 2024, and February 12, 2025, via New Day, which will also act
as Subservicer of the loans. The total outstanding principal
balance as of the Cut-Off Date is approximately $20,136,405, with
an average balance of $1,830,582. There are two pairs of loans
whereby one property is securing two 504 loans for the same
borrower (Affiliated Borrower). We treated these four loans as two.
One loan pair totaled approximately $10.7 million, equating to
53.19% of the 504 subpool. The WA interest rate of the 504 loan
subpool is 10.12%. The loans are subject to prepayment penalties of
5%,4%, 3%, 2%, and 1%, respectively, in the first five years from
origination. These loans are for properties that are owner-occupied
by the small business borrower. WA LTV is 29.09%, WA DSCR is 1.63
times (x), and the WA FICO of this subpool is 768.
For these loans, Morningstar DBRS applied its "Rating U.S.
Structured Finance Transactions" methodology. As there is limited
historical information for the originator, we used proxy data from
the publicly available SBA data set, which contains several decades
of performance data, stratified by industry categories of the small
business operators, to derive an expected default rate. Recovery
assumptions were derived from the Morningstar DBRS CMBS data set of
loss given default stratified by property type, LTV, and Market
Rank. These were input into our proprietary model, the Morningstar
DBRS CLO Insight Model, which uses a Monte Carlo process to
generate stressed loss rates corresponding to a specific credit
rating level.
RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY
The collateral pool consists of 596 mortgage loans with a total
balance of approximately $178.4 million collateralized by one- to
four-unit investment properties. Velocity underwrote the mortgage
loans to the No Ratio program guidelines for business-purpose
loans.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios for Rated
Sovereigns March 2025 Update, published on March 26, 2025. These
baseline macroeconomic scenarios replace Morningstar DBRS' moderate
and adverse COVID-19 pandemic scenarios, which were first published
in April 2020.
Notes: All figures are in U.S. dollars unless otherwise noted.
VENTURE CLO XIII: Moody's Cuts Rating on $39.5MM E-R Notes to Caa2
------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Venture XIII CLO, Limited:
US$34,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D-R Notes"), Upgraded to Aa3 (sf);
previously on April 5, 2024 Upgraded to A1 (sf)
Moody's have also downgraded the rating on the following notes:
US$39,500,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2029 (the "Class E-R Notes"), Downgraded to Caa2 (sf);
previously on December 16, 2024 Downgraded to Caa1 (sf)
Venture XIII CLO, Limited, originally issued in March 2013,
refinanced in September 2017, and partially refinanced in March
2020, 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
September 2021.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating action on the Class D-R notes is primarily a
result of deleveraging of the senior notes and an increase in the
transaction's over-collateralization (OC) ratios since October
2024. The Class A-R2 notes have been fully paid down and the Class
B-R notes have been paid down by approximately 69.2% or $42.2
million since then. Based on the trustee's March 2025 report, the
OC ratios for the Class D-R notes is reported at 134.91%[1], versus
the October 2024 level of 121.69%[2].
The downgrade rating action on the Class E-R notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's March 2025 report, the OC ratio for the Class E-R
notes is reported at 92.71%[3] versus the October 2024 level of
97.24%[4], failing the trigger of 104.25%. Furthermore, Moody's
calculated weighted average rating factor (WARF) has been
deteriorating and the current level is 3190 compared to 3071 in
November 2024.
No actions were taken on the Class B-R and Class C-R notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $126,539,442
Defaulted par: $3,010,207
Diversity Score: 40
Weighted Average Rating Factor (WARF): 3190
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 4.02%
Weighted Average Recovery Rate (WARR): 46.02%
Weighted Average Life (WAL): 2.6 years
Par haircut in OC tests and interest diversion test: 7.3%
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.
VENTURE CLO XXVI: Moody's Cuts Rating on $25.7MM E Notes to Caa1
----------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Venture XXVI CLO, Limited:
US$28,875,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2029, Upgraded to A1 (sf); previously on November 12,
2024 Upgraded to A2 (sf)
Moody's have also downgraded the rating on the following notes:
US$25,700,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029, Downgraded to Caa1 (sf); previously on November 12, 2024
Downgraded to B2 (sf)
Venture XXVI CLO, Limited, originally issued in February 2017 and
partially refinanced in January 2021, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in January 2022.
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating action is primarily a result of deleveraging of
the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since October 2024. The Class
A-R notes have been paid down completely while the Class B-R notes
have been paid down by approximately 38% or $22.9 million since
that time. Based on the trustee's March 2025 report [1], the OC
ratio for the Class D notes is reported at 118.43% versus the
October 2024 [2] level of 113.73%. Additionally, the deal currently
has approximately $28.8 million in the principal collection
account, which amount is expected to be used to pay down the Class
B-R notes on the next payment date.
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's report, the OC ratio for the Class E notes is
reported [3] at 93.90% versus the October 2024 [4] level of 99.13%,
failing the trigger level of 104.70%. Furthermore, Moody's
calculated weighted average rating factor (WARF) has been
deteriorating and the current level is 3266 compared to 3058 in
October 2024.
No actions were taken on the Class B-R and Class C notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $127,968,235
Defaulted par: $3,559,525
Diversity Score: 36
Weighted Average Rating Factor (WARF): 3266
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.51%
Weighted Average Coupon (WAC): 8.00%
Weighted Average Recovery Rate (WARR): 46.04%
Weighted Average Life (WAL): 2.35 years
Par haircut in OC tests and interest diversion test: 12.3%
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.
