260405.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 5, 2026, Vol. 30, No. 95
Headlines
ABPCI DIRECT XVI: S&P Assigns BB- (sf) Rating on Class E-R Notes
AFFIRM MASTER 2026-2: DBRS Finalizes BB Rating on Class E Notes
AMCR ABS 2026-A: DBRS Gives (P)B(low) Rating on Class D Notes
ANCHORAGE CAPITAL 37: Fitch Assigns 'BB-sf' Final Rating on E Notes
ANCHORAGE CAPITAL 37: Moody's Assigns B3 Rating to $250,000 F Notes
APIDOS CLO LVI: Moody's Gives (P)B3 Rating to $550,000 Cl. F Notes
ARCHWEST MORTGAGE 2026-RTL1: DBRS Rates Class M2 Notes 'B(low)'
ATLAS SENIOR XI: Moody's Cuts Rating on $24MM Class E Notes to B1
AVIS BUDGET 2024-1: Moody's Assigns Ba1 Rating to Class D Notes
BALLYROCK CLO 31: S&P Assigns BB- (sf) Rating on Class D Notes
BANK5 2026-5YR21: DBRS Cuts Rating on 2 Tranches to (P) BB(high)
BAR 2026-FL1: Fitch Assigns 'B-sf' Final Rating on Three Tranches
BARINGS CLO 2026-I: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes
BATTALION CLO XXI: Moody's Cuts Rating on $18.8MM Cl. E Notes to B2
BCC MIDDLE 2018-1: S&P Assigns Prelim BB-(sf) Rating on D-RR Notes
BENCHMARK 2021-B30: Fitch Lowers Rating on Two Tranches to 'B-sf'
BENCHMARK 2026-V21: Fitch Assigns B-sf Final Rating on Two Tranches
BENEFIT STREET 48: S&P Assigns BB- (sf) Rating on Class E Notes
BMO 2023-C7: Fitch Lowers Rating on Class G-RR Debt to 'CCCsf'
BVRT 2025-1: Fitch Affirms 'B-sf' Rating on Class E Notes
BX COMMERCIAL 2026-ALOHA: Moody's Assigns (P)Ba1 Rating to E Certs
CANYON CLO 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes
CANYON CLO 2026-1: Moody's Assigns B3 Rating to $250,000 F Notes
CAPTERIS EQUIPMENT 2026-1: DBRS Rates Class E Notes 'BB(high)'
CARLYLE GLOBAL 2015-4: Moody's Affirms B1 Rating on Cl. D-R Notes
CARLYLE GLOBAL 2016-3: Moody's Cuts Rating on F-RR Notes to Caa1
CD MORTGAGE 2016-CD1: Moody's Cuts Rating on Class B Certs to B3
CHASE HOME 2026-3: Fitch Assigns 'B-sf' Final Rating on Cl. B5 Debt
CIFC FUNDING 2022-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes
CITIGROUP 2026-RP1: Fitch Assigns 'B(EXP)sf' Rating on Cl. B2 Notes
CITIGROUP 2026-RP1: Fitch Assigns 'Bsf' Rating on Class B2 Notes
COUNTRYWIDE HOME 2004-SD2: Moody's Ups Rating on B-2 Certs to Caa1
CROSSROADS ASSET 2025-A: Moody's Ups Rating on Cl. E Notes to Ba1
CSAIL 2017-C8: DBRS Cuts Ratings on 9 Tranches to Csf
CTM CLO 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes
DRYDEN 43: S&P Lowers Class E-R3 Debt Rating to 'B (sf)'
EATON VANCE 2015-1: Moody's Cuts Rating on $8MM F-R Notes to Ca
ELDRIDGE CLO 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes
ELDRIDGE CLO 2026-3: Moody's Assigns B3 Rating to $250,000 F Notes
ELMWOOD CLO 47: Fitch Assigns 'B-sf' Rating on Class F Notes
EXETER AUTOMOBILE 2026-2: S&P Assigns B (sf) Rating on Cl. N Notes
FIGRE TRUST 2026-FL1: DBRS Gives (P)B(low) Rating on B-2 Notes
FIGRE TRUST 2026-FL1: Moody's Assigns B3 Rating to Cl. B-2 Notes
FIGRE TRUST 2026-HF3: DBRS Finalizes B(low) Rating on F Notes
FLAGSHIP CREDIT 2021-3: S&P Lowers Cl. E Notes Rating to 'CC (sf)'
FREDDIE MAC MSCR 2026-MN13: DBRS Gives BB(low) on M-2 Certs
GARNET CLO 5: Fitch Assigns 'BBsf' Rating on Class E Notes
GCAT 2026-NQM2: DBRS Gives (P)B Rating on Class B-2 Certs
GCAT TRUST 2026-NQM2: Moody's Assigns (P)Ba2 Rating to B-1 Certs
GGP TRUST 2026-2PAK: DBRS Gives (P)BB Rating on Class E Certs
GOLDENTREE LOAN 28: Fitch Assigns 'B-sf' Rating on Class F Notes
GS MORTGAGE 2026-PJ3: DBRS Gives (P)B(low) Rating on B-5 Debt
GS MORTGAGE 2026-PJ3: Fitch Assigns 'Bsf' Rating on Class B5 Notes
GS MORTGAGE 2026-PJ4: DBRS Gives (P)B(low) on Cl. B-5 Notes
GS MORTGAGE 2026-PJ4: Fitch Assigns 'Bsf' Rating on Class B5 Notes
GS MORTGAGE 2026-PJ5: DBRS Gives (P)B(low) on Cl. B-5 Notes
GS MORTGAGE 2026-PJ5: Fitch Assigns 'B-sf' Rating on Cl. B-5 Notes
GS MORTGAGE 2026-PJ5: Fitch Assigns B-(EXP) Rating on Cl. B-5 Notes
GS MORTGAGE 2026-R1: Fitch Assigns 'Bsf' Rating on Class B-2 Notes
GS REFT 2026-FL1: Fitch Assigns 'B-sf' Final Rating on Cl. G Notes
GWT COMMERCIAL 2024-WLF2: DBRS Confirms BB(high) on HRR Certs
HARVEST US 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes
HILDENE TRUPS A11BC: Moody's Assigns B3 Rating to $6.25MM B Notes
HILDENE TRUPS T9B: Moody's Ups Rating on $13MM Class B Notes to B1
HOMES 2026-NQM2: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs
HONEY HILL: Fitch Assigns 'BB-sf' Rating on Class E Notes
HPS LOAN 2026-27: Fitch Assigns 'BB-sf' Rating on Class E Notes
IVY HILL XXIII: S&P Assigns BB- (sf) Rating on Class E Notes
JP MORGAN 2018-WPT: S&P Lowers Cl. X-FL Certs Rating to 'B-(sf)'
JP MORGAN 2021-NYAH: Moody's Cuts Rating on Cl. D Certs to Ba3
JP MORGAN 2026-CES2: S&P Assigns Prelim 'B-' Rating on B-2 Notes
JP MORGAN 2026-HYB1: Fitch Assigns 'B-(EXP)sf' Rating on B2 Notes
JP MORGAN 2026-HYB1: Fitch Assigns 'B-sf' Rating on Cl. B2 Notes
JP MORGAN 2026-NQX1: DBRS Gives (P)B(low) Rating on B-2 Certs
JPMBB COMMERCIAL 2014-C22: DBRS Confirms Csf Rating on 2 Tranches
JPMBB COMMERCIAL 2014-C25: Moody's Cuts Rating on B Certs to Ba2
LCCM 2013-GCP: S&P Lowers Class X-B Certs Rating to 'B- (sf)'
MADISON PARK LXXVII: Fitch Assigns 'BB+sf' Rating on Class E Notes
MADISON PARK LXXVII: Moody's Assigns B3 Rating to $250,000 F Notes
MAGNETITE LIV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
MARBLE POINT XV: Moody's Cuts Rating on $22.9MM Cl. E Notes to B1
MARBLE POINT XVI: Moody's Cuts Rating on $20MM Cl. E-R Notes to B1
MERIT 2026-1: Fitch Assigns 'B-sf' Final Rating on Class F Notes
MIDOCEAN CREDIT XIV: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
MIDOCEAN CREDIT XXII: Fitch Assigns 'BB-sf' Final Rating on E Notes
MONTAUK PARK: Fitch Assigns 'BB-sf' Final Rating on Class E Notes
MORGAN STANLEY 2015-C20: DBRS Confirms CCC Rating on Class F Certs
MORGAN STANLEY 2015-UBS8: DBRS Cuts Rating on X-D Certs to CCC
MORGAN STANLEY 2019-C29: DBRS Cuts Rating on Cl. X-E Certs to Csf
MOUNTAIN POINT 1: Fitch Assigns 'BBsf' Rating on Class E Notes
MOUNTAIN POINT 1: Moody's Assigns B3 Rating to $250,000 Cl. F Notes
MPOWER EDUCATION 2026-A: DBRS Gives (P)BB(low) Rating to C Notes
NAVESINK CLO 5: S&P Assigns BB- (sf) Rating on Class E Debt
NAVESINK CLO 6: S&P Assigns BB- (sf) Rating on Class E Notes
NEUBERGER BERMAN 63: Fitch Assigns 'BB-sf' Rating on Class E Notes
NEW MOUNTAIN 9: Fitch Assigns 'BB-sf' Rating on Class E Notes
NGC CLO 3: S&P Assigns BB- (sf) Rating on Class E Debts
NLT 2026-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes
OCTAGON 51: Moody's Cuts Rating on Class F Notes to B3
ONITY LOAN 2026-HB1: DBRS Gives (P)B(sf) Rating on Cl. M5 Notes
ORION CLO 2026-7: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes
ORION CLO 2026-7: Fitch Assigns 'BB-sf' Rating on Class E Notes
OZLM XXIV: Moody's Lowers Rating on $18MM Class D Notes to B1
PIKES PEAK 22: Fitch Assigns 'BB-sf' Rating on Class E Notes
PIKES PEAK 7: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
PMT LOAN 2026-CNF3: Moody's Assigns B3 Rating to Cl. B-5 Certs
PMT LOAN 2026-INV4: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
PRPM 2026-CRE1: Fitch Assigns 'B-sf' Final Rating on Three Tranches
PRPM 2026-RCF2: Fitch Assigns 'BB-(EXP)sf' Rating on Class M2 Notes
RATE 2026-J1: Fitch Assigns 'Bsf' Final Rating on Class B-5 Notes
RATE 2026-J1: Fitch Corrects March 10 Ratings Release
RATE MORTGAGE 2026-J1: DBRS Finalizes B(low) Rating on B-5 Notes
RIN XIII LLC: Moody's Assigns Ba3 Rating to $9MM Class E Notes
ROCKFORD TOWER 2017-3: Moody's Affirms Ba3 Rating on Class E Notes
SAIF SECURITIZATION 2026-CES1: DBRS Gives (P)B(low) on B-2 Debt
SAIF SECURITIZATION 2026-CES1:S&P Assigns 'B-' Rating on B-2 Notes
SEQUOIA MORTGAGE 2026-4: Fitch Assigns Bsf Rating on Class B5 Certs
SEQUOIA MORTGAGE 2026-INV2: Fitch Assigns 'Bsf' Rating on B5 Certs
SEQUOIA MORTGAGE 2026-MED1: Fitch Assigns 'Bsf' Rating on B2 Certs
SHACKLETON 2013-IV-R: Moody's Affirms B1 Rating on $18.3MM D Notes
SIERRA TIMESHARE 2026-1: Fitch Assigns 'BBsf' Rating on Cl. D Notes
SOUND POINT V-R: Moody's Cuts Rating on $12MM Cl. F Notes to Caa3
STARWOOD RETAIL 2014-STAR: DBRS Confirms Csf Rating on 5 Tranches
SWITCH ABS 2024-2: DBRS Confirms BB(low) Rating on Cl. C Debt
TABERNA PREFERRED IV: Moody's Ups Rating on Cl. A-1 Notes from Ba1
TPG CLO 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes
TRAPEZA CDO IX: Moody's Upgrades Rating on 3 Tranches to B2
TRESTLES CLO X: Fitch Assigns 'B-sf' Rating on Class F Notes
UBS COMMERCIAL 2018-C8: Fitch Lowers Rating on E-RR Certs to 'B-sf'
UNITED AUTO 2025-1: S&P Affirms BB (sf) Rating on Class E Notes
VERUS SECURITIZATION 2026-R2: Fitch Assigns Bsf Rating on B-2 Notes
WELLS FARGO 2018-C44: DBRS Cuts Rating on 2 Tranches to Csf
WELLS FARGO 2019-C50: Fitch Affirms 'BB-sf' Rating on 2 Tranches
WESTGATE RESORTS 2026-1: DBRS Gives (P)BB(low) Rating on D Notes
[] DBRS Reviews 128 Classes in 10 US RMBS Deals
[] DBRS Reviews 198 Classes in 30 U.S. RMBS Deals
[] DBRS Takes Rating Actions on 8 US RMBS Deals
[] Fitch Takes Actions on 27 Classes in 16 RMBS Deals
[] Moody's Upgrades Ratings on 57 Bonds from 10 US RMBS Deals
[] S&P Lowers Ratings on 12 Classes From Five US CMBS to 'D (sf)'
[] S&P Takes Various Actions on 37 Classes From 29 US RMBS Deals
[] S&P Takes Various Actions on 71 Classes From 14 US RMBS Deals
*********
ABPCI DIRECT XVI: 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, A-2-R, B-R, C-R, D-R, and E-R debt and class A-1L-S-R loans
from ABPCI Direct Lending Fund CLO XVI L.P., a CLO managed by AB
Private Credit Investors LLC that was originally issued in December
2023.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt
and class A-1L-S-R loans were issued at a lower spread over
three-month CME term SOFR than the previous debt.
-- The non-call period was extended to March 26, 2028.
-- The required minimum overcollateralization and interest
coverage ratios were amended.
-- No additional subordinated notes were issued on the refinancing
date.
-- The reinvestment period was extended to May 1, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to May 1, 2039.
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.
"In some cases, our credit and cash flow analysis suggest that the
available credit enhancement for the CLO debt could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, given the various factors and assumptions
incorporated in our quantitative analysis and the fact that most
CLOs are permitted to modify their portfolios, we may assign lower
ratings to the debt than what our model results suggest."
Ratings Assigned
ABPCI Direct Lending Fund CLO XVI L.P.
Class A-1-R, $82.00 million: AAA (sf)
Class A-1L-S-R loans, $150.00 million: AAA (sf)
Class A-2-R, $16.00 million: AAA (sf)
Class B-R, $30.00 million: AA (sf)
Class C-R (deferrable), $28.00 million: A (sf)
Class D-R (deferrable), $22.00 million: BBB- (sf)
Class E-R (deferrable), $24.00 million: BB- (sf)
Ratings Withdrawn
ABPCI Direct Lending Fund CLO XVI L.P.
Class A to NR from 'AAA (sf)'
Class A-L 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
ABPCI Direct Lending Fund CLO XVI L.P.
Subordinated notes, $49.44 million: NR
NR--Not rated.
AFFIRM MASTER 2026-2: DBRS Finalizes BB Rating on Class E Notes
---------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the following notes issued by Affirm Master Trust Series
2026-2 (AFRMT 2026-2):
-- $593,390,000 Class A Notes at AAA (sf)
-- $46,640,000 Class B Notes at AA (sf)
-- $41,580,000 Class C Notes at A (sf)
-- $32,250,000 Class D Notes at BBB (sf)
-- $36,140,000 Class E Notes at BB (sf)
CREDIT RATING RATIONALE/DESCRIPTION
(1) The transaction's form and sufficiency of available credit
enhancement.
-- Subordination, overcollateralization, amounts held in the
Reserve Account, and excess spread create credit enhancement levels
that are commensurate with the credit ratings.
-- Transaction cash flows are sufficient to repay investors under
all AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) stress
scenarios in accordance with the terms of the AFRMT 2026-2
transaction documents.
(2) Inclusion of structural elements featured in the transaction
such as the following:
-- Eligibility criteria for Group 1 Receivables (Series 2026-2
Eligible Receivables) that are permissible in the transaction.
-- Concentration limits for AFRMT 2026-2 designed to maintain a
consistent profile of the receivables in the pool.
-- Performance-based Amortization Events that, when breached, will
end the Revolving Period and begin amortization.
(3) The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios For Rated
Sovereigns December 2025 Update, published on December 19, 2025.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse COVID-19 pandemic scenarios, which were first
published in April 2020.
(4) The experience, sourcing, and servicing capabilities of Affirm,
Inc.
(5) The experience, underwriting, and origination capabilities of
Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic
Bank, and Lead Bank.
(6) The ability of Nelnet Servicing, LLC to perform duties as a
Backup Servicer.
(7) The annual percentage rate charged on the loans and CRB, Celtic
Bank, and Lead Bank's status as the true lenders.
-- All loans in the initial pool included in AFRMT 2026-2 are
originated by Affirm through its subsidiary ALS or by originating
banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and
Missouri, respectively, state-chartered FDIC-insured banks.
-- Loans originated by ALS utilize state licenses and registrations
and interest rates are within each state's respective usury cap.
-- Loans originated by CRB are all within the New Jersey state
usury limit of 30.00%.
-- Loans originated by Celtic Bank are all within the Utah state
usury limit of 36.00%.
-- Loans originated by Lead Bank are originated below 36.00%.
-- Loans may be in excess of individual state usury laws; however,
CRB, Celtic Bank, and Lead Bank as the true lenders are able to
export rates that preempt state usury rate caps.
-- The Series 2026-2 Eligible Receivables includes loans made to
borrowers in New York that have Contract Rates below the usury
threshold.
-- The Series 2026-2 Eligible Receivables includes loans made to
borrowers in Maine that have Contract Rates below the usury
threshold.
-- Affirm has obtained a supervised lending license from Colorado,
permitting ALS to facilitate supervised loans in excess of the
Colorado annual rate cap, complying with Assurance of
Discontinuance's (AOD's) safe harbor. If the loan was originated in
Colorado, the loan has a contract rate less than or equal to (i)
12%, if the related originating bank is Cross River Bank, Celtic
Bank or Lead Bank or (ii) if the related originating bank is ALS,
the greater of (A) 21% and (B) a contract rate equal to the
quotient of (1) the sum of (a) the product of the portion of
initial principal balance of the loan that is less than or equal to
$1,000 and 36% plus (b) the product of the portion of the initial
principal balance of the loan that is greater than $1,000 but less
than or equal to $3,000 and 21% plus (c) the product of the portion
of the initial principal balance of the loan greater than $3,000
and 15% divided by (2) the initial principal balance of the loan.
-- Loans originated to borrowers in Connecticut with a Contract
Rate above 12% will be ineligible to be included in the Series
2026-2 Eligible Receivables to be transferred to the Trust.
Inclusion of these Receivables will be subject to Rating Agency
Condition.
-- Under the loan sale agreement, Affirm is obligated to repurchase
any loan if there is a breach of representation and warranty that
materially and adversely affects the interests of the purchaser.
(8) The legal structure and legal opinions that address the true
sale of the unsecured consumer loans, the nonconsolidation of the
Trust, and that the Trust has a valid perfected security interest
in the assets and consistency with the Morningstar DBRS Legal
Criteria for U.S. Structured Finance.
Morningstar DBRS' credit rating on the securities referenced herein
addresses the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations for each of the rated notes
are the related Interest Distribution Amount and the related Note
Balance.
Morningstar DBRS' credit rating does not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. the associated contractual payment obligation that is
not a financial obligation is the portion of Note Interest
Shortfall attributable to interest on unpaid Note Interest for each
of the rated notes.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
AMCR ABS 2026-A: DBRS Gives (P)B(low) Rating on Class D Notes
-------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the following classes of notes to be issued by AMCR ABS Trust
2026-A (AMCR 2026-A or the Issuer):
-- $91,894,000 Class A Notes at (P) A (low) (sf)
-- $24,859,000 Class B Notes at (P) BBB (low) (sf)
-- $18,444,000 Class C Notes at (P) BB (low) (sf)
-- $14,151,000 Class D Notes at (P) B (low) (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The provisional credit ratings on the Notes are based on a review
by Morningstar DBRS of the following analytical considerations:
(1) The transaction's form and sufficiency of available credit
enhancement.
-- Subordination, overcollateralization, amounts held in the
Reserve Fund, and excess spread create credit enhancement levels
that are commensurate with the credit ratings.
-- Transaction cash flows are sufficient to repay investors under
all (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and
(P) B (low) (sf) stress scenarios in accordance with the terms of
the AMCR 2026-A transaction documents.
(2) The experience, sourcing, and servicing capabilities of
Credit9. Morningstar DBRS has performed an operational risk
assessment of Credit9 and believes the Company is an acceptable
consumer loan servicer with an acceptable Backup Servicer.
(3) Americor has an experienced management team.
(4) The experience, underwriting, and origination capabilities of
Cross River Bank (CRB).
(5) The ability of Nelnet Servicing, LLC dba Firstmark to perform
duties as a Backup Servicer.
(6) The annual percentage rate (APR) charged on the loans and the
status of CRB as the true lender.
-- All the loans included in AMCR 2026-A are originated by CRB, a
New Jersey state-chartered FDIC-insured bank.
-- Loans originated by CRB are all within the New Jersey state
usury limit of 30.00%.
-- The weighted-average APR of the loans in the pool is 29.59%.
-- Loans may be in excess of individual state usury laws; however,
CRB as the true lender is able to export rates that pre-empt state
usury rate caps.
-- Loans originated to borrowers in Vermont, Colorado, Maine, West
Virginia and Puerto Rico are excluded from the pool.
-- Under the Loan Sale Agreement, CRB is obligated to repurchase
any loan if there is a breach of representation and warranty that
materially and adversely affects the interests of the purchaser.
(7) The legal structure and expected legal opinions that will
address the true sale of the unsecured loans, the nonconsolidation
of the trust, that the trust has a valid perfected security
interest in the assets, and consistency with the Morningstar DBRS
Legal Criteria for U.S. Structured Finance.
(8) The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios for Rated
Sovereigns December 2025 Update, published on December 19, 2025.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse coronavirus pandemic scenarios, which were
first published in April 2020.
Morningstar DBRS' credit rating on the securities referenced herein
addresses the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations for each of the rated notes
are the related Interest Distributable Amount and the related Note
Balance.
Morningstar DBRS' credit rating does not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction documents that are not financial
obligations. The associated contractual payment obligation that is
not a financial obligations is the related interest on unpaid
Interest Distributable Amount for each of the rated notes.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
ANCHORAGE CAPITAL 37: Fitch Assigns 'BB-sf' Final Rating on E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Anchorage Capital CLO 37 Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Anchorage Capital
CLO 37, 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 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
Anchorage Capital CLO 37, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
Anchorage Capital CLO 37, Ltd. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 100% first
lien senior secured loans and has a weighted average recovery
assumption of 72.55%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 11.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentration is in line with that of other recent
CLOs.
Portfolio Management: The transaction has a five-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio 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, and
between less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D, 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
19 March 2026
ESG Considerations
Fitch does not provide ESG relevance scores for Anchorage Capital
CLO 37, 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.
ANCHORAGE CAPITAL 37: Moody's Assigns B3 Rating to $250,000 F Notes
-------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Anchorage Capital CLO 37, Ltd. (the Issuer):
US$244,000,000 Class A-1 Senior Secured Floating Rate Notes due
2038, Assigned Aaa (sf)
US$250,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2039, 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 92.5% of the portfolio must consist of
first lien senior secured loans and up to 7.5% of the portfolio may
consist of second lien loans, unsecured loans and permitted
non-loan assets. The portfolio is approximately 70% ramped as of
the closing date.
Anchorage Collateral Management, L.L.C. (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 five other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2915
Weighted Average Spread (WAS): 2.90%
Weighted Average Recovery Rate (WARR): 45.50%
Weighted Average Life (WAL): 8.06 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
APIDOS CLO LVI: Moody's Gives (P)B3 Rating to $550,000 Cl. F Notes
------------------------------------------------------------------
Moody's Ratings (Moody has assigned provisional ratings to two
classes of notes to be issued by Apidos CLO LVI (the Issuer or
Apidos CLO LVI):
US$352,000,000 Class A-1 Senior Secured Floating Rate Notes due
2039, Assigned (P)Aaa (sf)
US$550,000 Class F Mezzanine Deferrable Floating Rate Notes due
2039, Assigned (P)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.
Apidos CLO LVI 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, first lien last
out loans and permitted non-loan assets. Moody's expects the
portfolio to be approximately 95% ramped as of the closing date.
CVC Credit Partners, 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 will issue eight other
classes of secured notes and one class of subordinated notes.
The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $550,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3046
Weighted Average Spread (WAS): 2.80%
Weighted Average Recovery Rate (WARR): 45.00%
Weighted Average Life (WAL): 8.0 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
ARCHWEST MORTGAGE 2026-RTL1: DBRS Rates Class M2 Notes 'B(low)'
---------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the Mortgage-Backed Notes, Series 2026-RTL1 (the Notes)
issued by Archwest Mortgage Trust 2026-RTL1 (the Issuer) as
follows:
-- $216.2 million Class A1 at A (low) (sf)
-- $19.4 million Class A2 at BBB (low) (sf)
-- $20.6 million Class M1 at BB (low) (sf)
-- $18.8 million Class M2 at B (low) (sf)
The A (low) (sf) credit rating reflects 25.30% of credit
enhancement (CE) provided by the subordinated notes and
overcollateralization. The BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 18.60%, 11.50%, and 5.00% of CE,
respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
This transaction is securitization of a two-year revolving
portfolio of residential transition loans (RTLs) funded by the
issuance of the Mortgage-Backed Notes, Series 2026-RTL1 (the
Notes).
As of the Initial Cut-Off Date, the Notes are backed by:
-- 267 mortgage loans with a total principal balance of
approximately $201,603,927,
-- Approximately $87,869,758 in the Accumulation Account, and
-- Approximately $2,661,135 in the Pre-Funding Interest Account.
Additional RTLs may be added to the revolving portfolio on future
additional transfer dates, subject to the transaction's eligibility
criteria.
Archwest 2026-RTL1 represents the second RTL securitization issued
by the Sponsor, Archwest Lending, LLC (Archwest Lending). Its
parent company, Archwest Capital, LLC (Archwest Capital), is a
national, direct, private nonbank lender specializing in financing
solutions for residential real estate investors. Archwest Capital's
family of companies includes six wholly owned subsidiaries that
originate, provide loan administration services, or hold for
investment business-purpose first-lien loans secured by residential
and multifamily real estate nationwide.
The revolving portfolio generally consists of first-lien,
fixed-rate, interest-only (IO) balloon RTL with original terms to
maturity of 9 to 24 months. The loans may be extended, which can
lengthen maturities beyond the original terms. The characteristics
of the revolving pool will be subject to eligibility criteria
specified in the transaction documents and include, but are not
limited to:
-- A minimum non-zero weighted-average (NZ WA) FICO score of 735.
-- A maximum WA Loan-to-Cost ratio (LTC) of 85.0%.
-- A maximum WA As Repaired Loan-to-Value ratio (ARV LTV) of
70.0%.
RTL Features
RTLs, also known as fix-and-flip mortgage loans, are short-term
bridge, construction, or renovation loans designed to help real
estate investors purchase and renovate residential or multifamily
5+ and mixed used properties (the latter is limited to 5.0% of the
revolving portfolio), generally within 12 to 36 months. RTLs are
similar to traditional mortgages in many aspects but may differ
significantly in terms of initial property condition, construction
draws, and the timing and incentives by which borrowers repay
principal. For traditional residential mortgages, borrowers are
generally incentivized to pay principal monthly, so they can occupy
the properties while building equity in their homes. In the RTL
space, borrowers repay their entire loan amount when they (1) sell
the property with the goal to generate a profit or (2) refinance to
a term loan and rent out the property to earn income.
In general, RTLs are short-term IO balloon loans with the full
amount of principal (balloon payment) due at maturity. The
repayment of an RTL is mainly based on the ability to sell the
related mortgaged property or to convert it into a rental property.
In addition, many RTL lenders offer extension options, which
provide additional time for borrowers to repay their mortgage
beyond the original maturity date. For the loans in this
transaction, such extensions may be granted, subject to certain
conditions, at the direction of the Loan Administrator.
In the Archwest 2026-RTL1 revolving portfolio, RTLs may be:
Fully funded:
-- With no obligation of further advances to the borrower, or
-- With a portion of the loan proceeds allocated to a
rehabilitation (rehab) escrow account for future disbursement to
fund draw requests for construction, rehabilitation, or repair on
the mortgaged property (Rehabilitation Disbursement Requests) upon
the satisfaction of certain conditions.
Partially funded:
-- With a commitment to fund borrower-requested draws for approved
Rehabilitation Disbursement Requests upon the satisfaction of
certain conditions.
After completing certain construction/repairs using their own
funds, the borrower usually seeks reimbursement by making draw
requests. Generally, construction draws are disbursed only upon the
completion of approved construction/repairs and after a
satisfactory construction progress inspection. Based on the
Archwest 2026-RTL1 eligibility criteria, unfunded commitments are
limited to 60.0% of the assets of the issuer, which includes (1)
the unpaid principal balance (UPB) of the mortgage loans and (2)
amounts in the Accumulation Account and Payment Account.
Cash Flow Structure and Draw Funding
The transaction employs a sequential-pay cash flow structure.
During the reinvestment period, the Notes will generally be IO.
After the reinvestment period, principal will be applied to pay
down the Notes, sequentially. If the Issuer does not redeem the
Notes by the payment date in September 2028, the Class A1 and A2
fixed rates listed in the Credit Ratings table will step up by
1.000% the following month.
There will be no advancing of delinquent (DQ) interest on any
mortgage by the Servicer or any other party to the transaction.
However, the Servicer is obligated to fund Servicing Advances which
include taxes, insurance premiums, and reasonable costs incurred in
the course of servicing and disposing properties. The Servicer will
be entitled to reimburse itself for Servicing Advances from
available funds prior to any payments on the Notes.
The Loan Administrator will satisfy Rehabilitation Disbursement
Requests by, (1) for loans with funded commitments, releasing funds
from the Rehab Escrow Account to the applicable borrower; or (2)
for loans with unfunded commitments, either (A) directing the
release of funds from the Accumulation Account or (B) advancing
funds on behalf of the Issuer (Disbursement Request Advances). The
Loan Administrator will be entitled to reimburse itself for
Disbursement Request Advances from time to time from the
Accumulation Account.
The Accumulation Account is replenished from the transaction cash
flow waterfall, after payment of interest to the Notes, to maintain
a minimum required funding balance. During the reinvestment period,
amounts held in the Accumulation Account, along with the mortgage
collateral, must be sufficient to maintain a minimum credit
enhancement (CE) of approximately 5.00% (the initial subordination)
to the most subordinate rated class. The transaction incorporates
this via a Maximum Effective Advance Rate Test during the
reinvestment period, which if breached, redirects available funds
to pay down the Notes, sequentially, prior to replenishing the
Accumulation Account, to maintain CE for the rated Notes.
The transaction also employs the Expense Reserve Account, which
will be available to cover fees and expenses. The Expense Reserve
Account is replenished from the transaction cash flow waterfall,
before payment of interest to the Notes, to maintain a minimum
reserve balance.
A Pre-Funding Interest Account is in place to help cover two months
of interest payments to the Notes. Such account is funded upfront
in an amount equal to $2,661,135. On the payment dates occurring in
April and May 2026, the Paying Agent will withdraw a specified
amount to be included in available funds.
Historically, RTL originations reviewed by Morningstar DBRS have
generated robust mortgage repayments, which have been able to cover
unfunded commitments in securitizations. In the RTL space, because
of the lack of amortization and the short-term nature of the loans,
mortgage repayments (paydowns and payoffs) tend to occur closer to
or at the related maturity dates when compared with traditional
residential mortgages. Morningstar DBRS considers paydowns to be
unscheduled voluntary balance reductions (generally repayments in
full) that occur prior to the maturity date of the loans, while
payoffs are scheduled balance reductions that occur on the maturity
or extended maturity date of the loans. In its cash flow analysis,
Morningstar DBRS evaluated mortgage repayments relative to draw
commitments for Archwest Lending's historical originations and
incorporated several stress scenarios where paydowns may or may not
sufficiently cover draw commitments. Please see the Cash Flow
Analysis section of the related credit rating report for more
details.
Other Transaction Features
Optional Redemption
On any date on or after the earlier of (1) the Payment Date
following the termination of the Reinvestment Period or (2) the
date on which the aggregate Note Amount falls to 25% or less of the
initial Closing Date Note Amount, the Issuer, at its option, may
purchase all of the outstanding Notes at price equal to par plus
interest and fees.
Repurchase Option
The Depositor will have the option to repurchase any DQ or
defaulted mortgage loan at the Repurchase Price, which is equal to
par plus interest and fees. However, such voluntary repurchases may
not exceed 10.0% of the cumulative UPB of the mortgage loans as of
the Initial Cut-Off Date. During the reinvestment period, if the
Depositor repurchases DQ or defaulted loans, this could potentially
delay the natural occurrence of an early amortization event based
on the DQ or default trigger. Morningstar DBRS' revolving structure
analysis assumes the repayment of Notes is reliant on the
amortization of an adverse pool regardless of whether it occurs
early or not.
Repurchases
A mortgage loan may be repurchased under the following
circumstances:
-- There is a material R&W breach, a material document defect, or a
diligence defect that the Seller is unable to cure,
-- The Depositor elects to exercise its Repurchase Option, or
-- An optional redemption occurs.
U.S. Credit Risk Retention
As the Sponsor, Archwest Lending, through a majority-owned
affiliate, will initially retain an eligible horizontal residual
interest comprising at least 5% of the aggregate fair value of the
securities (the Class XS Notes) to satisfy the credit risk
retention requirements.
Natural Disasters/Wildfires
The pool may contain loans secured by properties that are located
within certain disaster areas. Although many RTL already have a
rehab component, the original scope of rehab may be affected by
such disasters. After a disaster, the Servicer follows standard
protocol, which includes a review of the impacted area, borrower
outreach, and filing insurance claims as applicable. Moreover,
additional loans added to the trust must comply with R&W specified
in the transaction documents, including the damage R&W, as well as
the transaction eligibility criteria.
The credit ratings reflect transactional strengths that include the
following:
-- Robust pool composition defined by eligibility criteria.
-- Historical paydowns and payoffs.
-- Solid historical performance.
-- Structural enhancements.
-- Third-party due diligence review framework.
The transaction also includes the following challenges:
-- Funding of future construction draws.
-- RTL loan characteristics.
-- R&W framework.
-- No advances of DQ interest.
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the rated Notes are the related
Note Interest Payment Amount, the Interest Carryforward Amount, and
the Note Amount.
Morningstar DBRS' credit ratings on the Class A1 and Class A2 Notes
also address the credit risk associated with the increased rate of
interest applicable to the Class A1 and Class A2 Notes if the Class
A1 and Class A2 Notes are not redeemed by the payment date in
September 2028 in accordance with the applicable transaction
document(s).
Morningstar DBRS' credit rating does not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, in this transaction, Morningstar DBRS'
credit ratings do not address the payment of any Cap Carryover
Amounts.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Notes:
All figures are in U.S. dollars unless otherwise noted.
ATLAS SENIOR XI: Moody's Cuts Rating on $24MM Class E Notes to B1
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Atlas Senior Loan Fund XI, Ltd.:
US$32,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on
February 10, 2025 Upgraded to Aa1 (sf)
US$31,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Upgraded to A3 (sf); previously on
February 10, 2025 Upgraded to Baa2 (sf)
Moody's have also downgraded the rating on the following notes:
US$24,000,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously
on Aug 19, 2020 Confirmed at Ba3 (sf)
Atlas Senior Loan Fund XI, Ltd., originally issued in June 2018 and
partially refinanced in August 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 July 2023.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
RATINGS RATIONALE
The upgrade rating actions are primarily a result of deleveraging
of the senior notes and an increase in the transaction's
over-collateralization (OC) ratios since February 2025. The Class
A-1L and A-1F-R notes have been paid down in full, and the Class
A-2F notes have been paid down by approximately 50.6% or $12.6
million since then. Based on the trustee's February 2026 report[1],
the OC ratios for the Class C and Class D notes are reported at
160.22% and 119.96%, respectively, versus February 2025[2] levels
of 129.90% and 114.39%, respectively.
The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by credit deterioration
observed in the underlying CLO portfolio. Based on the trustee's
February 2026 report[1], the weighted average rating factor (WARF)
has been deteriorating and the current level is 4020 compared to
3582 in February 2025[2].
No actions were taken on the Class A-2F and Class B notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Collateralized
Loan Obligations" rating methodology published in October 2025.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $157,903,405
Defaulted par: $5,146,760
Diversity Score: 37
Weighted Average Rating Factor (WARF): 3692
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.22%
Weighted Average Recovery Rate (WARR): 45.61%
Weighted Average Life (WAL): 2.74 years
Par haircut in OC tests: 7.79%
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and, lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
AVIS BUDGET 2024-1: Moody's Assigns Ba1 Rating to Class D Notes
---------------------------------------------------------------
Moody's Ratings has assigned a definitive rating of Ba1 (sf) to the
series 2024-1 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 Rental LLC.
Moody's also announced that the issuance of the series 2024-1 class
D notes, in and of itself and at this time, will not result in a
reduction, withdrawal, or placement under review for possible
downgrade of any of the ratings currently assigned to the
outstanding series of notes issued by the issuer.
The complete rating actions are as follows:
Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2024-1
Series 2024-1 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba1 (sf)
RATINGS RATIONALE
The definitive rating on the series 2024-1 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 proven track-record and expertise of
ABCR as sponsor and administrator, (4) consideration of the rental
car market conditions, (5) the available dynamic credit
enhancement, which consists of subordination and
over-collateralization, (6) minimum liquidity in the form of cash
and/or a letter of credit, and (7) 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 2024-1 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) 14.25% minimum for non-program (risk) vehicles and
(4) 35.90% 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 ratings of the series 2024-1 class D
notes, 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 stronger
credit quality of vehicle manufacturers.
Down
Moody's could downgrade the ratings of the series 2024-1 class D
notes 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 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 weaker credit quality of vehicle
manufacturers.
BALLYROCK CLO 31: S&P Assigns BB- (sf) Rating on Class D Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ballyrock CLO 31
Ltd./Ballyrock CLO 31 LLC's fixed- and floating-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 Fidelity CLO Advisers L.P., a
subsidiary of Fidelity Management & Research 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.
S&P said, "In some cases, our credit and cash flow analysis suggest
that the available credit enhancement for the CLO debt could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, given the various factors and
assumptions incorporated in our quantitative analysis and the fact
that most CLOs are permitted to modify their portfolios, we may
assign lower ratings to the debt than what our model results
suggest."
Ratings Assigned
Ballyrock CLO 31 Ltd./Ballyrock CLO 31 LLC
Class X(i), $4.00 million: AAA (sf)
Class A-1, $256.00 million: AAA (sf)
Class A-2, $48.00 million: AA (sf)
Class B (deferrable), $24.00 million: A (sf)
Class C-1a (deferrable), $20.00 million: BBB (sf)
Class C-1b (deferrable), $4.00 million: BBB (sf)
Class C-2 (deferrable), $4.00 million: BBB- (sf)
Class D (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $33.45 million: NR
(i)The class X debt is expected to be paid down in equal
installments using interest proceeds on the first 16 payment dates.
NR--Not rated.
BANK5 2026-5YR21: DBRS Cuts Rating on 2 Tranches to (P) BB(high)
----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the following classes of Commercial Mortgage Pass-Through
Certificates, Series 2026-5YR21 (the Certificates) to be issued by
BANK5 2026-5YR21 (the Trust):
-- Class A-1 at (P) AAA (sf)
-- Class A-2 at (P) AAA (sf)
-- Class A-2-1 at (P) AAA (sf)
-- Class A-2-2 at (P) AAA (sf)
-- Class A-2-X1 at (P) AAA (sf)
-- Class A-2-X2 at (P) AAA (sf)
-- Class A-3 at (P) AAA (sf)
-- Class A-3-1 at (P) AAA (sf)
-- Class A-3-2 at (P) AAA (sf)
-- Class A-3-X1 at (P) AAA (sf)
-- Class A-3-X2 at (P) AAA (sf)
-- Class X-A at (P) AAA (sf)
-- Class X-B at (P) AA (sf)
-- Class A-S at (P) AAA (sf)
-- Class A-S-1 at (P) AAA (sf)
-- Class A-S-2 at (P) AAA (sf)
-- Class A-S-X1 at (P) AAA (sf)
-- Class A-S-X2 at (P) AAA (sf)
-- Class B at (P) AAA (sf)
-- Class B-1 at (P) AAA (sf)
-- Class B-2 at (P) AAA (sf)
-- Class B-X1 at (P) AAA (sf)
-- Class B-X2 at (P) AAA (sf)
-- Class C at (P) AA (low) (sf)
-- Class C-1 at (P) AA (low) (sf)
-- Class C-2 at (P) AA (low) (sf)
-- Class C-X1 at (P) AA (low) (sf)
-- Class C-X2 at (P) AA (low) (sf)
-- Class X-D at (P) A (low) (sf)
-- Class X-E at (P) BBB (sf)
-- Class D at (P) A (low) (sf)
-- Class E at (P) BBB (sf)
-- Class F-RR at (P) BB (high) (sf)
-- Class X-F-RR at (P) BB (high) (sf)
All trends are Stable.