VERDELITE STATIC 2024-1: Fitch Affirms BB+sf Rating on Cl. E Notes
------------------------------------------------------------------
Fitch Ratings affirmed the class A, B, C, D, and E notes of
Verdelite Static CLO 2024-1, Ltd. The Rating Outlook on the class B
notes was revised to Positive from Stable, while the Outlooks on
the other rated notes remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
Verdelite Static
CLO 2024-1, Ltd.
A 92338VAA9 LT AAAsf Affirmed AAAsf
B 92338VAC5 LT AAsf Affirmed AAsf
C 92338VAE1 LT Asf Affirmed Asf
D 92338VAG6 LT BBB+sf Affirmed BBB+sf
E 92338WAA7 LT BB+sf Affirmed BB+sf
Transaction Summary
Verdelite Static CLO 2024-1, Ltd. is a broadly syndicated
collateralized loan obligation (CLO) managed by BCRED Verdelite JV
LP. The transaction is a static CLO that originally closed in July
2024 and is secured by first lien, senior secured leveraged loans.
KEY RATING DRIVERS
Improving Credit Enhancement from Note Amortization
The Positive Outlook is driven by note amortization of the class A
notes, which resulted in increased credit enhancement levels and
break-even default rate (BEDR) cushions against relevant rating
stress default levels. As of March 2025 reporting, approximately
10.7% of the class A notes has amortized since the July 2024
closing.
The underlying portfolio spread compressed to 3.1% from 3.4% since
the 2024 closing, which partially offset the positive impact from
deleveraging.
In addition, deteriorating economic conditions can impact new-term
portfolio credit characteristics and slow down the portfolio
amortization. While class B and C notes' Model Implied Ratings
(MIR) were one notch higher, the BEDR cushions at the MIR levels
based on the current portfolios were not considered sufficiently
robust for an upgrade at this review.
The revision of the Outlook to positive for class B reflects its
second priority position and a greater positive impact on its BEDR
cushions from deleveraging, as compared to class C notes. All other
classes continue to have sufficient protection against stresses
commensurate with their current rating levels and remain on Outlook
Stable.
The portfolio currently consists of 230 obligors and the largest 10
obligors represent 9.8% of the portfolio, compared to 260 obligors
and largest 10 obligors of 8.8% at the closing.
The credit quality of the portfolio has remained stable, at a Fitch
weighted average rating factor of 24.8 (B/B- rating level) since
closing. Exposure to issuers with a Negative Outlook has grown to
11.0% from 4.9%; the current exposure to Fitch's watchlist is
3.8%.
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 (WAL) to the
current WAL covenant of 5.4 years. All classes have positive
cushions to their recommended ratings 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 B
and C notes, whose MIRs are one notch higher than their current
ratings.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing and the
notes' credit enhancement do not compensate for the higher loss
expectation than initially assumed;
- A 25% increase of the mean default rate across all ratings, along
with a 25% decrease of the recovery rate at all rating levels for
the current portfolio, would lead to up to three notches lower
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 up to four notches higher
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.
VERUS SECURITIZATION 2025-3: S&P Assigns Prelim B+(sf) on B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2025-3'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,
cooperative, and five- to 10-unit multifamily residences. The pool
has 1,098 loans backed by 1,109 properties, which are qualified
mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM
rebuttable presumption loans, non-QM/ability-to-repay
(ATR)-compliant loans, and ATR-exempt loans. Of the 1,098 loans,
three loans are cross-collateralized loans backed by 14
properties.
The preliminary ratings are based on information as of April 14,
2025. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, and geographic
concentration;
-- The mortgage aggregator, Invictus Capital Partners; 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. S&P's outlook is updated, if
necessary, when these projections change materially.
Preliminary Ratings(i) Assigned
Verus Securitization Trust 2025-3
Class A-1, $428,504,000: AAA (sf)
Class A-2, $25,035,000: AA+ (sf)
Class A-3, $49,487,000: A+ (sf)
Class M-1, $37,262,000: BBB+ (sf)
Class B-1, $20,668,000: BB (sf)
Class B-2, $9,606,000: B+ (sf)
Class B-3, $11,645,030: Not rated
Class A-IO-S, notional(ii): Not rated
Class XS, notional(ii): Not rated
Class R, not applicable: Not rated
(i)The collateral and structural information reflect the term sheet
dated April 10, 2025; the preliminary ratings address the ultimate
payment of interest and principal. They do not address the payment
of the cap carryover amounts.
(ii)The notional amount will equal to the aggregate stated
principal balance of the mortgage loans as of the first day of the
related due period.
VISTA POINT 2025-CES1: DBRS Finalizes B Rating on B-2 Notes
-----------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
following Asset-Backed Securities, Series 2025-CES1 (the Notes)
issued by Vista Point Securitization Trust 2025-CES1 (VSTA
2025-CES1 or the Trust):
-- $196.0 million Class A-1 at AAA (sf)
-- $14.3 million Class A-2 at AA (sf)
-- $13.6 million Class A-3 at A (sf)
-- $14.3 million Class M-1 at BBB (sf)
-- $12.5 million Class B-1 at BB (sf)
-- $8.1 million Class B-2 at B (sf)
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The AAA (sf) credit rating on the Notes reflects 27.30% of credit
enhancement provided by subordinate Notes. The AA (sf), A (sf), BBB
(sf), BB (sf), and B (sf) credit ratings reflect 22.00%, 16.95%,
11.65%, 7.00%, and 4.00% of credit enhancement, respectively.
VSTA 2025-CES1 is a securitization of a portfolio of fixed, prime,
expanded-prime, closed-end second-lien (CES) residential mortgages
funded by the issuance of the Asset-Backed Securities, Series
2025-CES1 (the Notes). The Notes are backed by 1,293 mortgage loans
with a total principal balance of 269,645,715 as of the Cut-Off
Date (February 28, 2025).
The portfolio, on average, is one month seasoned, though seasoning
ranges from zero to 25 months. Borrowers in the pool represent
prime and expanded-prime credit quality--weighted-average (WA)
Morningstar DBRS-calculated FICO score of 728, Issuer-provided
original combined loan-to-value ratio (CLTV) of 66.3%. The loans
were generally originated with Morningstar DBRS defined full
documentation standards.
As of the Cut-Off Date, all but twelve loans (0.8% of the pool),
were current. Since then, six loans (0.3%) that were 30 days
delinquent have self-cured, leaving 0.5% of the pool 30 days
delinquent under the Mortgage Bankers Association (MBA) delinquency
method. Additionally, none of the borrowers are in active
bankruptcy.
VSTA 2025-CES1 represents the fourth CES securitization by Vista
Point Mortgage, LLC. Vista Point Mortgage, LLC (17.1%), New
American Funding, LLC (13.8%), and Home Mortgage Alliance
Corporation (12.7%) are the top originators for the mortgage pool.
The remaining originators each comprise less than 10.0% of the
mortgage loans.
Carrington Mortgage Services, LLC (Carrington; 100.0%) is the
Servicer of all the loans in this transaction. U.S. Bank Trust
Company, National Association (rated AA with a Stable trend by
Morningstar DBRS) will act as the Indenture Trustee, Paying Agent,
Note Registrar, and Certificate Registrar. U.S. Bank National
Association will act as the Custodian. U.S. Bank Trust National
Association will act as the Delaware Trustee.
On or after the earlier of (1) the Payment Date occurring in March
2028 or (2) the date when the aggregate stated principal balance of
the mortgage loans is reduced to 30% of the Cut-Off Date balance,
the Controlling Holder (majority holder of the Class XS Notes;
initially expected to be affiliate of the Sponsor), may terminate
the Issuer at a price equal to the greater of (A) the class
balances of the related Notes plus accrued and unpaid interest,
including any cap carryover amounts and (B) the principal balances
of the mortgage loans plus accrued and unpaid interest, including
fees, expenses, and indemnification amounts. The Controlling Holder
must complete a qualified liquidation, which requires (1) a
complete liquidation of assets within the Trust and (2) proceeds to
be distributed to the appropriate holders of regular or residual
interests.
The Controlling Holder will have the option, but not the
obligation, to repurchase any mortgage loan (other than loans under
forbearance plan as of the Closing Date) that becomes 90 or more
days delinquent at the repurchase price (par plus interest),
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.
Although the majority of the mortgage loans were originated to
satisfy the Consumer Financial Protection Bureau's (CFPB)
Ability-to-Repay (ATR) rules, they were made to borrowers who
generally do not qualify for agency, government, or private-label
nonagency prime jumbo products for various reasons. In accordance
with the Qualified Mortgage (QM)/ATR rules, 82.3% of the loans are
designated as non-QM, 0.1% are designated as QM Rebuttable
Presumption, and 8.7% are designated as QM Safe Harbor.
Approximately 8.9% of the mortgages are loans were not subject to
the QM/ATR rules as they are made to investors for business
purposes.
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction. In addition, the related servicer is not obligated to
make advances in respect of homeowner association fees, taxes, and
insurance, installment payments on energy improvement liens, and
reasonable costs and expenses incurred in the course of servicing
and disposing of properties unless a determination is made that
there will be material recoveries.
For this transaction, any loan that 180 days delinquent under the
Mortgage Bankers Association (MBA) delinquency method, upon review
by the related Servicer, may be considered a Charged Off Loan. With
respect to a Charged Off Loan, the total unpaid principal balance
will be considered a realized loss and will be allocated reverse
sequentially to the Noteholders. If there are any subsequent
recoveries for such Charged Off Loans, the recoveries will be
included in the principal remittance amount and applied in
accordance with the principal distribution waterfall; in addition,
any class principal balances of Notes that have been previously
reduced by allocation of such realized losses may be increased by
such recoveries sequentially in order of seniority. Morningstar
DBRS' analysis assumes reduced recoveries upon default on loans in
this pool.
This transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls after
the more senior tranches are paid in full (IPIP).
Notes: All figures are in US dollars unless otherwise noted.
VOYA CLO 2021-3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO
2021-3, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Voya CLO 2021-3,
Ltd.
X-R LT AAAsf New Rating
A-1-R LT NRsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Voya CLO 2021-3, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by Voya
Alternative Asset Management LLC. The transaction originally closed
in 2021. On April 15, 2025, all of the existing secured notes will
be paid in full. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 22.65, versus a maximum covenant, in
accordance with the initial expected matrix point of 23. 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
96.93% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.34% versus a
minimum covenant, in accordance with the initial expected matrix
point of 67.8%.
Portfolio Composition (Positive): The largest three industries may
comprise up to 41% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
industry, obligor and geographic concentrations is in line with
other recent CLOs.
Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.
Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for
class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between
'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and
'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf'
for class D-2-R and between less than 'B-sf' and 'B+sf' for class
E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R and class
A-2-R notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf'
for class D-1-R, and 'A-sf' for class D-2-R and 'BBBsf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
DATA ADEQUACY
The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.
Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.