Classes X-D, X-E, X-F-RR, X-G-RR, D, E, F-RR, G-RR, RCC, and RRI
will be privately placed.
The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class
A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A-S-1, Class
A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class
B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1, and Class C-X2
certificates are also offered certificates. Such classes of
certificates, together with the Class A-2, Class A-3, Class A-S,
Class B, and Class C certificates, constitute the Exchangeable
Certificates. The Class A-1, Class D, Class E, Class F-RR, and
Class G-RR certificates, together with the Exchangeable
Certificates with a certificate balance, are referred to as the
principal balance certificates.
CREDIT RATING RATIONALE/DESCRIPTION
The collateral for the BANK5 2026-5YR21 transaction consists of 31
fixed-rate loans secured by 64 commercial and multifamily
properties with an aggregate cut-off date balance of $836.7
million. Two loans, accounting for 12.2% of the pool balance, are
shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS
analyzed the conduit pool to determine the provisional credit
ratings, reflecting the long-term probability of default within the
term and its liquidity at maturity. By measuring the cut-off
balances against the Morningstar DBRS Net Cash Flow and their
respective constants, the Morningstar DBRS Weighted-Average (WA)
Issuance Debt Service Coverage Ratio (DSCR) of the pool was 1.73
times (x) and 1.54x, excluding the shadow-rated loans. Of the 31
loans, 11 loans, representing 22.4% of the pool, exhibited a
Morningstar DBRS Issuance DSCR of less than 1.31x, a threshold that
typically indicates a higher likelihood of midterm default. The
pool's Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) is
58.2%, and the pool is scheduled to amortize to a Morningstar DBRS
WA Balloon LTV of 58.0% at maturity based on the A note balances.
Excluding the two shadow-rated loans, the deal exhibits a moderate
Morningstar DBRS Issuance LTV of 60.3% and a Morningstar DBRS WA
Balloon LTV of 60.0%. A total of nine loans, representing 19.3% of
the pool, exhibit a Morningstar DBRS Issuance LTV above 67.6%, a
threshold that typically correlates to an above-average default
frequency. This transaction has a sequential-pay pass-through
structure.
Two loans, representing 12.2% of the pool, exhibited credit
characteristics consistent with investment-grade shadow ratings.
These loans' credit characteristics were as follows: CityCenter
(Aria & Vdara), representing 8.2% of the pool, exhibited credit
characteristics consistent with a shadow rating of AA and Torrey
Heights, representing 3.9% of the pool, exhibited credit
characteristics consistent with a shadow rating of AA (low).
Fifteen loans, representing 65.8% of the pool, have Morningstar
DBRS Issuance LTVs below 60.9%; this threshold typically represents
relatively low-leverage financing and generally is associated with
below-average default frequency. The pool's Morningstar DBRS WA
Issuance LTV is relatively low at 58.2% (60.3% excluding shadow
ratings), and the Morningstar DBRS WA Balloon LTV is 58.0% (60.0%
excluding the two shadow-rated loans).
The Morningstar DBRS WA DSCR of 1.73x (1.54x excluding the
shadow-rated loans) is relatively high for a conduit transaction;
this is particularly high when compared with the current interest
rate environment where DSCRs have been severely constrained, as
debt service payments have nearly doubled since mid-2022. None of
the loans in the pool have a Morningstar DBRS DSCR below 1.00x, and
only 18.9% of the pool loans have Morningstar DBRS DSCRs below
1.21x.
Four loans, representing 13.3% of the pool, are in areas with a
Morningstar DBRS Market Rank of 7, which is indicative of a dense
urban area; these areas typically benefit from stronger liquidity
driven by consistently strong investor demand, even during times of
economic stress. Additionally, eight loans, representing 33.6% of
the pool, are in areas with a Morningstar DBRS Market Rank of 5 or
6, which are indicative of less dense urban areas and have
historically seen lower default frequencies than suburban,
tertiary, and rural market areas. Twelve loans, representing 42.3%
of the pool, are in Morningstar DBRS Metropolitan Statistical Area
(MSA) Group 3, which is historically the best performing group when
looking at historical CMBS default rates among the top 25 MSAs.
Twenty-three loans, representing 79.2% of the pool, are being used
to refinance debt. Morningstar DBRS views loans that refinance
existing debt as more credit negative when compared with loans in
which the proceeds are used to finance an acquisition. Acquisition
financing typically demonstrates a meaningful cash investment from
the sponsor, which helps to align the interests more closely with
the lenders, whereas a refinance transaction may be cash neutral or
cash-out transactions, the latter of which may reduce the
borrower's commitment to a property.
The 31-loan pool results in a Herfindahl score of 17.97, with the
top 10 loans accounting for 64.2% of the transaction by cut-off
date trust balance and the largest loan representing 9.6% of the
cut-off date trust balance. While the Herfindahl score for the
transaction is regarded as relatively low for conduit transactions,
it is in line with the Herfindahl score for the BANK5 2026-5YR20
transaction (18.3) and the WFCM 2026-5C8 transaction (18.0).
Additionally, the Herfindahl score is lower than the BANK5
2025-5YR19 transaction (24.1) and the BANK5 2025-5YR17 transaction
(24.1).
Thirty of the loans, representing 92.6% of the pool, have
interest-only (IO) payment structures throughout the loan term.
Loans with IO payment structures potentially face refinance risk at
maturity if the appraised values do not remain stable. The
remaining loan amortizes over its full loan term with no periods of
IO payments.
The pool has an elevated concentration of loans secured by hotels,
with four loans representing 21.1% of the pool. Additionally, the
top two loans in the pool, representing 17.8% of the pool balance,
are secured by hotels. This represents an elevated composition when
compared with recent securitizations. Hotels typically have the
highest cash flow volatility of all other major property types as
their income, which is derived from daily contacts rather than
longer-term multiyear leases, and their expenses, which are often
mostly fixed, are notably high as a percentage of revenue. These
two factors cause revenue to fall swiftly during a downturn and
cash flow to fall even faster as a result of high operating
leverage.
The pool has a relatively high concentration of office properties,
with a total of seven loans, representing 33.8% of the pool,
secured by office properties. These property types were among the
most affected during the COVID-19 pandemic and many have seen a
slow recovery since or have yet to fully recover. Future demand for
office space is still uncertain because of the post-pandemic
expansion of hybrid and remote work, which results in less use and,
sometimes, downsizing of office footprints.
Morningstar DBRS' credit ratings on the Certificates address the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Principal Distribution
Amounts and/or Interest Distribution Amounts for the rated
classes.
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, the credit ratings do not address Yield
Maintenance Charges and Prepayment Premiums.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
The Class X-A, X-B, X-D, X-E, and X-F-RR certificates are IO
certificates that reference a single rated tranche or multiple
rated tranches. The IO credit rating mirrors the lowest-rated
applicable reference obligation tranche adjusted upward by one
notch if senior in the waterfall.
All credit ratings are subject to surveillance, which could result
in credit ratings being upgraded, downgraded, placed under review,
confirmed, or discontinued by Morningstar DBRS.
Notes: All figures are in U.S. dollars unless otherwise noted.
BAR 2026-FL1: Fitch Assigns 'B-sf' Final Rating on Three Tranches
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to BAR
2026-FL1 Issuer LLC as follows:
Entity/Debt Rating Prior
----------- ------ -----
BAR 2026-FL1
A LT AAAsf New Rating AAA(EXP)sf
A-S LT AAAsf New Rating AAA(EXP)sf
B LT AA-sf New Rating AA-(EXP)sf
C LT A-sf New Rating A-(EXP)sf
D LT BBBsf New Rating BBB(EXP)sf
D-E LT BBBsf New Rating
D-X LT BBBsf New Rating
E LT BBB-sf New Rating BBB-(EXP)sf
E-E LT BBB-sf New Rating
E-X LT BBB-sf New Rating
F LT BB-sf New Rating BB-(EXP)sf
F-E LT BB-sf New Rating
F-X LT BB-sf New Rating
G LT B-sf New Rating B-(EXP)sf
G-E LT B-sf New Rating
G-X LT B-sf New Rating
Income LT NRsf New Rating NR(EXP)sf
- $587,839,000a class A 'AAAsf'; Outlook Stable;
- $100,141,000a class A-S 'AAAsf'; Outlook Stable;
- $80,633,000a class B 'AA-sf'; Outlook Stable;
- $63,726,000a class C 'A-sf'; Outlook Stable;
- $40,316,000ab class D 'BBBsf'; Outlook Stable;
- $0c class D-E 'BBBsf'; Outlook Stable;
- $0d class D-X 'BBBsf'; Outlook Stable;
- $20,809,000ab class E 'BBB-sf'; Outlook Stable;
- $0c class E-E 'BBB-sf'; Outlook Stable;
- $0d class E-X 'BBB-sf'; Outlook Stable;
- $41,617,000ab class F 'BB-sf'; Outlook Stable;
- $0c class F-E 'BB-sf'; Outlook Stable;
- $0d class F-X 'BB-sf'; Outlook Stable;
- $26,010,000ab class G 'B-sf'; Outlook Stable;
- $0c class G-E 'BBB-sf'; Outlook Stable;
- $0d class G-X 'BBB-sf'; Outlook Stable.
The following class is not expected to be rated by Fitch:
- $79,333,319ae income notes.
(a) Privately placed and pursuant to Rule 144A.
(b) Exchangeable Notes: The class D, class E, class F and class G
notes are exchangeable notes and are exchangeable for proportionate
interests in the MASCOT notes, subject to the satisfaction of
certain conditions and restrictions, provided that at the time of
the exchange such notes are owned by a wholly owned subsidiary of
Sub-REIT. The principal balance of each of the exchangeable notes
received in an exchange will be equal to the principal balance of
the corresponding MASCOT P&I notes surrendered in such exchange.
(c) MASCOT P&I notes.
(d) MASCOT interest-only notes.
(e) Horizontal risk retention interest, estimated to be 7.625% of
the notional amount of the notes.
Transaction Summary
The certificates represent the beneficial interests in the trust,
the primary assets of which are 20 loans secured by 21 commercial
properties having an aggregate principal balance of $1,040,424,319
as of the cutoff date.
The loans were contributed to the trust by BAR 2026-FL1 Issuer LLC.
The servicer is NewPoint Real Estate Capital LLC and the special
servicer is Barings Real Asset Special Servicer LLC. The trustee is
Wilmington Trust, National Association and the note administrator
is Computershare Trust Company, National Association. The notes
follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 11 loans
in the pool (57.9% by balance). Fitch's resulting aggregate net
cash flow (NCF) of $44.6 million represents a 12.5% decline from
the issuer's aggregate underwritten NCF of $51.0 million, excluding
loans for which Fitch utilized an alternate value analysis.
Aggregate cash flows include only the pro-rated trust portion of
any pari passu loan.
Lower Fitch Leverage: The pool has lower leverage than recent CRE
CLO transactions rated by Fitch. The pool's Fitch loan-to-value
ratio (LTV) of 136.2% is lower than both the 2025 and 2024 CRE CLO
averages of 140.1% and 140.7%, respectively. The pool's Fitch NCF
debt yield (DY) of 6.9% is higher than both the 2025 and 2024 CRE
CLO averages of 6.4% and 6.5%, respectively.
Better Pool Diversity: The pool's diversity is better than recent
Fitch-rated CRE CLO transactions. The top 10 loans make up 58.4% of
the pool, which is lower than both the 2025 and 2024 CRE CLO
averages of 61.6% and 70.5%, respectively. Fitch measures loan
concentration risk using an effective loan count, which accounts
for both the number and size of loans in the pool. The pool's
effective loan count is 19.1, which is between the 2025 and 2024
CRE CLO averages of 20.4 and 16.9, respectively. Fitch views
diversity as a key mitigant to idiosyncratic risk. Fitch raises the
overall loss for pools with effective loan counts below 40.
No Amortization: The pool comprises 100.0% of fully IO loans, based
on fully extended loan terms. This is worse than both the 2025 and
2024 CRE CLO averages of 72.7% and 56.8%, respectively. As a
result, the pool is expected to have no principal paydown by the
fully extended maturity of the loans. By comparison, the average
scheduled paydowns for Fitch-rated U.S. CRE CLO transactions in
2025 and 2024 were 0.5% and 0.6%, respectively.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/
below 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'
/'BBsf'/'B+sf'.
SUMMARY OF FINANCIAL ADJUSTMENTS
Cash Flow Modeling
This transaction utilizes note protection tests to provide
additional credit enhancement (CE) to the investment-grade
noteholders, if needed. The note protection tests comprise an
interest coverage test and a par value test at the 'BBB-' level
(class E) in the capital structure. Should either of these metrics
fall below a minimum requirement, then interest payments to the
retained notes are diverted to pay down the senior most notes. This
diversion of interest payments continues until the note protection
tests are back above their minimums.
As a result of this structural feature, Fitch's analysis of the
transaction included an evaluation of the liabilities structure
under different stress scenarios. To undertake this evaluation,
Fitch used the cash flow modeling referenced in the Fitch criteria
"U.S. and Canadian Multiborrower CMBS Rating Criteria." Different
scenarios were run where asset default timing distributions and
recovery timing assumptions were stressed.
Key inputs, including Rating Default Rate (RDR) and Rating Recovery
Rate (RRR), were based on the CMBS multiborrower model output in
combination with CMBS analytical insight. The cash flow modeling
results showed that the default rates in the stressed scenarios did
not exceed the available CE in any stressed scenario.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by KPMG LLP. The third-party due diligence described in
Form 15E focused on a comparison and re-computation of certain
characteristics with respect to each of the mortgage loans. Fitch
considered this information in its analysis, and it did not have an
effect on its analysis or conclusions..
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BARINGS CLO 2026-I: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Barings CLO Ltd. 2026-I.
Entity/Debt Rating
----------- ------
Barings CLO Ltd. 2026-I
A-1 LT NR(EXP)sf Expected Rating
A-1L LT NR(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D-1 LT BBB-(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB(EXP)sf Expected Rating
F LT NR(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
Transaction Summary
Barings CLO Ltd. 2026-I (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Barings LLC. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $400 million
of primarily first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 98% first lien
senior secured loans and has a weighted average recovery assumption
of 74.21%. Fitch stressed the indicative portfolio by assuming a
higher portfolio concentration of assets with lower recovery
prospects and further reduced recovery assumptions for higher
rating stresses.
Portfolio Composition: The three largest industries can 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 concentration is in line with that of other recent
CLOs.
Portfolio Management: The transaction has a five-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio 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 notes, between
'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf'
for class C notes, between less than 'B-sf' and 'BB+sf' for class
D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2
notes, and between less than 'B-sf' and 'B+sf' for class E notes.
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 notes, 'AAsf' for class C notes,
'Asf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf'
for class E notes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Barings CLO Ltd.
2026-I.
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.
BATTALION CLO XXI: Moody's Cuts Rating on $18.8MM Cl. E Notes to B2
-------------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Battalion CLO XXI Ltd.:
US$18.8M Class E Junior Secured Deferrable Floating Rate Notes,
Downgraded to B2 (sf); previously on Jul 21, 2021 Assigned Ba3
(sf)
Moody's have also affirmed the ratings on the following notes:
US$248M Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Jul 1, 2025 Assigned Aaa (sf)
US$8M Class A-J-R Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Jul 1, 2025 Assigned Aaa (sf)
US$48M Class B-R Senior Secured Floating Rate Notes, Affirmed Aa2
(sf); previously on Jul 1, 2025 Assigned Aa2 (sf)
US$20.4M Class C-R Mezzanine Secured Deferrable Floating Rate
Notes, Affirmed A2 (sf); previously on Jul 1, 2025 Assigned A2
(sf)
US$24.8M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Baa3 (sf); previously on Jul 21, 2021 Assigned Baa3 (sf)
Battalion CLO XXI Ltd., issued in July 2021 and refinanced in July
2025, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The portfolio is managed by Brigade Capital
Management, LP. The transaction's reinvestment period will end in
July 2026.
RATINGS RATIONALE
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 since the
refinancing in July 2025.
The over-collateralisation ratio of the Class E notes has
deteriorated since the refinancing in July 2025. According to the
trustee report dated February 2026[1], the Class E OC ratio is
reported at 103.85%, compared to June 2025[2] level of 105.39%.
Furthermore, the weighted average spread (WAS) has deteriorated
since the refinancing. As reported in the February 2026[1] trustee
report, the WAS decreased to 3.43%, compared to 3.65% in June
2025[2].
The affirmations on the ratings on the Class A-R, Class A-J-R,
Class B-R, Class C-R and Class D notes are primarily a result of
the expected losses on the notes remaining consistent with their
current rating levels, after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralisation ratios.
In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements.
Key model inputs:
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD379.7m
Defaulted Securities: USD5.6m
Diversity Score: 82
Weighted Average Rating Factor (WARF): 2788
Weighted Average Life (WAL): 4.77 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.47%
Weighted Average Coupon (WAC): 2.80%
Weighted Average Recovery Rate (WARR): 45.24%
Par haircut in OC tests and interest diversion test: 0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into its cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
BCC MIDDLE 2018-1: S&P Assigns Prelim BB-(sf) Rating on D-RR Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1RR, A-JRR, A-2RR, A-2FRR, B-RR, B-FRR, C-RR,
and D-RR debt and proposed new class X-RR debt and class A-1L loans
from BCC Middle Market CLO 2018-1 LLC, a CLO managed by Bain
Capital Senior Loan Program LLC, a subsidiary of Bain Capital
Credit L.P., that was originally issued in September 2018 and
underwent a refinancing in March 2024.
The preliminary ratings are based on information as of March 31,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the April 6, 2026, refinancing date, the proceeds from the
replacement and proposed new debt will be used to redeem the
existing debt. S&P said, "At that time, we expect to withdraw our
ratings on the existing class A-1R, A-JR, A-2R, B-R, C-R, and D-R
debt and assign ratings to the replacement class A-1RR, A-JRR,
A-2RR, A-2FRR, B-RR, B-FRR, C-RR, and D-RR debt and proposed new
class X-RR debt and class A-1L loans. However, if the refinancing
doesn't occur, we may affirm our ratings on the existing debt and
withdraw our preliminary ratings on the replacement and proposed
new debt."
The replacement and proposed new debt will be issued via a proposed
supplemental indenture, which outlines the terms of the replacement
debt. According to the proposed supplemental indenture:
-- The replacement class A-1RR, A-JRR, C-RR, and D-RR debt is
expected to be issued at a lower spread over three-month CME term
SOFR than the existing debt.
-- The existing class A-2R debt is expected to be split into
replacement class A-2RR floating rate and A-2FRR fixed rate debt.
-- The existing class B-R debt is expected to be split into
replacement class B-RR floating rate and B-FRR fixed rate debt.
-- New class A-1L loans will be issued on the refinancing date.
It is expected to be pro rata with the class A-1RR debt.
-- New class X-RR debt will be issued on the refinancing date.
This debt is expected to be paid down using interest proceeds in
equal installments of $375,000, beginning on the first payment date
and ending in April 2030.
-- The deferrable obligations concentration limit is expected to
increase to 7.5% from 2.5%, and there is no partial deferrable
obligations concentration limit, so it can be up to 100%.
-- The 'CCC' collateral obligations concentration limit is
expected to increase to 20.0% from 17.5%.
-- The concentration limit for assets that can pay interest less
frequently than quarterly is expected to increase to 7.5% from
5.0%.
-- The non-call period will be extended to April 20, 2028.
-- The reinvestment period will be extended to April 20, 2030.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to April 20, 2038.
-- The required minimum overcollateralization and interest
coverage ratios will be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each rated tranche.
"In some cases, our credit and cash flow analysis suggest that the
available credit enhancement for the CLO debt could withstand
stresses commensurate with higher rating levels than those we have
assigned. However, given the various factors and assumptions
incorporated in our quantitative analysis and the fact that most
CLOs are permitted to modify their portfolios, we may assign lower
ratings to the debt than what our model results suggest.
"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
BCC Middle Market CLO 2018-1 LLC
Class X-RR, $6.00 million: AAA (sf)
Class A-1RR, $140.00 million: AAA (sf)
Class A-1L loans, $150.00 million: AAA (sf)
Class A-JRR, $20.00 million: AAA (sf)
Class A-2RR, $17.00 million: AA (sf)
Class A-2FRR, $13.00 million: AA (sf)
Class B-RR (deferrable), $35.00 million: A (sf)
Class B-FRR (deferrable), $5.00 million: A (sf)
Class C-RR (deferrable), $30.00 million: BBB- (sf)
Class D-RR (deferrable), $30.00 million: BB- (sf)
Subordinated notes, $85.45 million: NR
NR--Not rated.
BENCHMARK 2021-B30: Fitch Lowers Rating on Two Tranches to 'B-sf'
-----------------------------------------------------------------
Fitch Ratings has downgraded seven classes and affirmed nine
classes of Benchmark 2021-B30. Following their downgrades, Fitch
assigned classes D, E, F, X-D and X-F Negative Rating Outlooks.
Fitch also revised the Outlooks for classes C and X-B to Negative
from Stable.
Entity/Debt Rating Prior
----------- ------ -----
Benchmark 2021-B30
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 BBB-sf Downgrade BBBsf
E 08163KAN1 LT BB-sf Downgrade BBB-sf
F 08163KAQ4 LT B-sf Downgrade BB-sf
G 08163KAS0 LT CCCsf Downgrade B-sf
X-A 08163KBH3 LT AAAsf Affirmed AAAsf
X-B 08163KAA9 LT A-sf Affirmed A-sf
X-D 08163KAC5 LT BB-sf Downgrade BBB-sf
X-F 08163KAE1 LT B-sf Downgrade BB-sf
X-G 08163KAG6 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Increasing 'B' Loss Expectations: Deal-level 'Bsf' rating case
losses have increased to 6.1% from 3.5% at the prior rating action.
Fitch Loans of Concerns (FLOCs) comprise four loans (12.0%) in the
pool, including two specially serviced loans (10.4%).
The downgrades are driven by increased pool loss expectations
following an updated appraisal for the 1100 & 820 First Street NE
loan (6.9%), which reflects a substantial value decline from
issuance. The Negative Outlooks account for uncertainty related to
the ultimate resolution of the 1100 & 820 First Street NE loan
given the transfer to special servicing and foreclosure status as
well as performance concerns related to FLOCs Brush Factory Lofts
(3.4%) and Peachtree Corners I & II (1.6%).
Largest Contributors to Loss Expectations: The primary driver of
overall loss expectations and the largest increase from the prior
review is the 1100 & 820 First Street NE loan. The loan is secured
by a portfolio of two office buildings totaling 655,071 sf in the
Washington, D.C market. The loan transferred to special servicing
in June of 2025 for monetary default, and a receiver was appointed
in December 2025. The credit profile of the sponsor weakened
materially following a 2023 bankruptcy filing in Japan. Market
reporting indicates the firm has been attempting to divest U.S.
assets amid lender enforcement actions.
Performance at the properties has weakened, driven primarily by
occupancy decline and near-term lease rollover. Overall occupancy
for both buildings declined to 64% per the June 2025 rent roll,
down from 85% at YE 2024. Additionally, approximately 62% of space
has expired in 2025 or is scheduled to expire in 2026.
Fitch's 'Bsf' rating case loss of 44.0% (prior to concentration
add-ons) reflects the most recent appraisal value with a 10% stress
to account for occupancy decline and heightened rollover risk. This
results in a recovery of $181 psf which is in line with comparable
sales and recent appraisal values in the submarket.
The second largest increase in loss expectations is the Peachtree
Corners I & II loan (1.6%), which has been flagged as a FLOC due to
high availability and low occupancy. The loan is secured by two
warehouse/industrial properties totaling 163,231 sf in Berkeley
Lake, GA. Operating performance has deteriorated materially from
issuance, with YE 2025 NCF DSCR declining to 0.87x from the
originator's underwritten NCF DSCR of 1.94x. Cash flow has been
insufficient to cover debt service, driven by reduced income and
low occupancy that has persisted since 2024. As of the December
2025 rent roll, the property was 61.04% occupied.
Fitch's 'Bsf' rating case loss of 18.7% (prior to concentration
add-ons) reflects a 10% stress to the YE 2025 reported NOI.
The third largest increase in overall loss expectations is
attributed to the Brush Factory Lofts (3.4%) loan, which is secured
by a 151-unit mid-rise apartment building in South Philadelphia.
The property was originally constructed in 1920 and
redeveloped/renovated by the sponsor between 2018-2020. The loan
transferred to special servicing in August 2024 for payment
default. While property-level operations have remained stable, the
loan has experienced repeated payment-related events. Updated
reporting is unavailable, but occupancy was reported at 97% at YE
2024, an improvement from 92% as of Q2 2024. As of June 2024, NOI
DSCR was 1.73x, compared with 1.30x at issuance. The loan was
reinstated and brought current following a preferred equity
investment in Q1 2025. However, new defaults have occurred
post-reinstatement, and the special servicer is working with the
borrower to bring the loan current.
Fitch's 'Bsf' rating case loss of 6.2% (prior to concentration
add-ons) reflects a 25% stress to the most recent appraisal value,
resulting in a recovery of $199,400 per unit, in-line with
comparable sales and recent appraisal values in the submarket.
Increased Credit Enhancement (CE): As of the March 2026 remittance,
the aggregate pool balance has been reduced by 1.67% since
issuance. Loan maturities are concentrated in 2031 (99.1%) with one
loan (0.9%) maturing in 2026. Cumulative interest shortfalls of
approximately $320,000 are affecting class G and the non-rated VRR
class.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The Negative Outlooks reflect possible future downgrades stemming
from concerns with further declines in performance that could
result in higher expected losses on FLOCs. If expected losses do
increase, downgrades to these classes are likely.
Downgrades to the 'AAAsf' rated classes are not expected due to the
position in the capital structure and expected continued
amortization and loan repayments but may occur if deal-level losses
increase significantly and/or interest shortfalls occur or are
expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories,
with Negative Outlooks, may occur with, continued performance
deterioration of FLOCs including 1100 & 820 First Street NE and
Brush Factory Lofts, and additional transfer of loans to special
servicing which could include Peachtree Corners I & II and 31 Bond
Street. Additionally downgrades are possible if more loans than
expected default during the term or near maturity.
Downgrades to classes rated in the 'BBsf', and 'Bsf' categories
could occur with higher-than-expected losses from continued
underperformance of the aforementioned loans, other FLOCs and with
greater certainty of losses on the specially serviced loans or
other FLOCs.
Downgrades to distressed ratings would occur as losses become more
certain and/or as losses are incurred.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to 'AAsf' and 'Asf' category rated classes are possible
with significantly increased CE from paydowns, coupled with
stable-to-improved pool-level loss expectations and performance
stabilization of FLOCs, including 100 & 820 First Street NE and
Peachtree Corners I & II. Potential upgrades of these classes to
'AAAsf' would also take into consideration the concentration of
defeased loans in the transaction.
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 and there is sufficient CE to the
classes.
Upgrades to distressed ratings are not expected but possible with
better-than-expected recoveries on specially serviced loans or
significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BENCHMARK 2026-V21: Fitch Assigns B-sf Final Rating on Two Tranches
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Benchmark 2026-V21 Mortgage Trust, Commercial Mortgage Pass Through
Certificates, Series 2026-V21 as follows:
- $4,368,000 class A-1 'AAAsf'; Outlook Stable;
- $130,000,000a class A-2 'AAAsf'; Outlook Stable;
- $662,617,000a class A-3 'AAAsf'; Outlook Stable;
- $109,586,000 class A-S 'AAAsf'; Outlook Stable;
- $906,571,000b class X-A 'AAAsf'; Outlook Stable;
- $59,773,000 class B 'AA-sf'; Outlook Stable;
- $103,892,000b class X-B 'A-sf'; Outlook Stable;
- $44,119,000 class C 'A-sf'; Outlook Stable;
- $37,003,000c class D 'BBB-sf'; Outlook Stable;
- $37,003,000b,c class X-D 'BBB-sf'; Outlook Stable;
- $21,348,000c class F 'BB-sf'; Outlook Stable;
- $21,348,000b,c class X-F 'BB-sf'; Outlook Stable;
- $14,232,000c class G 'B-sf'; Outlook Stable;
- $14 ,232,000b,c class X-G 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
- $15,655,000c class J;
- $15,655,000b,c class X-J;
- $39,849,797c class K;
- $39,849,797b,c class X-K;
- $39,049,460d class RR Interest;
- $20,874,267d class RR Certificates.
(a) Since Fitch published its expected ratings on Feb. 25, 2026,
the balances for classes A-2 and A-3 were finalized. The initial
certificate balance of class A-2 was expected to be in the range of
$0 to $375,000,000, and the initial certificate balance of class
A-3 was expected to be in the range of $417,617,000 to
$792,617,000. The final class balances of classes A-2 and A-3 are
$130,000,000 and $662,617,000, respectively.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Vertical Risk Retention.
Transaction Summary
The certificates represent the beneficial ownership interest in the
trust, the primary assets of which are 41 loans secured by 68
commercial properties having an aggregate principal balance of
$1,198,474,524 as of the cutoff date. The loans were contributed to
the trust by Citi Real Estate Funding Inc., Goldman Sachs Mortgage
Company, German American Capital Corporation, Barclays Capital Real
Estate Inc. and Bank of Montreal.
The master servicer is KeyBank National Association, and the
special servicer is Torchlight Loan Services, LLC. Both the trustee
and certificate administrator are Computershare Trust Company,
National Association. The certificates will follow a sequential
paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans
totaling 81.0% of the pool by balance. Fitch's resulting aggregate
net cash flow (NCF) of $122.2 million represents a 14.8% decline
from the issuer's aggregate underwritten NCF of $143.3 million.
Higher Fitch Leverage: The pool's Fitch leverage is lower than
recent multiborrower transactions rated by Fitch. The pool's Fitch
loan-to-value ratio (LTV) of 100.3% is lower than the 2025
five-year multiborrower transaction average of 101.0% but higher
than the 2024 five-year multiborrower transaction average of 95.2%.
The pool's Fitch NCF debt yield (DY) of 10.2% is higher than the
2025 average of 9.7% but in line with the 2024 average of 10.2%.
Investment-Grade Credit Opinion Loans: Two loans representing 10.4%
of the pool by balance received an investment-grade credit opinion.
CityCenter (Aria & Vdara) (7.9% of the pool) received an investment
grade credit opinion of 'AAAsf*' on a standalone basis. Torrey
Heights (2.5%) received an investment grade credit opinion of
'BBBsf*' on a standalone basis. The pool's total credit opinion
percentage is lower than the 2025 average of 10.7% and the 2024
average of 12.6% for five-year multiborrower transactions.
Excluding the credit opinion loans, the pool's Fitch LTV and DY are
105.4% and 9.3%, respectively, compared to the equivalent five-year
multiborrower 2025 LTV and DY averages of 105.2% and 9.3%,
respectively.
Pool Concentration: The pool is less concentrated than recently
rated Fitch transactions. The top 10 loans make up 52.1% of the
pool, which is lower than the 2025 five-year multiborrower average
of 61.7% and the 2024 average of 60.2%. The pool's effective loan
count of 27.3 is higher than the 2025 and 2024 10-year averages of
21.6 and 22.7, respectively. Fitch views diversity as a key
mitigant to idiosyncratic risk. Fitch raises the overall loss for
pools with effective loan counts below 40.
Shorter-Duration Loans: Loans with five-year terms constitute 100%
of the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default (PD) than 10-year
loans, all else equal. This is mainly attributed to the shorter
window of exposure to potential adverse economic conditions. Fitch
considered its loan performance regression in its analysis of the
pool.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline:
'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'BB-sf'/'CCC+sf'/below 'CCCsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase:
'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BB+sf'/'BB-sf'
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis, and it did not
have an effect on Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BENEFIT STREET 48: S&P Assigns BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Benefit Street Partners
CLO 48 Ltd./Benefit Street Partners CLO 48 LLC's floating-rate
debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by BSP CLO Management LLC, a
wholly-owned subsidiary of Franklin Templeton.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
S&P said, "In some cases, our credit and cash flow analysis suggest
that the available credit enhancement for the CLO debt could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, given the various factors and
assumptions incorporated in our quantitative analysis and the fact
that most CLOs are permitted to modify their portfolios, we may
assign lower ratings to the debt than what our model results
suggest."
Ratings Assigned
Benefit Street Partners CLO 48 Ltd./
Benefit Street Partners CLO 48 LLC
Class A-L loans, $165.775 million: AAA (sf)
Class A, $154.225 million: AAA (sf)
Class B, $60.000 million: AA (sf)
Class C (deferrable), $30.000 million: A (sf)
Class D-1 (deferrable), $30.000 million: BBB- (sf)
Class D-2 (deferrable), $5.000 million: BBB- (sf)
Class E (deferrable), $15.000 million: BB- (sf)
Subordinated notes, $42.600 million: NR
NR--Not rated.
BMO 2023-C7: Fitch Lowers Rating on Class G-RR Debt to 'CCCsf'
--------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 12 classes of BMO
2023-C7 Mortgage Trust (BMO 2023-C7). The Rating Outlooks for
classes D, E, X-D and X-E were revised to Negative from Stable.
Classes F and X-F were assigned Negative Outlooks following their
downgrades.
Additionally, Fitch has affirmed 17 classes of BMO 2023-C6 Mortgage
Trust (BMO 2023-C6). The Rating Outlooks for classes D-RR and X-DRR
were revised to Negative from Stable. The Outlooks for classes
E-RR, X-ERR, F-RR and X-FRR are Negative.
Entity/Debt Rating Prior
----------- ------ -----
BMO 2023-C7
A-2 05593FAB4 LT AAAsf Affirmed AAAsf
A-5 05593FAD0 LT AAAsf Affirmed AAAsf
A-S 05593FAH1 LT AAAsf Affirmed AAAsf
A-SB 05593FAE8 LT AAAsf Affirmed AAAsf
B 05593FAJ7 LT AA-sf Affirmed AA-sf
C 05593FAK4 LT A-sf Affirmed A-sf
D 05593FAS7 LT BBBsf Affirmed BBBsf
E 05593FAU2 LT BBB-sf Affirmed BBB-sf
F 05593FAW8 LT Bsf Downgrade BB-sf
G-RR 05593FAY4 LT CCCsf Downgrade B-sf
X-A 05593FAF5 LT AAAsf Affirmed AAAsf
X-B 05593FAG3 LT AA-sf Affirmed AA-sf
X-D 05593FAL2 LT BBBsf Affirmed BBBsf
X-E 05593FAN8 LT BBB-sf Affirmed BBB-sf
X-F 05593FAQ1 LT Bsf Downgrade BB-sf
BMO 2023-C6
A-2 055985AB1 LT AAAsf Affirmed AAAsf
A-4 055985AD7 LT AAAsf Affirmed AAAsf
A-5 055985AE5 LT AAAsf Affirmed AAAsf
A-S 055985AJ4 LT AAAsf Affirmed AAAsf
A-SB 055985AF2 LT AAAsf Affirmed AAAsf
B 055985AK1 LT AA-sf Affirmed AA-sf
C 055985AL9 LT A-sf Affirmed A-sf
D-RR 055985AM7 LT BBBsf Affirmed BBBsf
E-RR 055985AR6 LT BBB-sf Affirmed BBB-sf
F-RR 055985AV7 LT BB-sf Affirmed BB-sf
G-RR 055985AZ8 LT CCCsf Affirmed CCCsf
X-A 055985AG0 LT AAAsf Affirmed AAAsf
X-B 055985AH8 LT AA-sf Affirmed AA-sf
X-DRR 055985AP0 LT BBBsf Affirmed BBBsf
X-ERR 055985AT2 LT BBB-sf Affirmed BBB-sf
X-FRR 055985AX3 LT BB-sf Affirmed BB-sf
X-GRR 055985BB0 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss is
4.72% for BMO 2023-C6 and 5.32% for BMO 2023-C7, compared to 4.79%
and 4.99%, respectively at Fitch's last rating action. Fitch Loans
of Concern (FLOCs) comprise seven loans (14.7%) in BMO 2023-C6,
including six specially serviced loans (11.6%), and five loans
(15.5%) in BMO 2023-C7, all of which are special serviced.
The downgrades in BMO 2023-C7 reflect increased pool loss
expectations since Fitch's last rating action, driven primarily by
three specially serviced loans, Tusk Multifamily Portfolio (4.5%),
Knoll Ridge Apartment (2.4%) and Holiday Inn Kansas (1.3%).
The Negative Outlooks for BMO 2023-C6 and BMO 2023-C7 reflect the
potential for downgrades with prolonged workouts and/or valuation
declines for the specially serviced loans and further performance
deterioration of the FLOCs.
Related Sponsor Loans: Three of the specially serviced loans across
these two deals have the same sponsor: Maple Creek Village (4.7% of
BMO 2023-C6), Cincinnati Multifamily Portfolio (3.5% of BMO
2023-C6) and Knoll Ridge Apartments (2.4% of BMO 2023-C7).
All three loans were transferred to special servicing in July 2024
after a series of late payments, lack of financial reporting and
death of the sponsor Mendel Steiner in January 2025. Since then,
only one loan, Knoll Ridge Apartments, reported a lower updated
appraisal dated July 2025. Along with the other two loans, Maple
Creek Village and Cincinnati Multifamily Portfolio II, all three
assets are in foreclosure litigation, with a receiver appointed by
the court and property condition and performance being evaluated.
Additionally, the potential for fees and expenses should there be a
protracted workout for these assets contributed to the Negative
Outlooks.
Maple Creek Village is the largest contributor to overall pool loss
expectations in BMO 2023-C6. The loan is secured by a 247-unit
garden multifamily property in Indianapolis. Fitch's 'Bsf' rating
case loss of 15.2% (prior to concentration add-ons) reflects the
Fitch issuance net cash flow (NCF), an 8.75% cap rate and factors
in an elevated probability of default given the delinquent and
specially serviced loan status.
Cincinnati Multifamily Portfolio is the second largest contributor
to overall pool loss expectations in BMO 2023-C6. The loan is
secured by three multifamily properties totaling 212 units located
in Cincinnati, OH. Fitch's 'Bsf' rating case loss of 16.5% (prior
to concentration add-ons) reflects a 7.5% haircut to the TTM
September 2024 NOI, an 8.75% cap rate and factors in an elevated
probability of default given the delinquent and specially serviced
loan status.
Knoll Ridge Apartments is the second largest increase in loss since
the last rating action in BMO 2023-C7. The loan is secured by three
multifamily properties totaling 354 units located in suburban
Indianapolis, IN. Fitch's 'Bsf' rating case loss of 32.2% (prior to
concentration add-ons) reflects a stress to the July 2025 appraisal
value, resulting in a Fitch-stressed value of approximately $91,000
per unit. The July 2025 appraisal value represents a 45% value
decline from the issuance appraisal.
FLOCs; Largest Increases in Loss Expectations: The Tusk Multifamily
Portfolio loan is the largest increase in loss since the last
rating action in BMO 2023-C7. The loan, secured by three
multifamily properties totaling 523 units located in Columbus, GA;
Macon, GA; and Birmingham, AL, was transferred to special servicing
in October 2025 due to payment default. The borrower has been
chronically delinquent with payments since August 2025 and not
compliant with insurance and updated financial reporting since YE
2024. Foreclosure was initiated in November 2025. Fitch's 'Bsf'
rating case loss of 28.6% (prior to concentration add-ons) reflects
the YE 2024 NOI, an 8.75% cap rate and factors in a higher
probability of default due to the loan's delinquent status.
The Holiday Inn Kansas City loan, which is the third largest
increase in loss since the last rating action in BMO 2023-C7, is
secured by a 126-key hospitality property located in Kansas City,
MO. The loan transferred to special servicing on Jan. 8, 2026 due
to payment default. Updated financials have not been provided since
issuance. Fitch's 'Bsf' rating case loss is 24.7% (prior to
concentration add-ons), reflecting Fitch's issuance NCF, an 11.50%
cap rate, and factors a higher probability of default due to the
loan's delinquent status.