ESG Considerations
Fitch does not provide ESG relevance scores for Voya CLO 2021-3,
Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
WIND RIVER 2022-2: Fitch Lowers Rating on Class E Notes to 'B+sf'
-----------------------------------------------------------------
Fitch Ratings has downgraded the class E notes and affirmed other
rated classes of notes of Wind River 2022-2 CLO Ltd. (Wind River
2022-2). Fitch has also assigned a Stable Rating Outlook on the
class E notes following the downgrade. The Outlooks on the other
rated notes remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
Wind River 2022-2
CLO Ltd.
A-1-R 97315DAQ0 LT AAAsf Affirmed AAAsf
A-2A-R 97315DAS6 LT AAAsf Affirmed AAAsf
A-2B 97315DAE7 LT AAAsf Affirmed AAAsf
B-1-R 97315DAU1 LT AA+sf Affirmed AA+sf
B-2 97315DAJ6 LT AA+sf Affirmed AA+sf
C-R 97315DAW7 LT A+sf Affirmed A+sf
D 97315DAN7 LT BBB+sf Affirmed BBB+sf
E 97315MAA5 LT B+sf Downgrade BBsf
Transaction Summary
Wind River 2022-2 is a broadly syndicated loan collateralized loan
obligation (CLO) that is managed by First Eagle Alternative Credit,
LLC. The transaction originally closed in June 2022, underwent a
partial refinancing in June 2024 and will exit its reinvestment
period in July 2027.
KEY RATING DRIVERS
Cumulative Par Losses From Defaults and Portfolio Derisking
The downgrade to the class E notes is driven by cumulative
portfolio par losses of 4.0% that have increased from 2.2% at the
time of partial refinancing in June 2024, based on the collateral
balance adjusted for trustee-reported recovery amounts on defaulted
assets in March 2025. Portfolio losses stemmed from credit risk
sales and defaults that have occurred since the last year,
resulting in lower credit enhancement (CE) levels and
overcollateralization test cushions for the rated notes.
In addition, the weighted average spread (WAS) declined to 3.22%
from 3.73% and the weighted average life (WAL) of the portfolio has
increased slightly to 4.8 from 4.5 years. Exposure to fixed-rate
assets has also increased to 2.2% from 0.8%, but the weighted
average coupon (WAC) decreased and is currently below its minimum
fixed coupon test level of 7.5%.
The credit quality of the portfolio has improved, evidenced by the
Fitch weighted average rating factor (WARF) decreasing to 22.1
(B+/B) from 24.7 (B/B-), and exposure to assets on Fitch's CLO
watchlist dropping to 5.2% from 11.2%. The Fitch weighted average
recovery rate (WARR) declined slightly to 76.0% from 76.4%.
Updated Cash Flow Analysis
Based on these key rating drivers, breakeven default rate (BEDR)
cushions had decreased on the rated notes since the partial
refinancing. As a result, Fitch conducted an updated cash flow
analysis on the current portfolio. The rating actions on all
classes are in line with their model implied ratings (MIRs).
The Stable Outlooks 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 three rating
notches for the Class B-1-R, B-2 and C-R notes, five notches for
the D notes, and at least two notches for the class E 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 one
rating notch for the class B-1-R and B-2 notes, three notches for
the class C-R and D notes and six notches for the E notes. Upgrades
are not applicable for the class A-1-R, A-2A-R and A-2B 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 Wind River 2022-2
CLO Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
[] DBRS Reviews 105 Classes From 26 US RMBS Transactions
--------------------------------------------------------
DBRS, Inc. reviewed 105 classes from 26 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 26
transactions reviewed, twenty-three are classified as reverse
mortgage, and three are classified as home equity investment. Of
the 105 classes reviewed, Morningstar DBRS upgraded its credit
ratings on 3 classes, confirmed its credit ratings on 95 classes,
and discontinued 7 classes due to being paid-in-full.
The Affected Ratings are available at https://bit.ly/3Y62zEK
The Issuers are:
HTAP 2024-1
Unison Trust 2024-1
CFMT 2024-HB14, LLC
CFMT 2024-HB13, LLC
Point Securitization Trust 2024-1
Ocwen Loan Investment Trust 2023-HB1
Finance of America Structured Securities Trust 2022-S4
Finance of America Structured Securities Trust 2023-S1
Finance of America Structured Securities Trust 2022-S2
Finance of America Structured Securities Trust 2022-S5
Finance of America Structured Securities Trust 2021-S3
Finance of America Structured Securities Trust 2022-S1
Finance of America Structured Securities Trust 2022-S6
Finance of America Structured Securities Trust 2023-S2
Finance of America Structured Securities Trust 2021-S2
Brean Asset-Backed Securities Trust 2024-RM8
Finance of America Structured Securities Trust JR2, Series
2019-JR1
Finance of America Structured Securities Trust JR2, Series
2019-JR2
Finance of America Structured Securities Trust JR2, Series
2019-JR3
Finance of America Structured Securities Trust JR2, Series
2019-JR4
Finance of America Structured Securities Trust 2022-S3
Finance of America Structured Securities Trust 2021-S1
Finance of America Structured Securities Trust 2024-S2
Finance of America Structured Securities, Series 2018-JR1
Finance of America Structured Securities Trust JR2, Series
2021-JR1
Finance of America Structured Securities RMF Trust, Series
2023-RMF1
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect a positive performance trend and
an increase in credit support sufficient to withstand stresses at
the new credit rating level. The credit rating confirmations
reflect asset performance and credit support levels that are
consistent with the current credit ratings. The credit rating
discontinuations reflect full repayment of outstanding
obligations.
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 "Rating and Monitoring U.S. Reverse Mortgage
Securitizations," methodology published on September 30, 2024.
Notes: All figures are in US dollars unless otherwise noted.
[] Moody's Takes Action on 49 Bonds From 9 US RMBS Deals
--------------------------------------------------------
Moody's Ratings has upgraded the ratings of 46 bonds and downgraded
the ratings of three bonds from nine US residential mortgage-backed
transactions (RMBS), backed by Alt-A, Option ARM, Prime Jumbo, and
Subprime mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-57CB
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. 3-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa3 (sf)
Cl. 3-A-2*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa3 (sf)
Cl. 3-A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa3 (sf)
Cl. 3-A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Confirmed at Caa3 (sf)
Cl. 3-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017
Confirmed at Caa3 (sf)
Cl. 4-A-1, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-2*, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-6, Upgraded to Caa2 (sf); previously on Sep 29, 2016
Confirmed at Caa3 (sf)
Cl. 4-X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017
Confirmed at Caa3 (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed
at Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-65CB
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
Cl. 1-A-2*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. 1-A-5, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. 1-A-6*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. 1-A-7, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
Cl. 1-A-9, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. 1-X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017
Confirmed at Caa2 (sf)
Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. 2-A-2*, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Sep 29, 2016
Downgraded to Caa2 (sf)
Cl. 2-A-5, Downgraded to Caa3 (sf); previously on Sep 29, 2016
Confirmed at Caa2 (sf)
Cl. 2-X*, Upgraded to Caa1 (sf); previously on Nov 29, 2017
Confirmed at Caa2 (sf)
Cl. PO, Upgraded to Caa1 (sf); previously on Sep 29, 2016 Confirmed
at Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-7CB
Cl. 1-A-5, Downgraded to Caa2 (sf); previously on Sep 21, 2016
Confirmed at Caa1 (sf)
Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. 2-A-2*, Upgraded to Caa1 (sf); previously on Feb 13, 2019
Upgraded to Caa2 (sf)
Cl. 2-A-3, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. 2-A-5, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. 2-A-6*, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. 2-A-7, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Cl. 2-A-8, Upgraded to Caa1 (sf); previously on Sep 21, 2016
Confirmed at Caa2 (sf)
Issuer: Merrill Lynch Alternative Note Asset Trust, Series
2007-OAR1
Cl. A-2, Upgraded to Caa2 (sf); previously on Dec 9, 2010
Downgraded to C (sf)
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-1
Cl. A-1, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Confirmed at Ca (sf)
Cl. A-2D, Upgraded to Caa3 (sf); previously on Apr 6, 2010
Confirmed at Ca (sf)
Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series
2007-2
Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Confirmed at Ca (sf)
Cl. A-2D, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Confirmed at Ca (sf)
Issuer: Merrill Lynch Mortgage Backed Securities Trust 2007-2
Cl. I-A1, Upgraded to Caa1 (sf); previously on Apr 21, 2010
Downgraded to Caa2 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE6
Cl. A-1, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded
to Caa2 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded
to Caa2 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded
to Caa2 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Nov 27, 2018 Upgraded
to Caa2 (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Mortgage
Pass-Through Certificates, Series 2001-NC4
Cl. M-2, Upgraded to Caa1 (sf); previously on Mar 15, 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 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.
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 18 Bonds From 9 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 18 bonds from nine US
residential mortgage-backed transactions (RMBS), backed by Alt-A
and Option ARM mortgages issued by IndyMac.
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: IndyMac INDX Mortgage Loan Trust 2006-AR23
Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Downgraded to Caa2 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR29
Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Confirmed at Caa3 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Downgraded to Caa3 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Oct 12, 2010
Confirmed at Caa3 (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Oct 12, 2010
Confirmed at Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR31
Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 30, 2010
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 30, 2010
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Dec 30, 2010
Downgraded to Ca (sf)
Cl. A-5, Upgraded to Caa1 (sf); previously on Dec 30, 2010
Downgraded to Ca (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR33
Cl. 4-A-1, Upgraded to Caa1 (sf); previously on Dec 30, 2010
Downgraded to Caa2 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR35
Cl. 1A-1A, Upgraded to Caa2 (sf); previously on Oct 12, 2010
Downgraded to Ca (sf)
Cl. 2A-1A, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Confirmed at Caa3 (sf)
Cl. 2A-3A, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Confirmed at Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR37
Cl. 2-A-1, Upgraded to Caa2 (sf); previously on Oct 12, 2010
Downgraded to Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR39
Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Downgraded to Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR41
Cl. A-1, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Downgraded to Caa3 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Oct 12, 2010
Downgraded to Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-AR8
Cl. A4-A, Upgraded to Caa3 (sf); previously on Dec 1, 2010
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
Principal Methodologies
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 21 Bonds From 6 US RMBS Deals
------------------------------------------------------------
Moody's Ratings has upgraded the ratings of twenty-one bonds from
six US residential mortgage-backed transactions (RMBS), backed by
subprime and Alt-A mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Homebanc Mortgage Trust 2006-2
Cl. M-1, Upgraded to Caa1 (sf); previously on Feb 23, 2016 Upgraded
to Ca (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2006-A5
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 29, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-4, Upgraded to Caa3 (sf); previously on Sep 29, 2010
Downgraded to Ca (sf)
Cl. 2-A-7, Upgraded to Caa2 (sf); previously on Sep 29, 2010
Downgraded to Caa3 (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2007-A2
Cl. 1-1-A1, Upgraded to Caa1 (sf); previously on Sep 17, 2010