Other Specially Serviced Loans: The BMO 2023-C6 transaction has
four additional specially serviced loans (3.3%). These loans
include 2021 Avenue X (0.9%), secured by a 12,500-sf single tenant
medical office property located in Brooklyn, NY; La Quinta Inn &
Suites Lubbock South (1.0%), secured by a 89-key hospitality
property located in Lubbock, TX; 938 East 4th Street (0.7%),
secured by a 24-unit multifamily property built in 2023 located in
Bethlehem, PA; and Society Hill Portfolio (0.7%), secured by a
three property, 13-unit multifamily and mixed-use portfolio located
in the Old City area of Philadelphia.
The 2021 Avenue X, La Quinta Inn & Suites Lubbock South, and
Society Hill Portfolio loans transferred to special servicing due
to payment default. The 938 East 4th Street loan transferred to
special servicing due to major tenant delivering a non-renewal
notice.
The BMO 2023-C7 transaction has two additional specially serviced
loans (7.3%). These loans include The Park Trowbridge (3.9%),
secured by a 320-unit mid-rise senior housing apartment building in
Southfield, MI, and the OPI Portfolio (3.4%), secured by a
483,084-sf portfolio of two office properties located in Atlanta,
GA and Wace, TX, where the loan guarantor filed for bankruptcy in
December 2025.
The Park at Trowbridge loan, which transferred to special servicing
due to payment default, was paid down by $4.2 million (from $33.0
million to $28.8 million) with application of proceeds from an
earnout reserve. Fitch applied a minimal loss to account for
potential specially servicing workout fees; an updated appraisal
value from May 2025 exceeds the outstanding loan amount.
Investment-Grade Credit Opinion Loans: Three loans representing
20.3% of BMO 2023-C6 and two loans (12.0% of BMO 2023-C7) each
received an investment-grade credit opinion at issuance. For BMO
2023-C6, Fashion Valley Mall (8.4% of the pool) received a
standalone credit opinion of 'AAAsf', CX - 250 Water Street (7.7%)
received a standalone credit opinion of 'BBBsf' and Back Bay Office
(4.2%) received a standalone credit opinion of 'AAAsf'.
For BMO 2023-C7, Woodfield Mall (9.3% of the pool) received a
standalone credit opinion of 'BBB+sf' and 60 Hudson Street (2.7%)
received a standalone credit opinion of 'AAAsf'. Performance for
all loans remains in line with issuance expectations and all
maintain their investment-grade credit opinions.
Limited Change to Credit Enhancement (CE): As of the March 2026
remittance report, the BMO 2023-C6 transaction has paid down by
1.3% since issuance. There are 18 (70.4%) full-term, interest-only
(IO) loans and six loans (10.8%) have a partial IO period.
The BMO 2023-C7 transaction has paid down by 0.7% since issuance.
There are 23 loans (77.9%) are IO loans, and seven loans (17.8%)
are partial IO.
Cumulative interest shortfalls of $1,321,046 are affecting the
non-rated class G-RR and J-RR in BMO 2023-C6 and $501,787 affecting
the non-rated class J-RR in BMO 2023-C7.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to 'AAAsf' rated classes are not expected due to the
position in the capital structure, sufficient CE relative to
overall pool loss expectations, as well as expected amortization
and loan repayments, but may occur if deal-level losses increase
significantly and/or interest shortfalls occur or are expected to
occur.
Downgrades to classes rated at 'AAsf' and 'Asf' could occur should
performance of the specially serviced loans and/or FLOCs
deteriorate significantly and/or if more loans than expected
default during the loan term.
Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories with
Negative Outlooks could occur with protracted workouts of the
specially serviced loans and/or continued deterioration of the
FLOCs, particularly Maple Creek Village, Cincinnati Multifamily
Portfolio, and HIE Gatlinburg in BMO 2023-C6 and Tusk Multifamily
Portfolio, Park at Trowbridge, Knoll Ridge Apartments and Holiday
Inn Kansas in BMO 2023-C7.
Downgrades to distressed ratings would occur should loss
expectations increase on the specially serviced loans, additional
loans be transferred to special servicing or default, or as losses
are realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE from paydowns and/or
defeasance, coupled with stable to improved pool-level loss
expectations and better-than-expected resolutions for the specially
serviced loans and FLOCs.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration and would only occur with sustained improved
performance of the FLOCs or lower loss expectations on the
specially serviced loans.
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 specially
serviced assets and/or FLOCs are better than expected, loans return
to the master servicer and there is sufficient CE to the classes.
Upgrades to distressed ratings are not expected and would only
occur with better-than-expected recoveries on specially serviced
loans.
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.
BVRT 2025-1: Fitch Affirms 'B-sf' Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has affirmed nine classes from BVRT 2025-1, LLC and
removed them from Under Criteria Observation (UCO).
Entity/Debt Rating Prior
----------- ------ -----
BVRT 2025-1, LLC
A 05614UAA8 LT AA-sf Affirmed AA-sf
B 05614UAB6 LT A-sf Affirmed A-sf
C 05614UAC4 LT BBB-sf Affirmed BBB-sf
D 05614UAD2 LT BB-sf Affirmed BB-sf
E 05614UAE0 LT B-sf Affirmed B-sf
IO 05614UAK6 LT A-sf Affirmed A-sf
IO-Li 05614UAG5 LT A-sf Affirmed A-sf
IO-Mg 05614UAH3 LT A-sf Affirmed A-sf
IO-Mg2 05614UAJ9 LT A-sf Affirmed A-sf
KEY RATING DRIVERS
Credit Risk of Mortgage Assets (Neutral)
This credit risk transfer transaction is backed by three underlying
pools: BLT Trust Series Li (Li), BLT Trust Series Mg (Mg), and BLT
Trust Series Mg2 (Mg2). The current 'AAsf' expected losses for Li,
Mg, and Mg2 are 5.45%, 5.99%, 4.84%, respectively, down 40, 52, 46
bps from issuance. 60+ DQ across the deal is 3.54%, increasing 42
bps in the past nine months.
Modeled performance of this transaction is largely dependent on the
asset analysis of the three underlying collateral pools, which was
modestly affected by Fitch's U.S. RMBS Rating Criteria update in
October 2025 and drove expected losses down. The criteria update
introduced a new Probability of Default (PD) regression framework
that bifurcates origination loan PD and seasoned loan PD. Expected
losses were not significantly affected and did not result in rating
changes.
Structural Analysis (Neutral)
The transaction closed in June 2025, and since then there has not
been any material change to the structural analysis. The underlying
transactions benefit from sequential structure whereby the
contributed bond shares principal payments with the hypothetical
senior bond. Fitch expects the included bond to rapidly pay down as
it receives the entire share of subordinate principal. These
payments are passed through to the offered bonds and paid pro rata
subject to triggers related to losses on the underlying reference
pools. If the triggers fail, the deal pays sequentially.
Operational Risk Analysis (Neutral)
Fitch views operational risk for the transaction as controlled.
Fitch considers originator and servicer capability and third-party
due diligence results to derive a potential operational risk
adjustment.
Counterparty Risk and Credit Linkages (Negative)
Counterparty risk is a consideration in the analysis but did not
have a direct impact on ratings due to the asset and structural
analysis driving lower ratings. The rated bonds are limited to the
rating of Fannie Mae (AA+) as the source of the risk share payment
as well as cash in an account at JPMorgan Chase Bank, N.A. (AA).
Due to the reliance on the cash collateral account to pay principal
on the bonds, there is excessive counterparty risk linked to
JPMorgan, which will cap any upgrade of the bonds at the
counterparty's rating. This limitation is also applicable for the
interest-only bond because bond payments are only made if Fannie
Mae has access to the money in the JPMorgan account. This limits
the future interest-only rating to that of the bank.
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. The 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 sMVD. The analysis
indicates some potential rating migration lower. For example, 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. The analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class, excluding those being assigned ratings of
'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
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.
BX COMMERCIAL 2026-ALOHA: Moody's Assigns (P)Ba1 Rating to E Certs
------------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to six classes of
CMBS securities to be issued by BX Commercial Mortgage Trust
2026-ALOHA, Commercial Mortgage Pass-Through Certificates, Series
2026-ALOHA.
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa2 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba1 (sf)
Cl. HRR, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
The certificates are collateralized by a single floating-rate loan
backed by the borrower's fee simple interest and pledge of a
leasehold interest in a diversified portfolio of 37 commercial
properties in Hawaii. The Portfolio includes 20 retail (63.0% of
NRA, 75.8% of UW NOI), 15 industrial (35.1%, 21.5%), and two office
assets (1.9%, 2.7%). It is primarily concentrated on Oahu (73.5% of
GLA), with additional exposure to Maui (10.8%), Hawaii Island
(8.1%), and Kauai (7.7%), providing geographic diversification
within the state while maintaining a strong focus on Hawaii's core
economic center.
The borrower interest structure includes fee simple ownership
across 36 properties in the Portfolio. As previously noted, fee
simple assets are rare and highly valued in Hawaii, where ground
lease structures from major landowners such as Kamehameha Schools
or the Bishop Estate are common and introduce rent reset and
expiration risks. The collateral properties were constructed at
various points between 1947 and 2025, with a weighted average year
built (by NRA) of 1990.
The Portfolio's retail component (75.6% of ALA) consists primarily
of neighborhood and community shopping centers anchored by
essential grocers and drugstores. Major assets include Kailua Town,
Pearl Highlands Center, and Laulani Village on Ouhau. The tenant
mix is focused on grocery, pharmacy, and service oriented uses,
which supports stable foot traffic and cash flow regardless of
broader economic or tourism cycles.
The Portfolio's industrial component (22.3% of ALA) represents a
collection of industrial properties that compare favorably to
mainland industrial real estate. Industrial supply in Hawaii is
severely constrained by topography, environmental regulation, and
zoning limitations. Very little developable land is present due to
volcanic terrain, conservation and agricultural zoning, coastal and
floodplain restrictions. New development is minimal and costly,
with construction expenses often significantly exceeding mainland
levels due to labor and material shipping costs. New supply is
additionally challenged by a lengthy entitlement process. This
stands in contrast to many mainland markets, where speculative
development can lead to oversupply and elevated vacancy. As such,
the Portfolios is more comparable to premium, irreplaceable "last
mile" mainland logistics facilities.
The Portfolio is being acquired from Alexander & Baldwin, Inc.
("A&B"), which has long been the largest owner of grocery anchored
neighborhood shopping centers in Hawaii. As part of the broader
transaction involving Blackstone's acquisition and privatization of
A&B, Blackstone plans to invest approximately $100 million of
capital expenditures across the portfolio to enhance asset quality,
functionality, and long term competitiveness. Blackstone intends to
retain A&B's experienced local management team and its Honolulu
headquarters, preserving local operating expertise and continuity.
Blackstone also brings an established track record in Hawaii across
multiple property types, including retail, hospitality, and
residential assets.
Moody's approach to rating this transaction involved the
application 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 1.45X and Moody's first
mortgage actual stressed DSCR is 0.87X. Moody's DSCR is based on
Moody's stabilized net cash flow.
The whole loan first mortgage balance of $1,240,000,000 represents
a Moody's LTV ratio of 100.0% based on Moody's value. Adjusted
Moody's LTV ratio for the first mortgage balance is 99.5% 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,
location, market, and tenancy. The collateral's overall quality
grade is 1.00.
Notable strengths of the transaction include: fee simple ownership,
barriers to entry lead to high occupancy, granular national
tenancy, strong sales, strong grocery-anchor performance, strong
demographics, multiple-property pooling, and experienced
sponsorship.
Notable concerns of the transaction include: property age,
recognized environmental conditions, credit negative ground lease
provisions, floating-rate, interest only profile, and credit
negative legal features.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in January 2025.
Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.
Factors that would lead to an upgrade or downgrade of the ratings:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
CANYON CLO 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Canyon
CLO 2026-1, Ltd.
Entity/Debt Rating
----------- ------
Canyon CLO 2026-1,
Ltd.
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1 LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BBsf New Rating
F LT NRsf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Canyon CLO 2026-1, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Canyon
Capital Advisors L.P. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 100% first
lien senior secured loans and has a weighted average recovery
assumption of 73.16%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentration is in line with that of other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'BBB+sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Canyon CLO 2026-1,
Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
CANYON CLO 2026-1: Moody's Assigns B3 Rating to $250,000 F Notes
----------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Canyon CLO 2026-1, Ltd. (the Issuer or Canyon CLO 2026-1):
US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due
2039, Assigned Aaa (sf)
US$250,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2039, 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.
Canyon CLO 2026-1 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 not senior secured loans. The portfolio is
approximately 90% ramped as of the closing date.
Canyon CLO Advisors L.P. (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 the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 3102
Weighted Average Spread (WAS): 2.90%
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 "Collateralized
Loan Obligations" published in October 2025.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
CAPTERIS EQUIPMENT 2026-1: DBRS Rates Class E Notes 'BB(high)'
--------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the following classes of notes (the Notes) issued by
Capteris Equipment Finance 2026-1, LLC (Capteris 2026-1 or the
Issuer):
-- $56,300,000 Class A-1 Notes rated R-1 (high) (sf)
-- $271,425,000 Class A-2 Notes rated AAA (sf)
-- $34,435,000 Class B Notes rated AA (high) (sf)
-- $26,123,000 Class C Notes rated A (high) (sf)
-- $23,748,000 Class D Notes rated BBB (high) (sf)
-- $24,936,000 Class E Notes rated BB (high) (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The credit ratings on the Notes are based on Morningstar DBRS'
review of the following analytical considerations:
(1) Morningstar DBRS' respective stressed CNL hurdle rates of
25.14%, 22.13%, 18.23%, 11.35%, and 7.75% in the cash flow
scenarios commensurate with the AAA (sf), AA (high) (sf), A (high)
(sf), BBB (high) (sf), and BB (high) (sf) ratings. Morningstar DBRS
assessed the stressed CNL hurdle rates at each rating level by
blending the stressed net loss assumptions for the concentrated
portion of the collateral pool (comprising the 24 largest obligors)
and the more granular portion of the collateral pool based on their
share of the Securitization Value.
-- Morningstar DBRS' stressed CNL hurdle rate for the concentrated
portion of the collateral pool was derived using the Morningstar
DBRS CLO Insight Model based on the opinions of the credit quality
of the underlying obligors and a review of the obligor-specific
expected recoveries in a recessionary scenario commensurate with
the relevant target rating.
-- Morningstar DBRS' stressed CNL assumption for the granular
portion of collateral pool reflects the composition and
characteristics of the underlying assets, the performance to date
of the portfolio managed by Capteris, and the performance of
comparable portfolios originated by other large-ticket lessors.
Stressed CNL assumptions applicable to the granular portion of the
collateral pool were derived by applying target multiples of 5.10
times (x), 4.60x, 3.70x, 2.60x, and 1.85x, respectively, to the
base case CNL assumption of 5.00% in an AAA (sf), AA (high) (sf), A
(high) (sf), BBB (high) (sf), and BB (high) (sf) cash flow
scenarios.
(2) Morningstar DBRS' cash flow analysis tested the ability of the
transaction to generate cash flows sufficient to service the
interest and principal payments under three different default
timing scenarios and during zero conditional prepayment rate (CPR)
and five CPR prepayment environments.
(3) The transaction's exposure to unguaranteed booked residuals (as
discounted) is rather limited at 1.36% of the Aggregate
Securitization Value as of the Initial Cut-off Date. Morningstar
DBRS assigned credit to residual realization proceeds, with such
credit ranging from 50% to 90% in its AAA (sf) to BB (high) (sf)
cash flow scenarios, respectively, applied to the base case
residual realization assumption of 103.06%.
(4) The transaction's capital structure and form and sufficiency of
available credit enhancement. The subordination,
overcollateralization (OC), cash held in the Reserve Account,
available excess spread and other structural provisions create
credit enhancement levels that are commensurate with the respective
ratings for each class of notes.
(5) The initial overcollateralization (OC) as of the Closing Date
is equal to 8.00%, with a target OC of 12.00% of Securitization
Value of the outstanding collateral, subject to a floor equal to
1.00% of the initial Securitization Value of collateral as of the
Initial Cut-off Date.
(6) The replenishable cash reserve account is funded at 1.00% of
the initial Securitization Value of collateral pool and will be
required to remain at 1.00% of the Aggregate Securitization Value
as of the Initial Cut-off Date for the life of the transaction.
(7) The weighted-average (WA) yield for the collateral pool is
approximately 8.66%. The Aggregate Securitization Value of the
collateral pool is determined by discounting all leases and loans
at either implied or actual applicable contract rate, thus creating
excess spread that may be available to the transaction.
(8) The transaction is the second 144A term securitization to be
sponsored by Capteris, which has been operating since 2022.
Nevertheless, the Company's senior management team has extensive
experience in the equipment industry, originating, underwriting and
managing credit to middle-market and large companies in the United
States through multiple market cycles. In addition, the Company is
majority owned by AAA Equipment L.P., a subsidiary of Athene
Holdings Ltd. and Apollo Global Management. In addition, Capteris
has minority investments from Wheels, LLC and MidCap Financial.
(9) Morningstar DBRS performed an operational risk review and deems
Capteris to be an acceptable originator and servicer of
equipment-backed leases and loans. Capteris will be the Sponsor,
Servicer and Administrator of this transaction. In addition,
Morningstar DBRS performed an operational risk review of Vervent
Inc. and deems them to be an acceptable backup servicer of
equipment-backed leases and loans. Furthermore, ECS Financial
remains engaged to provide sales and use tax compliance and
property tax services, ensuring continuity in specialized tax
filings. In addition, Capteris uses KSM for income tax and advisory
services.
(10) Approximately 43.45% of the collateral pool is serviced on a
retained basis by predominantly high credit quality equipment lease
and loan originators / fiscal agents.
(11) Since inception, Capteris has been awarded more than $1.5
billion in transaction volume and has funded over $1.1 billion to
date, with approximately $850 million of assets under management as
of December 31, 2025. Originations are currently sourced through a
diversified channel mix, with 56.22% generated through direct
origination efforts and 43.78% through buy desk activity. Since
inception, Capteris has experienced no credit losses.
(12) The collateral pool exhibits relatively high obligor
concentrations, with the largest, five largest and 10 largest
obligors accounting for approximately 8.18%, 30.28% and 49.14% of
the Aggregate Securitization Value as of the Cut-off Date.
Morningstar DBRS deemed the credit quality of the largest obligors
to be in the CCC (high) to BBB (low) range, based on public ratings
and internal assessments. The financed assets are of essential use
to the applicable obligor, with the value of such assets supported
by third-party or internally developed appraisals. The largest
obligor industries are represented by Data Processing, Hosting, and
Related Services (approximately 10.83% of the Aggregate
Securitization Value at closing), Landscaping Services (7.14%),
Motor Vehicle Supplies and New Parts Merchant Wholesalers (6.34%),
Power and Communication Line and Related Structures Construction
(5.84%), Construction, Mining, and Forestry Machinery and Equipment
Rental and Leasing (4.39%), Pharmaceutical Preparation
Manufacturing (4.20%), and Offices of Dentists (4.04%).
(13) The largest financed equipment categories comprise
Technology-Hardware (12.26%), Transportation (11.34%), Vocational
(7.88%), Manufacturing and Industrial (7.68%), Lab Equipment
(7.40%), Pickup Truck (5.77%), Material Handling (MHE) (4.93%),
Tank Trailer (4.45%), and Medical-Dental (4.04%).
(14) The transaction is supported by an established structure and
is consistent with Morningstar DBRS' "Legal Criteria for U.S.
Structured Finance" methodology. Legal opinions covering true sale
and non-consolidation were also provided.
(15) The transaction assumptions consider Morningstar DBRS'
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary, Baseline Macroeconomic Scenarios For
Rated Sovereigns: December 2025 Update published on December 19,
2025. These baseline macroeconomic scenarios replace Morningstar
DBRS' moderate and adverse COVID-19 pandemic scenarios, which were
first published in April 2020.
Morningstar DBRS' credit ratings on the Notes referenced herein
address the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations are the principal amounts of
and interest on the Class A-1, Class A-2, Class B, Class C, Class D
and Class E Notes, including any unpaid interest from the prior
month.
Morningstar DBRS' credit ratings do not address non-payment risk
associated with contractual payment obligations contemplated in the
applicable transaction documents that are not financial
obligations. The associated contractual payment obligations that
are not financial obligations are interest on the unpaid Class A-1,
Class A-2, Class B, Class C, Class D, and Class E Note interest.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Notes: All figures are in U.S. dollars unless otherwise noted.
CARLYLE GLOBAL 2015-4: Moody's Affirms B1 Rating on Cl. D-R Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Carlyle Global Market Strategies CLO 2015-4, Ltd.:
US$24.65M Class B-RRR Senior Secured Deferrable Floating Rate
Notes due 2032, Upgraded to Aaa (sf); previously on Oct 7, 2025
Assigned Aa1 (sf)
US$30.5M Class C-RR Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Upgraded to A2 (sf); previously on Oct 7, 2025
Assigned Baa2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$171.4M (Current outstanding balance US$83,310,406) Class
A-1-RRR Senior Secured Floating Rate Notes due 2032, Affirmed Aaa
(sf); previously on Oct 7, 2025 Assigned Aaa (sf)
US$11M Class A-1-JRRR Senior Secured Floating Rate Notes due 2032,
Affirmed Aaa (sf); previously on Oct 7, 2025 Assigned Aaa (sf)
US$53.4M Class A-2-RRR Senior Secured Floating Rate Notes due
2032, Affirmed Aaa (sf); previously on Oct 7, 2025 Assigned Aaa
(sf)
US$30.3M Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032, Affirmed B1 (sf); previously on Jun 18, 2020
Downgraded to B1 (sf)
Carlyle Global Market Strategies CLO 2015-4, Ltd., issued in
November 2015, reset in June 2019 and refinanced in April 2024 and
October 2025, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by Carlyle CLO Management L.L.C. The
transaction's reinvestment period ended in July 2024.
RATINGS RATIONALE
The rating upgrades on the Class B-RRR and Class C-RR notes are
primarily a result of the deleveraging of the Class A-1-RRR notes
following amortisation of the underlying portfolio since the last
rating action in October 2025.
The affirmations on the ratings on the Class A-1-RRR, Class
A-1-JRRR, Class A-2-RRR and Class D-R notes are primarily a result
of the expected losses on the notes remaining consistent with their
current rating levels, after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralisation ratios.
The Class A-1-RRR notes have paid down by approximately USD88.1
million (51.4%) since the last rating action in October 2025. As a
result of the deleveraging, over-collateralisation (OC) has
increased across the capital structure. According to the trustee
report dated February 2026[1] the Class A, Class B, Class C and
Class D OC ratios are reported at 167.78%, 143.78%, 122.16% and
106.29% compared to October 2025[2] levels of 144.05%, 130.41%,
116.74% and 105.73%, respectively.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD251.0m
Defaulted Securities: USD0.7m
Diversity Score: 60
Weighted Average Rating Factor (WARF): 3171
Weighted Average Life (WAL): 3.25 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.85%
Weighted Average Recovery Rate (WARR): 46.73%
Par haircut in OC tests and interest diversion test: 0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
CARLYLE GLOBAL 2016-3: Moody's Cuts Rating on F-RR Notes to Caa1
----------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Carlyle Global Market Strategies CLO 2016-3, Ltd.:
US$6,100,000 Class F-RR Junior Secured Deferrable Floating Rate
Notes due 2034 (the "Class F-RR Notes"), Downgraded to Caa1 (sf);
previously on July 1, 2021 Assigned B3 (sf)
Carlyle Global Market Strategies CLO 2016-3, Ltd., originally
issued in September 2016, refinanced in October 2019, February 2020
and July 2021, and partially refinanced in December 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 will end in July 2026.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating action on the Class F-RR notes reflects the
specific risks to the notes posed by par loss and spread
compression observed in the underlying CLO portfolio. Based on
Moody's calculations, the total collateral par balance, including
recoveries from defaulted securities, is $475.7 million, or $10.3
million less than the $486 million initial par amount targeted
during the deal's ramp-up. Furthermore, based on trustee's February
2026 report, the weighted average spread (WAS) is reported at 3.00%
compared to 3.22% in January 2025.
No actions were taken on the Class X-RRR, Class A-RRR, Class B-RRR,
Class C-RRR, Class D-RRR and Class E-RR notes because their
expected losses remain commensurate with their current ratings,
after taking into account the CLO's latest portfolio information,
its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Collateralized
Loan Obligations" rating methodology published in October 2025.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $475,654,345
Defaulted par: $821,162
Diversity Score: 84
Weighted Average Rating Factor (WARF): 2737
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.79%
Weighted Average Coupon (WAC): 2.90%
Weighted Average Recovery Rate (WARR): 45.44%
Weighted Average Life (WAL): 4.81 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and, lower recoveries on defaulted assets.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Collateralized
Loan Obligations" published in October 2025.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
CD MORTGAGE 2016-CD1: Moody's Cuts Rating on Class B Certs to B3
----------------------------------------------------------------
Moody's Ratings has affirmed the ratings on three classes and
downgraded the ratings on three classes in CD 2016-CD1 Mortgage
Trust as follows:
Class A-3, Affirmed Aaa (sf); previously on Jul 14, 2025 Affirmed
Aaa (sf)
Class A-4, Affirmed Aaa (sf); previously on Jul 14, 2025 Affirmed
Aaa (sf)
Class A-M, Downgraded to Ba1 (sf); previously on Jul 14, 2025
Downgraded to A3 (sf)
Class A-SB, Affirmed Aaa (sf); previously on Jul 14, 2025 Affirmed
Aaa (sf)
Class B, Downgraded to B3 (sf); previously on Jul 14, 2025
Downgraded to Ba2 (sf)
Class X-A*, Downgraded to A3 (sf); previously on Jul 14, 2025
Downgraded to Aa3 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings on three P&I classes were affirmed due to their
significant credit support and because the transaction's key
metrics, including Moody's loan-to-value (LTV) ratio and Moody's
stressed debt service coverage ratio (DSCR), are within acceptable
ranges. These classes will benefit from principal paydowns as the
remaining loans approach their maturity dates.
The rating on two P&I classes, Cl. A-M and Cl. B, were downgraded
due to higher expected losses and increased interest shortfall risk
due to a decline in pool performance largely driven by the exposure
to specially serviced and troubled loans. Four loans, representing
22% of the pool, are in special servicing, including the second
largest loan in the pool, the Westfield San Francisco Centre Loan
(13.2% of the pool), which has experienced severe declines in cash
flow in recent years and has been deemed non-recoverable by the
master servicer. Of the remaining three loans in special servicing,
two loans, secured by a hotel and retail portfolio, accounting for
6.5% of the pool, are currently in foreclosure. Moody's also
identified three troubled loans, representing 16.1% of the pool,
with declining performance trends, including the Prudential Plaza
loan (10.2% of the pool) which is secured by a Chicago CBD office
property, and the Hilton Garden Inn San Leandro loan (3.9% of the
pool), which is secured by a hotel property in San Leandro, CA,
both of which have had significant declines in performance.
Furthermore, the third largest loan in the pool, Fiserv at 2900
Westside (10.2% of the pool), is secured by an office property in
Alpharetta, GA leased to a single tenant with a lease expiration
less than 18 months after the loan's maturity date. Due to the
non-recoverability determinations interest shortfalls have impacted
up to Cl. B as of the March 2026 remittance statement. Furthermore,
all the remaining loans mature by August 2026 and given the higher
interest rate environment and loan performance Moody's do not
anticipate significant paydowns on Cl. A-M and Cl. B by the
scheduled loan maturity dates and there may be higher risks of
interest shortfalls and potential losses if additional loans become
delinquent and/or are unable to pay off at their scheduled maturity
dates.
The rating on the interest-only (IO) classes, Cl. X-A, was
downgraded due to paydowns of higher rated classes and the decline
in credit quality of the remaining referenced class. Cl. X-A
originally referenced Cl. A-1 through and Cl. A-M, however, Cl. A-1
and Cl. A-2 have now paid off in full.
Moody's rating action reflects a base expected loss of 16.9% of the
current pooled balance, compared to 14.6% at Moody's 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 2026 distribution date, the transaction's aggregate
certificate balance has decreased by 35.3% to $455 million from
$703 million at securitization. The certificates are collateralized
by 24 mortgage loans ranging in size from less than 1% to 14.3% of
the pool, with the top ten loans (excluding defeasance)
constituting 79.9% of the pool. One loan, constituting 14.3% of the
pool, has an investment-grade structured credit assessment. Seven
loans, constituting 8.5% 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 10, compared to 13 at Moody's last review.
Five loans, constituting 26.1% 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.
Three loans have been liquidated from the pool, resulting in an
aggregate realized loss of $23.9 million (for an average loss
severity of 65%). The largest specially serviced loan is the
Westfield San Francisco Centre loan ($60.0 million – 13.2% of the
pool), which represents a pari-passu portion of a $433 million
first-mortgage loan. The total mortgage debt also includes
subordinate B-notes with an aggregate balance of $125 million,
which is held outside the trust. The loan is secured by a 794,521
square feet (SF) component of a 1,445,449 SF, nine-story super
regional mall and office development located in the Union Square
district of San Francisco, California. At securitization, the mall
was anchored by Bloomingdale's, Nordstrom, and a 9-screen Century
Theatre. Non-collateral anchor tenant, Nordstrom (312,000 SF),
closed this location in August 2023 and Century Theaters (52,636
SF) vacated at lease expiration in September 2023. Major lease
negotiations to backfill the Nordstrom and Century Theatre space
were active until non-collateral anchor tenant Bloomingdales
(338,928 SF) closed this location in April 2025. As of June 2025,
the collateral was 13% leased and 7% occupied. All the former
anchors have vacated the property, and most in-line tenants have
exercised co-tenancy lease termination rights. As a result of the
lower occupancy, the property's net operating income (NOI) has
declined significantly since securitization. The loan transferred
to special servicing in June 2023 due to payment default. The
lender filed a foreclosure action in September 2023, and a receiver
was appointed in October 2023. In March 2024, the new management
team rebranded the property as the Emporium Centre San Francisco.
Per recent servicer commentary, the property is being marketed for
a sale, with the projected sale date to be complete in the first
half of 2026. The most recent appraisal from September 2025 valued
the property at $195 million, an 84% decline in value since
securitization, and the master servicer has deemed the loan
non-recoverable.
The second largest specially serviced loan is the Embassy Suites
Columbus loan ($19.8 million – 4.4% of the pool), which is
secured by a 198-key full-service hotel located in Columbus, Ohio.
The loan initially transferred to special servicing in 2020 due to
pandemic related business disruptions and returned to the master
servicer in December 2022. However, the loan transferred back to
special servicing in October 2025 due to imminent monetary default,
ahead of its January 2026 maturity date. Property performance was
impacted significantly during the coronavirus pandemic and has not
been able to recover since. For the trailing twelve month period
(TTM) ending September 2025 the NOI was almost 69% lower than in
2016 and while the loan remains current on debt service payments
the DSCR has continued to remain well below 1.00X since 2020. As of
the March 2026 remittance statement, the loan has amortized 13.7%
since securitization and is currently REO.
The third largest specially serviced loan is the NY Rite Aid
Portfolio loan ($10.4 million – 2.2% of the pool), which is
secured by four single-tenant retail properties located throughout
the Buffalo, New York and Rochester, New York metro areas. The
properties were built between 1999 and 2001 and range from 10,908
SF to 12,738 SF in net rentable area. The loan transferred to
special servicing in June 2025 due to payment default after the
borrower indicated they cannot continue to make debt service
payments due to the tenants ceasing rent payments following Rite
Aid's bankruptcy. Servicer commentary states the borrower is
cooperating in returning the properties to the lender, while the
special servicer is proceeding with foreclosure. As of the March
2026 remittance statement, the loan was last paid through its May
2025 payment date and has amortized 13.5% since securitization. The
remaining specially serviced loan is secured by a retail property
in Lahaina, Hawaii. The property performance has declined, and the
loan has had a DSCR below 1.00X since 2023. The loan was last paid
through its December 2025 payment and failed to pay off at its
January 2026 maturity.
Moody's have also assumed a high default probability for three
poorly performing loans, constituting 16.6% of the pool and have
estimated an aggregate loss of $74.4 million (a 43% expected loss
on average) from these specially serviced and troubled loans. The
largest troubled loan is the Prudential Plaza loan ($46.5 million
– 10.2% of the pool), which represents a pari passu portion of a
$386 million first-mortgage loan. The loan is secured by two Class
A office towers totaling 2.4 million SF located in Chicago's East
Loop submarket. The two towers (One Prudential Plaza - 1,252,791 SF
and Two Prudential Plaza - 1,015,079 SF) are connected by a public
mezzanine level that contains approximately 60,000 SF of restaurant
and retail space. The loan had previously transferred to special
servicing in June 2023, and a loan modification was subsequently
executed in December 2023 extending the loan's maturity to August
2027. The loan returned to the master servicer in March 2024.
However, property performance and cash flow have generally declined
since 2021 and the properties were a combined 70% leased as of
September 2025, compared to 72% in 2024, 75% in 2023 and 83% in
2022. As of the March 2026 remittance report, the loan was current
on debt service payments, however, given the higher interest rate
environment and the weaker Chicago office fundamentals, the loan
may face refinancing challenges as it approaches its extended
maturity date.
The second troubled loan is the Hilton Garden Inn San Leandro loan
($17.6 million – 3.9% of the pool), which is secured by a 119-key
full-service hotel located in San Leandro, California. Property
performance had already deteriorated since securitization through
2019 and was further impacted due to the business disruptions
caused by the pandemic. The loan remains current on debt service
payments, but the DSCR remains well below 1.00X. The remaining
troubled loan is secured an office property located Valhalla, New
York, that has also experienced declines in cash flow. The loan
remains on the watchlist due to an active cash trap triggered by
the non renewal of a major tenant lease in April 2023. As of the
March 2026 remittance, the loan is current and amortized 18.2%
since securitization.
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 2024 operating results for 100% of the
pool, and full or partial year 2025 operating results for 79% of
the pool (excluding specially serviced and defeased loans). Moody's
weighted average conduit MLTV is 102%, compared to 115% at Moody's
last review. Moody's conduit 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 20.1% to the most recently
available net operating income (NOI). Moody's Value reflects a
weighted average capitalization rate of 10.9%.
Moody's actual and stressed conduit DSCRs are 1.59X and 1.26X,
respectively, compared to 1.59X and 1.05X 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 10 Hudson Yards
loan ($67.5 million – 8.7% of the pool), which represents a pari
passu portion of a $708.1 million first mortgage loan. The proeprty
is also encumbered with a $191.9 million B-Note and $300.0 million
in mezzanine debt. The loan is secured by the fee interest in a
52-story mixed-use office tower containing 1.8 million SF of
office, retail, and storage space. The property is located on the
corner of 30th Street and 10th Avenue in New York City and has
received a LEED Platinum certification. The five largest tenants
are Coach, Inc. (30% of NRA), L'Oréal (22% of NRA), Boston
Consulting Group (11% of NRA), SAP America (8% of NRA), and
Intersection (4% of NRA). As of September 2025, the property was
99% leased, compared to 100% in 2023, and 93% at securitization.
The loan is interest-only throughout its entire term and Moody's
structured credit assessment is aa1 (sca.pd).
The top three conduit loans represent 27.7% of the pool balance.
The largest loan is the Fiserv at 2900 Westside loan ($56.8 million
– 12.5% of the pool), which is secured by the leasehold interest
in two, six-story, office buildings located in Alpharetta, Georgia,
approximately 23 miles north of the Atlanta CBD. To obtain and
maintain certain real property tax abatements, the predecessor to
the borrower entered into a municipal bond structure with the local
development authority, exchanging fee interest in the property for
leasehold interest and certain municipal bonds. The borrower is
entitled to purchase fee interest back any time prior to December
31, 2025, in exchange for ending the tax abatement structure. Both
buildings were constructed in 2001 for a total of 376,351 SF and
connected by a 17,773 SF lobby and a sky bridge. The property is
100% leased to Fiserv under a triple-net lease that expires in
December 2027, which is less than 17 months after the loan maturity
date in August 2026. Due to the single-tenant exposure, Moody's
Value incorporated a lit/dark analysis. After an initial three-year
interest-only period, the loan has amortized 12.6% since
securitization, however, the loan may face increased refinance risk
if the tenant does not renew prior to the loan maturity date.
Moody's LTV and stressed DSCR are 132% and 0.96X, respectively,
compared to 135% and 0.94X at the last review.
The second largest loan is the U-Haul AREC Portfolio loan ($35.2
million – 7.7% of the pool), which represents a pari passu
portion of a $68.6 million first-mortgage loan. The loan is secured
by the fee interest in a portfolio of 23 self-storage facilities
located across 10 states. The performance of the portfolio has
steadily improved since securitization, and the NOI DSCR was 2.76X
for the TTM ending September 2025, compared to 2.74X as of December
2025, and 1.68X at securitization. As of the March 2026 remittance,
this loan was current on P&I payments and has amortized by 27.4%
since securitization. Moody's LTV and stressed DSCR are 55% and
2.01X, respectively.
The third largest loan is the Hall Office Park 16 loan ($33.9
million – 7.4% of the pool), which is secured by a 194,133 SF
office building located in Frisco, Texas. The property is part of
the larger Hall Office Park, a 162 acre mixed office campus
comprising 16 office buildings totaling more than 2.0 million
square feet. As of September 2025, the property was 87% leased
compared to 89% in December 2024, 88% in December 2023, and 95% at
securitization. As of the March 2026 remittance date, the loan is
current on its P&I payments and Moody's LTV and stressed DSCR are
103% and 1.05X, respectively.
CHASE HOME 2026-3: Fitch Assigns 'B-sf' Final Rating on Cl. B5 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Chase Home Lending
Mortgage Trust 2026-3 (Chase 2026-3).
Entity/Debt Rating Prior
----------- ------ -----
Chase 2026-3
A1 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A10A LT AAAsf New Rating AAA(EXP)sf
A10B LT AAAsf New Rating AAA(EXP)sf
A10X1 LT AAAsf New Rating AAA(EXP)sf
A10X2 LT AAAsf New Rating AAA(EXP)sf
A10X3 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A11X LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A13X LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A14X LT AAAsf New Rating AAA(EXP)sf
A14X2 LT AAAsf New Rating AAA(EXP)sf
A14X3 LT AAAsf New Rating AAA(EXP)sf
A14X4 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A15A LT AAAsf New Rating AAA(EXP)sf
A15B LT AAAsf New Rating AAA(EXP)sf
A15X1 LT AAAsf New Rating AAA(EXP)sf
A15X2 LT AAAsf New Rating AAA(EXP)sf
A15X3 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A16A LT AAAsf New Rating AAA(EXP)sf
A16B LT AAAsf New Rating AAA(EXP)sf
A16X1 LT AAAsf New Rating AAA(EXP)sf
A16X2 LT AAAsf New Rating AAA(EXP)sf
A16X3 LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A17A LT AAAsf New Rating AAA(EXP)sf
A17B LT AAAsf New Rating AAA(EXP)sf
A17X1 LT AAAsf New Rating AAA(EXP)sf
A17X2 LT AAAsf New Rating AAA(EXP)sf
A17X3 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A18A LT AAAsf New Rating AAA(EXP)sf
A18B LT AAAsf New Rating AAA(EXP)sf
A18X1 LT AAAsf New Rating AAA(EXP)sf
A18X2 LT AAAsf New Rating AAA(EXP)sf
A18X3 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A3A LT AAAsf New Rating AAA(EXP)sf
A3B LT AAAsf New Rating AAA(EXP)sf
A3X1 LT AAAsf New Rating AAA(EXP)sf
A3X2 LT AAAsf New Rating AAA(EXP)sf
A3X3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A4A LT AAAsf New Rating AAA(EXP)sf
A4B LT AAAsf New Rating AAA(EXP)sf
A4X1 LT AAAsf New Rating AAA(EXP)sf
A4X2 LT AAAsf New Rating AAA(EXP)sf
A4X3 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A5A LT AAAsf New Rating AAA(EXP)sf
A5B LT AAAsf New Rating AAA(EXP)sf
A5X1 LT AAAsf New Rating AAA(EXP)sf
A5X2 LT AAAsf New Rating AAA(EXP)sf
A5X3 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A6A LT AAAsf New Rating AAA(EXP)sf
A6B LT AAAsf New Rating AAA(EXP)sf
A6X1 LT AAAsf New Rating AAA(EXP)sf
A6X2 LT AAAsf New Rating AAA(EXP)sf
A6X3 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A7A LT AAAsf New Rating AAA(EXP)sf
A7B LT AAAsf New Rating AAA(EXP)sf
A7X1 LT AAAsf New Rating AAA(EXP)sf
A7X2 LT AAAsf New Rating AAA(EXP)sf
A7X3 LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A8A LT AAAsf New Rating AAA(EXP)sf
A8B LT AAAsf New Rating AAA(EXP)sf
A8X1 LT AAAsf New Rating AAA(EXP)sf
A8X2 LT AAAsf New Rating AAA(EXP)sf
A8X3 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A9A LT AAAsf New Rating AAA(EXP)sf
A9B LT AAAsf New Rating AAA(EXP)sf
A9X1 LT AAAsf New Rating AAA(EXP)sf
A9X2 LT AAAsf New Rating AAA(EXP)sf
A9X3 LT AAAsf New Rating AAA(EXP)sf
AX1 LT AAAsf New Rating AAA(EXP)sf
B1 LT AA-sf New Rating AA-(EXP)sf
B1A LT AA-sf New Rating AA-(EXP)sf
B1X LT AA-sf New Rating AA-(EXP)sf
B2 LT A-sf New Rating A-(EXP)sf
B2A LT A-sf New Rating A-(EXP)sf
B2X LT A-sf New Rating A-(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BB-sf New Rating BB-(EXP)sf
B5 LT B-sf New Rating B-(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
RR LT NRsf New Rating NR(EXP)sf
Transaction Summary
The Chase 2026-3 certificates are supported by 405 loans with a
scheduled balance of $528.96 million as of the cutoff date. The
closing date is March 30, 2026.