Downgraded to Ca (sf)
Cl. 1-2-A1, Upgraded to Caa2 (sf); previously on Sep 17, 2010
Downgraded to Ca (sf)
Cl. 1-2-A4, Upgraded to Ca (sf); previously on Sep 17, 2010
Downgraded to C (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-HE3
Cl. A-1, Upgraded to B1 (sf); previously on Apr 20, 2018 Upgraded
to Caa2 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded
to Caa2 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded
to Caa2 (sf)
Cl. A-5, Upgraded to Caa1 (sf); previously on Apr 20, 2018 Upgraded
to Caa2 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-WMC4
Cl. A-1A, Upgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to Caa3 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Dec 14, 2010
Confirmed at Ca (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Dec 14, 2010
Confirmed at Ca (sf)
Cl. A-5, Upgraded to Caa2 (sf); previously on Dec 14, 2010
Confirmed at Ca (sf)
Issuer: Morgan Stanley Mortgage Loan Trust 2006-17XS
Cl. A-1, Upgraded to Caa1 (sf); previously on May 28, 2021
Downgraded to Ca (sf)
Cl. A-2-A, Upgraded to Caa3 (sf); previously on May 28, 2021
Downgraded to Ca (sf)
Cl. A-3-A, Upgraded to Caa3 (sf); previously on May 28, 2021
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on May 28, 2021
Downgraded to Ca (sf)
Cl. A-6, Upgraded to Caa3 (sf); previously on May 28, 2021
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
In addition, the upgrade on class A-1 from J.P. Morgan Mortgage
Acquisition Trust 2006-HE3 reflects growth in the credit
enhancement available to absorb losses and improvements in
performance for the related pool.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodologies
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 23 Bonds From 13 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 23 bonds from 13 US
residential mortgage-backed transactions (RMBS), backed by Alt-A
and repackaged 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: GSMSC Pass-Through Trust 2008-1R
Cl. A1, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed
Ca (sf)
Issuer: IndyMac IMJA Mortgage Loan Trust 2007-A4
Cl. PO, Upgraded to Caa3 (sf); previously on Oct 12, 2010 Confirmed
at Ca (sf)
Issuer: IndyMac IMSC Mortgage Loan Trust 2007-AR2
Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 12, 2010
Downgraded to Ca (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR11
Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 29, 2012
Downgraded to Caa3 (sf)
Cl. A-2, Upgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to Caa3 (sf)
Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to Caa3 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Aug 29, 2012
Downgraded to Caa3 (sf)
Cl. A-6, Upgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR15
Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR19
Cl. A-1, Upgraded to Caa1 (sf); previously on Aug 20, 2015
Confirmed at Caa2 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR23
Cl. 5-A-1, Upgraded to Caa2 (sf); previously on Jul 9, 2010
Downgraded to Caa3 (sf)
Cl. 6-A-1, Upgraded to Caa1 (sf); previously on Jul 9, 2010
Downgraded to Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR25
Cl. 1-A-1-1, Upgraded to Caa2 (sf); previously on Aug 12, 2015
Confirmed at Caa3 (sf)
Cl. 1-A-2-1, Upgraded to Caa2 (sf); previously on Aug 12, 2015
Confirmed at Caa3 (sf)
Cl. 2-A-1, Upgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-2-1, Upgraded to Caa1 (sf); previously on Dec 18, 2014
Downgraded to Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR29
Cl. A-1, Upgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2006-R1
Cl. A-3, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed
Caa3 (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2007-AR15
Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Oct 12, 2010
Confirmed at Caa3 (sf)
Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Oct 12, 2010
Downgraded to Ca (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2007-AR17
Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 12, 2010
Downgraded to Ca (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2007-AR5
Cl. 4-A-2-1, Upgraded to Caa3 (sf); previously on Oct 12, 2010
Downgraded to Ca (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
on the bonds.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodologies
The principal methodology used in rating all deals except GSMSC
Pass-Through Trust 2008-1R and IndyMac INDX Mortgage Loan Trust
2006-R1 was "US Residential Mortgage-backed Securitizations:
Surveillance" published in December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 33 Bonds From 10 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 33 bonds from 10 US
residential mortgage-backed transactions (RMBS), backed by Alt-A,
Option ARM, Prime Jumbo and Subprime mortgages issued by multiple
issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: RALI Series 2005-QO1 Trust
Cl. A-1, Upgraded to Caa1 (sf); previously on Sep 3, 2015 Confirmed
at Caa2 (sf)
Cl. A-2, Upgraded to Caa1 (sf); previously on Sep 3, 2015 Confirmed
at Caa2 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Dec 1, 2010
Downgraded to C (sf)
Issuer: RALI Series 2005-QO5 Trust
Cl. A-1, Upgraded to Caa1 (sf); previously on Dec 1, 2010
Downgraded to Caa3 (sf)
Issuer: Real Estate Synthetic Investment Securities, Series 2005-B
Cl. B3, Upgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to C (sf)
Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR1
Cl. M-1, Upgraded to Caa3 (sf); previously on May 5, 2017 Upgraded
to Ca (sf)
Issuer: Speciality Underwriting and Residential Finance Trust,
Series 2007-AB1
Cl. A-1, Upgraded to Caa2 (sf); previously on Jun 18, 2010
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on Jun 18, 2010
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa2 (sf); previously on Jun 18, 2010
Confirmed at Ca (sf)
Cl. A-2C, Upgraded to Caa2 (sf); previously on Jun 18, 2010
Confirmed at Ca (sf)
Cl. A-2D, Upgraded to Caa2 (sf); previously on Jun 18, 2010
Confirmed at Ca (sf)
Issuer: Specialty Underwriting and Residential Finance Series
2007-BC1
Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 18, 2010
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa2 (sf); previously on Jun 18, 2010
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa3 (sf); previously on Jun 18, 2010
Confirmed at Ca (sf)
Cl. A-2D, Upgraded to Caa3 (sf); previously on Jun 18, 2010
Confirmed at Ca (sf)
Issuer: Specialty Underwriting and Residential Finance Trust,
Series 2007-BC2
Cl. A-1, Upgraded to Caa1 (sf); previously on Jun 18, 2010
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on Jul 17, 2014
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa2 (sf); previously on Jun 18, 2010
Downgraded to Ca (sf)
Cl. A-2C, Upgraded to Caa2 (sf); previously on Jun 18, 2010
Confirmed at Ca (sf)
Cl. A-2D, Upgraded to Caa2 (sf); previously on Jun 18, 2010
Confirmed at Ca (sf)
Issuer: SunTrust Alternative Loan Trust 2006-1F
Cl. I-A-2, Upgraded to Caa3 (sf); previously on Nov 12, 2010
Confirmed at Ca (sf)
Cl. I-A-3, Upgraded to Caa3 (sf); previously on Nov 12, 2010
Confirmed at Ca (sf)