The pool consists of prime-quality, fixed-rate mortgages (FRMs)
solely originated by JPMorgan Chase Bank, National Association
(JPMCB). The loan-level representations and warranties (R&Ws) are
provided by the originator, JPMCB. All mortgage loans in the pool
will be serviced by JPMCB. The collateral quality of the pool is
extremely strong, with a large percentage of loans over $1.0
million.
Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM)
average prime offer rate (APOR) loans. The collateral comprises
100% fixed-rate loans. The certificates are fixed rate and capped
at the net weighted average coupon (WAC) or based on the net WAC,
or they are floating rate or inverse floating rate, based off the
SOFR index, and capped at the net WAC.
KEY RATING DRIVERS
Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS
transactions are directly affected by the performance of the
underlying residential mortgages or mortgage-related assets. Fitch
analyzes loan-level attributes and macroeconomic factors to assess
credit risk and expected losses.
The collateral consists of 405 loans with a total unpaid balance of
$538.96 million, with an average loan size of $1.3 million, and is
seasoned for three months based on Fitch's analysis.
The pool comprises high-quality prime loans with a weighted average
(WA) FICO score of 774, a WA combined loan-to-value ratio (cLTV) of
74.75% (82.35% sustained LTV), and a WA debt-to-income ratio (DTI)
of 33.92%. The WA liquid reserves amount to $1,148,042.33.
These strong collateral attributes are reflected in Fitch's loss
analysis.
Chase 2026-3 has a final probability of default (PD) of 9.33% in
the 'AAA' rating stress. Fitch's final loss severity (LS) in the
'AAAsf' rating stress is 36.17%. The expected loss in the 'AAAsf'
rating stress is 3.38%.
Structural Analysis (Mixed): The mortgage cash flow and loss
allocation in Chase 2026-3 are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years.
The lockout feature helps maintain subordination for a longer
period should losses occur later in the life of the transaction.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained.
This transaction has CE or subordination floors. The CE or senior
subordination floor of 0.75% has been considered to mitigate
potential tail-end risk and loss exposure for senior tranches as
the pool size declines and performance volatility increases due to
adverse loan selection and small loan count concentration. In
addition, a junior subordination floor of 0.55% has been considered
to mitigate potential tail-end risk and loss exposure for
subordinate tranches as the pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.
Losses on the non-retained portion of the loans will be allocated
first to the subordinate bonds (starting with class B-6). After
class B-1-A is written off, losses will be allocated to class A-9-B
first, and then to the super-senior classes pro rata after class
A-9-B is written off.
This transaction has full advancing of delinquent principal and
interest (P&I) until it is deemed nonrecoverable. As a result, the
LS was increased in its cash flow analysis to account for the
servicer recouping the advances.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's CE to support payments on the securities under
multiple scenarios incorporating loss projections derived from
Fitch's asset analysis. Fitch applies its assumptions for defaults,
prepayments, delinquencies and interest rate scenarios. The CE for
all ratings was sufficient for the given rating levels. The CE for
a given rating exceeded the expected losses of that rating stress
to address the structure's recoupment of advances and leakage of
principal to more subordinate classes.
Operational Risk Analysis (Positive): Fitch considers originator
and servicer capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
Due diligence is the only consideration that has a direct impact on
Fitch's loss expectations. Third-party due diligence was performed
on 59.75% of the loans in the transaction (60.26% by loan count).
Fitch applies a 5-bp z-score reduction for loans fully reviewed by
the third-party review (TPR) firm that have a final grade of either
"A" or "B."
Counterparty and Legal Analysis (Neutral): Fitch expects all
relevant transaction parties to conform with the requirements
described in its "Global Structured Finance Rating Criteria."
Relevant parties are those whose failure to perform could have a
material impact on the performance of the transaction.
Additionally, all legal requirements should be satisfied to fully
de-link the transaction from any other entity. Fitch expects Chase
2026-3 to be a fully de-linked and bankruptcy-remote SPV. All
transaction parties and triggers align with Fitch expectations.
Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may
include, but are not limited to, new product types with limited or
volatile historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to Chase 2026-3, and, therefore, Fitch is comfortable rating to the
highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 37.74% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC. The third-party due diligence described in Form
15E focused on four areas: compliance review, credit review,
valuation review and data integrity. The third-party review was
conducted on 59.75% (by loan count) of the pool. Fitch considered
this information in its analysis and, as a result, Fitch applies an
approximate 5-bp origination PD credit for loans fully reviewed by
the TPR firm and have a final grade of either "A" or "B."
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 59.75% (by loan count of the pool. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria." AMC were engaged to perform the review. Loans reviewed
under this engagement were given compliance, credit and valuation
grades and assigned initial grades for each subcategory. Minimal
exceptions and waivers were noted in the due diligence reports.
Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the Resi PLS data layout format, and the data
provided was considered comprehensive. The data contained in the
Resi PLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CIFC FUNDING 2022-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CIFC
Funding 2022-V, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
CIFC Funding
2022-V, Ltd.
A-1-R2 LT NRsf New Rating
A-2-R 12572GAW7 LT PIFsf Paid In Full AAAsf
A-2-R2 LT AAAsf New Rating
B-R 12572GAQ0 LT PIFsf Paid In Full AAsf
B-R2 LT AAsf New Rating
C-R 12572GAS6 LT PIFsf Paid In Full Asf
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
D-R 12572GAU1 LT PIFsf Paid In Full BBB-sf
E-R 12574CAG9 LT PIFsf Paid In Full BB-sf
E-R2 LT BB-sf New Rating
Transaction Summary
CIFC Funding 2022-V, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by CIFC
Asset Management LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
The weighted average rating factor (WARF) of the indicative
portfolio is 22.97 and will be managed to a WARF covenant from a
Fitch test matrix. Issuers rated in the 'B' rating category denote
a highly speculative credit quality; however, the notes benefit
from appropriate credit enhancement and standard U.S. CLO
structural features.
Asset Security: The indicative portfolio consists of 96.3% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.62% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 43% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a five-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for the WAL covenants that
are greater than six years to account for structural and
reinvestment conditions after the reinvestment period. In Fitch's
opinion, these conditions would reduce the effective risk horizon
of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'A-sf' and 'AA+sf' for class A-2-R2, between
'BBB-sf' and 'A+sf' for class B-R2, between 'BB-sf' and 'A-sf' for
class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2,
between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between
less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf'
for class D-1-R2, 'BBB+sf' for class D-2-R2, and 'BBB-sf' for class
E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for CIFC Funding
2022-V, 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.
CITIGROUP 2026-RP1: Fitch Assigns 'B(EXP)sf' Rating on Cl. B2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust
2026-RP1 (CMLTI 2026-RP1).
Entity/Debt Rating
----------- ------
CMLTI 2026-RP1
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA(EXP)sf Expected Rating
A3 LT AA(EXP)sf Expected Rating
A4 LT A(EXP)sf Expected Rating
A5 LT BBB(EXP)sf Expected Rating
M1 LT A(EXP)sf Expected Rating
M2 LT BBB(EXP)sf Expected Rating
B1 LT BB(EXP)sf Expected Rating
B2 LT B(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
B4 LT NR(EXP)sf Expected Rating
B5 LT NR(EXP)sf Expected Rating
B LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
X LT NR(EXP)sf Expected Rating
SA LT NR(EXP)sf Expected Rating
PT LT NR(EXP)sf Expected Rating
PT1 LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The transaction is expected to close on March 25, 2026. The notes
are supported by 9,615 seasoned performing loans (SPLs) and
reperforming loans (RPLs) with a total balance of about $1.02
billion, including $77.1 million, or 7.5%, of the aggregate pool
balance in non-interest-bearing deferred principal amounts as of
the cutoff date. The borrowers have a weighted-average (WA) Fitch
FICO of 664 and a current mark-to-market (MtM) combined
loan-to-value ratio (cLTV) of 43.5%.
All loans in the transaction were originated in 2019 or earlier,
all loans are seasoned at least 24 months, and an updated automated
valuation model (AVM), broker price opinion (BPO), appraiser
reconciled BPO (ARBPO) or exterior appraisal was provided. Of the
pool, 90.3% of the loans have had a clean payment history over the
past 12 months and 1.3% are currently delinquent.
Distributions of principal and interest (P&I) and loss allocations
are based on a traditional, senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicer will not advance delinquent monthly payments
of P&I.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. CMLTI 2026-RP1 has a final probability of default (PD) of
33.8% in the 'AAAsf' rating stress. Fitch's final loss severity
(LS) in the 'AAAsf' rating stress is 25.3%. The expected loss in
the 'AAAsf' rating stress is 8.6%.
Structural Analysis: The mortgage cash flow and loss allocation in
CMLTI 2026-RP1 are based on a sequential-pay structure whereby the
subordinated classes do not receive principal until the senior
classes are repaid in full. Losses are allocated in
reverse-sequential order. Furthermore, the provision to reallocate
principal to pay interest on the 'AAAsf' rated notes prior to other
principal distributions is highly supportive of timely interest
payments in the absence of servicer advancing. Interest and
interest shortfalls are paid sequentially.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings was sufficient for the given
rating levels. The CE for a given rating exceeded the expected
losses of that rating stress.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction by loan count.
Fitch expects SPL/RPL pools to have full diligence completed.
Specifically, for loans that have an application date on or after
Jan. 10, 2014, Fitch expects a full due diligence scope that
includes a review of credit, regulatory compliance and property
valuation. For loans with an application date prior to Jan. 10,
2014, Fitch primarily receives a regulatory compliance review to
ensure loans were originated in accordance with predatory lending
regulations. Fitch's review of the operational risk for this
transaction did not have an impact on the analysis.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material impact on
the performance of the transaction. In addition, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects CMLTI 2026-RP1 to be fully
de-linked and a bankruptcy-remote, special-purpose vehicle (SPV) at
closing. All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to CMLTI 2026-RP1 and, therefore, Fitch is comfortable assigning
the highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 37.9% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs compared to the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class, excluding those assigned ratings of 'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC and Clayton. The third-party due diligence
review was completed on 100% of the loans in this transaction. The
scope of the due diligence review was consistent with Fitch
criteria for seasoned collateral. Fitch considered this information
in its analysis and, as a result, Fitch made the following
adjustments: increased the LS due to HUD-1 issues, missing
modification agreements, as well as delinquent taxes and
outstanding liens.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CITIGROUP 2026-RP1: Fitch Assigns 'Bsf' Rating on Class B2 Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes issued by Citigroup Mortgage Loan Trust
2026-RP1 (CMLTI 2026-RP1).
Entity/Debt Rating Prior
----------- ------ -----
CMLTI 2026-RP1
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAsf New Rating AA(EXP)sf
A3 LT AAsf New Rating AA(EXP)sf
A4 LT Asf New Rating A(EXP)sf
A5 LT BBBsf New Rating BBB(EXP)sf
M1 LT Asf New Rating A(EXP)sf
M2 LT BBBsf New Rating BBB(EXP)sf
B1 LT BBsf New Rating BB(EXP)sf
B2 LT Bsf New Rating B(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
B4 LT NRsf New Rating NR(EXP)sf
B5 LT NRsf New Rating NR(EXP)sf
B LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
SA LT NRsf New Rating NR(EXP)sf
PT LT NRsf New Rating NR(EXP)sf
PT1 LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The notes are supported by 9,615 seasoned performing loans (SPLs)
and reperforming loans (RPLs) with a total balance of about $1.02
billion, including $77.1 million, or 7.5%, of the aggregate pool
balance in non-interest-bearing deferred principal amounts as of
the cutoff date. The borrowers have a weighted-average (WA) Fitch
FICO of 664 and a current mark-to-market (MtM) combined
loan-to-value ratio (cLTV) of 43.5%.
All loans in the transaction were originated in 2019 or earlier,
all loans are seasoned at least 24 months, and an updated automated
valuation model (AVM), broker price opinion (BPO), appraiser
reconciled BPO (ARBPO) or exterior appraisal was provided. Of the
pool, 90.3% of the loans have had a clean payment history over the
past 12 months and 1.3% are currently delinquent.
Distributions of principal and interest (P&I) and loss allocations
are based on a traditional, senior-subordinate, sequential
structure. The sequential-pay structure locks out principal to the
subordinated notes until the most senior notes outstanding are paid
in full. The servicer will not advance delinquent monthly payments
of P&I.
There have been no changes to the collateral or structure since the
publication of the presale.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. CMLTI 2026-RP1 has a final probability of default (PD) of
33.8% in the 'AAAsf' rating stress. Fitch's final loss severity
(LS) in the 'AAAsf' rating stress is 25.3%. The expected loss in
the 'AAAsf' rating stress is 8.6%.
Structural Analysis: The mortgage cash flow and loss allocation in
CMLTI 2026-RP1 are based on a sequential-pay structure whereby the
subordinated classes do not receive principal until the senior
classes are repaid in full. Losses are allocated in
reverse-sequential order. Furthermore, the provision to reallocate
principal to pay interest on the 'AAAsf' rated notes prior to other
principal distributions is highly supportive of timely interest
payments in the absence of servicer advancing. Interest and
interest shortfalls are paid sequentially.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings was sufficient for the given
rating levels. The CE for a given rating exceeded the expected
losses of that rating stress.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction by loan count.
Fitch expects SPL/RPL pools to have full diligence completed.
Specifically, for loans that have an application date on or after
Jan. 10, 2014, Fitch expects a full due diligence scope that
includes a review of credit, regulatory compliance and property
valuation. For loans with an application date prior to Jan. 10,
2014, Fitch primarily receives a regulatory compliance review to
ensure loans were originated in accordance with predatory lending
regulations. Fitch's review of the operational risk for this
transaction did not have an impact on the analysis.
Counterparty and Legal Analysis: Fitch confirms all relevant
transaction parties conform with the requirements described in its
"Global Structured Finance Rating Criteria." Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. In addition, all legal requirements
have been satisfied to fully de-link the transaction from any other
entities. CMLTI 2026-RP1 is fully de-linked and a
bankruptcy-remote, special-purpose vehicle (SPV) at closing. All
transaction parties and triggers align with Fitch's expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to CMLTI 2026-RP1 and, therefore, Fitch is comfortable assigning
the highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 37.9% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs compared to the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class, excluding those assigned ratings of 'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC and Clayton. The third-party due diligence
review was completed on 100% of the loans in this transaction. The
scope of the due diligence review was consistent with Fitch
criteria for seasoned collateral. Fitch considered this information
in its analysis and, as a result, Fitch made the following
adjustments: increased the LS due to HUD-1 issues, missing
modification agreements, delinquent taxes and outstanding liens.
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.
COUNTRYWIDE HOME 2004-SD2: Moody's Ups Rating on B-2 Certs to Caa1
------------------------------------------------------------------
Moody's Ratings has upgraded the rating of Class B-2 bond issued by
Countrywide Home Loan Trust 2004-SD2. The collateral backing this
deal consists of scratch and dent mortgages.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
The complete rating action is as follows:
Issuer: Countrywide Home Loan Trust 2004-SD2
Cl. B-2, Upgraded to Caa1 (sf); previously on Jun 24, 2025 Upgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating upgrade reflects the increased level of credit
enhancement available to the bond, the recent performance, and
Moody's updated loss expectation on the underlying pool and Moody's
revised loss-given-default expectation for the bond.
The bond experiencing a rating change has either incurred a missed
or delayed disbursement of an interest payment or is currently, or
expected to become, undercollateralized, which may sometimes be
reflected by a reduction in principal (a write-down). Moody's
expectations of loss-given-default assesses losses experienced and
expected future losses as a percent of the original bond balance.
No actions were taken on the other rated classes in this deal
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in this rating was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
CROSSROADS ASSET 2025-A: Moody's Ups Rating on Cl. E Notes to Ba1
-----------------------------------------------------------------
Moody's Ratings has upgraded three classes of notes issued by
Crossroads Asset Trust 2024-A (XROAD 2024-A) and four classes of
notes issued by Crossroads Asset Trust 2025-A (XROAD 2025-A). The
notes are backed pools of fixed-rate loans and leases secured
primarily by trucking and transportation equipment.
The complete rating actions are as follows:
Issuer: Crossroads Asset Trust 2024-A
Class B Notes, Upgraded to Aaa (sf); previously on Jun 25, 2024
Definitive Rating Assigned Aa1 (sf)
Class C Notes, Upgraded to Aa1 (sf); previously on Jun 25, 2024
Definitive Rating Assigned Aa2 (sf)
Class D Notes, Upgraded to A3 (sf); previously on Jun 25, 2024
Definitive Rating Assigned Baa1 (sf)
Issuer: Crossroads Asset Trust 2025-A
Class B Notes, Upgraded to Aaa (sf); previously on Jun 18, 2025
Definitive Rating Assigned Aa1 (sf)
Class C Notes, Upgraded to Aa2 (sf); previously on Jun 18, 2025
Definitive Rating Assigned A1 (sf)
Class D Notes, Upgraded to A2 (sf); previously on Jun 18, 2025
Definitive Rating Assigned Baa1 (sf)
Class E Notes, Upgraded to Ba1 (sf); previously on Jun 18, 2025
Definitive Rating Assigned Ba2 (sf)
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
RATINGS RATIONALE
The rating actions were primarily driven by the buildup in credit
enhancements owing to structural features including a sequential
pay structure, non-declining reserve account and
overcollateralization as well as collateral performance. Moody's
also considered the level of credit enhancement and the
subordinated nature of the junior notes. Other considerations
include transactions' high exposure to the cyclical trucking and
transportation industry which faces downside risk from rising fuel
costs and is highly correlated with the health of the overall
economy.
For XROAD 2024-A, the Cumulative Net Loss (CNL) expectation was
increased to 5.75%; the loss at Aaa stress remained unchanged at
26.00%.
For XROAD 2025-A, the CNL expectation and loss at Aaa stress
remained unchanged at 4.25% and 27.00%, respectively.
No action was taken on the remaining rated tranches because there
were no material changes in collateral quality, and credit
enhancement remains commensurate with the current ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Equipment
Lease and Loan Securitizations" published in June 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the note if, given Moody's expectations of
portfolio losses, levels of credit enhancement are consistent with
higher ratings. In sequential pay structures, such as the one in
this transaction, credit enhancement grows as a percentage of the
collateral balance as collections pay down senior notes.
Prepayments and interest collections directed toward note principal
payments will accelerate this build of enhancement. Moody's
expectations of pool losses could decline as a result of a lower
number of obligor defaults. Portfolio losses also depend greatly on
the US macroeconomy, the equipment markets, and changes in
servicing practices.
Down
Moody's could downgrade the note if, given Moody's expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectations of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
equipment securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US macroeconomy, the equipment
markets, and poor servicer performance. Other reasons for
worse-than-expected performance include error on the part of
transaction parties, inadequate transaction governance, and fraud.
CSAIL 2017-C8: DBRS Cuts Ratings on 9 Tranches to Csf
-----------------------------------------------------
DBRS, Inc. (Morningstar DBRS) downgraded its credit ratings on four
pooled classes of Commercial Mortgage Pass-Through Certificates,
Series 2017-C8 issued by CSAIL 2017-C8 Commercial Mortgage Trust
and seven rake classes, which are secured by the beneficial
interest in the subordinate debt placed on the 85 Broad Street
loan.
-- Class D to B (sf) from BB (high) (sf)
-- Class E to C (sf) from B (low) (sf)
-- Class F to C (sf) from CCC (sf)
-- Class V1-D to B (sf) from BB (high) (sf)
-- Class 85BD-A to C (sf) from B (sf)
-- Class 85BD-B to C (sf) from B (low) (sf)
-- Class 85BD-C to C (sf) from CCC (sf)
-- Class V1-85A to C (sf) from B (sf)
-- Class V1-85B to C (sf) from B (low) (sf)
-- Class V1-85C to C (sf) from CCC (sf)
-- Class V2-85 to C (sf) from CCC (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at A (high) (sf)
-- Class C at BBB (high) (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (low) (sf)
-- Class V1-A at AAA (sf)
-- Class V1-B at BBB (high) (sf)
Morningstar DBRS changed the trends on Classes C, D, X-B, V1-B, and
V1-D to Negative from Stable. The trends on all remaining classes
are Stable, with the exception of Classes E, F, 85BD-A, 85BD-B,
85BD-C, V1-85A, V1-85B, V1-85C, and V2-85, which have credit
ratings that do not typically carry a trend in commercial
mortgage-backed securities (CMBS) credit ratings.
During the prior credit rating action on April 11, 2025,
Morningstar DBRS downgraded its credit ratings on four rake
classes, which are secured by the subordinate debt on the 85 Broad
Street property (Prospectus ID#1; 15.4% of the pool, excluding the
nonpooled rake bonds). The credit downgrades were the result of
downward pressure implied by the Loan-to-Value (LTV) Sizing
Benchmarks because of an update to the Morningstar DBRS property
value. Since that time, the collateral's operating performance has
been declining year over year with the loan's near-term maturity
date presenting elevated refinance risk, particularly as in-place
cash flow declines--driven by a combination of lower revenues and
higher operating expenses--and has likely contributed to a
deterioration in the portfolio's value since issuance. The 85 Broad
Street loan, which transferred to special servicing in June 2025,
is secured by a 1.1 million-square-foot (sf) Class A office
property in Manhattan's Financial District. The whole loan of
$358.6 million is structured with three pari passu senior notes
that together total $169.0 million, of which $90.0 million is
included in the subject transaction. The capital stack also
includes $189.6 million of subordinate debt. This subordinate
portion consists of the aforementioned nonpooled rake bonds backed
by a $72.0 million A B note, as well as the $58.8 million B A and
$58.8 million B B notes, both of which are subordinate to the rake
bonds and to the pooled A note.
Morningstar DBRS analyzed the 85 Broad Street loan with a
liquidation scenario that was based on a conservative haircut of
approximately 75.0% to the appraised property value ($652.0
million) at issuance. The liquidation scenario factors in current
outstanding advances, projected future advances, and expected
liquidation expenses which cumulatively totals approximately $16.2
million. The updated Morningstar DBRS Value of $156.5 million ($140
per sf) implies a LTV ratio of 229.2% on the total mortgage debt
amount, and a LTV ratio of 108.0% on the senior mortgage debt
amount. The updated Morningstar DBRS Value reflects a 76.0% decline
from the appraised value at issuance and indicates that projected
losses would fully erode all subordinate debt and encroach on a
small portion--approximately 7%--of the senior debt. These results
support the credit rating downgrades to C (sf) on the nonpooled
rake bonds as part of this review.
The credit rating downgrades on the Class D, E, and F certificates
reflect Morningstar DBRS' increased loss projections primarily
driven by the two specially serviced loans. In addition to the 85
Broad Street loan, Morningstar DBRS also liquidated the Hotel
Eastlund loan (Prospectus ID#5; 5.6% of the pool) based on a
conservative haircut to the most recent appraised property value,
which resulted in cumulative losses of approximately $25.0 million.
Those losses would erode the entirety of Class E, F, and nonrated
certificate balances, in addition to more than 10.0% of the Class E
balance, supporting the credit rating downgrades to C (sf) for
those classes. In addition, Morningstar DBRS' projected liquidated
losses would reduce the credit support for the lowest-rated
principal bonds in the transaction, most notably the Class D
certificate, which was a consideration for the credit rating
downgrade to B (sf). Outside of the loans currently in special
servicing, Morningstar DBRS has identified four additional loans
exhibiting elevated credit risk. Should the workout timelines for
the specially serviced loans continue to extend and/or the as-is
values of the collateral backing those loans, or the other loans of
concern decline further, Classes C and D would face the greatest
exposure to potential losses and, potentially, an increased
susceptibility to interest shortfalls. These factors form
Morningstar DBRS' primary rationale for the Negative trend on those
classes.
The credit rating confirmations for the senior classes in the
capital stack reflect the strong overall performance of the broader
pool, as evidenced by a weighted-average debt service coverage
ratio (DSCR) of 1.78 times (x) and a debt yield of 10.6% when
excluding the specially serviced loans. Additionally, the pool
benefits from eight defeased loans, which together represent 13.8%
of the total pool balance. As of the February 2026 remittance, 27
of the original 32 loans remain in the pool. The pool balance has
declined by 25.6%, decreasing to $657.1 million from $833.1 million
at issuance. Two loans, which represent 30.3% of the current pool
balance, are in special servicing. An additional four loans,
totaling 11.7% of the pool, are on the servicer's watchlist because
of deferred maintenance issues, low DSCR, or delinquency. The trust
has incurred losses of approximately $7.8 million, which has been
contained to the nonrated certificate.
Operating performance at the 85 Broad Street property has been
stressed following the downsizing of the former largest tenant,
WeWork, which reduced its footprint by approximately 175,000 sf and
now occupies 117,224 sf, representing 10.5% of net rentable area
(NRA). According to the September 2025 rent roll, the property was
62.0% occupied, a decline from the YE2024 and issuance figures of
71.7% and 87.1%, respectively. The current largest tenant at the
property is Viner Finance Inc. (with 24.7% of the NRA, lease expiry
in February 2028). Tenant rollover within next 18 months is
minimal. There has not been any significant leasing activity since
WeWork downsized its space, and the subject's current vacancy rate
remains above the submarket vacancy rate of 15.1%, as reported by
Reis. Although the loan continues to cover debt service obligations
with a DSCR of 1.88x as of September 2025, the property's cash flow
continues to trend downward, driven by declining occupancy and
increasing operating expenses. According to the trailing nine-month
ended September 30, 2025, financial reporting, the property
generated an annualized net cash flow (NCF) of $11.2 million, below
the YE2024 and issuance figures of $16.2 million and $24.0 million,
respectively. The loan is currently under cash management, and
according to the servicer, a workout strategy is actively being
evaluated. Per the March 2026 reporting, there is approximately
$10.5 million across multiple reserve accounts. As noted above,
Morningstar DBRS liquidated the loan in its analysis for this
review, resulting in an implied loss of $9.7 million and loss
severity slightly below 11.0% allocated to the pooled A note
amount.
The Hotel Eastlund loan, which is secured by a AAA Three Diamond
Luxury, 168-room, full-service hotel in Portland, Oregon,
transferred to special servicing in March 2025 because of payment
default. The loan, which matures in March 2027, initially
transferred to the special servicer in July 2020 because of
pandemic-related hardships and was returned to the master servicer
in May 2022, following a loan modification. Per the September 2025
STR report, the subject reported occupancy, average daily rate, and
revenue per room figures of 66.9%, $147.9, and $98.9, compared with
the YE2024 figures of 64.8%, $167.6, and $108.5, respectively. The
most recent appraisal, dated April 2025, valued the property at
$33.6 million, almost 51.0% below the issuance appraised value of
$68.6 million. The servicer confirmed the property is currently
marketed for sale. Morningstar DBRS liquidated the loan based on a
25.0% haircut to the most recent appraised value resulting in an
implied loss of $15.4 million and loss severity of 41.8%.
The second-largest loan in the pool, 245 Park Avenue (Prospectus
ID#2; 13.7% of the pool), is secured by a Class A office tower in
the Grand Central submarket of Midtown Manhattan. The $1.2 billion
whole loan has pari passu pieces securitized across five
Morningstar DBRS-rated CMBS transactions. SL Green Realty Corp.
acquired the property and assumed the debt in late 2022 and
subsequently sold a 50% stake to Mori Trust Co. Ltd. for $1.0
billion in 2023, implying a property valuation of $2.0 billion at
the time. According to the most recent financial reporting, the
collateral generated $71.2 million (a DSCR of 1.77x) in YE2025, an
increase from the YE2024 figure of $65.8 million (a DSCR of 1.47x)
but significantly below the issuance figure of $109.6 million (a
DSCR of 2.73x) respectively. Recent leasing activity at the
property has been positive and the three largest tenants who
cumulatively occupy almost 60.0% of the NRA are all signed to
long-term leases with the earliest lease expiration in 2032. As of
the September 2025 rent roll, the property was 92.7% occupied.
While occupancy remains strong, the decline in cash flow since
issuance is notable and is primarily attributable to new and
renewal leases being signed at lower rental rates. To reflect these
increased risks, Morningstar DBRS applied elevated LTV and
probability of default adjustments in its analysis for this review,
resulting in an expected loss (EL) that was almost 9x greater than
the loan's base level EL.
At issuance, the 71 Fifth Avenue loan (Prospectus ID#12; 4.3% of
the pool balance) was shadow-rated as investment grade. With this
review, Morningstar DBRS maintained the shadow rating given the
loans' strong credit metrics, experienced sponsorship, and the
underlying collateral's historically stable performance.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
CTM CLO 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CTM CLO
2026-3 Ltd.
Entity/Debt Rating
----------- ------
CTM CLO 2026-3, LTD.
A-1 LT AAAsf New Rating
A-L Loans LT AAAsf New Rating
A-J LT AAAsf New Rating
B LT AAsf New Rating
C-1 LT Asf New Rating
C-2 LT Asf New Rating
D-1 LT BBB-sf New Rating
D-J LT BBB-sf New Rating
E LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
CTM CLO 2026-3 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by CTM
Asset Management LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $400 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.27 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 98.75% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.96% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-J, 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-J, 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-J
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-J, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for CTM CLO 2026-3
Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
DRYDEN 43: S&P Lowers Class E-R3 Debt Rating to 'B (sf)'
--------------------------------------------------------
S&P Global Ratings lowered its rating on the class E-R3 debt from
Dryden 43 Senior Loan Fund Ltd, a broadly syndicated U.S. CLO
managed by PGIM Inc., and removed it from CreditWatch, where S&P
had placed it with negative implications on Feb. 5, 2026. At the
same time, S&P affirmed its rating on the class D-R3 debt and
removed it from CreditWatch where it had placed it with negative
implications. S&P also affirmed its ratings on the class A-R3,
B-1-R3, B-2-R2, and C-R3 debt from the same transaction.
The rating actions follow its review of the transaction's
performance using data from Jan. 31, 2026, trustee report.
The transaction is still reinvesting and is scheduled to exit its
reinvestment period in April 2026. Since the deal is in its
reinvestment phase, no payments have been made to the debt. Below
are the changes in the trustee-reported overcollateralization (O/C)
ratios since December 2024, when the CLO was last reviewed in
connection with a refinancing:
-- The class A/B O/C ratio declined to 126.86% from 128.82%.
-- The class C O/C ratio declined to 117.57% from 119.38%.
-- The class D O/C ratio declined to 109.56% from 111.26%.
-- The class E O/C ratio declined to 104.81% from 106.43%.
The decline in the O/C ratios reflects the aggregate par loss that
has sustained since December 2024, although all coverage tests are
currently passing and are above the minimum threshold
requirements.
The downgrade reflects the decrease in credit support following par
losses. Although the collateral portfolio credit quality remained
relatively stable, the trustee-reported weighted average recovery
rate (WARR) and weighted average spread (WAS) declined during the
same period:
-- The 'AAA' WARR decreased to 38.94 from 40.10.
-- The WAS decreased to 2.99% from 3.23%.
These, combined with par losses that occurred over time, affected
the cash flow of the junior tranche, which is more sensitive to
such changes.
The affirmations reflect adequate credit support at the current
rating levels. Although the cash flow results indicated higher
ratings for the class B-1-R3, B-2-R2, and C-R3 debt, our action
considered that the CLO is still in its reinvestment period, which
ends in April 2026, and during the reinvestment period, trading
activity could change some of the portfolio characteristics.
S&P said, "Although we had placed the class D-R3 debt on
CreditWatch with negative implications, we affirmed our rating on
this class, as we believe the existing credit support to be
commensurate with the current rating level, our view of the lower
exposure to 'CCC' and 'CCC-' obligors, the cash flows pointing to
affirmation of the current rating level, and that the transaction
is about to exit its reinvestment period, post which, the senior
debt will begin paying down.
"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 rates
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action."
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the debt remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
Rating Lowered And Removed From CreditWatch
Dryden 43 Senior Loan Fund
Class E-R3 to 'B (sf)' from 'BB- (sf)/Watch Neg'
Rating Affirmed And Removed From CreditWatch
Dryden 43 Senior Loan Fund
Class D-R3 to 'BBB- (sf)' from 'BBB- (sf)/Watch Neg'
Ratings Affirmed
Dryden 43 Senior Loan Fund
Class A-R3: AAA (sf)
Class B-1-R3: AA (sf)
Class B-2-R2: AA (sf)
Class C-R3: A (sf)
EATON VANCE 2015-1: Moody's Cuts Rating on $8MM F-R Notes to Ca
---------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by Eaton Vance CLO 2015-1, Ltd.:
US$24.4M Class D-R Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aa1 (sf); previously on Oct 31, 2025 Upgraded to Aa3
(sf)
US$8M Class F-R Secured Deferrable Floating Rate Notes, Downgraded
to Ca (sf); previously on Oct 31, 2025 Affirmed Caa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$29M (Current outstanding balance US$3,765,068) Class B-R Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct
31, 2025 Affirmed Aaa (sf)
US$30.5M Class C-R Senior Secured Deferrable Floating Rate Notes,
Affirmed Aaa (sf); previously on Oct 31, 2025 Affirmed Aaa (sf)
US$16.6M Class E-R Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Oct 31, 2025 Affirmed Ba3 (sf)
Eaton Vance CLO 2015-1, Ltd., issued in October 2015 and refinanced
in December 2017, is a collateralised loan obligation (CLO) backed
by a portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by Eaton Vance Management. The transaction's
reinvestment period ended in January 2023.
RATINGS RATIONALE
The rating upgrade of the Class D-R notes is primarily a result of
the deleveraging of the Class B-R notes following amortisation of
the underlying portfolio since the last rating action in October
2025.
The downgrade of the rating on the Class F-R notes is due to the
deterioration in the credit quality of the underlying collateral
pool and lower available excess spread since the last rating
action.
The affirmations of the ratings on the Class B-R, C-R and E-R notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class B-R notes have paid down by approximately USD19.6 million
(67.4%) since the last rating action in October 2025. As a result
of the deleveraging, over-collateralisation (OC) has increased.
According to the trustee report dated February 2026[1] the Class
A/B, Class C and Class D are reported at 2104.22%, 231.21% and
135.05% compared to October 2025[2] levels, on which the last
rating action was based, of 234.65%, 153.94% and 120.72%,
respectively.
Nevertheless, the credit quality has deteriorated as reflected in
an increase in the proportion of securities from issuers with
ratings of Caa1 or lower. According to the trustee report dated
February 2026[1], securities with ratings of Caa1 or lower make up
approximately 15.2% of the underlying portfolio, versus 11.4% in
October 2025[2]. In addition, the underlying portfolio contains
certain securities with maturities extending beyond the legal final
maturity of the notes. Currently, such securities represent
approximately 8.9% of the portfolio. These longer-dated assets may
expose the notes to market risk in the event of a liquidation at
the notes' maturity. While the transaction does not include a Class
F OC test, the Class F notes are not fully collateralised based on
Moody's calculated OC ratio, which is currently 99.50% without
applying any haircut.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD82,437,590
Defaulted Securities: USD3,385,109
Diversity Score: 36
Weighted Average Rating Factor (WARF): 3373
Weighted Average Life (WAL): 2.78 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.21%
Weighted Average Recovery Rate (WARR): 46.62%
Par haircut in OC tests and interest diversion test: 4.83%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries
higher than Moody's expectations would have a positive impact on
the notes' ratings.
-- Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes that, at transaction maturity, the
liquidation value of such an asset will depend on the nature of the
asset as well as the extent to which the asset's maturity lags that
of the liabilities. Liquidation values higher than Moody's
expectations would have a positive impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
ELDRIDGE CLO 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Eldridge
CLO 2026-3, Ltd.
Entity/Debt Rating
----------- ------
Eldridge CLO 2026-3,
Ltd.
A LT NRsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D-1a LT BBB-sf New Rating
D-1b LT BBB-sf New Rating
D-2 LT BBB-sf New Rating
E LT BB-sf New Rating
F LT NRsf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Eldridge CLO 2026-3, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Eldridge Capital Management, LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 100%
first-lien senior secured loans and has a weighted average recovery
assumption of 74.3%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a five-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting to
the indicative portfolio to reflect permissible concentration
limits and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between '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, 'AAsf' for class C, 'Asf' for
class D-1, 'Asf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Eldridge CLO
2026-3, 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 any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
ELDRIDGE CLO 2026-3: Moody's Assigns B3 Rating to $250,000 F Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Eldridge CLO 2026-3, Ltd. (the Issuer or Eldridge 2026-3):
US$300,000,000 Class A Floating Rate Notes due 2038, Assigned Aaa
(sf)
US$250,000 Class F Deferrable Floating Rate Notes due 2038,
Assigned B3 (sf)
The notes listed are referred to herein, collectively, as the Rated
Notes.
RATINGS RATIONALE
The rationale for the ratings is based on Moody's methodologies and
considers all relevant risks, particularly those associated with
the CLO's portfolio and structure.
Eldridge 2026-3 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
first lien senior secured loans and up to 7.5% of the portfolio may
consist of second lien loans, unsecured loans or permitted non-loan
assets. The portfolio is approximately 80% ramped as of the closing
date.
Eldridge CLO Manager, 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 the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 70
Weighted Average Rating Factor (WARF): 2875
Weighted Average Spread (WAS): 2.80%
Weighted Average Recovery Rate (WARR): 45.00%
Weighted Average Life (WAL): 8.08 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
ELMWOOD CLO 47: Fitch Assigns 'B-sf' Rating on Class F Notes
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Elmwood
CLO 47, Ltd.
Entity/Debt Rating
----------- ------
Elmwood CLO 47 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
F LT B-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Elmwood CLO 47 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Elmwood Asset Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 22.59 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 100%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.8% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 44.5% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenants, that are greater
than six years, to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'Bsf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and
'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for
class E and between less than 'B-sf' and 'B-sf' for class F.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for
class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E and
'BB+sf' for class F.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Elmwood CLO 47,
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.
EXETER AUTOMOBILE 2026-2: S&P Assigns B (sf) Rating on Cl. N Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Exeter Automobile
Receivables Trust 2026-2's automobile receivables-backed notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The ratings reflect:
-- The availability of approximately 56.88%, 50.63%, 42.14%,
31.69%, 25.43%, and 23.30% 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, E, and N notes, respectively,
based on final post-pricing stressed cash flow scenarios. These
credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x,
1.20x, and 1.10x coverage of S&P's expected cumulative net loss of
21.00% for classes A, B, C, D, E, and N, respectively.
-- The hard credit enhancement in the form of subordination,
overcollateralization, and reserve account, which increased for the
class N to 0.78% from 0.75% at pricing, in addition to excess
spread.
-- S&P said, "The expectation that under a moderate ('BBB') stress
scenario (1.50x our expected loss level), all else being equal, our
'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB- (sf)', and 'B
(sf)' ratings on the class A, B, C, D, E, and N notes,
respectively, will be within our credit stability limits."
-- The timely payment of interest and principal repayment by the
designated legal final maturity dates under S&P's stressed cash
flow modeling scenarios for the assigned ratings.
-- The collateral characteristics of the series' subprime
automobile loans, S&P's view of the collateral's credit risk, its
updated macroeconomic forecast, and forward-looking view of the
auto finance sector.
-- S&P's assessment of the series' bank accounts at Citibank N.A.,
which do not constrain the ratings.
-- S&P's operational risk assessment of Exeter Finance LLC as
servicer, along with 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.
Ratings Assigned
Exeter Automobile Receivables Trust 2026-2
Class A-1, $65.00 million: A-1+ (sf)
Class A-2, $149.65 million: AAA (sf)
Class A-3, $156.22 million: AAA (sf)
Class B, $82.21 million: AA (sf)
Class C, $85.23 million: A (sf)
Class D, $110.62 million: BBB (sf)
Class E, $75.39 million: BB- (sf)
Class N(i), $14.85 million: B (sf)
(i)The class N notes will be paid to the extent funds are available
after the overcollateralization target is achieved, and they will
not provide any enhancement to the senior classes.
FIGRE TRUST 2026-FL1: DBRS Gives (P)B(low) Rating on B-2 Notes
--------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the Mortgage-Backed Notes, Series 2026-FL1 (the Notes) to be
issued by FIGRE Trust 2026-FL1 (FIGRE 2026-FL1 or the Issuer) as
follows:
-- $222.6 million Class A-1 at (P) AAA (sf)
-- $28.7 million Class A-2 at (P) AA (high) (sf)
-- $7.4 million Class A-3 at (P) A (high) (sf)
-- $7.7 million Class M-1 at (P) BBB (low) (sf)
-- $2.7 million Class B-1 at (P) BB (sf)
-- $2.6 million Class B-2 at (P) B (low) (sf)
The (P) AAA (sf) credit rating on the Class A-1 Notes reflects
18.95% of credit enhancement provided by subordinate notes. The (P)
AA (high) (sf), (P) A (high) (sf), (P) BBB (low) (sf), (P) BB (sf),
and (P) B (low) (sf) credit ratings reflect 8.50%, 5.80%, 3.00%,
2.00%, and 1.05% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other class in this transaction.
The securitization of recently originated first-lien home equity
lines of credit (HELOCs) funded by the issuance of mortgage-backed
notes (the Notes). The Notes are backed by 2,106 loans (individual
HELOC draws) which correspond to HELOC families (each consisting of
an initial HELOC draw and subsequent draws by the same borrower)
with a total unpaid principal balance (UPB) of $274,586,095 and a
total current credit limit of $297,431,281 as of the Cut-Off Date
(February 28, 2026).
The portfolio, on average, is three months seasoned, though
seasoning ranges from one to 12 months. All of the HELOCs are
current and have been performing since origination. All of the
loans in the pool are exempt from the Consumer Financial Protection
Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules
because HELOCs are not subject to the ATR/QM rules.
Figure is a wholly owned, indirect subsidiary of Figure
Technologies, Inc. (Figure Technologies) that was formed in 2018.
Figure Technologies is a financial services and technology company
that leverages blockchain technology for the origination and
servicing of loans, loan payments, and loan sales. In addition to
the HELOC product, Figure has offered several different lending
products within the consumer lending space including student loan
refinance, unsecured consumer loans, and conforming first lien
mortgage. In June 2023, the company launched a wholesale channel
for its HELOC product. Figure originates and services loans in 48
states and the District of Columbia. As of December 2025, Figure
originated, funded, and serviced more than 175,000 HELOCs totaling
approximately $13.0 billion.
Figure is one of the Originators and the Servicer of all HELOCs in
the pool. Other originators in the pool are Figure Wholesale and
certain other lenders (together, the White Label Partner
Originators). The White Label Partner Originators originated HELOCs
using Figure's online origination applications under Figure's
underwriting guidelines. Also, Figure is the Seller of all the
HELOCs. Morningstar DBRS performed a telephone operational risk
review of Figure's origination and servicing platform and believes
the Company is an acceptable HELOC originator and servicer with a
backup servicer that is acceptable to Morningstar DBRS.
Figure is the Sponsor of this transaction. FIGRE 2026-FL1 is the
25th rated securitization of HELOCs by Figure. However, FIGRE
2026-FL1 is the third rated securitization of HELOCs by Figure to
contain primarily first-lien HELOCs. Additionally,
Figure-originated HELOCs are included in five securitizations
sponsored by Saluda Grade. These transactions' performances to date
are satisfactory.
HELOC Features
In this transaction, all loans are open HELOCs that have a draw
period of three, four, or five years, during which borrowers may
make draws up to a credit limit, though such right to make draws
may be temporarily frozen, suspended, or terminated under certain
circumstances. At the end of the draw term, the HELOC mortgagors
have a repayment period ranging from seven to 25 years. During the
repayment period, borrowers are no longer allowed to draw, and
their monthly principal payments will equal an amount that allows
the outstanding loan balance to evenly amortize down. All HELOCs in
this transaction are fixed-rate loans. The HELOCs have no
interest-only (IO) payment period, so borrowers are required to
make both interest and principal payments during the draw and
repayment periods. No loans require a balloon payment.
The loans are made mainly to borrowers with prime and near-prime
credit quality who seek to take equity cash out for various
purposes. These HELOCs are fully drawn at origination, as evidenced
by the weighted-average (WA) utilization rate by current line
amount of approximately 97.0% after three months of seasoning on
average. For each borrower, the HELOC, including the initial and
any subsequent draws, is defined as a loan family within which
every new credit line draw becomes a de facto new loan with a new
fixed interest rate determined at the time of the draw by adding
the margin determined at origination to the then current prime
rate.
Relative to other HELOCs in Morningstar DBRS-rated deals, the loans
in the pool are all fixed rate, fully amortizing with a shorter
draw period, and may have terms significantly shorter than 30
years, including five- to 10-year maturities.
The table below includes key collateral attributes of the
Figure-originated HELOCs as compared with other HELOCs.
Certain Unique Factors in HELOC Origination Process
Figure seeks to originate HELOCs for borrowers of prime and
near-prime credit quality with ample home equity. It leverages
technology in underwriting, title searching, regulatory compliance,
and other lending processes to shorten the approval and funding
process and improve the borrower experience. Below are certain
aspects in the lending process that are unique to Figure's
origination platform:
--To qualify a borrower for income, Figure seeks to confirm the
borrower's stated income using proprietary technology algorithms.
--The lender uses the FICO 9 credit score model instead of the
classic FICO credit score model used by most mortgage originators.
--Instead of title insurance, Figure uses an electronic lien search
algorithm to identify existing property liens.
--Instead of a full property appraisal Figure uses a property
valuation provided by an automatic valuation model (AVM), or in
some cases where an AVM is not available or is ineligible, a broker
price opinion (BPO) or a residential evaluation.
The credit impact of these factors is generally loan specific.
Although technologically advanced, the income, employment, and
asset verification methods used by Figure were treated as less than
full documentation in the RMBS Insight model. In addition,
Morningstar DBRS applied haircuts to the provided AVM and BPO
valuations, reduced the projected recoveries on junior-lien HELOCs,
and generally stepped up expected losses from the model to account
for a combined effect of these and other factors. Please see the
Documentation Type and Underwriting Guidelines sections of the
related report for details.
Transaction Counterparties
Figure will service all loans within the pool for a servicing fee
of 0.25% per year. Also, Cornerstone Servicing, a Division of
Cornerstone Capital Bank, SSB (Cornerstone) will act as a
Subservicer for loans that default or become 60 or more days
delinquent under the Mortgage Bankers Association (MBA) method. In
addition, Northpointe Bank (Northpointe) will act as a Backup
Servicer for all mortgage loans in this transaction for a fee of
0.01% per year. If Figure fails to remit the required payments,
fails to observe or perform the Servicer's duties, or experiences
other unremedied events of default described in detail in the
transaction documents, servicing will be transferred to Northpointe
from Figure, under a successor servicing agreement. Such servicing
transfer will occur within 45 days of the termination of Figure. In
the event of a servicing transfer, Cornerstone will retain
servicing responsibilities on all loans that were being special
serviced by Cornerstone at the time of the servicing transfer.
Morningstar DBRS performed an operational risk review of
Northpointe's servicing platform and believes the company is an
acceptable loan servicer for Morningstar DBRS-rated transactions.
Wilmington Trust, National Association will serve as Indenture
Trustee, Paying Agent, Note Registrar, Certificate Registrar, and
REMIC Administrator. Wilmington Savings Fund Society, FSB will
serve as the Custodian and the Owner Trustee. DV01, Inc. will act
as the loan data agent.
The Sponsor or a majority-owned affiliate of the Sponsor will
acquire and intends to retain an eligible vertical interest
consisting of the required percentage of the Class A-1 A-2, A-3,
M-1, B-1, B-2, B-3, and XS note amounts and Class FR Certificate to
satisfy the credit risk-retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder. The Retaining Sponsor or a majority-owned affiliate of
the Sponsor will be required to hold the required credit risk until
the later of (1) the fifth anniversary of the Closing Date, and (2)
the date on which the aggregate loan balance has been reduced to
25% of the loan balance as of the Cut-Off Date, but in any event no
longer than the seventh anniversary of the Closing Date.
Additionally, pursuant to the EU and UK Risk Retention Agreement,
the Retaining Sponsor will agree that on an ongoing basis for so
long as the Notes are outstanding:
--It will retain exposure to a material net economic interest in
this transaction of not less than 5% of the nominal value of each
class of Notes, in the form specified in related transaction
documents;
--Neither it nor any affiliate will sell, hedge or mitigate its
credit risk under or associated with the EU and UK Retained
Interest, except to the extent permitted in accordance with the EU
Securitisation Rules and the UK Securitisation Rules respectively;
--It will not change the retention option or method of calculation
of its EU and UK Retained Interest, except to the extent permitted
under the EU Securitisation Rules or the UK Securitisation Rules;
--It will confirm its EU and UK Retained Interest in the SR
Investor Report; and
--It will promptly notify the Issuer and a responsible officer of
the Paying Agent in writing if for any reason: (A) it ceases to
retain exposure the EU and UK Retained Interest in accordance with
the above, or (B) it or any of its affiliates fails to comply with
the covenants set out above.
Unlike other Morningstar DBRS-rated FIGRE transactions, there is no
provision for HELOCs that are 180 days delinquent under the MBA
delinquency method to be charged off by the Servicer. As such, in
its analysis, Morningstar DBRS assumes all first-lien HELOCs that
are 180 days delinquent under the MBA delinquency method will not
be charged-off and will instead continue to be serviced.
Draw Funding Mechanism
This transaction uses a structural mechanism similar to other HELOC
transactions to fund future draw requests. The Servicer will be
required to fund draws and will be entitled to reimburse itself for
such draws from the principal collections prior to any payments on
the Notes and the Class FR Certificates.
Additionally, if needed, the Servicer is entitled to reimburse
itself for draws funded from amounts deposited into the Reserve
Account on behalf of the Class FR Certificate holder after the
Closing Date.
Unlike prior FIGRE securitizations, the Reserve Account will not be
funded at closing. Instead, the Class FR Certificateholders will be
required to remit funds to be used to reimburse the Servicer for
any unreimbursed Draws.
Nevertheless, the servicer is still obligated to fund draws even if
the principal collections and the Reserve Account are insufficient
in a given month for full reimbursement. In such cases, the
Servicer will be reimbursed on subsequent payment dates first, from
amounts on deposit in the Reserve Account (subject to the deposited
funds), and second, from the principal collections in subsequent
collection periods. The Class FR Certificates will have an ultimate
responsibility to ensure draws are funded by remitting funds to the
Reserve Account to reimburse the Servicer for the draws made on the
loans, as long as all borrower conditions are met to warrant draw
funding. The Class FR Certificates' balance will be increased by
the amount funded by the Class FR Certificateholders.
In its analysis of the proposed transaction structure, Morningstar
DBRS does not rely on the creditworthiness of either the Servicer
or Figure. Rather, the analysis relies on the assets' ability to
generate sufficient cash flows to fund draws and make interest and
principal payments.
Additional Cash Flow Analytics for HELOCs
Morningstar DBRS performs a traditional cash flow analysis to
stress prepayments, loss timing, and interest rates. Generally, in
HELOC transactions, because prepayments (and scheduled principal
payments, if applicable) are primary sources from which to fund
draws, Morningstar DBRS also tests a combination of high draw and
low prepayment scenarios to stress the transaction.
Transaction Structure
The transaction employs a pro rata cash flow structure subject to a
Credit Event, which is based on certain performance triggers
related to cumulative losses and delinquencies. This transaction
differs from certain previous Morningstar DBRS-rated FIGRE
transactions where there is no performance trigger related to Net
WA Coupon (WAC) Rate.
Relative to a sequential pay structure, a pro rata structure
subject to sequential trigger (Credit Event) is more sensitive to
the timing of the projected defaults and losses as the losses may
be applied at a time when the amount of credit support is reduced
as the bonds' principal balances amortize over the life of the
transaction.
Excess cash flows can be used to cover any realized losses. Please
see the Cash Flow Structure and Features section of the related
report for more details.
Notable Structural Features
Similar to previous Morningstar DBRS-rated FIGRE transactions, this
deal employs a Delinquency Trigger and a Cumulative Loss Trigger.
The effective dates for the triggers may differ from prior rated
transactions. The Delinquency Trigger is applicable on or after the
12th payment date (March 2027) rather than being applicable
immediately after the Closing Date.
Unlike some of the prior FIGRE securitizations that employed a pro
rata pay structure among all rated notes, this transaction includes
rated classes--Class M-1, Class B-1, and Class B-2--that receive
their principal payments after the pro rata classes (Class A-1,
Class A-2, and Class A-3) are paid in full. The inclusion of
sequential pay classes retains credit support that would otherwise
be reduced in the absence of a credit event.
Other Transaction Features
For this transaction, other than the Servicer's obligation to fund
any monthly Draws, described above, neither the Servicer nor any
other transaction party will fund any monthly advances of principal
and interest (P&I) on any HELOC. However, the Servicer is required
to make advances in respect of taxes, insurance premiums, and
reasonable costs incurred in the course of servicing and disposing
of properties (servicing advances) to the extent such advances are
deemed recoverable or as directed by the Controlling Holder (the
holder of more than a 50% interest of the Class XS Notes).
The Depositor may, at its option, on or after the earlier of (1)
the payment date in March 2029, and (2) the date on which the total
loans' and real estate owned (REO) properties' balance falls to or
below 30% of the loan balance as of the Cut-Off Date (Optional
Termination Date), purchase all of the loans and REO properties at
the optional termination price described in the transaction
documents.
The Depositor, at its option, may purchase any mortgage loan that
is 90 days or more delinquent under the MBA method at the
repurchase price (Optional Purchase) described in the transaction
documents. The total balance of such loans purchased by the
Depositor will not exceed 10% of the Cut-Off Date balance.
The Servicer, at a direction of the Controlling Holder, may direct
the Issuer to sell (and direct the Indenture Trustee to release its
lien on and relinquish its security interest in) eligible
nonperforming loans (NPLs) (those 120 days or more delinquent under
the MBA method) or REO properties (both, Eligible NPLs) to third
parties individually or in bulk sales. The Controlling Holder will
have a sole authority over the decision to sell the Eligible NPLs,
as described in the transaction documents.
The credit ratings reflect transactional strengths that include the
following:
-- Certain HELOC attributes;
-- Robust equity and prime and near-prime credit quality;
-- Current loan status; and
-- Satisfactory third-party due diligence sample size and
compliance review.
The transaction also includes the following challenges:
-- Holder of the Class FR Certificates may fail to reimburse the
Servicer for draws;
-- Representations and warranties standard;
-- No Servicer advances of delinquent P&I; and
-- Certain limitations of third-party due diligence credit and
valuation reviews.
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for the rated notes are the current interest,
interest carryforward amount, and the note amount.
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, in this transaction, Morningstar DBRS'
credit ratings do not address the payment of any Net WAC
Shortfalls.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
FIGRE TRUST 2026-FL1: Moody's Assigns B3 Rating to Cl. B-2 Notes
----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 8 classes of
residential mortgage-backed securities (RMBS) to be issued by FIGRE
Trust 2026-FL1, and sponsored by Figure Lending LLC.
The securities are backed by a pool of predominantly first-lien,
performing, simple interest, fixed rate, fully amortizing and
predominantly open-ended Home Equity Lines of Credit (HELOCs),
originated by Figure Lending LLC and various other originators and
serviced by Figure Lending LLC.
The complete rating actions are as follows:
Issuer: FIGRE Trust 2026-FL1
Cl. A-1 Notes, Definitive Rating Assigned Aaa (sf)
Cl. A-1FCF Notes, Assigned Aaa (sf)
Cl. A-1LCF Notes, Assigned Aaa (sf)
Cl. A-2 Notes, Definitive Rating Assigned Aa3 (sf)
Cl. A-3 Notes, Definitive Rating Assigned A1 (sf)
Cl. M-1 Notes, Definitive Rating Assigned Baa3 (sf)
Cl. B-1 Notes, Definitive Rating Assigned Ba2 (sf)
Cl. B-2 Notes, Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
The ratings are based on the credit quality of the HELOCs, the
structural features of the transaction, the origination quality and
the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
1.34%, in a baseline scenario-median is 0.89% and reaches 13.47% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations" published in August 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
FIGRE TRUST 2026-HF3: DBRS Finalizes B(low) Rating on F Notes
-------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized the following provisional
credit ratings to the Mortgage-Backed Notes, Series 2026-HF3 (the
Notes) issued by FIGRE Trust 2026-HF3 (FIGRE 2026-HF3 or the
Issuer) as follows:
-- $164.3 million Class A1A at AAA (sf)
-- $32.4 million Class A1B at AAA (sf)
-- $27.6 million Class B at AA (low) (sf)
-- $20.9 million Class C at A (low) (sf)
-- $18.5 million Class D at BBB (low) (sf)
-- $13.6 million Class E at BB (low) (sf)
-- $9.3 million Class F at B (low) (sf)
The AAA (sf) credit rating on the Class A1B Notes reflects 33.60%
of credit enhancement provided by subordinate notes. The AA (low)
(sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf)
credit ratings reflect 24.30%, 17.25%, 11.00%, 6.40%, and 3.25% of
credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other class in this transaction.
The securitization of recently originated junior-lien revolving
home equity lines of credit (HELOCs) is funded by the issuance of
the Notes. The Notes are backed by 2,879 loans (individual HELOC
draws), which correspond to HELOC families (each consisting of an
initial HELOC draw and subsequent draws by the same borrower) with
a total unpaid principal balance (UPB) of $296,306,884 and a total
current credit limit of $335,712,517 as of the Cut-Off Date
(February 28, 2026).
The portfolio, on average, is two months seasoned, though seasoning
ranges from zero to five months. All the loans in the pool are
exempt from the Consumer Financial Protection Bureau
Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs
are not subject to the ATR/QM rules.
Figure Lending LLC (Figure or the Company) is a wholly owned,
indirect subsidiary of Figure Technologies, Inc. (Figure
Technologies), which was formed in 2018. Figure Technologies is a
financial services and technology company that leverages blockchain
technology for the origination and servicing of loans, loan
payments, and loan sales. In addition to the HELOC product, Figure
has offered several different lending products within the consumer
lending space including student loan refinance, unsecured consumer
loans, and conforming first-lien mortgages. In June 2023, the
Company launched a wholesale channel for its HELOC product. Figure
originates and services loans in 48 states and the District of
Columbia. As of December 2025, Figure originated, funded, and
serviced more than 175,000 HELOCs totaling approximately $13.0
billion.
Figure is one of the originators and the servicer of all HELOCs in
the pool. Other originators in the pool are Figure Wholesale and
certain other lenders (together, the White Label Partner
Originators). The White Label Partner Originators originated HELOCs
using Figure's online origination applications under Figure's
underwriting guidelines. Also, Figure is the Seller of all the
HELOCs. Morningstar DBRS performed a telephone operational risk
review of Figure's origination and servicing platform and believes
the Company is an acceptable HELOC originator and servicer with a
backup servicer that is acceptable to Morningstar DBRS.
Figure is the Sponsor of this transaction; FIGRE 2026-HF3 is the
24th rated securitization of HELOCs by Figure. Additionally,
Figure-originated HELOCs are included in five securitizations
sponsored by Saluda Grade. These transactions' performances to date
are satisfactory.
HELOC Features
In this transaction, all HELOCs are open-HELOCs that have a draw
period of three, four, or five years during which borrowers may
make draws up to a credit limit, though such right to make draws
may be temporarily frozen, suspended, or terminated under certain
circumstances. At the end of the draw term, the HELOC mortgagors
have a repayment period ranging from 10 to 30 years. During the
repayment period, borrowers are no longer allowed to draw, and
their monthly principal payments will equal an amount that allows
the outstanding loan balance to evenly amortize down. All HELOCs
and subsequent draws in this transaction are adjustable rate with
rates resetting monthly and indexed to Prime. The HELOCs have no
interest-only payment period, so borrowers are required to make
both interest and principal payments during the draw and repayment
periods. No loans require a balloon payment.
The loans are made mainly to borrowers with prime and near-prime
credit quality who seek to take equity cash out for various
purposes. These HELOCs are fully drawn at origination, as evidenced
by the weighted-average utilization rate by current line amount of
approximately 95.4% after two months of seasoning on average. For
each borrower, the HELOC, including the initial and any subsequent
draws, is defined as a loan family within which every new credit
line draw becomes a de facto new loan.
Relative to other HELOCs in Morningstar DBRS-rated deals, the loans
in the pool are all fully amortizing with a shorter draw period and
may have terms significantly shorter than 30 years, including
10-year maturities.
Certain Unique Factors in HELOC Origination Process
Figure seeks to originate HELOCs for borrowers of prime and
near-prime credit quality with ample home equity. It leverages
technology in underwriting, title searching, regulatory compliance,
and other lending processes to shorten the approval and funding
process and improve the borrower experience. Below are certain
aspects in the lending process that are unique to Figure's
origination platform:
-- To qualify a borrower for income, Figure seeks to confirm the
borrower's stated income using proprietary technology algorithms.
-- The lender uses the FICO 9 credit score model instead of the
classic FICO credit score model used by most mortgage originators.
-- Instead of title insurance, Figure uses an electronic lien
search algorithm to identify existing property liens.
-- Instead of a full property appraisal, Figure uses a property
valuation provided by an automatic valuation model (AVM), or in
some cases where an AVM is not available or is ineligible, a broker
price opinion (BPO) or a residential evaluation.
The credit impact of these factors is generally loan specific.
Although technologically advanced, the income, employment, and
asset verification methods used by Figure were treated as less than
full documentation in the RMBS Insight model. In addition,
Morningstar DBRS applied haircuts to the provided AVM and BPO
valuations, reduced the projected recoveries on junior-lien HELOCs,
and generally stepped up expected losses from the model to account
for a combined effect of these and other factors. Please see the
Documentation Type and Underwriting Guidelines sections of the
related report for details.
Transaction Counterparties
Figure will service all loans within the pool for a servicing fee
of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) will
act as a Subservicer for loans that default or become 60 or more
days delinquent under the Mortgage Bankers Association (MBA)
method. In addition, Northpointe Bank (Northpointe) will act as a
Backup Servicer for all mortgage loans in this transaction for a
fee of 0.01% per year. If Figure fails to remit the required
payments, fails to observe or perform the Servicer's duties, or
experiences other unremedied events of default described in detail
in the transaction documents, servicing will be transferred to
Northpointe from Figure, under a successor servicing agreement.
Such servicing transfer will occur within 45 days of the
termination of Figure. In the event of a servicing transfer,
Cornerstone will retain servicing responsibilities on all loans
that were being specially serviced by Cornerstone at the time of
the servicing transfer. Morningstar DBRS performed an operational
risk review of Northpointe's servicing platform and believes the
company is an acceptable loan servicer for Morningstar DBRS-rated
transactions.
Wilmington Trust, National Association will serve as Indenture
Trustee, Paying Agent, Note Registrar, Certificate Registrar, and
REMIC Administrator. Wilmington Savings Fund Society, FSB will
serve as the Custodian and the Owner Trustee. DV01, Inc. will act
as the loan data agent.
The Sponsor or a majority-owned affiliate of the Sponsor will
acquire and intends to retain an eligible interest consisting of
the required percentage of the Class A1A, A1B, B, C, D, E, F, G,
and XS Note amounts and Class FR Certificate to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
The Sponsor or a majority-owned affiliate of the Sponsor will be
required to hold the required credit risk until the later of (1)
the fifth anniversary of the Closing Date and (2) the date on which
the aggregate loan balance has been reduced to 25% of the loan
balance as of the Cut-Off Date, but in any event no longer than the
seventh anniversary of the Closing Date.
Additionally, pursuant to the EU and UK Risk Retention Agreement,
the Sponsor will agree that on an ongoing basis for so long as the
Notes are outstanding:
-- It will retain exposure to a material net economic interest in
this transaction of not less than 5% of the nominal value of each
class of Notes, in the form specified in related transaction
documents;
-- Neither it nor any affiliate will sell, hedge, or mitigate its
credit risk under or associated with the EU and UK Retained
Interest, except to the extent permitted in accordance with the EU
Securitisation Rules and the UK Securitisation Rules,
respectively;
-- It will not change the retention option or method of calculation
of its EU and UK Retained Interest, except to the extent permitted
under the EU Securitisation Rules or the UK Securitisation Rules;
-- It will confirm its EU and UK Retained Interest in the SR
Investor Report; and
-- It will promptly notify the Issuer and a responsible officer of
the Paying Agent in writing if for any reason: (1) it ceases to
retain exposure to the EU and UK Retained Interest in accordance
with the above, or (2) it or any of its affiliates fails to comply
with the covenants set out above.
Similar to other transactions backed by junior-lien mortgage loans
or HELOCs, but different from certain Morningstar DBRS-rated FIGRE
transactions, the HELOCs that are 180 days delinquent under the MBA
delinquency method may not be charged off by the Servicer in its
discretion. In its analysis, Morningstar DBRS assumes all
junior-lien HELOCs that are 180 days delinquent under the MBA
delinquency method will be charged-off.
Draw Funding Mechanism
This transaction uses a structural mechanism similar to other HELOC
transactions to fund future draw requests. The Servicer will be
required to fund draws and will be entitled to reimburse itself for
such draws from the principal collections prior to any payments on
the Notes and the Class FR Certificates.
If the aggregate draws exceed the principal collections (Net Draw),
the Servicer is entitled to reimburse itself for draws funded from
amounts on deposit in the Reserve Account (including amounts
deposited into the Reserve Account on behalf of the Class FR
Certificate holder after the Closing Date).
The Reserve Account is funded at closing initially with a rounded
balance of $1,037,074 (0.35% of the aggregate UPB as of the Cut-Off
Date). Prior to the payment date in April 2031, the Reserve Account
Required Amount will be 0.35% of the aggregate UPB as of the
Cut-Off Date. On and after the payment date in April 2031 (after
the draw period ends for all HELOCs), the Reserve Account Required
Amount will become $0. If the Reserve Account is not at target, the
Paying Agent will use the available funds remaining after paying
transaction parties' fees and expenses, reimbursing the Servicer
for any unpaid fees or Net Draws, and paying the accrued and unpaid
interest on the bonds to build it to the target. The top-up of the
account occurs before making any principal payments to the Class FR
Certificateholders or the Notes. To the extent the Reserve Account
is not funded up to its required amount from the principal and
interest (P&I) collections, the Class FR Certificateholders will be
required to use its own funds to reimburse the Servicer for any Net
Draws.
Nevertheless, the servicer is still obligated to fund draws even if
the principal collections and the Reserve Account are insufficient
in a given month for full reimbursement. In such cases, the
Servicer will be reimbursed on subsequent payment dates first, from
amounts on deposit in the Reserve Account (subject to the deposited
funds), and second, from the principal collections in subsequent
collection periods. Figure, as a holder of the Class FR
Certificates, will have the ultimate responsibility to ensure draws
are funded by remitting funds to the Reserve Account to reimburse
the Servicer for the draws made on the loans, as long as all
borrower conditions are met to warrant draw funding. The Class FR
Certificates' balance will be increased by the amount of any Net
Draws funded by the Class FR Certificateholders. The Reserve
Account's required amount will become $0 on the payment date in
April 2031 (after the draw period ends for all HELOCs), at which
point the funds will be released through the transaction
waterfall.
In its analysis of the proposed transaction structure, Morningstar
DBRS does not rely on the creditworthiness of either the Servicer
or Figure. Rather, the analysis relies on the assets' ability to
generate sufficient cash flows, as well as the Reserve Account, to
fund draws and make interest and principal payments.
Transaction Structure
The transaction employs a pro rata cash flow structure subject to a
Credit Event, which is based on certain performance triggers
related to cumulative losses and delinquencies. This transaction
differs from certain previous Morningstar DBRS-rated FIGRE
transactions where there is no performance trigger related to the
Net WAC Rate.
Relative to a sequential pay structure, a pro rata structure
subject to sequential trigger (Credit Event) is more sensitive to
the timing of the projected defaults and losses as the losses may
be applied at a time when the amount of credit support is reduced
as the bonds' principal balances amortize over the life of the
transaction.
Excess cash flows can be used to cover any realized losses. Please
see the Cash Flow Structure and Features section of the related
report for more details.
Notable Structural Features
Similar to previous Morningstar DBRS-rated FIGRE transactions, this
deal employs a Delinquency Trigger and a Cumulative Loss Trigger.
The effective dates for the triggers may differ from prior rated
transactions. The Delinquency Trigger is applicable on or after the
12th payment date (April 2027) rather than being applicable
immediately after the Closing Date.
Unlike some of the prior FIGRE securitizations that employed a pro
rata pay structure among all rated notes, this transaction includes
rated classes--Class D, E, and F--that receive their principal
payments after the pro rata classes (Class A1A, A1B, B, and C) are
paid in full. The inclusion of sequential pay classes retains
credit support that would otherwise be reduced in the absence of a
credit event.
Unlike some of the prior FIGRE securitizations, this transaction
includes a principal-only class, Class G, that provides credit
support to the rated notes instead of overcollateralization (OC).
Since there is no longer any OC, there is no longer any need for
the OC Target or OC Floor present in other transactions.
The Reserve Account Required Amount will be 0.35% of the aggregate
UPB as of the Cut-Off Date, lower than some of the prior FIGRE
securitizations.
Other Transaction Features
For this transaction, other than the Servicer's obligation to fund
any monthly Net Draws, described above, neither the Servicer nor
any other transaction party will fund any monthly advances of P&I
on any HELOC. However, the Servicer is required to make advances in
respect of taxes, insurance premiums, and reasonable costs incurred
in the course of servicing and disposing of properties (servicing
advances) to the extent such advances are deemed recoverable or as
directed by the Controlling Holder (the holder of more than a 50%
interest of the Class XS Notes). For the junior-lien HELOCs, the
Servicer will make servicing advances only if such advances are
deemed recoverable or if the associate first-lien mortgage has been
paid off and such HELOC has become a senior-lien mortgage loan.
The Depositor may, at its option, on or after the earlier of (1)
the payment date on which the balance of the Class A Notes is
reduced to zero or (2) the date on which the total loans' and real
estate owned (REO) properties' balance falls to or below 25% of the
loan balance as of the Cut-Off Date (Optional Termination Date),
purchase all of the loans and REO properties at the optional
termination price described in the transaction documents.
The Depositor, at its option, may purchase any mortgage loan that
is 90 days or more delinquent under the MBA method at the
repurchase price (Optional Purchase) described in the transaction
documents. The total balance of such loans purchased by the
Depositor will not exceed 10% of the Cut-Off Date balance.
The Servicer, at the direction of the Controlling Holder, may
direct the Issuer to sell (and direct the Indenture Trustee to
release its lien on and relinquish its security interest in)
eligible nonperforming loans (those 120 days or more delinquent
under the MBA method) or REO properties (both, Eligible
Nonperforming Loans (NPLs)) to third parties individually or in
bulk sales. The Controlling Holder will have a sole authority over
the decision to sell the Eligible NPLs, as described in the
transaction documents.
The credit ratings reflect transactional strengths that include the
following:
-- Certain HELOC attributes;
-- Robust equity and prime and near-prime credit quality;
-- Current loan status; and
-- Satisfactory third-party due diligence sample size and
compliance review.
The transaction also includes the following challenges:
-- Holder of the Class FR Certificates may fail to reimburse the
Servicer for draws;
-- Representations and warranties standard;
-- No Servicer advances of delinquent P&I; and
-- Certain limitations of third-party due diligence credit and
valuation reviews.
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for the rated notes are the current interest,
interest carryforward amount, and the note amount.
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, in this transaction, Morningstar DBRS'
credit ratings do not address the payment of any Net WAC
Shortfalls.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
FLAGSHIP CREDIT 2021-3: S&P Lowers Cl. E Notes Rating to 'CC (sf)'
------------------------------------------------------------------
S&P Global Ratings raised its ratings on six classes, lowered its
ratings on 13 classes, and affirmed its ratings on 13 classes of
notes from Flagship Credit Auto Trust (FCAT) 2021-3, 2022-3,
2022-4, 2023-1, 2023-2, 2023-3, 2024-1, and 2024-3 ABS
transactions, which are backed by subprime retail auto loan
receivables originated by Flagship Credit Acceptance LLC and
CarFinance Capital LLC and serviced by Flagship Financial Group
LLC.
The rating actions reflect:
-- Each transaction's collateral performance to date, and its
expectations regarding future collateral performance, including an
increase in each series' cumulative net loss (CNL) expectations;
-- The transactions' structures and credit enhancement levels;
and
-- Other credit factors, including credit stability, payment
priorities under various scenarios, and sector- and issuer-specific
analyses, including our most recent macroeconomic outlook that
incorporates a baseline forecast for U.S. GDP and unemployment.
S&P said, "Considering all these factors, we believe that the
notes' creditworthiness is consistent with the raised, lowered, and
affirmed ratings.
"Since our previous reviews on Sept. 26, 2025 (FCAT 2023-1, 2023-2,
2023-3, and 2024-1) and June 3, 2025 (FCAT 2021-3, 2022-3, and
2022-4), each transaction's collateral performance continues to
trend worse than our previously revised CNL expectations.
Additionally, these transactions' delinquencies and extensions are
elevated."
As of the February 2026 collection month (March 2026
distribution):
-- FCAT 2022-3 is under-collateralized by 2.63% of the current
pool balance (the overcollateralization and reserve account
depleted as of the March 2025 and January 2026 collection months,
respectively).
-- Overcollateralization for FCAT 2021-3 and 2022-4 depleted as of
the May 2025 and January 2026 collection months, respectively. As a
result, the reserve amount is being drawn to satisfy principal
payment.
-- Overcollateralization for FCAT 2023-2 will deplete in the next
collection month, and it is highly likely that the reserve amount
will be utilized to satisfy principal payment.
FCAT 2023-1 and 2023-3 are materially below their target
overcollateralization amounts, and, unless performance improves
significantly, both series are at the risk of depleting their
overcollateralization amounts, thereby putting their reserve
amounts at risk.
FCAT 2024-1 and 2024-3 are at their respective reserve amounts.
FCAT 2024-3 is at its overcollateralization target, while FCAT
2024-1 is marginally below its overcollateralization target.
Table 1
FCAT collateral performance (%)(i)
Pool 60+ day
Series Mo. Factor delinq. Ext. CGL CRR CNL
2021-3 55 10.31 12.59 2.62 22.69 38.06 14.05
2022-3 43 21.34 12.57 3.69 32.53 34.82 21.20
2022-4 40 24.93 12.35 2.80 30.30 35.90 19.43
2023-1 37 29.51 10.97 3.28 26.64 36.54 16.91
2023-2 34 33.89 10.96 3.40 28.49 36.28 18.16
2023-3 31 38.63 10.54 2.91 25.68 36.57 16.29
2024-1 23 51.53 9.03 3.98 17.80 36.86 11.24
2024-3 16 63.72 5.89 2.70 8.37 38.18 5.17
(i)As of the March 2026 distribution date.
FCAT--Flagship Credit Auto Trust.
Mo.--Month.
Delinq.--Delinquencies.
Ext.--Extensions.
CGL--Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
Table 2
FCAT overcollateralization summary (%)(i)
Series Current Target Current ($) Target ($)
(%)(ii) (%)(iii)
2021-3 0.00 3.40 0.00 3,798,838
2022-3 0.00 6.70 0.00 7,829,029
2022-4 0.00 9.90 0.00 10,363,954
2023-1 3.60 7.50 4,828,924 10,071,488
2023-2 0.63 6.75 960,849 10,346,689
2023-3 2.98 4.85 4,051,491 6,590,600
2024-1 7.77 7.80 14,421,580 14,470,651
2024-3 10.70 10.70 11,250,489 11,250,489
(i)As of the March 2026 distribution date.
(ii)Percentage of the current collateral pool balance.
(iii)For each series, the overcollateralization target on any
distribution date is equal to the greater of the target percentage
of the current pool balance and 1% of the initial pool balance.
Table 3
FCAT Reserve amount summary (%)(i)
Series Current Target Current ($) Target ($)
(%)(ii) (%)(iii)
2021-3 7.79 1.00 3,048,123 3,798,838
2022-3 0.00 1.00 0.00 5,476,676
2022-4 4.18 1.00 4,371,218(iv) 4,200,000
2023-1 3.39 1.00 4,550,000 4,550,000
2023-2 2.95 1.00 4,522,616 4,522,616
2023-3 2.59 1.00 3,517,606 3,517,606
2024-1 1.94 1.00 3,600,001 3,600,001
2024-3 1.57 1.00 1,650,023 1,650,023
(i)As of the March 2026 distribution date.
(ii)Percentage of the current collateral pool balance.
(iii)For each series, the reserve target on any distribution date
is equal to the target percentage of the initial pool balance.
(iv)In April 2024, FC Funding LLC made a capital contribution of
approximately $1.7 million (0.68% of the current pool balance) to
the reserve account to support the series.
In view of each series' performance to date, S&P increased its
expected CNLs for each series from their initial or previously
revised levels.
Table 4
CNL expectations (%)
Lifetime CNL exp.
Series Original Previous Current revised(i)
2021-3 11.00-11.50 15.00(ii) 16.25
2022-3 11.25-11.75 25.50(ii) 27.50
2022-4 11.25-11.75 24.00(ii) 27.00
2023-1 12.00-12.50 22.50(iii) 26.00
2023-2 12.25-12.75 24.75(iii) 27.50
2023-3 12.25-12.75 24.50(iii) 27.25
2024-1 13.25-13.75 20.00(iii) 24.00
2024-3 14.50 N/A 15.00
(i)As of the March 2026 distribution date
(ii)Revised June 2025.
(iii)Revised September 2025.
CNL exp.--Cumulative net loss expectations.
Each transaction has a sequential principal payment structure in
which the notes are paid principal by seniority, which will
increase the credit enhancement for the senior notes as the pool
amortizes. Credit enhancement for each transaction, where
available, includes a nonamortizing reserve account,
overcollateralization, subordination for the more senior tranches,
and excess spread. Generally, the transactions' sequential
principal payment structures have led to an increase in components
of hard credit enhancement--as a percentage of the current
collateral balance--since issuance, with the exception for the most
subordinated classes for those series where either or both the
reserve amount and overcollateralization amount are depleted.
Table 5
Hard credit support(i)
Total hard Current total
Credit support hard credit support
Series Class at issuance (%) (% of current)(ii)
2021-3 D 5.60 47.58
2021-3 E 1.50 7.79
2022-3 C 16.20 63.03(iii)
2022-3 D 9.20 31.06(iii)
2022-3 E 2.40 0.00
2022-4 C 20.10 62.75
2022-4 D 14.00 38.28
2022-4 E 5.50 4.18
2023-1 B 28.90 95.59
2023-1 C 18.10 58.99
2023-1 D 10.40 32.91
2023-1 E 2.75 6.98
2023-2 B 28.80 84.13
2023-2 C 17.50 50.79
2023-2 D 9.50 27.19
2023-2 E 1.50 3.58
2023-3 A-3 36.45 96.04
2023-3 B 27.60 73.13
2023-3 C 15.85 42.72
2023-3 D 6.90 19.55
2023-3 E 1.50 5.57
2024-1 A-2 40.60 79.57
2024-1 A-3 40.60 79.57
2024-1 B 30.15 59.29
2024-1 C 17.10 33.97
2024-1 D 7.85 16.02
2024-1 E 4.60 9.71
2024-3 A 49.70 77.71
2024-3 B 38.30 59.82
2024-3 C 24.55 38.24
2024-3 D 15.05 23.34
2024-3 E 8.00 12.27
(i)As of the collection period ended Feb. 28, 2026.