Cl. II-A, Upgraded to Caa3 (sf); previously on Nov 12, 2010
Confirmed at Ca (sf)
Cl. III-A, Upgraded to Caa3 (sf); previously on Nov 12, 2010
Confirmed at Ca (sf)
Cl. III-S*, Upgraded to Caa3 (sf); previously on Nov 12, 2010
Confirmed at Ca (sf)
Issuer: TBW Mortgage-Backed Trust Series 2006-4
Cl. A-5, Upgraded to Ca (sf); previously on Oct 21, 2010 Downgraded
to C (sf)
Issuer: TBW Mortgage-Backed Trust Series 2006-6
Cl. A-2A, Upgraded to Caa3 (sf); previously on Oct 21, 2010
Downgraded to Ca (sf)
Cl. A-2B, Upgraded to Caa3 (sf); previously on Oct 21, 2010
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Oct 21, 2010
Downgraded to Ca (sf)
Cl. A-4, Currently Rated Caa2 (sf); previously on October 7, 2024
Downgraded to Caa2 (sf)
Cl. A-4, Underlying Rating: Upgraded to Caa3 (sf); previously on
Oct 21, 2010 Downgraded to Ca (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to
Caa2, Outlook Negative on October 03, 2024)
Cl. A-5A, Currently Rated Caa2 (sf); previously on October 7, 2024
Downgraded to Caa2 (sf)
Cl. A-5A, Underlying Rating: Upgraded to Caa3 (sf); previously on
Oct 21, 2010 Downgraded to Ca (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to
Caa2, Outlook Negative on October 03, 2024)
Cl. A-5B, Upgraded to Caa3 (sf); previously on Oct 21, 2010
Downgraded to Ca (sf)
Cl. A-6A, Upgraded to Caa3 (sf); previously on Oct 21, 2010
Downgraded to Ca (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations: Surveillance" published in December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 86 Bonds From 11 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 86 bonds from 11 US
residential mortgage-backed transactions (RMBS), backed by Alt-A
mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OC2
Cl. 1-A, Upgraded to Caa1 (sf); previously on Sep 27, 2016 Upgraded
to Caa3 (sf)
Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Sep 27, 2016
Upgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OC3
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Sep 27, 2016
Upgraded to Caa3 (sf)
Cl. 2-A-3, Upgraded to Caa3 (sf); previously on Sep 27, 2016
Upgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OC5
Cl. 1-A, Upgraded to Caa2 (sf); previously on Sep 27, 2016 Upgraded
to Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OC8
Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Sep 27, 2016
Confirmed at Caa3 (sf)
Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Sep 27, 2016
Confirmed at Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-11T1
Cl. A-1, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-6, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-9*, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-20, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-21, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-12T1
Cl. A-1, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-7, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-8*, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-11, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-15, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-16, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-17*, Upgraded to Caa3 (sf); previously on Nov 29, 2017
Confirmed at Ca (sf)
Cl. A-18, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-19, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-20*, Upgraded to Caa3 (sf); previously on Nov 29, 2017
Confirmed at Ca (sf)
Cl. A-21, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-22, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-23*, Upgraded to Caa2 (sf); previously on Nov 29, 2017
Confirmed at Ca (sf)
Cl. A-30, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-32, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-34, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-40, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-41, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-43, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-44, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. A-46, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Downgraded to Ca (sf)
Cl. PO, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-13
Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-2, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-5, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-6*, Upgraded to Caa3 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-9, Upgraded to Caa2 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. A-10*, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-11, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. A-12*, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Ca (sf)
Cl. PO, Upgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed
at Ca (sf)
Cl. X*, Upgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-14T2
Cl. A-1, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-3, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-6, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-9*, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. A-11, Upgraded to Caa3 (sf); previously on Sep 29, 2016
Downgraded to Ca (sf)
Cl. PO, Upgraded to Caa2 (sf); previously on Sep 29, 2016 Confirmed
at Ca (sf)
Cl. X*, Upgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed
at Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-16CB
Cl. 1-A-1, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 1-A-2, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 1-A-3*, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 1-A-4, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 1-A-5, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 1-A-6*, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 1-A-7, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-1, Upgraded to Caa3 (sf); previously on Oct 29, 2018
Downgraded to Ca (sf)
Cl. 2-A-2, Upgraded to Caa3 (sf); previously on Oct 29, 2018
Downgraded to Ca (sf)
Cl. 4-A-1, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-2, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-3, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-4*, Upgraded to Caa1 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-5, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-6, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-7, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 4-A-8, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 5-A-1, Upgraded to Caa3 (sf); previously on Oct 29, 2018
Downgraded to Ca (sf)
Cl. 5-A-2, Upgraded to Caa2 (sf); previously on Oct 29, 2018
Downgraded to Ca (sf)
Cl. 5-A-3, Upgraded to Caa3 (sf); previously on Oct 29, 2018
Downgraded to Ca (sf)
Cl. PO, Upgraded to Caa1 (sf); previously on Oct 6, 2016 Confirmed
at Caa3 (sf)
Cl. X-1*, Upgraded to Caa2 (sf); previously on Feb 7, 2018
Confirmed at Caa3 (sf)
Cl. X-2*, Upgraded to Caa2 (sf); previously on Oct 29, 2018
Downgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-17CB
Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-18CB
Cl. 2-A-9, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
Cl. 2-A-12, Upgraded to Caa2 (sf); previously on Oct 6, 2016
Confirmed at Caa3 (sf)
*Reflects Interest-Only Classes.