(ii)Calculated as a percentage of the total receivable pool balance
and, if applicable, consisting of a reserve account,
overcollateralization, and subordination. Excludes excess spread
that can also provide additional enhancement.
(iii)Calculated as a percentage of the total bonds outstanding due
to the current under-collateralization of the transaction.
S&P said, "We incorporated an analysis of current hard credit
enhancement compared to the remaining expected CNLs for those
classes where hard credit enhancement alone, without giving credit
to the excess spread, was sufficient in our view to support the
rating actions. For some series, we incorporated a cash flow
analysis to assess the loss coverage levels for the notes, giving
credit to stressed excess spread. Our cash flow scenarios included
forward-looking assumptions on recoveries, the timing of losses,
and voluntary absolute prepayment speeds that we believe are
appropriate, given each transaction's performance to date and our
current economic outlook.
"Additionally, we conducted sensitivity analyses to determine the
impact that a moderate ('BBB') stress level scenario would have on
our ratings if losses trended higher than our revised base-case
loss expectations.
"In our view, the total credit support as a percentage of the
amortizing pool balance, compared with our minimum expected
remaining losses, based on the cash flow results demonstrated that
all of the classes have adequate credit enhancement at the raised,
lowered, and affirmed rating levels, which is based on our analysis
as of the collection period ended February 2026 (the March 2026
distribution date)."
Generally, given the vulnerability of the two most subordinated
classes--class D and class E—and the depletion of
overcollateralization and reserve amount, the rating actions
reflect this risk. S&P said, "We lowered the class E rating to 'CC
(sf)' for FCAT 2021-3, 2022-4 and 2023-2; to 'CCC (sf)' for FCAT
2023-1 and 2023-3; and to 'B- (sf)' for 2024-1. Additionally, we
lowered the class D rating to 'B+ (sf)' for FCAT 2022-4; 'B (sf)'
for FCAT 2023-1, 2023-2, and 2024-1; and 'B- (sf)' for FCAT 2023-3.
As per "S&P Global Ratings Definitions," published Dec. 16, 2025,
an obligation rated 'CCC' is currently vulnerable to nonpayment, an
obligation rated 'CC' is currently highly vulnerable to nonpayment,
and we expect a default to be a virtual certainty."
S&P said, "We will continue to monitor the performance of each
transaction to ensure that the credit enhancement remains
sufficient, in our view, to cover our CNL expectations under our
stress scenarios for each of the rated classes."
Ratings Raised
Flagship Credit Auto Trust 2021-3
Class D to 'A (sf)' from 'A- (sf)'
Flagship Credit Auto Trust 2022-3
Class C to 'A+ (sf)' from 'A (sf)'
Flagship Credit Auto Trust 2023-3
Class B to 'AAA (sf)' from 'AA+ (sf)'
Flagship Credit Auto Trust 2024-1
Class B to 'AA+ (sf)' from 'AA (sf)'
Flagship Credit Auto Trust 2024-3
Class B to 'AA+ (sf)' from 'AA (sf)'
Class C to 'AA- (sf)' from 'A (sf)'
Ratings Lowered
Flagship Credit Auto Trust 2021-3
Class E to 'CC (sf)' from 'CCC (sf)'
Flagship Credit Auto Trust 2022-4
Class D to 'B+ (sf)' from 'BBB- (sf)'
Class E to 'CC (sf)' from 'CCC (sf)'
Flagship Credit Auto Trust 2023-1
Class D to 'B (sf)' from 'BBB (sf)'
Class E to 'CCC (sf)' from 'B- (sf)'
Flagship Credit Auto Trust 2023-2
Class D to 'B (sf)' from 'BBB (sf)'
Class E to 'CC (sf)' from 'B- (sf)'
Flagship Credit Auto Trust 2023-3
Class C to 'A- (sf)' from 'A (sf)'
Class D to 'B- (sf)' from 'B (sf)'
Class E to 'CCC (sf)' from 'B- (sf)'
Flagship Credit Auto Trust 2024-1
Class C to 'BBB+ (sf)' from 'A (sf)'
Class D to 'B (sf)' from 'BB+ (sf)'
Class E to 'B- (sf)' from 'B+ (sf)'
Ratings Affirmed
Flagship Credit Auto Trust 2022-3
Class D: B (sf)
Class E: CC (sf)
Flagship Credit Auto Trust 2022-4
Class C: A+ (sf)
Flagship Credit Auto Trust 2023-1
Class B: AAA (sf)
Class C: AA- (sf)
Flagship Credit Auto Trust 2023-2
Class B: AAA (sf)
Class C: A (sf)
Flagship Credit Auto Trust 2023-3
Class A-3: AAA (sf)
Flagship Credit Auto Trust 2024-1
Class A-2: AAA (sf)
Class A-3: AAA (sf)
Flagship Credit Auto Trust 2024-3
Class A: AAA (sf)
Class D: BBB (sf)
Class E: BB- (sf)
FREDDIE MAC MSCR 2026-MN13: DBRS Gives BB(low) on M-2 Certs
-----------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
rating on the following class of Freddie Mac Multifamily Structured
Credit Risk Notes, Series 2026-MN13 (the Notes) issued by Freddie
Mac MSCR Trust MN13 (the Trust):
-- Class M-2 at BB (low) (sf)
The trend is Stable.
Morningstar DBRS discontinued and withdrew its rating on the Class
M-1 notes initially contemplated in the offering documents, as they
were removed from the transaction.
The Notes are subject to the credit and principal payment risk of a
certain reference pool (the Reference Pool) of commercial mortgage
loans held in various Federal Home Loan Mortgage Corporation
(Freddie Mac) guaranteed mortgage-backed securities and loans owned
by Freddie Mac. The transaction consists of the applicable
reference obligation percentage of each of 842 mortgage loans,
including 675 fixed-rate mortgage loans; 142 floating-rate mortgage
loans; and 25 hybrid adjustable-rate mortgage loans, which have a
fixed rate for an initial period and an adjustable rate thereafter.
The loans are secured by 855 multifamily properties. Morningstar
DBRS rolled up five groups of loans in which the loans are
cross-collateralized and cross-defaulted, including a group of 17
loans, a group of eight loans, a group of three loans, and two
groups of two loans. Morningstar DBRS also rolled up two loans, a
tax-exempt loan (TEL) and taxable tail, which are on the same
property. All Morningstar DBRS commentary will refer to the pool as
an 814-loan pool, as Morningstar DBRS treated each group of related
loans as a single loan.
The aggregate reference pool balance is approximately
$20,660,543,441. The pool consists of underlying mortgage loans
secured by one or more multifamily properties originated through
Freddie Mac's K-Series Structured Pass-Through Certificates (SPCs),
Multi PC, or small balance (SB) programs. Representing 51.6% of the
total reference pool balance, 366 loans were originated through the
K-Series SPCs; 284 loans (including the five groups of
cross-collateralized loans and one TEL and related taxable tail,
each treated as a single loan), representing 46.1% of the total
pool balance, were originated through Multi PC; and 164 loans,
representing 2.3% of the total pool balance, were originated
through SB. Morningstar DBRS estimates that Freddie Mac originated
the mortgage loans between April 22, 2019, and December 10, 2025.
On the closing date, the trust will enter into a collateral
administration agreement and a capital contribution agreement with
Freddie Mac. Freddie Mac, as the credit protection buyer, will be
required to pay to the trust any transfer amount, return
reimbursement amount, and capital contribution amount. The trust is
expected to use the aggregate proceeds realized from the sale of
the Notes to purchase certain eligible investments to be held in a
custodian account. The eligible investments are restricted to
highly rated, short-term investments. Cash flow from the Reference
Pool will not be used to make any payments; instead, on each
payment date, the trust is expected to pay interest on the Notes
from the investment earnings on the eligible investments.
Freddie Mac has strong origination practices, and its programs
exhibit strong historical loan performance. Freddie Mac maintains
solid approval and monitoring procedures and focused lender quality
and loan quality control processes for its counterparties to
effectively manage the credit risk and performance of its
portfolio. Loans on Freddie Mac's balance sheet, which it
originates according to the same policies as those for
securitization, had an extremely low delinquency rate of 0.44% as
of December 2025. This compares favorably with the delinquency rate
of approximately 6.64% for commercial mortgage-backed securities
(CMBS) multifamily loans over the same period.
The pool is highly diverse based on loan count and size, with an
average Morningstar DBRS cut-off date balance of $25,381,503, a
concentration profile equivalent to that of a transaction with
282.2 equal-size loans, and a top 10 loan concentration of 11.7%.
Increased pool diversity helps insulate the higher-rated classes
from event risk.
The pool exhibits Morningstar DBRS weighted-average (WA) Issuance
Loan-to-Value Ratios (LTVs) and Balloon LTVs of 65.4% and 63.4%,
respectively, both of which are in line with recent Freddie Mac
transactions rated by Morningstar DBRS. Furthermore, 186 loans,
comprising 18.2% of the pool balance, exhibit Morningstar DBRS
Issuance LTVs of less than 60.9%, resulting in a decreased
probability of default.
Given its overall credit metrics, the pool has a WA expected loss
(EL) of 1.3%. While this is slightly higher than the EL seen in
Freddie Mac transactions rated by Morningstar DBRS in 2025, it is
generally lower than the EL seen in Freddie Mac transactions rated
by Morningstar DBRS throughout 2024 and 2023, and substantially
lower than that of the general multiborrower CMBS universe.
Morningstar DBRS' credit rating on the Notes addresses the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Principal Amounts and
Interest Amounts for the rated class.
Morningstar DBRS' credit rating does not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, Morningstar DBRS' credit rating does not
address nonpayment risk associated with Prepayment Premiums.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
GARNET CLO 5: Fitch Assigns 'BBsf' Rating on Class E Notes
----------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Garnet
CLO 5, Ltd.
Entity/Debt Rating
----------- ------
Garnet CLO 5,
Ltd.
A-1L LT NRsf New Rating
A-1 LT NRsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C LT Asf New Rating
D LT BBB-sf New Rating
E LT BBsf New Rating
F LT NRsf New Rating
Suboordinated LT NRsf New Rating
Transaction Summary
Garnet CLO 5, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Garnet
Credit Management LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 100% first
lien senior secured loans and has a weighted average recovery
assumption of 75.29%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 40% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D, and
between less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
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, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Garnet CLO 5, 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.
GCAT 2026-NQM2: DBRS Gives (P)B Rating on Class B-2 Certs
---------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the Mortgage Pass-Through Certificates, Series 2026-NQM2 (the
Certificates) to be issued by GCAT 2026-NQM2 Trust (GCAT 2026-NQM2
or the Issuer) as follows:
-- $37.5 million Class A-1FCF at (P) AAA (sf)
-- $12.5 million Class A-1LCF at (P) AAA (sf)
-- $257.0 million Class A-1A at (P) AAA (sf)
-- $36.7 million Class A-1B at (P) AAA (sf)
-- $293.7 million Class A-1 at (P) AAA (sf)
-- $19.8 million Class A-2 at (P) AA (sf)
-- $37.2 million Class A-3 at (P) A (sf)
-- $5.8 million Class M-1 at (P) BBB (high) (sf)
-- $15.0 million Class B-1 at (P) BB (sf)
-- $4.9 million Class B-2 at (P) B (sf)
The (P) AAA (sf) credit ratings reflect 20.00% of credit
enhancement provided by the subordinated classes. The (P) AA (sf),
(P) A (sf), (P) BBB (high) (sf), (P) BB (sf), and (P) B (sf) credit
ratings reflect 15.40%, 6.75%, 5.40%, 1.90%, and 0.75%,
respectively, of credit enhancement.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
GCAT 2026-NQM2 is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first-lien residential mortgages
funded by the issuance of the Certificates. The Certificates are
backed by 788 loans with a total principal balance of approximately
$429,581,340 as of March 1, 2026 (the Cut-Off Date).
The pool is, on average, three months seasoned with loan ages
ranging from zero to 11 months. Rocket Mortgage, LLC (Rocket
Mortage); Arc Home LLC; and The Loan Store, Inc. originated
approximately 47.2%, 37.1%, and 15.8%, respectively, of the
mortgage loans. The remainder of the mortgage loans were originated
by various mortgage lending institutions and individually comprised
less than 10% of the overall mortgage loans.
NewRez LLC (NewRez), formerly known as New Penn Financial, LLC and
doing business as (dba) Shellpoint will service 100% of the loans.
U.S. Bank, National Association will act as Custodian; Rocket
Mortgage will act as Master Servicer; and U.S. Bank Trust Company,
National Association will act as Trustee and Securities
Administrator and Certificate Registrar.
As of the Cut-Off Date, 99.6% of the loans in the pool were
contractually current according to the Mortgage Bankers Association
(MBA) delinquency calculation method.
In accordance with the Consumer Financial Protection Bureau (CFPB)
Qualified Mortgage (QM) rules, 33.5% of the loans by balance are
designated as non-QM. Approximately 21.6% of the loans in the pool
were made to investors for business purposes and are exempt from
the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 42.8%
of the pool are designated as QM Safe Harbor, and there are 2.1% QM
Rebuttable Presumption (by unpaid principal balance (UPB)).
Servicers will fund advances of delinquent principal and interest
(P&I) until the loan is either greater than 90 days delinquent
(limited P&I advancing/stop-advance loan under the MBA method) or
the P&I advance is deemed unrecoverable. Each servicer is obligated
to make advances in respect of taxes and insurance; the cost of
preservation, restoration, and protection of mortgaged properties;
and any enforcement or judicial proceedings, including foreclosures
and reasonable costs and expenses incurred in the course of
servicing and disposing of properties until otherwise deemed
unrecoverable.
The Retaining Sponsor will retain an eligible vertical interest in
the transaction in the required amount of no less than 5.0% of the
Initial Class Balance (other than the Class X, Class A-IO-S, and
Class R certificates) to satisfy the credit risk-retention
requirements under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder.
The Controlling Holder may, at its option, on any distribution date
on or after the date that is the earlier of (1) three years after
the closing date or (2) the date on which the balance of mortgage
loans and real estate-owned properties falls to or below 30% of the
loan balance as of the Cut-Off Date (Optional Redemption Date),
redeem the Certificates at the optional termination price described
in the transaction documents.
The Depositor will have the option, but not the obligation, to
purchase any mortgage loan that is 90 or more days delinquent under
the MBA method at the repurchase price, provided such repurchases
in aggregate do not exceed 7.50% of the total principal balance as
of the Cut-Off Date.
The Issuer may require the Representing Originator to repurchase
loans that become delinquent in the first three monthly payments
following the date of acquisition. Such loans will be repurchased
at the related repurchase price.
The transaction's cash flow structure is generally similar to that
of other non-QM securitizations. The transaction employs a
sequential-pay cash flow structure with a pro rata principal
distribution among the senior tranches subject to certain
performance triggers related to cumulative losses or delinquencies
exceeding a specified threshold (Credit Event). The Class A-1A and
Class A-1B certificates, and separately Class A-1FCF and Class
A-1LCF, have group-specific allocations of principal, interest, and
loss allocation rules within their respective groups. Principal
proceeds will be allocated to cover interest shortfalls on the
senior-most certificates before being applied sequentially to
amortize the balances of the more subordinated certificates. Excess
spread can be used to cover realized losses first before being
allocated to unpaid Cap Carryover Amounts due to the senior
certificates. The Class A-1 is an exchangeable certificate and can
be exchanged with the Class A-1A and Class A-1B as specified in the
offering documents. Also, the excess spread can be used to cover
realized losses first before being allocated to unpaid Cap
Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if
issued with fixed rate).
Of note, the Class A Certificates coupon rates step-up by 100 basis
points on and after the payment date in April 2030. Interest and
principal otherwise payable to the Class B-3 Certificates as
accrued and unpaid interest may be used to pay the Class A
Certificates Cap Carryover Amounts.
The credit ratings reflect transactional strengths that include the
following:
-- Robust Loan Attributes and Pool Composition;
-- Compliance with the ATR Rules;
-- Satisfactory third-party due diligence review;
-- Current loan status; and
-- Improved underwriting standards.
The transaction also includes the following challenges:
-- Debt Service Coverage Ratio (DSCR) Loans;
-- Certain Non-Prime, Non-QM, Investor Loans, and Loans to Foreign
National Borrowers;
-- Representations and warranties framework; and
-- Limited Servicer Advances of Delinquent Principal and Interest
(P&I).
Morningstar DBRS' credit ratings on the Certificates address the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the rated Certificates are the
related Interest Distribution Amount, Interest Carryforward Amount,
and Class Balance. The associated financial obligations are listed
at the end of this press release.
Morningstar DBRS' credit ratings on the Class A Certificates also
address the credit risk associated with the increased rate of
interest applicable if the Class A certificates remain outstanding
on or after the distribution date in April 2030 in accordance with
the applicable transaction document(s).
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, in this transaction, Morningstar DBRS'
credit ratings do not address the payment of any cap carryover
amount based on its position in the cash flow waterfall.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes:
All figures are in U.S. dollars unless otherwise noted.
GCAT TRUST 2026-NQM2: Moody's Assigns (P)Ba2 Rating to B-1 Certs
----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 9 classes of
residential mortgage-backed securities (RMBS) to be issued by GCAT
2026-NQM2 Trust, and sponsored by Blue River Mortgage VI LLC and
TPG Mortgage Investment Trust, Inc.
The securities are backed by a pool of prime and non-prime quality,
non-qualified (non-QM) and investor residential mortgages
aggregated by GCAT 2025-34, LLC, GCAT 2025-35, LLC, and GCAT
2026-38 LLC; originated by multiple entities and serviced by NewRez
LLC d/b/a Shellpoint Mortgage Servicing.
The complete rating actions are as follows:
Issuer: GCAT 2026-NQM2 Trust
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-1A, Assigned (P)Aaa (sf)
Cl. A-1B, Assigned (P)Aaa (sf)
Cl. A-1FCF, Assigned (P)Aaa (sf)
Cl. A-1LCF, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aa2 (sf)
Cl. A-3, Assigned (P)A1 (sf)
Cl. M-1, Assigned (P)Baa2 (sf)
Cl. B-1, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
1.67%, in a baseline scenario-median is 1.10% and reaches 17.33% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations" published in August 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
GGP TRUST 2026-2PAK: DBRS Gives (P)BB Rating on Class E Certs
-------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the following classes of Commercial Mortgage Pass-Through
Certificates, Series 2026-2PAK (the Certificates) to be issued by
GGP Trust 2026-2PAK (GGP 2026-2PAK, or the Trust):
--Class A at (P) AAA (sf)
--Class B at (P) AA (sf)
--Class C at (P) A (low) (sf)
--Class D at (P) BBB (low) (sf)
--Class E at (P) BB (sf)
--Class HRR at (P) BB (low) (sf)
All trends are Stable.
The collateral for the GGP 2026-2PAK single-asset/single-borrower
(SASB) transaction includes the borrower's fee-simple interest in a
portfolio of two regional malls: Willowbrook Mall (59.3% of
allocated loan amount (ALA)) in Houston and Altamonte Mall (40.7%
of ALA) in Altamonte Springs, Florida. The two properties total
2,697,972 square feet (sf), and the collateral portion constitutes
1,193,710 sf. As of the January 2026 rent roll, the portfolio was
approximately 96.8% occupied based on collateral sf, and 89.8%
occupied based on total sf. The portfolio's collateral averaged
94.9% occupancy from 2021 through 2025, and occupancy did not fall
below 93.5% over this period.
Willowbrook Mall is approximately 20 miles northwest of downtown
Houston. The property totals 1,526,574 sf, of which 542,202 sf is
collateral for the transaction. Noncollateral space is
predominately filled by anchor tenants including Dillard's,
JCPenney, Macy's, and Macy's Men and Furniture. Willowbrook Mall
featured a vacant anchor space that was previously occupied by
Sears. General Growth Partners (GGP; the sponsor) transformed and
re-leased the majority of the vacant space to Round1 Entertainment
Venue, which opened in December 2025. A portion of the remaining
space will be occupied by Primark, which is anticipated to open in
June 2026. Notable collateral tenants include Dick's Sporting
Goods, Nordstrom Rack, H&M, Zara, Old Navy, Victoria's Secret, and
Apple. The collateral reported in-line sales of $545 per square
foot (psf) (excluding Apple) as of YE2025, representing an 11.4%
decline from YE2021 in-line sales of $615 psf (excluding Apple).
Scheduled lease rollover through YE2031 represents approximately
76.4% of the Morningstar DBRS cumulative collateral net rentable
area (NRA) and approximately 86.4% of the cumulative Morningstar
DBRS gross rent.
Built in 1973, Altamonte Mall is approximately 10 miles north of
downtown Orlando. The property totals 1,171,398 sf, of which
651,508 sf is collateral for the transaction. The mall is anchored
by JCPenney and noncollateral Dillard's, Macy's, and a vacant
anchor space that was formerly occupied by Sears. The collateral
also includes an out-parcel space, which is home to an 18-screen
AMC Theatre. Notable collateral tenants include H&M, Barnes &
Noble, Old Navy, Victoria's Secret, and Apple. The vacant former
Sears space is owned by a joint venture between the sponsor and
Seritage Growth. The sponsor intends to lease the vacant space to a
national entertainment operator. Altamonte Mall has demonstrated
year-over-year declining sales from 2022 to 2024. The collateral
reported in-line sales of $453 psf (excluding Apple) as of YE2025,
representing an 8.1% decline from YE2022 in-line sales of $493 psf
(excluding Apple). Scheduled lease rollover through YE2031
represents approximately 87.4% of the Morningstar DBRS cumulative
collateral NRA and approximately 87.5% of the cumulative
Morningstar DBRS gross rent.
The sponsor for this transaction is a joint venture between General
Growth Partners (GGP) and New York State Common Retirement Fund
(NYSCRF). GGP is a global real estate services company owned by
affiliates of Brookfield Asset Management (Brookfield) and is one
of the largest retail real estate companies in the U.S. The
portfolio encompasses more than 100 million sf of retail space in
more than 100 locations, spanning 35 states. NYSCRF is the
third-largest public pension plan in the U.S. and reported $273
billion in net assets as of March 2025.
Morningstar DBRS views the overall credit profile of the
transaction as neutral to negative, with the portfolio's
experienced sponsorship and consistent occupancy trends as
mitigants to its regional mall nature, low sales, and elevated
lease rollover. Although the portfolio will continue to face
headwinds with the proliferation of e-commerce, increasing
popularity of outdoor/lifestyle retail, and the dated vintages of
the collateral buildings, its ability to maintain a diverse tenant
roster and stable occupancy indicates its dynamic nature and the
ability to adapt to each mall's respective market for longevity.
Morningstar DBRS' credit ratings on the Certificates address the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Principal Distribution
Amounts and Interest Distribution Amounts for the rated classes.
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, Yield Maintenance Premiums.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes:
All figures are in U.S. unless otherwise noted.
GOLDENTREE LOAN 28: Fitch Assigns 'B-sf' Rating on Class F Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to
GoldenTree Loan Management US CLO 28, Ltd.
Entity/Debt Rating
----------- ------
GoldenTree Loan
Management US
CLO 28, Ltd.
X LT AAAsf New Rating
A LT NRsf New Rating
A-J 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
D-J LT BBB-sf New Rating
E LT BB-sf New Rating
F LT B-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
GoldenTree Loan Management US CLO 28, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by GLM III, LP. 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: 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 23.58, and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 100%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.65% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: 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: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for the WAL covenants that
are greater than six years, to account for structural and
reinvestment conditions after the reinvestment period. In Fitch's
opinion, these conditions would reduce the effective risk horizon
of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X notes, between 'BBB+sf' and 'AA+sf'
for class A-J notes, between 'BB+sf' and 'A+sf' for class B notes,
between 'B+sf' and 'BBB+sf' for class C notes, between less than
'B-sf' and 'BB+sf' for class D-1/D-2 notes, between less than
'B-sf' and 'BB+sf' for class D-J notes, between less than 'B-sf'
and 'B+sf' for class E notes and between less than 'B-sf' and
'B+sf' for class F notes.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X notes and class
A-J 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 notes, 'AAsf' for class C notes,
'A-sf' for class D-1/D-2 notes, 'A-sf' for class D-J notes,
'BBB+sf' for class E notes and 'BB+sf' for class F notes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for GoldenTree Loan
Management US CLO 28, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
GS MORTGAGE 2026-PJ3: DBRS Gives (P)B(low) Rating on B-5 Debt
-------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned the following provisional
credit ratings to the Mortgage-Backed Notes, Series 2026-PJ3 (the
Notes) to be issued by GS Mortgage-Backed Securities Trust
2026-PJ3:
-- $274.4 million Class A-1 at (P) AAA (sf)
-- $274.4 million Class A-2 at (P) AAA (sf)
-- $274.4 million Class A-3 at (P) AAA (sf)
-- $205.8 million Class A-4 at (P) AAA (sf)
-- $205.8 million Class A-5 at (P) AAA (sf)
-- $205.8 million Class A-6 at (P) AAA (sf)
-- $164.6 million Class A-7 at (P) AAA (sf)
-- $164.6 million Class A-8 at (P) AAA (sf)
-- $164.6 million Class A-9 at (P) AAA (sf)
-- $41.2 million Class A-10 at (P) AAA (sf)
-- $41.2 million Class A-11 at (P) AAA (sf)
-- $41.2 million Class A-12 at (P) AAA (sf)
-- $109.7 million Class A-13 at (P) AAA (sf)
-- $109.7 million Class A-14 at (P) AAA (sf)
-- $109.7 million Class A-15 at (P) AAA (sf)
-- $68.6 million Class A-16 at (P) AAA (sf)
-- $68.6 million Class A-17 at (P) AAA (sf)
-- $68.6 million Class A-18 at (P) AAA (sf)
-- $29.4 million Class A-19 at (P) AAA (sf)
-- $29.4 million Class A-20 at (P) AAA (sf)
-- $29.4 million Class A-21 at (P) AAA (sf)
-- $303.7 million Class A-22 at (P) AAA (sf)
-- $303.7 million Class A-23 at (P) AAA (sf)
-- $303.7 million Class A-24 at (P) AAA (sf)
-- $303.7 million Class A-25 at (P) AAA (sf)
-- $54.9 million Class A-27 at (P) AAA (sf)
-- $54.9 million Class A-28 at (P) AAA (sf)
-- $54.9 million Class A-29 at (P) AAA (sf)
-- $54.9 million Class A-30 at (P) AAA (sf)
-- $54.9 million Class A-31 at (P) AAA (sf)
-- $54.9 million Class A-32 at (P) AAA (sf)
-- $54.9 million Class A-33 at (P) AAA (sf)
-- $54.9 million Class A-34 at (P) AAA (sf)
-- $54.9 million Class A-35 at (P) AAA (sf)
-- $303.7 million Class A-X-1 at (P) AAA (sf)
-- $274.4 million Class A-X-2 at (P) AAA (sf)
-- $274.4 million Class A-X-3 at (P) AAA (sf)
-- $274.4 million Class A-X-4 at (P) AAA (sf)
-- $205.8 million Class A-X-5 at (P) AAA (sf)
-- $205.8 million Class A-X-6 at (P) AAA (sf)
-- $205.8 million Class A-X-7 at (P) AAA (sf)
-- $164.6 million Class A-X-8 at (P) AAA (sf)
-- $164.6 million Class A-X-9 at (P) AAA (sf)
-- $164.6 million Class A-X-10 at (P) AAA (sf)
-- $41.2 million Class A-X-11 at (P) AAA (sf)
-- $41.2 million Class A-X-12 at (P) AAA (sf)
-- $41.2 million Class A-X-13 at (P) AAA (sf)
-- $109.7 million Class A-X-14 at (P) AAA (sf)
-- $109.7 million Class A-X-15 at (P) AAA (sf)
-- $109.7 million Class A-X-16 at (P) AAA (sf)
-- $68.6 million Class A-X-17 at (P) AAA (sf)
-- $68.6 million Class A-X-18 at (P) AAA (sf)
-- $68.6 million Class A-X-19 at (P) AAA (sf)
-- $29.4 million Class A-X-20 at (P) AAA (sf)
-- $29.4 million Class A-X-21 at (P) AAA (sf)
-- $29.4 million Class A-X-22 at (P) AAA (sf)
-- $303.7 million Class A-X-23 at (P) AAA (sf)
-- $303.7 million Class A-X-24 at (P) AAA (sf)
-- $303.7 million Class A-X-25 at (P) AAA (sf)
-- $303.7 million Class A-X-26 at (P) AAA (sf)
-- $54.9 million Class A-X-27 at (P) AAA (sf)
-- $54.9 million Class A-X-28 at (P) AAA (sf)
-- $54.9 million Class A-X-30 at (P) AAA (sf)
-- $54.9 million Class A-X-31 at (P) AAA (sf)
-- $54.9 million Class A-X-33 at (P) AAA (sf)
-- $54.9 million Class A-X-34 at (P) AAA (sf)
-- $7.7 million Class B-1 at (P) AA (low) (sf)
-- $7.7 million Class B-X-1 at (P) AA (low) (sf)
-- $7.7 million Class B-1A at (P) AA (low) (sf)
-- $4.8 million Class B-2 at (P) A (low) (sf)
-- $4.8 million Class B-X-2 at (P) A (low) (sf)
-- $4.8 million Class B-2A at (P) A (low) (sf)
-- $3.2 million Class B-3 at (P) BBB (low) (sf)
-- $1.8 million Class B-4 at (P) BB (low) (sf)
-- $645.0 thousand Class B-5 at (P) B (low) (sf)
-- $274.4 million Class A-1L Loans at (P) AAA (sf)
-- $274.4 million Class A-2L Loans at (P) AAA (sf)
-- $274.4 million Class A-3L Loans at (P) AAA (sf)
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-28, A-29, A-30,
A-31, A-32, A-33, A-34, A-35, A-1L Loans, A-2L Loans, and A-3L
Loans are super-senior classes. These classes benefit from
additional protection from the senior support notes (Classes A-19,
A-20, and 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, A-X-27, A-X-28, A-X-30, A-X-31, A-X-33, A-X-34,
B-X-1, and B-X-2 are interest-only 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-9, 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-28, A-29, A-31, A-32, A-34, A-35, 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-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, B-2, A-1L
Loans, A-2L Loans, and A-3L Loans are exchangeable classes. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.
Classes A-1L, A-2L, and A-3L are loans that may be funded at the
Closing Date as specified in the offering documents.
The (P) AAA (sf) credit ratings on the Notes reflect 5.90% 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 3.50%, 2.00%, 1.00%, 0.45%,
and 0.25% credit enhancement, respectively.
The securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Mortgage-Backed
Notes, Series 2026-PJ3 (the Notes). The Notes are backed by 255
loans with a total principal balance of $322,776,877 as of the
Cut-Off Date *.
*The collateral description and disclosure on the mortgage loans in
this report reflect the approximate aggregate characteristics as of
the Cut-Off Date unless otherwise specified.
The pool consists of first-lien, fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of 30 years. The
weighted-average (WA) original combined loan-to-value (CLTV) for
the portfolio is 72.2%. In addition, all the loans in the pool were
originated in accordance with the general Qualified Mortgage (QM)
rule subject to the average prime offer rate designation.
The mortgage loans are originated by United Wholesale Mortgage, LLC
(41.7%), PennyMac Loan Services, LLC (13.0%) and other originators
each comprising less than 10.0% of the pool.
The mortgage loans will be serviced by United Wholesale Mortgage,
LLC (41.7%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (33.6%)
and PennyMac Loan Services, LLC (24.8%). Rocket Mortgage, LLC will
act as the Master Servicer, and Computershare Trust Company, N.A.
will act as Paying Agent, Loan Agent, Custodian and Collateral
Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the
File Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
This transaction allows for the issuance of Classes A-1L, A-2L and
A-3L loans which are the equivalent of ownership of Classes A-1,
A-2 and A-3 Notes, respectively. These classes are issued in the
form of a loan made by the investor instead of a note purchased by
the investor. If these loans are funded at closing, the holder may
convert such class into an equal aggregate debt amount of the
corresponding Notes. There is no change to the structure if these
Classes are elected.
The credit ratings reflect transactional strengths that include the
following:
-- High-quality credit attributes.
-- Well-qualified borrowers.
-- Satisfactory third-party due-diligence review.
-- Structural enhancements.
-- 100% current loans.
The transaction also includes the following challenges:
-- Representations and warranties framework.
-- Servicers' financial capabilities.
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Interest Payment Amounts, the
related Interest Shortfalls, and the related Debt Amounts (for
non-interest-only certificates).
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2026-PJ3: Fitch Assigns 'Bsf' Rating on Class B5 Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the notes issued by GS
Mortgage-Backed Securities Trust 2026-PJ3 (GSMBS 2026-PJ3).
Entity/Debt Rating Prior
----------- ------ -----
GSMBS 2026-PJ3
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A19 LT AAAsf New Rating AAA(EXP)sf
A20 LT AAAsf New Rating AAA(EXP)sf
A21 LT AAAsf New Rating AAA(EXP)sf
A22 LT AAAsf New Rating AAA(EXP)sf
A23 LT AAAsf New Rating AAA(EXP)sf
A24 LT AAAsf New Rating AAA(EXP)sf
A25 LT AAAsf New Rating AAA(EXP)sf
A27 LT AAAsf New Rating AAA(EXP)sf
A28 LT AAAsf New Rating AAA(EXP)sf
A29 LT AAAsf New Rating AAA(EXP)sf
A30 LT AAAsf New Rating AAA(EXP)sf
A31 LT AAAsf New Rating AAA(EXP)sf
A32 LT AAAsf New Rating AAA(EXP)sf
A33 LT AAAsf New Rating AAA(EXP)sf
A34 LT AAAsf New Rating AAA(EXP)sf
A35 LT AAAsf New Rating AAA(EXP)sf
AX1 LT AAAsf New Rating AAA(EXP)sf
AX2 LT AAAsf New Rating AAA(EXP)sf
AX3 LT AAAsf New Rating AAA(EXP)sf
AX4 LT AAAsf New Rating AAA(EXP)sf
AX5 LT AAAsf New Rating AAA(EXP)sf
AX6 LT AAAsf New Rating AAA(EXP)sf
AX7 LT AAAsf New Rating AAA(EXP)sf
AX8 LT AAAsf New Rating AAA(EXP)sf
AX9 LT AAAsf New Rating AAA(EXP)sf
AX10 LT AAAsf New Rating AAA(EXP)sf
AX11 LT AAAsf New Rating AAA(EXP)sf
AX12 LT AAAsf New Rating AAA(EXP)sf
AX13 LT AAAsf New Rating AAA(EXP)sf
AX14 LT AAAsf New Rating AAA(EXP)sf
AX15 LT AAAsf New Rating AAA(EXP)sf
AX16 LT AAAsf New Rating AAA(EXP)sf
AX17 LT AAAsf New Rating AAA(EXP)sf
AX18 LT AAAsf New Rating AAA(EXP)sf
AX19 LT AAAsf New Rating AAA(EXP)sf
AX20 LT AAAsf New Rating AAA(EXP)sf
AX21 LT AAAsf New Rating AAA(EXP)sf
AX22 LT AAAsf New Rating AAA(EXP)sf
AX23 LT AAAsf New Rating AAA(EXP)sf
AX24 LT AAAsf New Rating AAA(EXP)sf
AX25 LT AAAsf New Rating AAA(EXP)sf
AX26 LT AAAsf New Rating AAA(EXP)sf
AX27 LT AAAsf New Rating AAA(EXP)sf
AX28 LT AAAsf New Rating AAA(EXP)sf
AX30 LT AAAsf New Rating AAA(EXP)sf
AX31 LT AAAsf New Rating AAA(EXP)sf
AX33 LT AAAsf New Rating AAA(EXP)sf
AX34 LT AAAsf New Rating AAA(EXP)sf
B1 LT AAsf New Rating AA(EXP)sf
B1A LT AAsf New Rating AA(EXP)sf
BX1 LT AAsf New Rating AA(EXP)sf
B2 LT Asf New Rating A(EXP)sf
B2A LT Asf New Rating A(EXP)sf
BX2 LT Asf New Rating A(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BBsf New Rating BB(EXP)sf
B5 LT Bsf New Rating B(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
A1L Loans LT WDsf Withdrawn AAA(EXP)sf
A2L Loans LT WDsf Withdrawn AAA(EXP)sf
A3L Loans LT WDsf Withdrawn AAA(EXP)sf
Transaction Summary
The GSMBS 2026-PJ3 certificates are supported by 255 prime,
fixed-rate loans with a total balance of approximately $322.8
million as of the cutoff date.
Fitch has withdrawn the expected ratings of 'AAA(EXP)sf' for the
previous classes' A-1L loans, A-2L loans, and A-3L loans, as these
were not funded at close and are not being offered.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets (Positive): RMBS transactions are
directly affected by the performance of the underlying residential
mortgages or mortgage-related assets. Fitch analyzes loan-level
attributes and macroeconomic factors to assess the credit risk and
expected losses. GSMBS 2026-PJ3 has a final probability of default
(PD) of 10.7% in the 'AAA' rating stress. Fitch's Final Loss
Severity in the 'AAAsf' rating stress is 33.9%. The expected loss
in the 'AAAsf' rating stress is 3.6%.
Structural Analysis (Mixed): The mortgage cash flow and loss
allocation in GSMBS 2026-PJ3 are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years.
Fitch analyses the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The credit enhancement for all ratings was
sufficient for the given rating levels. The credit enhancement for
a given rating exceeded the expected losses of that rating stress
to address the structures recoupment of advances and leakage of
principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction. Fitch applies
an approximate 5% PD reduction for loans fully reviewed by the TPR
firm and have a final grade of either A or B.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material outcome on
the performance of the transaction. In addition, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects GSMBS 2026-PJ3 to be fully
de-linked and bankruptcy remote SPV. All transaction parties and
triggers align with Fitch expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to GSMBS 2026-PJ3 and therefore Fitch is comfortable rating to the
highest possible rating at 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0%, in addition to the model projected 37.3% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Opus Capital Markets Consultants, LLC and Situs AMC.
The third-party due diligence described in Form 15E focused on
credit, compliance, and property valuation. Fitch considered this
information in its analysis and, as a result, Fitch applied an
approximately 5-bp origination PD credit for loans fully reviewed
by the TPR firm and have a final grade of either A or B.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GS MORTGAGE 2026-PJ4: DBRS Gives (P)B(low) on Cl. B-5 Notes
-----------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned the following provisional
credit ratings to the Mortgage-Backed Notes, Series 2026-PJ4 (the
Notes) to be issued by GS Mortgage-Backed Securities Trust
2026-PJ4:
-- $274.7 million Class A-1 at (P) AAA (sf)
-- $274.7 million Class A-2 at (P) AAA (sf)
-- $274.7 million Class A-3 at (P) AAA (sf)
-- $206.0 million Class A-4 at (P) AAA (sf)
-- $206.0 million Class A-5 at (P) AAA (sf)
-- $206.0 million Class A-6 at (P) AAA (sf)
-- $164.8 million Class A-7 at (P) AAA (sf)
-- $164.8 million Class A-8 at (P) AAA (sf)
-- $164.8 million Class A-9 at (P) AAA (sf)
-- $41.2 million Class A-10 at (P) AAA (sf)
-- $41.2 million Class A-11 at (P) AAA (sf)
-- $41.2 million Class A-12 at (P) AAA (sf)
-- $109.9 million Class A-13 at (P) AAA (sf)
-- $109.9 million Class A-14 at (P) AAA (sf)
-- $109.9 million Class A-15 at (P) AAA (sf)
-- $68.7 million Class A-16 at (P) AAA (sf)
-- $68.7 million Class A-17 at (P) AAA (sf)
-- $68.7 million Class A-18 at (P) AAA (sf)
-- $30.1 million Class A-19 at (P) AAA (sf)
-- $30.1 million Class A-20 at (P) AAA (sf)
-- $30.1 million Class A-21 at (P) AAA (sf)
-- $304.7 million Class A-22 at (P) AAA (sf)
-- $304.7 million Class A-23 at (P) AAA (sf)
-- $304.7 million Class A-24 at (P) AAA (sf)
-- $304.7 million Class A-25 at (P) AAA (sf)
-- $54.9 million Class A-27 at (P) AAA (sf)
-- $54.9 million Class A-28 at (P) AAA (sf)
-- $54.9 million Class A-29 at (P) AAA (sf)
-- $54.9 million Class A-30 at (P) AAA (sf)
-- $54.9 million Class A-31 at (P) AAA (sf)
-- $54.9 million Class A-32 at (P) AAA (sf)
-- $54.9 million Class A-33 at (P) AAA (sf)
-- $54.9 million Class A-34 at (P) AAA (sf)
-- $54.9 million Class A-35 at (P) AAA (sf)
-- $304.7 million Class A-X-1 at (P) AAA (sf)
-- $274.7 million Class A-X-2 at (P) AAA (sf)
-- $274.7 million Class A-X-3 at (P) AAA (sf)
-- $274.7 million Class A-X-4 at (P) AAA (sf)
-- $206.0 million Class A-X-5 at (P) AAA (sf)
-- $206.0 million Class A-X-6 at (P) AAA (sf)
-- $206.0 million Class A-X-7 at (P) AAA (sf)
-- $164.8 million Class A-X-8 at (P) AAA (sf)
-- $164.8 million Class A-X-9 at (P) AAA (sf)
-- $164.8 million Class A-X-10 at (P) AAA (sf)
-- $41.2 million Class A-X-11 at (P) AAA (sf)
-- $41.2 million Class A-X-12 at (P) AAA (sf)
-- $41.2 million Class A-X-13 at (P) AAA (sf)
-- $109.9 million Class A-X-14 at (P) AAA (sf)
-- $109.9 million Class A-X-15 at (P) AAA (sf)
-- $109.9 million Class A-X-16 at (P) AAA (sf)
-- $68.7 million Class A-X-17 at (P) AAA (sf)
-- $68.7 million Class A-X-18 at (P) AAA (sf)
-- $68.7 million Class A-X-19 at (P) AAA (sf)
-- $30.1 million Class A-X-20 at (P) AAA (sf)
-- $30.1 million Class A-X-21 at (P) AAA (sf)
-- $30.1 million Class A-X-22 at (P) AAA (sf)
-- $304.7 million Class A-X-23 at (P) AAA (sf)
-- $304.7 million Class A-X-24 at (P) AAA (sf)
-- $304.7 million Class A-X-25 at (P) AAA (sf)
-- $304.7 million Class A-X-26 at (P) AAA (sf)
-- $54.9 million Class A-X-27 at (P) AAA (sf)
-- $54.9 million Class A-X-28 at (P) AAA (sf)
-- $54.9 million Class A-X-30 at (P) AAA (sf)
-- $54.9 million Class A-X-31 at (P) AAA (sf)
-- $54.9 million Class A-X-33 at (P) AAA (sf)
-- $54.9 million Class A-X-34 at (P) AAA (sf)
-- $7.8 million Class B-1 at (P) AA (low) (sf)
-- $7.8 million Class B-1A at (P) AA (low) (sf)
-- $7.8 million Class B-X-1 at (P) AA (low) (sf)
-- $4.7 million Class B-2 at (P) A (low) (sf)
-- $4.7 million Class B-2A at (P) A (low) (sf)
-- $4.7 million Class B-X-2 at (P) A (low) (sf)
-- $2.9 million Class B-3 at (P) BBB (low) (sf)
-- $1.5 million Class B-4 at (P) BB (sf)
-- $808.0 thousand Class B-5 at (P) B (low) (sf)
-- $274.7 million Class A-1L Loans at (P) AAA (sf)
-- $274.7 million Class A-2L Loans at (P) AAA (sf)
-- $274.7 million Class A-3L Loans at (P) AAA (sf)
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-28, A-29, A-30,
A-31, A-32, A-33, A-34, A-35, A-1L Loans, A-2L Loans, and A-3L
Loans are super-senior classes. These classes benefit from
additional protection from the senior support notes (Classes A-19,
A-20, and 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, A-X-27, A-X-28, A-X-30, A-X-31, A-X-33, A-X-34,
B-X-1, and B-X-2 are interest-only 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-9, 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-28, A-29, A-31, A-32, A-34, A-35, 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-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, B-2, A-1L
Loans, A-2L Loans, and A-3L Loans are exchangeable classes. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.
Classes A-1L, A-2L, and A-3L are loans that may be funded at the
Closing Date as specified in the offering documents.
The (P) AAA (sf) credit ratings on the Notes reflect 5.70% of
credit enhancement provided by subordinated notes. The (P) AA (low)
(sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B
(low) (sf) credit ratings reflect 3.30%, 1.85%, 0.95%, 0.50%, and
0.25% credit enhancement, respectively.
The securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Notes. The
Notes are backed by 250 loans with a total principal balance of
$323,144,245 as of the Cut-Off Date. The collateral description and
disclosure on the mortgage loans in the related presale report
reflect the approximate aggregate characteristics as of the Cut-Off
Date unless otherwise specified.
The pool consists of first-lien, fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of 30 years. The
weighted-average (WA) original combined loan-to-value (CLTV) for
the portfolio is 72.3%. 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
(41.2%) and PennyMac Loan Services, LLC (16.8%) and other
originators each comprising less than 10.0% of the pool.
The mortgage loans will be serviced by United Wholesale Mortgage,
LLC (41.2%), PennyMac Loan Services, LLC (30.7%), and Newrez LLC
d/b/a Shellpoint Mortgage Servicing (28.1%). Computershare Trust
Company, N.A. will act as the Master Servicer, and Computershare
Trust Company, N.A. will also act as Paying Agent, Loan Agent, and
Custodian. U.S. Bank Trust Company, N.A. will act as Collateral
Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the
File Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
This transaction allows for the issuance of Classes A-1L, A-2L and
A-3L Loans which are the equivalent of ownership of Classes A-1,
A-2 and A-3 Notes, respectively. These classes are issued in the
form of a loan made by the investor instead of a note purchased by
the investor. If these loans are funded at closing, the holder may
convert such class into an equal aggregate debt amount of the
corresponding Notes. There is no change to the structure if these
Classes are elected.
The credit ratings reflect transactional strengths that include the
following:
-- High-quality credit attributes.
-- Well-qualified borrowers.
-- Satisfactory third-party due-diligence review.
-- Structural enhancements.
-- 100% current loans.
The transaction also includes the following challenges:
-- Representations and warranties framework.
-- Servicers' financial capabilities.
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Interest Payment Amounts, the
related Interest Shortfalls, and the related Debt Amounts (for
non-interest-only certificates).
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2026-PJ4: Fitch Assigns 'Bsf' Rating on Class B5 Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the notes issued by GS
Mortgage-Backed Securities Trust 2026-PJ4 (GSMBS 2026-PJ4).
Entity/Debt Rating Prior
----------- ------ -----
GSMBS 2026-PJ4
A1 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A19 LT AAAsf New Rating AAA(EXP)sf
A1L Loans LT WDsf Withdrawn AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A20 LT AAAsf New Rating AAA(EXP)sf
A21 LT AAAsf New Rating AAA(EXP)sf
A22 LT AAAsf New Rating AAA(EXP)sf
A23 LT AAAsf New Rating AAA(EXP)sf
A24 LT AAAsf New Rating AAA(EXP)sf
A25 LT AAAsf New Rating AAA(EXP)sf
A27 LT AAAsf New Rating AAA(EXP)sf
A28 LT AAAsf New Rating AAA(EXP)sf
A29 LT AAAsf New Rating AAA(EXP)sf
A2L Loans LT WDsf Withdrawn AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A30 LT AAAsf New Rating AAA(EXP)sf
A31 LT AAAsf New Rating AAA(EXP)sf
A32 LT AAAsf New Rating AAA(EXP)sf
A33 LT AAAsf New Rating AAA(EXP)sf
A34 LT AAAsf New Rating AAA(EXP)sf
A35 LT AAAsf New Rating AAA(EXP)sf
A3L Loans LT WDsf Withdrawn AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
AX1 LT AAAsf New Rating AAA(EXP)sf
AX10 LT AAAsf New Rating AAA(EXP)sf
AX11 LT AAAsf New Rating AAA(EXP)sf
AX12 LT AAAsf New Rating AAA(EXP)sf
AX13 LT AAAsf New Rating AAA(EXP)sf
AX14 LT AAAsf New Rating AAA(EXP)sf
AX15 LT AAAsf New Rating AAA(EXP)sf
AX16 LT AAAsf New Rating AAA(EXP)sf
AX17 LT AAAsf New Rating AAA(EXP)sf
AX18 LT AAAsf New Rating AAA(EXP)sf
AX19 LT AAAsf New Rating AAA(EXP)sf
AX2 LT AAAsf New Rating AAA(EXP)sf
AX20 LT AAAsf New Rating AAA(EXP)sf
AX21 LT AAAsf New Rating AAA(EXP)sf
AX22 LT AAAsf New Rating AAA(EXP)sf
AX23 LT AAAsf New Rating AAA(EXP)sf
AX24 LT AAAsf New Rating AAA(EXP)sf
AX25 LT AAAsf New Rating AAA(EXP)sf
AX26 LT AAAsf New Rating AAA(EXP)sf
AX27 LT AAAsf New Rating AAA(EXP)sf
AX28 LT AAAsf New Rating AAA(EXP)sf
AX3 LT AAAsf New Rating AAA(EXP)sf
AX30 LT AAAsf New Rating AAA(EXP)sf
AX31 LT AAAsf New Rating AAA(EXP)sf
AX33 LT AAAsf New Rating AAA(EXP)sf
AX34 LT AAAsf New Rating AAA(EXP)sf
AX4 LT AAAsf New Rating AAA(EXP)sf
AX5 LT AAAsf New Rating AAA(EXP)sf
AX6 LT AAAsf New Rating AAA(EXP)sf
AX7 LT AAAsf New Rating AAA(EXP)sf
AX8 LT AAAsf New Rating AAA(EXP)sf
AX9 LT AAAsf New Rating AAA(EXP)sf
B1 LT AAsf New Rating AA(EXP)sf
B1A LT AAsf New Rating AA(EXP)sf
B2 LT Asf New Rating A(EXP)sf
B2A LT Asf New Rating A(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BBsf New Rating BB(EXP)sf
B5 LT Bsf New Rating B(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
BX1 LT AAsf New Rating AA(EXP)sf
BX2 LT Asf New Rating A(EXP)sf
Transaction Summary
The certificates are supported by 250 prime, fixed-rate loans with
a total balance of approximately $323.14 million as of the cutoff
date.
Fitch is withdrawing its previously assigned 'AAA(EXP)sf' expected
ratings on the class A-1L, A-2L, and A-3L loans, as these are not
being issued at closing.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets (Positive): RMBS transactions are
directly affected by the performance of the underlying residential
mortgages or mortgage-related assets. Fitch analyzes loan-level
attributes and macroeconomic factors to assess the credit risk and
expected losses. GSMBS 2026-PJ4 has a Final PD of 10.2% in the
'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf'
rating stress is 34.2%. The expected loss in the 'AAAsf' rating
stress is 3.5%.
Structural Analysis (Mixed): The mortgage cash flow and loss
allocation in GSMBS 2026-PJ4 are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years.
Fitch analyses the capital structure to determine the adequacy of
the transaction's Credit Enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The credit enhancement for all ratings was
sufficient for the given rating levels. The credit enhancement for
a given rating exceeded the expected losses of that rating stress
to address the structures recoupment of advances and leakage of
principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction. Fitch applied
an approximate 5% PD reduction for loans fully reviewed by the TPR
firm and have a final grade of either 'A' or 'B'.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material outcome on the
performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entity. Fitch expects GSMBS 2026-PJ4 to be fully
de-linked and bankruptcy remote SPV. All transaction parties and
triggers align with Fitch expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to GSMBS 2026-PJ4 and therefore Fitch is comfortable rating to the
highest possible rating at 'AAAsf' without any Rating Caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0%, in addition to the model projected 37.5% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Opus Capital Markets Consultants, LLC and Situs AMC.
The third-party due diligence described in Form 15E focused on
credit, compliance, and property valuation. Fitch considered this
information in its analysis and, as a result, Fitch applied an
approximately 5-bp origination PD credit for loans fully reviewed
by the TPR firm and have a final grade of either "A" or "B."
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GS MORTGAGE 2026-PJ5: DBRS Gives (P)B(low) on Cl. B-5 Notes
-----------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned the following provisional
credit ratings to the Mortgage-Backed Notes, Series 2026-PJ5 (the
Notes) to be issued by GS Mortgage-Backed Securities Trust
2026-PJ5:
-- $274.7 million Class A-1 at (P) AAA (sf)
-- $274.7 million Class A-2 at (P) AAA (sf)
-- $274.7 million Class A-3 at (P) AAA (sf)
-- $206.0 million Class A-4 at (P) AAA (sf)
-- $206.0 million Class A-5 at (P) AAA (sf)
-- $206.0 million Class A-6 at (P) AAA (sf)
-- $164.8 million Class A-7 at (P) AAA (sf)
-- $164.8 million Class A-8 at (P) AAA (sf)
-- $164.8 million Class A-9 at (P) AAA (sf)
-- $41.2 million Class A-10 at (P) AAA (sf)
-- $41.2 million Class A-11 at (P) AAA (sf)
-- $41.2 million Class A-12 at (P) AAA (sf)
-- $109.9 million Class A-13 at (P) AAA (sf)
-- $109.9 million Class A-14 at (P) AAA (sf)
-- $109.9 million Class A-15 at (P) AAA (sf)
-- $68.7 million Class A-16 at (P) AAA (sf)
-- $68.7 million Class A-17 at (P) AAA (sf)
-- $68.7 million Class A-18 at (P) AAA (sf)
-- $27.5 million Class A-19 at (P) AAA (sf)
-- $27.5 million Class A-20 at (P) AAA (sf)
-- $27.5 million Class A-21 at (P) AAA (sf)
-- $302.1 million Class A-22 at (P) AAA (sf)
-- $302.1 million Class A-23 at (P) AAA (sf)
-- $302.1 million Class A-24 at (P) AAA (sf)
-- $302.1 million Class A-25 at (P) AAA (sf)
-- $54.9 million Class A-27 at (P) AAA (sf)
-- $54.9 million Class A-28 at (P) AAA (sf)
-- $54.9 million Class A-29 at (P) AAA (sf)
-- $54.9 million Class A-30 at (P) AAA (sf)
-- $54.9 million Class A-31 at (P) AAA (sf)
-- $54.9 million Class A-32 at (P) AAA (sf)
-- $54.9 million Class A-33 at (P) AAA (sf)
-- $54.9 million Class A-34 at (P) AAA (sf)
-- $54.9 million Class A-35 at (P) AAA (sf)
-- $302.1 million Class A-X-1 at (P) AAA (sf)
-- $274.7 million Class A-X-2 at (P) AAA (sf)
-- $274.7 million Class A-X-3 at (P) AAA (sf)
-- $274.7 million Class A-X-4 at (P) AAA (sf)
-- $206.0 million Class A-X-5 at (P) AAA (sf)
-- $206.0 million Class A-X-6 at (P) AAA (sf)
-- $206.0 million Class A-X-7 at (P) AAA (sf)
-- $164.8 million Class A-X-8 at (P) AAA (sf)
-- $164.8 million Class A-X-9 at (P) AAA (sf)
-- $164.8 million Class A-X-10 at (P) AAA (sf)
-- $41.2 million Class A-X-11 at (P) AAA (sf)
-- $41.2 million Class A-X-12 at (P) AAA (sf)
-- $41.2 million Class A-X-13 at (P) AAA (sf)
-- $109.9 million Class A-X-14 at (P) AAA (sf)
-- $109.9 million Class A-X-15 at (P) AAA (sf)
-- $109.9 million Class A-X-16 at (P) AAA (sf)
-- $68.7 million Class A-X-17 at (P) AAA (sf)
-- $68.7 million Class A-X-18 at (P) AAA (sf)
-- $68.7 million Class A-X-19 at (P) AAA (sf)
-- $27.5 million Class A-X-20 at (P) AAA (sf)
-- $27.5 million Class A-X-21 at (P) AAA (sf)
-- $27.5 million Class A-X-22 at (P) AAA (sf)
-- $302.1 million Class A-X-23 at (P) AAA (sf)
-- $302.1 million Class A-X-24 at (P) AAA (sf)
-- $302.1 million Class A-X-25 at (P) AAA (sf)
-- $302.1 million Class A-X-26 at (P) AAA (sf)
-- $54.9 million Class A-X-27 at (P) AAA (sf)
-- $54.9 million Class A-X-28 at (P) AAA (sf)
-- $54.9 million Class A-X-30 at (P) AAA (sf)
-- $54.9 million Class A-X-31 at (P) AAA (sf)
-- $54.9 million Class A-X-33 at (P) AAA (sf)
-- $54.9 million Class A-X-34 at (P) AAA (sf)
-- $8.1 million Class B-1 at (P) AA (low) (sf)
-- $8.1 million Class B-X-1 at (P) AA (low) (sf)
-- $8.1 million Class B-1A at (P) AA (low) (sf)
-- $5.7 million Class B-2 at (P) A (low) (sf)
-- $5.7 million Class B-X-2 at (P) A (low) (sf)
-- $5.7 million Class B-2A at (P) A (low) (sf)
-- $3.7 million Class B-3 at (P) BBB (low) (sf)
-- $1.9 million Class B-4 at (P) BB (low) (sf)
-- $808.0 thousand Class B-5 at (P) B (low) (sf)
-- $274.7 million Class A-1L at (P) AAA (sf)
-- $274.7 million Class A-2L at (P) AAA (sf)
-- $274.7 million Class A-3L at (P) AAA (sf)
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-28, A-29, A-30,
A-31, A-32, A-33, A-34, A-35, A-1L Loans, A-2L Loans, and A-3L
Loans are super-senior classes. These classes benefit from
additional protection from the senior support notes (Classes A-19,
A-20, and 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, A-X-27, A-X-28, A-X-30, A-X-31, A-X-33, A-X-34,
B-X-1, and B-X-2 are interest-only 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-9, 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-28, A-29, A-31, A-32, A-34, A-35, 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-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, B-2, A-1L
Loans, A-2L Loans, and A-3L Loans are exchangeable classes. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.
Classes A-1L, A-2L, and A-3L are loans that may be funded at the
Closing Date as specified in the offering documents.
The (P) AAA (sf) credit ratings on the Notes reflect 6.50% 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 4.00%, 2.25%, 1.10%, 0.50%,
and 0.25% credit enhancement, respectively.
The securitization is a portfolio of first-lien fixed-rate prime
residential mortgages funded by the issuance of the Mortgage-Backed
Notes, Series 2026-PJ5 (the Notes). The Notes are backed by 242
loans with a total principal balance of $323,139,544 as of the
Cut-Off Date.
The pool consists of first-lien, fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of 30 years. The
weighted-average (WA) original combined loan-to-value (CLTV) for
the portfolio is 73.2%. In addition, all the loans in the pool were
originated in accordance with the general Qualified Mortgage (QM)
rule subject to the average prime offer rate designation.
The mortgage loans are originated by United Wholesale Mortgage, LLC
(15.8%), LoanDepot.com (12.1%) and other originators each
comprising less than 10.0% of the pool.
The mortgage loans will be serviced by Newrez LLC d/b/a Shellpoint
Mortgage Servicing (44.4%),PennyMac Loan Services, LLC (27.8%), and
United Wholesale Mortgage, LLC (15.8%). Rocket Mortgage, LLC will
act as the Master Servicer, and Computershare Trust Company, N.A.
will act as Paying Agent, Loan Agent, Custodian and Collateral
Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the
File Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
This transaction allows for the issuance of Classes A-1L, A-2L and
A-3L loans which are the equivalent of ownership of Classes A-1,
A-2 and A-3 Notes, respectively. These classes are issued in the
form of a loan made by the investor instead of a note purchased by
the investor. If these loans are funded at closing, the holder may
convert such class into an equal aggregate debt amount of the
corresponding Notes. There is no change to the structure if these
Classes are elected.
The credit ratings reflect transactional strengths that include the
following:
-- High-quality credit attributes.
-- Well-qualified borrowers.
-- Satisfactory third-party due-diligence review.
-- Structural enhancements.
-- 100% current loans.
The transaction also includes the following challenges:
-- Representations and warranties framework.
-- Servicers' financial capabilities.
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Interest Payment Amounts, the
related Interest Shortfalls, and the related Debt Amounts (for
non-interest-only certificates).
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
GS MORTGAGE 2026-PJ5: Fitch Assigns 'B-sf' Rating on Cl. B-5 Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the mortgage-backed
notes issued by GS Mortgage-Backed Securities Trust 2026-PJ5 (GSMBS
2026-PJ5).
Entity/Debt Rating Prior
----------- ------ -----
GSMBS 2026-PJ5
A-1 LT AAAsf New Rating AAA(EXP)sf
A-10 LT AAAsf New Rating AAA(EXP)sf
A-11 LT AAAsf New Rating AAA(EXP)sf
A-12 LT AAAsf New Rating AAA(EXP)sf
A-13 LT AAAsf New Rating AAA(EXP)sf
A-14 LT AAAsf New Rating AAA(EXP)sf
A-15 LT AAAsf New Rating AAA(EXP)sf
A-16 LT AAAsf New Rating AAA(EXP)sf
A-17 LT AAAsf New Rating AAA(EXP)sf
A-18 LT AAAsf New Rating AAA(EXP)sf
A-19 LT AAAsf New Rating AAA(EXP)sf
A-1L LT WDsf Withdrawn AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-20 LT AAAsf New Rating AAA(EXP)sf
A-21 LT AAAsf New Rating AAA(EXP)sf
A-22 LT AAAsf New Rating AAA(EXP)sf
A-23 LT AAAsf New Rating AAA(EXP)sf
A-24 LT AAAsf New Rating AAA(EXP)sf
A-25 LT AAAsf New Rating AAA(EXP)sf
A-27 LT AAAsf New Rating AAA(EXP)sf
A-28 LT AAAsf New Rating AAA(EXP)sf
A-29 LT AAAsf New Rating AAA(EXP)sf
A-2L LT WDsf Withdrawn AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-30 LT AAAsf New Rating AAA(EXP)sf
A-31 LT AAAsf New Rating AAA(EXP)sf
A-32 LT AAAsf New Rating AAA(EXP)sf
A-33 LT AAAsf New Rating AAA(EXP)sf
A-34 LT AAAsf New Rating AAA(EXP)sf
A-35 LT AAAsf New Rating AAA(EXP)sf
A-3L LT WDsf Withdrawn AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-6 LT AAAsf New Rating AAA(EXP)sf
A-7 LT AAAsf New Rating AAA(EXP)sf
A-8 LT AAAsf New Rating AAA(EXP)sf
A-9 LT AAAsf New Rating AAA(EXP)sf
A-X-1 LT AAAsf New Rating AAA(EXP)sf
A-X-10 LT AAAsf New Rating AAA(EXP)sf
A-X-11 LT AAAsf New Rating AAA(EXP)sf
A-X-12 LT AAAsf New Rating AAA(EXP)sf
A-X-13 LT AAAsf New Rating AAA(EXP)sf
A-X-14 LT AAAsf New Rating AAA(EXP)sf
A-X-15 LT AAAsf New Rating AAA(EXP)sf
A-X-16 LT AAAsf New Rating AAA(EXP)sf
A-X-17 LT AAAsf New Rating AAA(EXP)sf
A-X-18 LT AAAsf New Rating AAA(EXP)sf
A-X-19 LT AAAsf New Rating AAA(EXP)sf
A-X-2 LT AAAsf New Rating AAA(EXP)sf
A-X-20 LT AAAsf New Rating AAA(EXP)sf
A-X-21 LT AAAsf New Rating AAA(EXP)sf
A-X-22 LT AAAsf New Rating AAA(EXP)sf
A-X-23 LT AAAsf New Rating AAA(EXP)sf
A-X-24 LT AAAsf New Rating AAA(EXP)sf
A-X-25 LT AAAsf New Rating AAA(EXP)sf
A-X-26 LT AAAsf New Rating AAA(EXP)sf
A-X-27 LT AAAsf New Rating AAA(EXP)sf
A-X-28 LT AAAsf New Rating AAA(EXP)sf
A-X-3 LT AAAsf New Rating AAA(EXP)sf
A-X-30 LT AAAsf New Rating AAA(EXP)sf
A-X-31 LT AAAsf New Rating AAA(EXP)sf
A-X-33 LT AAAsf New Rating AAA(EXP)sf
A-X-34 LT AAAsf New Rating AAA(EXP)sf
A-X-4 LT AAAsf New Rating AAA(EXP)sf
A-X-5 LT AAAsf New Rating AAA(EXP)sf
A-X-6 LT AAAsf New Rating AAA(EXP)sf
A-X-7 LT AAAsf New Rating AAA(EXP)sf
A-X-8 LT AAAsf New Rating AAA(EXP)sf
A-X-9 LT AAAsf New Rating AAA(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-1A LT AAsf New Rating AA(EXP)sf
B-2 LT Asf New Rating A(EXP)sf
B-2A LT Asf New Rating A(EXP)sf
B-3 LT BBB-sf New Rating BBB-(EXP)sf
B-4 LT BB-sf New Rating BB-(EXP)sf
B-5 LT B-sf New Rating B-(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
B-X-1 LT AAsf New Rating AA(EXP)sf
B-X-2 LT Asf New Rating A(EXP)sf
Transaction Summary
The certificates are supported by 242 prime, fixed-rate loans with
a total balance of approximately $323.1 million as of the cutoff
date.
Fitch is withdrawing its previously assigned 'AAAsf' expected
ratings on the class A-1L, A-2L, and A-3L loans, as these are not
being issued at closing.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. GSMBS 2026-PJ5 has a final probability of default (PD) of
11.2% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 35.1%. The expected loss in the
'AAAsf' rating stress is 3.9%.
Structural Analysis: The mortgage cash flow and loss allocation in
GSMBS 2026-PJ5 are based on a senior-subordinate, shifting-interest
structure, whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings was sufficient for the given
rating levels. The CE for a given rating exceeded the expected
losses of that rating stress to address the structure's recoupment
of advances and leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
framework to derive a potential operational risk adjustment. Due
diligence is the only consideration that has a direct impact on
Fitch's loss expectations. Third-party due diligence was performed
on 100% of the loans in the transaction by loan count. Fitch
applies an approximate 5% PD reduction for loans fully reviewed by
a third-party review firm, which have a final grade of either A or
B.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material impact on
the performance of the transaction. In addition, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. GSMBS 2026-PJ5 is fully de-linked and
serves as a bankruptcy-remote, special-purpose vehicle. All
transaction parties and triggers align with Fitch's expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to GSMBS 2026-PJ5; therefore, Fitch is comfortable assigning the
highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0%, in addition to the model-projected 37.5% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Opus Capital Markets Consultants, LLC and Situs AMC.
The third-party due diligence described in Form 15E focused on
credit, compliance, and property valuation. Fitch considered this
information in its analysis and, as a result, Fitch applied an
approximately 5-bp origination PD credit for loans fully reviewed
by the TPR firm and have a final grade of either "A" or "B."
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GS MORTGAGE 2026-PJ5: Fitch Assigns B-(EXP) Rating on Cl. B-5 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to the mortgage-backed
notes issued by GS Mortgage-Backed Securities Trust 2026-PJ5 (GSMBS
2026-PJ5).
Entity/Debt Rating
----------- ------
GSMBS 2026-PJ5
A-1 LT AAA(EXP)sf Expected Rating
A-10 LT AAA(EXP)sf Expected Rating
A-11 LT AAA(EXP)sf Expected Rating
A-12 LT AAA(EXP)sf Expected Rating
A-13 LT AAA(EXP)sf Expected Rating
A-14 LT AAA(EXP)sf Expected Rating
A-15 LT AAA(EXP)sf Expected Rating
A-16 LT AAA(EXP)sf Expected Rating
A-17 LT AAA(EXP)sf Expected Rating
A-18 LT AAA(EXP)sf Expected Rating
A-19 LT AAA(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-20 LT AAA(EXP)sf Expected Rating
A-21 LT AAA(EXP)sf Expected Rating
A-22 LT AAA(EXP)sf Expected Rating
A-23 LT AAA(EXP)sf Expected Rating
A-24 LT AAA(EXP)sf Expected Rating
A-25 LT AAA(EXP)sf Expected Rating
A-27 LT AAA(EXP)sf Expected Rating
A-28 LT AAA(EXP)sf Expected Rating
A-29 LT AAA(EXP)sf Expected Rating
A-2L LT AAA(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
A-30 LT AAA(EXP)sf Expected Rating
A-31 LT AAA(EXP)sf Expected Rating
A-32 LT AAA(EXP)sf Expected Rating
A-33 LT AAA(EXP)sf Expected Rating
A-34 LT AAA(EXP)sf Expected Rating
A-35 LT AAA(EXP)sf Expected Rating
A-3L LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-6 LT AAA(EXP)sf Expected Rating
A-7 LT AAA(EXP)sf Expected Rating
A-8 LT AAA(EXP)sf Expected Rating
A-9 LT AAA(EXP)sf Expected Rating
A-X-1 LT AAA(EXP)sf Expected Rating
A-X-10 LT AAA(EXP)sf Expected Rating
A-X-11 LT AAA(EXP)sf Expected Rating
A-X-12 LT AAA(EXP)sf Expected Rating
A-X-13 LT AAA(EXP)sf Expected Rating
A-X-14 LT AAA(EXP)sf Expected Rating
A-X-15 LT AAA(EXP)sf Expected Rating
A-X-16 LT AAA(EXP)sf Expected Rating
A-X-17 LT AAA(EXP)sf Expected Rating
A-X-18 LT AAA(EXP)sf Expected Rating
A-X-19 LT AAA(EXP)sf Expected Rating
A-X-2 LT AAA(EXP)sf Expected Rating
A-X-20 LT AAA(EXP)sf Expected Rating
A-X-21 LT AAA(EXP)sf Expected Rating
A-X-22 LT AAA(EXP)sf Expected Rating
A-X-23 LT AAA(EXP)sf Expected Rating
A-X-24 LT AAA(EXP)sf Expected Rating
A-X-25 LT AAA(EXP)sf Expected Rating
A-X-26 LT AAA(EXP)sf Expected Rating
A-X-27 LT AAA(EXP)sf Expected Rating
A-X-28 LT AAA(EXP)sf Expected Rating
A-X-3 LT AAA(EXP)sf Expected Rating
A-X-30 LT AAA(EXP)sf Expected Rating
A-X-31 LT AAA(EXP)sf Expected Rating
A-X-33 LT AAA(EXP)sf Expected Rating
A-X-34 LT AAA(EXP)sf Expected Rating
A-X-4 LT AAA(EXP)sf Expected Rating
A-X-5 LT AAA(EXP)sf Expected Rating
A-X-6 LT AAA(EXP)sf Expected Rating
A-X-7 LT AAA(EXP)sf Expected Rating
A-X-8 LT AAA(EXP)sf Expected Rating
A-X-9 LT AAA(EXP)sf Expected Rating
B-1 LT AA(EXP)sf Expected Rating
B-1A LT AA(EXP)sf Expected Rating
B-2 LT A(EXP)sf Expected Rating
B-2A LT A(EXP)sf Expected Rating
B-3 LT BBB-(EXP)sf Expected Rating
B-4 LT BB-(EXP)sf Expected Rating
B-5 LT B-(EXP)sf Expected Rating
B-6 LT NR(EXP)sf Expected Rating
B-X-1 LT AA(EXP)sf Expected Rating
B-X-2 LT A(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 242 prime, fixed-rate loans with
a total balance of approximately $323.1 million as of the cutoff
date.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. GSMBS 2026-PJ5 has a final probability of default (PD) of
11.2% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 35.1%. The expected loss in the
'AAAsf' rating stress is 3.9%.
Structural Analysis: The mortgage cash flow and loss allocation in
GSMBS 2026-PJ5 are based on a senior-subordinate, shifting-interest
structure, whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings was sufficient for the given
rating levels. The CE for a given rating exceeded the expected
losses of that rating stress to address the structure's recoupment
of advances and leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
framework to derive a potential operational risk adjustment. Due
diligence is the only consideration that has a direct impact on
Fitch's loss expectations. Third-party due diligence was performed
on 100% of the loans in the transaction by loan count. Fitch
applies an approximate 5% PD reduction for loans fully reviewed by
a third-party review firm, which have a final grade of either A or
B.
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material impact on
the performance of the transaction. In addition, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects GSMBS 2026-PJ5 to be fully
de-linked and serve as a bankruptcy remote special purpose vehicle.
All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to GSMBS 2026-PJ5; therefore, Fitch is comfortable assigning the
highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0%, in addition to the model-projected 37.5% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
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.
GS MORTGAGE 2026-R1: Fitch Assigns 'Bsf' Rating on Class B-2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the notes issued by GS
Mortgage-Backed Securities Trust 2026-R1 (GSMBS 2026-R1).
Entity/Debt Rating Prior
----------- ------ -----
GSMBS 2026-R1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
B-1 LT BBsf New Rating BB(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
FB LT NRsf New Rating NR(EXP)sf
M-1 LT BBBsf New Rating BBB(EXP)sf
PT LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
RISKRETEN LT NRsf New Rating NR(EXP)sf
SA LT NRsf New Rating NR(EXP)sf
X LT NRsf New Rating NR(EXP)sf
Transaction Summary
The transaction will close on March 31, 2026. The certificates are
supported by 911 seasoned nonqualified mortgage (NQM) loans with a
total balance of approximately $359.4 million as of the cutoff
date.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets (Positive): RMBS transactions are
directly affected by the performance of the underlying residential
mortgages or mortgage-related assets. Fitch analyzes loan-level
attributes and macroeconomic factors to assess the credit risk and
expected losses. GSMBS 2026-R1 has a final probability of default
(PD) of 45.7% in the 'AAAsf' rating stress. Fitch's final loss
severity in the 'AAAsf' rating stress is 34.0%. The expected loss
in the 'AAAsf' rating stress is 15.5%.
Structural Analysis (Positive): The structure distributes principal
pro rata among the senior certificates while shutting out the
subordinate bonds from principal until all senior classes are
reduced to zero. If a cumulative loss trigger event or delinquency
trigger event occurs in a given period, principal will be
distributed sequentially to the class A-1, A-2 and A-3 certificates
until they are reduced to zero.
The structure has a step-up coupon for the senior classes (A-1, A-2
and A-3). After four years, the senior classes pay the lower of a
100-bps increase to the fixed coupon or the net weighted average
coupon (WAC) rate. The unrated class B-3 interest allocation goes
toward the senior cap carryover amount on any date for as long as
there is an unpaid cap carryover amount for any of the senior
classes. This increases the principal and interest (P&I) allocation
for the senior classes provided that the B-3 class is not written
down.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings was sufficient for the given
rating levels.
The CE for a given rating exceeded the expected losses of that
rating stress to address the structure's recoupment of advances and
leakage of principal to the more subordinate classes.
Operational Risk Analysis (Positive): Fitch considers originator
and servicer capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100% of the loans in the transaction. Fitch applies an
approximately 5% reduction to the PD for loans fully reviewed by a
third-party review (TPR) firm that have a final grade of either A
or B.
Counterparty and Legal Analysis (Neutral): Fitch expects all
relevant transaction parties to conform with the requirements
described in its "Global Structured Finance Rating Criteria."
Relevant parties are those whose failure to perform could have a
material outcome on the performance of the transaction. In
addition, all legal requirements should be satisfied to fully
de-link the transaction from any other entities. Fitch expects
GSMBS 2026-R1 to be fully de-linked and a bankruptcy-remote,
special-purpose vehicle (SPV). All transaction parties and triggers
align with Fitch's expectations.
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 38.3%, at 'AAA'. The analysis indicates some
potential rating migration, with higher MVDs for all rated classes
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
CRITERIA VARIATION
Cross Collateralized Percent
The pool is made up of 22.93% cross collateralized loans. Per
Fitch's "U.S. RMBS Rating Criteria," Fitch looks for this amount to
be limited to less than or equal to 10%. Fitch was comfortable with
going over the 10% threshold given the diversity among borrowers
(i.e., no loan makes up more than 0.5% of the pool), the high DSCR
value on these loans, and the seasoning and clean performance
history. Performance has shown that cross-collateralized loans
perform well since the borrower can use income from other
properties to pay the mortgage if needed versus only having one
income-generating home. There was no rating impact due to this
variation.
PD Adjustment Scale Down
Currently, additional PD adjustments are applied to the final PD
using a Z-score adjustment. These adjustments are static in both
weight and application over time, regardless of loan seasoning.
Many of these adjustments are designed to capture risk factors not
present in the historical dataset and not included in the
origination PD regression, such as penalties for limited income
documentation or buydown loans.
While these risk factors were present at origination, their
relevance diminishes as the loan seasons and more performance data
becomes available. This analysis scaled down the Z-score adjustment
over a five-year seasoning period, starting after year two which is
when Fitch believes loans are considered seasoned loans. This
approach ensures that as more performance history becomes
available, the seasoned loan PD becomes the primary driver of
expected default rates. Ratings were roughly one notch lower as a
result of this variation.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from
AMC, Selene, Clayton and Consolidated Analytics all assessed as
'Acceptable' TPR firms by Fitch. The third-party due diligence
described in Form 15E focused on three areas: compliance review,
credit review and valuation review.
Fitch considered this information in its analysis and, as a result,
Fitch applies an approximate 5-bp origination PD credit for loans
fully reviewed by the TPR firm that have a final grade of either A
or B. Loans graded C or D did not receive the PD credit.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GS REFT 2026-FL1: Fitch Assigns 'B-sf' Final Rating on Cl. G Notes
------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to GS
REFT 2026-FL1 Issuer, Ltd. as follows:
- $619,500,000a class A 'AAAsf'; Outlook Stable;
- $120,750,000a class A-S 'AAAsf'; Outlook Stable;
- $73,500,000a class B 'AA- sf'; Outlook Stable;
- $57,750,000a class C 'A-sf'; Outlook Stable;
- $35,437,000a class D 'BBBsf'; Outlook Stable;
- $17,063,000a class E 'BBB-sf'; Outlook Stable;
- $32,812,000 class F 'BB-sf'; Outlook Stable;
- $21,000,000 class G 'B- sf'; Outlook Stable.
The following class is not rated by Fitch:
- $72,188,000b preferred shares.
(a) Privately placed and pursuant to Rule 144A.
(b) Horizontal risk retention interest, estimated to be 12.000% of
the notional amount of the notes.
The approximate collateral interest balance as of the cutoff date
is $1,050,000,000 and does not include future funding.
The final ratings are based on information provided by the issuer
as of March 31, 2026.
Transaction Summary
The certificates represent the beneficial interests in the trust,
the primary assets of which are 23 loans secured by 32 commercial
properties having an aggregate principal balance of $1,050,000,000
as of the cutoff date. The pool does not include ramp-up collateral
interests. The ramp period lasts for six months from settlement,
and the reinvestment period lasts for 30 months from settlement.
The pool does not include $60.9 million of future funding.
The loans were contributed to the trust by GS REFT CLO Seller, LLC.
The servicer and special servicer are Trimont, LLC. The trustee is
Wilmington Trust, National Association and the note administrator
is Computershare Trust Company, National Association. The notes
will follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on 23 loans
in the pool (100.0% by balance). Fitch's resulting aggregate net
cash flow (NCF) of $49.7 million represents a 9.8% decline from the
issuer's aggregate underwritten NCF of $55.1 million, excluding
loans for which Fitch utilized an alternate value analysis.
Aggregate cash flows include only the pro-rated trust portion of
any pari passu loan.
Lower Fitch Leverage: The pool has lower leverage than recent CRE
CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value
(LTV) ratio of 140.01% is lower than both the 2025 and 2024 CRE CLO
averages of 140.1% and 140.7%, respectively. The pool's Fitch NCF
debt yield (DY) of 6.2% is lower than both the 2025 and 2024 CRE
CLO averages of 6.4% and 6.5%, respectively.
Better Pool Diversity: The pool diversity is better than recent
Fitch-rated CRE CLO transactions. The top 10 loans make up 55.4% of
the pool, which is lower than both the 2025 and 2024 CRE CLO
averages 61.2% and 70.5%, respectively. Fitch measures loan
concentration risk using an effective loan count, which accounts
for both the number and size of loans in the pool. The pool's
effective loan count is 22.1. Fitch views diversity as a key
mitigant to idiosyncratic risk. Fitch raises the overall loss for
pools with effective loan counts below 40.
No Amortization: The pool comprises of 100.0% interest-only (IO)
loans, based on fully extended loan terms. This is worse than both
the 2025 and 2024 CRE CLO averages of 72.7% and 56.8%,
respectively. As a result, the pool is expected to have 0.0%
principal paydown by fully extended maturity of the loans. By
comparison, the average scheduled paydowns for Fitch‐rated U.S.
CRE CLO transactions during 2025 and 2024 were 0.5% and 0.6%,
respectively.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf' /'B-sf'/'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Original Rating:
'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'
/'BBsf'/'B+sf'.