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations: Surveillance" published in December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] S&P Takes Various Actions on 1901 Classes From 49 US RMBS Deals
------------------------------------------------------------------
S&P Global Ratings completed its review of 1,901 classes from 49
U.S. RMBS credit risk transfer transactions issued between 2016 and
2025. The ratings were previously placed under criteria observation
on Feb. 21, 2025, following changes in S&P's U.S. RMBS methodology.
The review yielded 1,257 upgrades, 632 affirmations, and 12
discontinuances. S&P also removed all the ratings from criteria
observation. Of the 1,901 classes reviewed, 1,665 are related
modifiable and exchangeable certificates (MACRs). Excluding the
MACRs, the review yielded 180 upgrades, 54 affirmations, and two
discontinuances.
A list of Affected Ratings can be viewed at:
https://tinyurl.com/bkzx7d47
Analytical Considerations
S&P said, "Based on our updated criteria, we performed a credit
analysis for each mortgage pool using updated loan-level
information from which we determined foreclosure frequency, loss
severity, and loss coverage amounts commensurate with each rating
level and then applied our cash flow stresses where relevant. We
applied adjustments at the loan and pool levels when warranted,
including a 1.04x pool-level adjustment in most instances, to
account for the risk of estimated self-employed borrowers in the
respective pools. We also applied the same mortgage operational
assessment and due diligence factors that were applied at deal
issuance.
"We incorporate various considerations into our decisions to raise,
lower, or affirm ratings when reviewing the indicative ratings
suggested by the application of our criteria. These considerations
are based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." They include:
-- Collateral performance/delinquency trends;
-- The priority of principal payments;
-- The priority of loss allocation;
-- Expected duration;
-- Available subordination; and
-- Credit enhancement minimums/floors.
S&P said, "In addition, for transactions that include an A-1 or
1A-1 class, we performed cash flow analyses, as these classes are
exposed to credit enhancement deterioration over time given the
share of principal payments allocated to subordinate notes. Our
ratings on these classes consider their credit enhancement compared
to projected loss levels, the potential for payment in full shortly
after period 36, and additional cash flow sensitivities with
respect to recovery lags where these classes are subject to a
cumulative loss trigger."
Rating Actions
The upgrades primarily reflect the application of S&P's updated
methodology and incorporate continued deleveraging since the
respective transactions benefit from low accumulated losses to date
and a growing percentage of credit support to the rated classes.
The affirmations reflect S&P's projected credit support on these
classes, which S&P believes are sufficient to cover our projected
losses for those rating scenarios.
[] S&P Takes Various Actions on 243 Classes From 42 US RMBS Deals
-----------------------------------------------------------------
S&P Global Ratings completed its review of 243 classes from 42 U.S.
RMBS transactions issued between 2019 and 2025. The review included
168 ratings that were placed under criteria observation (UCO) on
Feb. 21, 2025, following changes in our U.S. RMBS methodology. The
'AAA (sf)' ratings associated with these transactions were not
placed UCO. The review yielded 128 upgrades and 115 affirmations.
S&P also removed 168 ratings from UCO.
A list of Affected Ratings can be viewed at:
https://tinyurl.com/2hjvt75n
Analytical Considerations
S&P said, "Based on our updated criteria, we performed a credit
analysis for each mortgage pool using updated loan-level
information from which we determined foreclosure frequency, loss
severity, and loss coverage amounts commensurate with each rating
level, after which we applied our cash flow stresses where
relevant. We applied adjustments at the loan and pool levels when
warranted, including a reduction in the pool-level representation
and warranty (R&W) loss coverage adjustment factor in certain
instances, based on the updated criteria's regrouping of the
specific considerations that determine the factor. Specifically,
for the R&W, greater emphasis is given to mitigants such as
third-party due diligence, our assessment of the aggregation
quality and/or origination process, and the diversification of
contributing originators. We also applied the same mortgage
operational assessment and due diligence factors that were applied
at deal issuance.
"We incorporate various considerations into our decisions to raise,
lower, or affirm ratings when reviewing the indicative ratings
suggested by our projected cash flows." These considerations are
based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes. They include:
-- Collateral performance/delinquency trends;
-- Priority of principal payments;
-- Priority of loss allocation;
-- Expected duration; and
-- Available subordination, credit enhancement floors, and/or
excess spread (where available).
Rating Actions
S&P said, "The upgrades primarily reflect the application of our
updated criteria and incorporate continued deleveraging since the
respective transactions benefit from low accumulated losses to date
and a growing percentage of credit support to the rated classes.
The ratings list provides more detail on the classes with rating
transitions that supplement the application of the updated U.S.
RMBS criteria as the primary driver of the changes.
"The affirmations reflect our projected credit support on these
classes, which we believe are sufficient to cover our projected
losses for those rating scenarios."
*********
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