SUMMARY OF FINANCIAL ADJUSTMENTS
Cash Flow Modeling
This transaction utilizes note protection tests to provide
additional credit enhancement (CE) to the investment-grade
noteholders, if needed. The note protection tests comprise an
interest coverage test and a par value test at the 'BBB-' level
(class E) in the capital structure. Should either of these metrics
fall below a minimum requirement, then interest payments to the
retained notes are diverted to pay down the senior most notes. This
diversion of interest payments continues until the note protection
tests are back above their minimums.
As a result of this structural feature, Fitch's analysis of the
transaction included an evaluation of the liabilities structure
under different stress scenarios. To undertake this evaluation,
Fitch used the cash flow modeling referenced in the Fitch criteria
"U.S. and Canadian Multiborrower CMBS Rating Criteria." Different
scenarios were run where asset default timing distributions and
recovery timing assumptions were stressed.
Key inputs, including Rating Default Rate (RDR) and Rating Recovery
Rate (RRR), were based on the CMBS multiborrower model output in
combination with CMBS analytical insight. The cash flow modeling
results showed that the default rates in the stressed scenarios did
not exceed the available CE in any stressed scenario.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by KPMG LLP. The third-party due diligence described in
Form 15E focused on a comparison and re-computation of certain
characteristics with respect to each of the mortgage loans. Fitch
considered this information in its analysis, and it did not have an
effect on Fitch's analysis or conclusions.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
GWT COMMERCIAL 2024-WLF2: DBRS Confirms BB(high) on HRR Certs
-------------------------------------------------------------
DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all
classes of Commercial Mortgage Pass-Through Certificates, Series
2024-WLF2 issued by GWT Commercial Mortgage Trust 2024-WLF2 as
follows:
-- Class A at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class HRR at BB (high) (sf)
All trends are Stable.
The credit rating confirmations reflect the overall stable
performance of the transaction since the previous credit rating
action in April 2025, as evidenced by the weighted-average (WA)
occupancy rate and departmental income figures that remain in line
with Morningstar DBRS' issuance expectations. As a result of
higher-than-expected general expenses, the underlying collateral's
net cash flow (NCF) remains below the Morningstar DBRS NCF as of
the most recent financial reporting. Morningstar DBRS anticipates
that performance will stabilize over the loan term as expenses
normalize.
The transaction is secured by the borrower's fee-simple interests
in nine Great Wolf Lodge resorts totaling 4,083 keys; 575,166
square feet (sf) of indoor water park space; 120,242 sf of outdoor
waterpark space; 59 food and beverage outlets; and 79,680 sf of
meeting space across nine U.S. states. The properties are generally
within a four-hour drive of major metropolitan areas, which
provides the demand base for these leisure-oriented assets. The
properties are highly amenitized and provide guests with a
virtually all-inclusive vacation experience. The sponsor is a joint
venture between Blackstone Real Estate Partners IX L.P. and
Centerbridge Partners, L.P. The sponsor has invested approximately
$126.6 million, or $37,418 per key, in capital improvements in the
portfolio since 2019, excluding a $160.0 million expansion and
renovation of the Poconos, Philadelphia, property.
The borrower used the whole loan proceeds of $1.3 billion, along
with a mezzanine loan of $250.0 million, to repay approximately
$1.3 billion of existing commercial mortgage-backed securities
(CMBS) debt across the portfolio; $239.0 million of construction
debt for the Perryville, Maryland, asset; and return $7.0 million
of cash equity to the sponsor.
The subject floating-rate, interest only loan is structured with an
initial two-year term and has three one-year extension options for
a fully extended maturity date in May 2029. The loan is currently
being monitored on the servicer's watchlist for its upcoming
maturity in May 2026; however, there are no performance
requirements or hurdles that must be satisfied for the sponsor to
execute the extension option.
The transaction features a partial pro rata/sequential-pay
structure that allows for pro rata paydowns of the first 30.0% of
the original principal balance. Additionally, the transaction
allows for the release of properties from the portfolio subject to
a release price of 105% of the allocated loan amount (ALA) for the
initial 30% of the total balance and a release price of 110% of the
ALA for the remaining 70% of the total balance. As of the March
2026 reporting, there have been no property releases, and the trust
remains in a pro rata payment schedule. Given the pro-rata
structure and weak release premiums, which are viewed as credit
negative, Morningstar DBRS applied a penalty to the transaction's
capital structure.
According to the September 2025 operating statement, the portfolio
continued to demonstrate a healthy WA occupancy rate of 85.8%,
representing a slight decline from the YE2024 figure of 86.1% but
an increase from the Morningstar DBRS issuance figure of 80.2%.
Based on the September 2025 financial reporting, the portfolio
generated NCF of $170.1 million for the trailing 12-month period
(T-12) ended September 30, 2025, corresponding with a debt service
coverage ratio (DSCR) of 1.51 times (x), a decrease from the YE2024
figure of $183.4 million with a DSCR of 1.61x and below the
Morningstar DBRS NCF of $186.0 million with a DSCR of 1.50x. The
decline in NCF is mainly attributable to increases in general
expenses, in particular general and administrative expenses and
management fees. According to the T-12 period ended September 30th,
2025, financials, the collateral reported departmental revenue of
$630.0 million, an improvement over the YE2024 figure of $624.2
million, but still below Morningstar DBRS' figure of $645.6 million
at issuance. The decline in revenues can be partially attributed to
the renovation of the Grapevine, Texas, property, which occurred
during 2024 and partially affected performance for the same period.
The total operating expenses for the same period increased to
$434.7 million compared with the YE2024 and Morningstar DBRS
issuance figures of $415.9 million and $427.3 million,
respectively. Morningstar DBRS expects both room revenues and
expenses to stabilize over the five-year (fully extended) loan term
and will continue to monitor developments as they are reported.
For the purposes of this credit rating action, Morningstar DBRS
maintained the valuation approach from issuance, which was based on
a WA capitalization rate of 9.74% applied to the Morningstar DBRS
NCF of $186.0 million. The Morningstar DBRS Concluded Value of $1.9
billion represents a variance of -17.9% from the issuance appraised
value of $2.3 billion and implies a whole-loan LTV of 81.2%.
Morningstar DBRS also maintained a qualitative adjustment of 5% to
the loan-to-value ratio (LTV) Sizing Benchmarks to reflect the
potential for increased cash flow from recent renovations,
modernized properties, and their locations within strong markets.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
HARVEST US 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Harvest
US CLO 2026-1 Ltd.
Entity/Debt Rating
----------- ------
Harvest US CLO
2026-1 Ltd.
A-1 LT AAAsf New Rating
A-1 Loan 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
Equity LT NRsf New Rating
Transaction Summary
Harvest US CLO 2026-1 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Investcorp Credit Management US LLC. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
The weighted average rating factor (WARF) of the indicative
portfolio is 22.81 and will be managed to a WARF covenant from a
Fitch test matrix. Issuers rated in the 'B' rating category denote
a highly speculative credit quality; however, the notes benefit
from appropriate credit enhancement and standard U.S. CLO
structural features.
Asset Security: The indicative portfolio consists of 98.63% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.62% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 40% of the portfolio balance in aggregate while the top five
obligors can represent up to 9.25% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenants, that are greater
than six years, 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.
ESG Considerations
Fitch does not provide ESG relevance scores for Harvest US CLO
2026-1 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.
HILDENE TRUPS A11BC: Moody's Assigns B3 Rating to $6.25MM B Notes
-----------------------------------------------------------------
Moody's Ratings has withdrawn its ratings of notes issued by
Hildene TruPS Resecuritization A11BC, LLC.
US$28,750,000 Class A Notes, Withdrawn (sf); previously on June 17,
2024 Definitive Rating Assigned Baa3 (sf)
US$6,250,000 Class B Notes, Withdrawn (sf); previously on June 17,
2024 Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
Moody's have decided to withdraw the rating(s) following a review
of the issuer's request to withdraw its rating(s).
HILDENE TRUPS T9B: Moody's Ups Rating on $13MM Class B Notes to B1
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Hildene TruPS Resecuritization T9B, LLC:
US$33,000,000 Class A Notes due 2040, Upgraded to Baa1 (sf);
previously on April 17, 2024 Assigned Baa3 (sf)
US$13,000,000 Class B Notes due 2040, Upgraded to B1 (sf);
previously on April 17, 2024 Assigned B3 (sf)
Hildene TruPS Resecuritization T9B, LLC, issued in April 2024, is a
collateralized debt obligation (CDO) backed a portion of the Class
B-1, Class B-2 and Class B-3 notes issued by Trapeza CDO IX, Ltd.
(the "Underlying TruPS CDO"). The Underlying TruPS CDO 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(s) has been conducted during a rating committee.
RATINGS RATIONALE
The rating actions are primarily a result of the increasing in the
transaction's over-collateralization (OC) ratios and the
improvement in the credit quality of the Underlying TruPS CDO's
portfolio since May 2025. Based on Moody's calculations, the OC
ratios for the Class A and Class B notes have improved to 131.45%
and 116.52%, respectively, from May 2025 levels of 126.23% and
113.86%, respectively. The Underlying TruPS CDO's Class A-1 notes
will continue to benefit from the diversion of excess interest and
the use of proceeds from redemptions of any assets in the
collateral pool.
Furthermore, the deal has benefited from improvement in the credit
quality of the portfolio of the Underlying TruPS CDO. According to
Moody's calculations, the weighted average rating factor (WARF)
improved to 756 from 978 in May 2025.
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 for the Underlying TruPS CDO's
portfolio:
Performing par: $144.2 million
Defaulted/deferring par: $32.5 million
Weighted average default probability: 5.82% (implying a WARF of
756)
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 "TruPS CDOs"
published in June 2025.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM); or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.
HOMES 2026-NQM2: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HOMES
2026-NQM2 Trust's mortgage pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing U.S.
residential mortgage loans (some with interest-only periods) with a
weighted average seasoning of four months. The loans are secured by
single-family residences, planned-unit developments, townhouses,
condominiums, cooperatives, and two- to four-unit multifamily homes
to both prime and nonprime borrowers. The pool consists of 766
loans, which are qualified mortgage (QM) safe harbor (average prime
offer rate [APOR]), non-QM/ability-to-repay (ATR)-compliant loans
and ATR exempt loans.
The preliminary ratings are based on information as of March 26,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator and mortgage originators;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P said, "Our U.S. economic outlook, which considers our
current projections for U.S. economic growth, unemployment rates,
and interest rates, as well as our view of housing fundamentals.
Our economic outlook is updated, if necessary, when these
projections change materially."
Preliminary Ratings Assigned(i)
HOMES 2026-NQM2 Trust
Class A-1FCF, $111,135,000: AAA (sf)
Class A-1LCF, $37,045,000: AAA (sf)
Class A-1, $148,180,000: AAA (sf)
Class A-1A, $128,835,000: AAA (sf)
Class A-1B, $19,345,000: AAA (sf)
Class A-2, $19,151,000: AA (sf)
Class A-3, $43,719,000: A (sf)
Class M-1, $10,833,000: BBB (sf)
Class B-1, $7,158,000: BB (sf)
Class B-2, $5,610,000: B (sf)
Class B-3, $4,062,830: NR
Class A-IO-S, Notional(ii): NR
Class X, Notional(ii): NR
Class R, N/A: NR
(i)The preliminary ratings address the ultimate payment of interest
and principal. They do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the loans' aggregate stated
principal balance.
NR--Not rated.
N/A--Not applicable.
HONEY HILL: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Honey
Hill Park CLO, Ltd.
Entity/Debt Rating
----------- ------
Honey Hill Park
CLO, Ltd.
X LT AAAsf New Rating
A-1 LT AAAsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C-1 LT Asf New Rating
C-2 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
Honey Hill Park CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Blackstone CLO Management LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $700 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23, and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 97.25% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.34% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 49% 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 concentration is in line with that of other
recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for
class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X, class A-1 and
class A-2 notes as these notes are in the highest rating category
of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Honey Hill Park
CLO, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
HPS LOAN 2026-27: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to HPS Loan
Management 2026-27, Ltd.
Entity/Debt Rating
----------- ------
HPS Loan Management
2026-27, Ltd.
A-1-L LT AAAsf New Rating
A-1 LT AAAsf New Rating
A-2 LT AAAsf New Rating
B LT AAsf New Rating
C-1 LT Asf New Rating
C-2 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
HPS Loan Management 2026-27, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
HPS Investment Partners, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $450 million of primarily first-lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 21.59 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 98.55%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.71% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 42.5% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for the WAL covenants that
are greater than six years, to account for structural and
reinvestment conditions after the reinvestment period. In Fitch's
opinion, these conditions would reduce the effective risk horizon
of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'Bsf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, 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, 'AA+sf' for class C, 'Asf' for
class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for HPS Loan Management
2026-27, 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.
IVY HILL XXIII: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Ivy Hill Middle Market
Credit Fund Ltd./Ivy Hill Middle Market Credit Fund LLC's fixed-
and floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by Ivy Hill Asset Management L.P., a subsidiary of Ares
Capital Corp.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
S&P said, "In some cases, our credit and cash flow analysis suggest
that the available credit enhancement for the CLO debt could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, given the various factors and
assumptions incorporated in our quantitative analysis and the fact
that most CLOs are permitted to modify their portfolios, we may
assign lower ratings to the debt than what our model results
suggest."
Ratings Assigned
Ivy Hill Middle Market Credit Fund Ltd./
Ivy Hill Middle Market Credit Fund LLC
Class A-1, $165.00 million: AAA (sf)
Class A-1L-A loans, $75.00 million: AAA (sf)
Class A-1L-B loans, $50.00 million: AAA (sf)
Class A-2, $20.00 million: AAA (sf)
Class B, $30.00 million: AA (sf)
Class C (deferrable), $40.00 million: A (sf)
Class D-1-A (deferrable), $14.00 million: BBB- (sf)
Class D-1-B (deferrable), $16.00 million: BBB- (sf)
Class D-2 (deferrable), $10.00 million: BBB- (sf)
Class E (deferrable), $20.00 million: BB- (sf)
Subordinated notes, $62.25 million: NR
NR--Not rated.
JP MORGAN 2018-WPT: S&P Lowers Cl. X-FL Certs Rating to 'B-(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 143 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 eight principal-and-interest-paying classes
primarily reflect:
-- S&P's net recovery value, which is approximately 15.0% lower
than the expected-case value we derived in our last reviews in
April and September 2025, primarily due to declining occupancy and
net cash flow (NCF) for the property portfolio. As of the September
2025 rent roll, the portfolio's composite occupancy was
approximately 67.0%, down from 72.0% in 2024 and 79.0% in 2023.
-- Our view that net recoveries to the bondholders may decline
further due to increases in the advancing amount and continued
protracted resolution timing. To date, $60.5 million has been
advanced to-date (including interest thereon). The loan has been in
special servicing since November 2024. To date, just four of the
original 147 properties in the portfolio have been sold, and there
is no specific timeline available for the resolution of the
remaining properties.
S&P said, "While the model-indicated rating on classes A-FL and
A-FX was higher than our revised rating, we qualitatively
considered the potential for future servicer advances to exceed the
amount factored into our current analysis, given the factors
discussed.
"The downgrades on the class XA-FX, XB-FX, and X-FL IO certificates
reflect our 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. Class X-FL references classes A-FL, B-FL, C-FL, and
D-FL."
As of the March 2026 trustee remittance report, the $1.23 billion
whole loan had a reported total exposure of $1.29 billion, which
primarily includes $57.4 million of debt service advances, $1.2
million of other expense advances, $696,950 of tax and insurance
advances, and $1.3 million of interest thereon. In addition, an
appraisal reduction amount and appraisal subordinate entitlement
reduction have since been put into effect, with the latter
accumulating to $3.1 million as of the March 2026 trustee
remittance report.
S&P said, "We will continue to monitor the performance of the
collateral portfolio and loan, as well as the special servicer's
efforts and timing to resolution. If we receive information that
differs materially from our expectations, such as reported negative
changes in the performance beyond those that we have already
considered, a lower appraisal value, accelerated increases in the
advance amount, or a resolution strategy that negatively affects
the transaction's recovery and liquidity, we may revisit our
analysis and take further rating actions as we determined
necessary."
Portfolio-Level Analysis Update
S&P said, "As of the September 2025, rent roll, the property
portfolio was approximately 67.0% occupied, which is below our
assumed 75.0% rate in our 2025 reviews.
"In our current analysis, we consider that the actual portfolio
performance has continued to decline since our 2025 reviews. As a
result, in our current review, we reevaluated the property
portfolio using the September 2025 rent roll, and assumed a 67.0%
stabilized occupancy rate, down from 75.0% in our 2025 reviews.
After accounting for ongoing operating expenses and capital costs,
we arrived at a revised S&P Global Ratings' NCF of $73.0 million,
down from $79.5 million in our 2025 reviews. Utilizing a 9.00% S&P
Global Ratings' capitalization rate (unchanged from our 2025
reviews) and deducting $49.0 million to account for accrued and
anticipated servicer advances (and interest thereon, offset by
funds in reserve), we arrived at an S&P Global Ratings' net
recovery value of $761.7 million, or $79 per sq. ft., which is
approximately 15.0% lower than our last reviews and 38.5% below the
updated August 2025 appraised value of $1.24 billion.
"Based on our revised net recovery value, the S&P Global Ratings'
loan-to-value ratio is 161.4%. Based on our analysis, the property
portfolio's composite S&P Global Ratings asset quality and income
stability scores are each 2.5. While the portfolio's effective
property count of approximately 80 implies a potential asset
diversity adjustment of up to 10 percentage points, we applied an
adjustment of three percentage points given the portfolio's
exposure to just four U.S. states, with further concentrations in
Pennsylvania (approximately 40% of the whole loan balance) and
Florida (34%), as well as the fact that many of the individual
properties sit in the same office campuses, which we feel
diminishes the benefit from asset diversity."
Table 1
Servicer-reported collateral portfolio performance(i)
Annualized nine months ending
Sep 2025(ii) 2024(ii) 2023(ii)
Occupancy rate (%) 67.0 72.0 79.0
Net cash flow (mil. $) 73.0 79.5 99.4
Debt service coverage (x) 1.01 1.07 1.33
Appraisal value (mil. $)(iii) 1,238.4 1,605.7 1,605.7
(i)All information has been adjusted to reflect just the 143
remaining collateral properties.
(ii)Reporting period.
(iii)As of August 2025, April 2018, and April 2018 respectively.
Table 2
S&P Global Ratings' key assumptions
Current review Last review At issuance
(March 2026)(i) (i)(ii) (July 2018)(i)
Whole loan balance (mil. $) 1,229.8 1,229.8 1,275.0
No. of properties 143 144 147
Occupancy rate (%) 67.0 75.0 80.0
Net cash flow (mil. $) 73.0 80.7 91.9
Capitalization rate (%) 9.00 9.00 8.80
Net add to/(deduct from)
value (mil. $)(iii) (49.0) 0.0 34.8
Net recovery value (mil. $) 761.7 897.0 1,078.6
Net recovery value per sq. ft. ($) 79 92 109
Loan-to-value ratio (%) 161.4 137.1 118.2
(i)Review period.
(ii)Based on the April and September 2025 reviews.
(iii)In the current review, reflects an analytical deduct to
account for accrued and anticipated servicer advances, offset by
funds in reserve. At issuance, reflected the amount necessary to
floor the value of certain negative- and
marginal-cash-flow-producing properties.
Ratings Lowered
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
Class A-FL to 'BBB+ (sf)' from 'A+ (sf)'
Class A-FX to 'BBB+ (sf)' from 'A+ (sf)'
Class B-FL to 'BB+ (sf)' from 'BBB+ (sf)'
Class B-FX to 'BB+ (sf)' from 'BBB+ (sf)'
Class C-FL to 'B+ (sf)' from 'BB+ (sf)'
Class C-FX to 'B+ (sf)' from 'BB+ (sf)'
Class D-FL to 'B- (sf)' from 'B+ (sf)'
Class D-FX to 'B- (sf)' from 'B+ (sf)'
Class XA-FX to 'BBB+ (sf)' from 'A+ (sf)'
Class XB-FX to 'B- (sf)' from 'B+ (sf)'
Class X-FL to 'B- (sf)' from 'B+ (sf)'
JP MORGAN 2021-NYAH: Moody's Cuts Rating on Cl. D Certs to Ba3
--------------------------------------------------------------
Moody's Ratings has downgraded the ratings on four classes in J.P.
Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH,
Commercial Mortgage Pass-Through Certificates, Series 2021-NYAH as
follows:
Cl. A, Downgraded to Aa2 (sf); previously on Apr 29, 2025 Affirmed
Aaa (sf)
Cl. B, Downgraded to A3 (sf); previously on Apr 29, 2025 Downgraded
to A1 (sf)
Cl. C, Downgraded to Baa3 (sf); previously on Apr 29, 2025
Downgraded to Baa1 (sf)
Cl. D, Downgraded to Ba3 (sf); previously on Apr 29, 2025
Downgraded to Ba1 (sf)
RATINGS RATIONALE
The ratings on four P&I classes were downgraded due to the loan's
prolonged delinquent status, significant accumulation of advances
and the low debt service coverage ratio (DSCR). The loan has been
in special servicing since October 2024 and is last paid through
its July 2025 payment date as of the March 2026 remittance
statement. As a result of the declines in cash flow from
securitization and the high floating interest rate, the mortgage
loan DSCR and total debt DSCR (inclusive of mezzanine debt) have
been below 1.00X and 0.60X, respectively, since 2023. Furthermore,
due to the ongoing delinquency there were servicer advances
(inclusive of P&I, other advances and interest on advances) of
$20.8 million, compared to $3.4 million at Moody's last review.
The collateral is secured by 31 multifamily properties with a total
of 53 buildings located within the New York City boroughs.
Approximately 87% of the portfolio is secured by rent
stabilized/rent controlled units and the increase in rental revenue
since securitization has been offset by increases in operating
expenses. Through September 2025, the increase in operating
expenses (22%) has significantly outpaced revenue growth (6%) since
securitization. As a result, the portfolio's net operating income
(NOI) was 10% lower over the same period. An updated appraisal from
June 2025 valued the portfolio 30% below the appraisal value from
securitization and resulted in an appraisal reduction of 11% of the
senior loan balance.
The senior P&I classes Moody's rates benefit from portfolio
diversity 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 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 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 2026 distribution date, the transaction's aggregate
certificate balance remains unchanged at $506.3 million, the same
as securitization. There is additional mezzanine debt of $93.7
million held outside the trust. The interest-only floating rate
loan's initial maturity date was in June 2024 with a fully extended
maturity of June 2026. The loan transferred to special servicing in
October 2024 after being unable to pay off or extend at its initial
maturity date and was last paid through its July 2025 payment date.
Discussions around a potential modification between the lender,
borrower and mezzanine lender have been ongoing but a modification
has not yet been executed.
The interest-only floating rate loan is secured by the borrowers'
fee simple interests or, with respect to the Riverton property,
beneficial interest in a portfolio of 31 multifamily properties
located within New York City, across 10 submarkets in Manhattan,
Brooklyn, Queens and Bronx. The portfolio contains a total of 53
buildings that house a combined 3,531 apartment units and 23
commercial units. At securitization the portfolio's unit mix was
comprised of 3,069 rent stabilized or controlled units (86.9% of
the unit count) and 436 fair market units (12.3% of the unit
count). The fair market units were not impacted by the June 2019
NYC Rent Regulation Law (Housing Stability and Tenant Protection
Act of 2019). However, given 86.9% of the multifamily units are
rent stabilized/controlled, limited rent growth has been outpaced
by inflationary expense growth, thus negatively impacting net cash
flow available for debt service and this trend is likely to
continue.
The top five submarkets represented by Allocated Mortgage Loan
Amount ("ALA") are Central Queens, East Harlem, Northwest Queens,
Prospect Park and Northeast Queens. Central Queens represents 30.8%
of ALA (981 units), East Harlem represents 30.5% of ALA (1,229
units), Northwest Queens represents 8.5% of ALA (316 units),
Northeast Queens represents 7.3% ALA (265 units) and Prospect Park
represents 7.0% of ALA (205 units). Construction dates for the
portfolio's improvements vary between 1924 and 1964, with an
average year built of 1937.
While portfolio revenue has increased since securitization, the
portfolio's operating expenses have outpaced the increase in
revenue causing the net operating income (NOI) to decline through
December 2024. While the NOI has improved slightly through
September 2025, due to a combination of both the declines in cash
flow and significant increase in the loan's floating interest rate
since 2022, the loan's DSCR has decreased from approximately 2.33X
and 1.51X, on the mortgage loan and total debt (inclusive of
mezzanine loan), respectively, to only 0.74X and 0.56X,
respectively, as of September 2025. Since the loan has passed its
original maturity date and has not yet been modified, there is
currently no interest rate cap agreement in place. An updated
appraisal from June 2025 valued the portfolio approximately 30%
below the value from securitization and an appraisal reduction has
been recognized, resulting in increased interest shortalls.
Moody's net cash flow (NCF) remains $24.8 million and the first
mortgage balance of $506.3 million represents Moody's LTV of 168.2%
(not including outstanding advances). The Adjusted Moody's LTV
ratio for the first mortgage balance is 167.3% based on Moody's
Value using a cap rate adjusted for the current interest rate
environment. Taking into consideration the additional $93.7 million
mezzanine loan, the Moody's Total Debt LTV would increase to 199.3%
based on Moody's Value and the Adjusted Moody's Total Debt LTV
ratio is 198.3%.
There are outstanding loan advances and interest on advances
totaling approximately $20.8 million (compared to $3.4 million at
Moody's last review) causing the aggregate mortgage loan exposure
to be $527.1 million. Moody's first mortgage stressed debt service
coverage ratio (DSCR) at a 9.25% constant remains 0.53X. There are
outstanding interest shortfalls totaling $4.0 million affecting up
to Cl. J and no losses have been realized as of the current
distribution date.
JP MORGAN 2026-CES2: S&P Assigns Prelim 'B-' Rating on B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to J.P. Morgan
Mortgage Trust 2026-CES2's mortgage-backed notes.
The note issuance is closed-end, second lien, fixed-rate, and fully
amortizing, residential mortgage loans, including some mortgage
loans with interest-only terms. The loans are secured by
single-family residences, planned-unit developments, townhouses,
condominiums, one site condo, and two- to four-unit multifamily
homes to both prime and nonprime borrowers. The pool has 3,296
loans and comprises qualified mortgage (QM)/non-higher-priced
mortgage loan (safe harbor), QM rebuttable presumption,
non-QM/compliant, and ability to repay-exempt loans.
The preliminary ratings are based on information as of March 31,
2026. 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 economic outlook, which considers its current projections
for U.S. economic growth, unemployment rates, and interest rates,
as well as its view of housing fundamentals, and is updated, if
necessary, when these projections change materially.
Preliminary Ratings Assigned(i)
J.P. Morgan Mortgage Trust 2026-CES2
Class A-1A, $286,031,000: AAA (sf)
Class A-1B, $14,480,000: AAA (sf)
Class A-1, $300,511,000: AAA (sf)
Class A-2, $15,911,000: AA- (sf)
Class A-3, $12,692,000: A- (sf)
Class M-1, $10,905,000: BBB- (sf)
Class B-1, $7,330,000: BB- (sf)
Class B-2, $5,899,000: B- (sf)
Class B-3, $4,291,340: NR
Class A-IO-S, Notional(ii): NR
Class XS, Notional(iii): NR
Class PT, N/A: NR
Class A-R, N/A(iv): NR
(i)The preliminary ratings address the ultimate payment of interest
and principal, and do not address payment of the cap carryover
amounts.
(ii)The notional amount equals the aggregate stated principal
balance of the mortgage loans serviced by Shellpoint.
(iii)The notional amount equals the aggregate unpaid principal
balance of loans in the pool as of the cutoff date.
(iv)The class A-R notes will not have a class principal amount and
are the class of notes representing the residual interest in the
issuer. The class A-R notes are not expected to receive payments.
JP MORGAN 2026-HYB1: Fitch Assigns 'B-(EXP)sf' Rating on B2 Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage
Trust 2026-HYB1 (JPMMT 2026-HYB1).
Entity/Debt Rating
----------- ------
JPMMT 2026-HYB1
A1 LT AAA(EXP)sf Expected Rating
A1A LT AAA(EXP)sf Expected Rating
A1B LT AAA(EXP)sf Expected Rating
A2 LT AA-(EXP)sf Expected Rating
A3 LT A-(EXP)sf Expected Rating
M1 LT BBB-(EXP)sf Expected Rating
B1 LT BB-(EXP)sf Expected Rating
B2 LT B-(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
PT LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
Transaction Summary
The JPMMT 2026-HYB1 notes are supported by 244 loans with a balance
of $349.22 million as of the cutoff date.
The pool entirely consists of prime-quality hybrid adjustable-rate
mortgages (ARMs) originated mainly by United Wholesale Mortgage
(UWM), which is assessed as an 'Above Average' originator by Fitch.
The remaining originators are contributing less than 10% each to
the transaction. NewRez LLC d/b/a Shellpoint Mortgage Servicing
(RPS2+/Stable) will service all of the loans on an interim basis on
behalf of the issuer until the servicing transfer date, after which
the loans will be serviced by Rocket Mortgage LLC d/b/a Rushmore
Servicing (RSS2/Stable).
Per the transaction documents, 99.73% of the loans are designated
as safe harbor (APOR) qualified mortgage loans (SHQM) and the
remaining 0.27% are designated as rebuttable presumption (APOR)
qualified mortgage loans.
Class A-1A, class A-1B, class A-2 and class A-3 notes are fixed
rate, capped at the net weighted average coupon (WAC) and have a
step-up feature. The interest rate for the class M-1 note will be a
per annum rate equal to the lesser of (i) the applicable fixed rate
for such class of notes, determined at the time of pricing, or (ii)
the net WAC rate for the related payment date. The class B-1, B-2
and B-3 notes are based on the net WAC.
Additionally, on any payment date after the step-up date where the
aggregate unpaid interest carryover amount for class A notes is
greater than zero, payments to the class A step-up interest
carryover reserve account will be prioritized over payment of
interest/unpaid interest payable to class B-3 notes.
KEY RATING DRIVERS
Credit Risk of Prime Credit Quality (Positive): RMBS transactions
are directly affected by the performance of the underlying
residential mortgages or mortgage-related assets. Fitch analyzes
loan-level attributes and macroeconomic factors to assess the
credit risk and expected losses.
The pool consists of hybrid adjustable-rate, first lien residential
mortgage loans with original terms to maturity of 30 years, and
46.8% of the loans are purchases, 89.3% of the loans are single
family/PUDs, and 100% of the loans are owner occupied or second
homes.
The loans are seasoned at an average of two months. The pool has a
weighted average (WA) original FICO score of 766, indicative of
very high credit-quality borrowers. The original WA combined
loan-to-value ratio (cLTV) of 72.5%, as determined by Fitch,
translates to a sustainable loan-to-value ratio (sLTV) of 79.2%.
This transaction has a final probability of default (PD) of 15.26%
in the 'AAA' rating stress. Fitch's final loss severity (LS) in the
'AAAsf' rating stress is 34.39%. The expected loss in the 'AAAsf'
rating stress is 5.25%.
Structural Analysis (Neutral): The transaction has a modified
sequential-payment structure, whereby collected principal pro rata
is distributed among the class A notes while excluding the
mezzanine and subordinate notes from principal until all the class
A notes are reduced to zero. To the extent that either a cumulative
loss trigger event or a DQ trigger event occurs in a given period,
principal will be distributed first to class A-1A and A-1B, then to
A-2 and A-3 notes until they are reduced to zero. Once the A
classes are paid in full, principal will be allocated first to M-1,
then to B-1, then to B-2 and finally to B-3.
Like other modified sequential structures, interest is prioritized
over the payment of principal in the principal waterfall, with
interest being paid first, prior to principal. The interest
waterfall is sequential, with the class A receiving current
interest and unpaid interest first. Both of these features are
supportive of timely interest being paid to the 'AAAsf' rated
classes.
The transaction has excess interest and subordination to provide
credit protection to the rated classes in the structure.
However, excess spread will be reduced on and after the payment
date in April 2030, since the class A notes have a step-up coupon
feature, whereby the coupon rate will be the lower of (i) the
applicable fixed rate plus 1.000% and (ii) the net WAC rate.
Additionally, on any payment date occurring on or after the payment
date in April 2030 on which the aggregate unpaid interest carryover
amount for class A notes is greater than zero, payments to the
interest carryover reserve account will be prioritized over the
payment of interest and unpaid interest payable to class B-3 notes
in both the interest and principal waterfalls. This feature is
supportive of the 'AAAsf' rated notes being paid timely interest at
the step-up coupon rate under Fitch's stresses, and classes A-2 and
A-3 being paid ultimate interest at the step-up coupon rate under
Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated
classes and to ultimate interest for all other rated classes.
The transaction has excess interest and subordination to provide
credit protection to the rated classes in the structure.
Losses will be allocated reverse sequentially, with class B-3
taking losses first. Once class M-1 is written off, the losses will
be allocated sequentially to the A classes, with the A-1A class
taking losses last.
Operational Risk Analysis (Positive)
Fitch considers originator and servicer capability, third-party due
diligence results, and the transaction-specific representation,
warranty and enforcement (RW&E) framework to derive a potential
operational risk adjustment. The only consideration that has a
direct impact on Fitch's loss expectations is due diligence.
Third-party due diligence was performed on 100% of the loans in the
transaction by loan count. Fitch applies a 5-bp z-score reduction
for loans fully reviewed by the third-party review (TPR) firm with
a final grade of either "A" or "B".
Counterparty and Legal Analysis (Neutral)
Fitch expects all relevant transaction parties to conform with the
requirements described in its "Global Structured Finance Rating
Criteria." Relevant parties are those whose failure to perform
could have a material outcome on the performance of the
transaction. Additionally, all legal requirements should be
satisfied to fully de-link the transaction from any other entities.
Fitch expects JPMMT 2026-HYB1 to be fully de-linked, and the
transaction will be structured with a bankruptcy-remote SPV. All
transaction parties and triggers align with Fitch expectations.
Rating Cap Analysis (Neutral)
Common rating caps in U.S. RMBS may include, but are not limited
to, new product types with limited or volatile historical data and
transactions with weak operational or structural/counterparty
features. These considerations do not apply to JPMMT 2026-HYB1,
and, therefore, Fitch is comfortable rating to the highest possible
rating at 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses were conducted at
the state and national levels to assess the effect of higher MVDs
for the subject pool as well as lower MVDs, illustrated by a gain
in home prices.
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 37.07%, at 'AAAsf'. 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
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Opus, and Consolidated Analytics. The third-party
due diligence described in Form 15E focused on four areas:
compliance review, credit review, valuation review and data
integrity. The third-party review was conducted on 100% of the
pool. Fitch considered this information in its analysis and, as a
result, Fitch applies an approximate 5-bp origination PD credit for
loans fully reviewed by the TPR fi rm and have a final grade of
either "A" or "B."
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's U.S. RMBS Rating Criteria. The sponsor
engaged the following TPR firms: AMC, Consolidated Analytics and
Opus (all assessed as 'Acceptable') to perform the review of the
final population of loans in the pool. Loans reviewed under these
engagements were given compliance, credit and valuation grades and
assigned initial and final grades for each subcategory.
An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has an exceptions and waivers. Fitch
determined that the exceptions and waivers do not materially affect
the overall credit risk of the loans due to the presence of
compensating factors, such as having liquid reserves or FICO scores
above guideline requirements or LTVs or DTIs lower than guideline
requirements. In addition, all loans were graded 'A' or 'B' so any
waiver or exception was not material. Therefore, no adjustments
were needed to compensate for these occurrences.
Fitch utilized data files made available by the issuer on its SEC
Rule 17g-5 designated website. The loan-level information Fitch
received was based on the Resi PLS data layout format, and the data
provided was considered comprehensive. The data contained in the
Resi PLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
JP MORGAN 2026-HYB1: Fitch Assigns 'B-sf' Rating on Cl. B2 Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2026-HYB1 (JPMMT 2026-HYB1).
Entity/Debt Rating Prior
----------- ------ -----
JPMMT 2026-HYB1
A1 LT AAAsf New Rating AAA(EXP)sf
A1A LT AAAsf New Rating AAA(EXP)sf
A1B LT AAAsf New Rating AAA(EXP)sf
A2 LT AA-sf New Rating AA-(EXP)sf
A3 LT A-sf New Rating A-(EXP)sf
M1 LT BBB-sf New Rating BBB-(EXP)sf
B1 LT BB-sf New Rating BB-(EXP)sf
B2 LT B-sf New Rating B-(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
PT LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
The JPMMT 2026-HYB1 notes are supported by 244 loans with a balance
of $349.22 million as of the cutoff date.
The pool entirely consists of prime-quality hybrid adjustable-rate
mortgages (ARMs) originated mainly by United Wholesale Mortgage
(UWM), which is assessed as an 'Above Average' originator by Fitch.
The remaining originators are contributing less than 10% each to
the transaction. NewRez LLC d/b/a Shellpoint Mortgage Servicing
(RPS2+/Stable) will service all of the loans on an interim basis on
behalf of the issuer until the servicing transfer date, after which
the loans will be serviced by Rocket Mortgage LLC d/b/a Rushmore
Servicing (RSS2/Stable).
Per the transaction documents, 99.73% of the loans are designated
as safe harbor (APOR) qualified mortgage loans (SHQM) and the
remaining 0.27% are designated as rebuttable presumption (APOR)
qualified mortgage loans.
Class A-1A, class A-1B, class A-2 and class A-3 notes are fixed
rate, capped at the net weighted average coupon (WAC) and have a
step-up feature. The interest rate for the class M-1 note will be a
per annum rate equal to the lesser of (i) the applicable fixed rate
for such class of notes, determined at the time of pricing, or (ii)
the net WAC rate for the related payment date. The class B-1, B-2
and B-3 notes are based on the net WAC.
Additionally, on any payment date after the step-up date where the
aggregate unpaid interest carryover amount for class A notes is
greater than zero, payments to the class A step-up interest
carryover reserve account will be prioritized over payment of
interest/unpaid interest payable to class B-3 notes.
KEY RATING DRIVERS
Credit Risk of Prime Credit Quality (Positive): RMBS transactions
are directly affected by the performance of the underlying
residential mortgages or mortgage-related assets. Fitch analyzes
loan-level attributes and macroeconomic factors to assess the
credit risk and expected losses.
The pool consists of hybrid adjustable-rate, first lien residential
mortgage loans with original terms to maturity of 30 years, and
46.8% of the loans are purchases, 89.3% of the loans are single
family/PUDs, and 100% of the loans are owner occupied or second
homes.
The loans are seasoned at an average of two months. The pool has a
weighted average (WA) original FICO score of 766, indicative of
very high credit-quality borrowers. The original WA combined
loan-to-value ratio (cLTV) of 72.5%, as determined by Fitch,
translates to a sustainable loan-to-value ratio (sLTV) of 79.2%.
This transaction has a final probability of default (PD) of 15.26%
in the 'AAA' rating stress. Fitch's final loss severity (LS) in the
'AAAsf' rating stress is 34.39%. The expected loss in the 'AAAsf'
rating stress is 5.25%.
Structural Analysis (Neutral): The transaction has a modified
sequential-payment structure, whereby collected principal pro rata
is distributed among the class A notes while excluding the
mezzanine and subordinate notes from principal until all the class
A notes are reduced to zero. To the extent that either a cumulative
loss trigger event or a DQ trigger event occurs in a given period,
principal will be distributed first to class A-1A and A-1B, then to
A-2 and A-3 notes until they are reduced to zero. Once the A
classes are paid in full, principal will be allocated first to M-1,
then to B-1, then to B-2 and finally to B-3.
Like other modified sequential structures, interest is prioritized
over the payment of principal in the principal waterfall, with
interest being paid first, prior to principal. The interest
waterfall is sequential, with the class A receiving current
interest and unpaid interest first. Both of these features are
supportive of timely interest being paid to the 'AAAsf' rated
classes.
The transaction has excess interest and subordination to provide
credit protection to the rated classes in the structure.
However, excess spread will be reduced on and after the payment
date in April 2030, since the class A notes have a step-up coupon
feature, whereby the coupon rate will be the lower of (i) the
applicable fixed rate plus 1.000% and (ii) the net WAC rate.
Additionally, on any payment date occurring on or after the payment
date in April 2030 on which the aggregate unpaid interest carryover
amount for class A notes is greater than zero, payments to the
interest carryover reserve account will be prioritized over the
payment of interest and unpaid interest payable to class B-3 notes
in both the interest and principal waterfalls. This feature is
supportive of the 'AAAsf' rated notes being paid timely interest at
the step-up coupon rate under Fitch's stresses, and classes A-2 and
A-3 being paid ultimate interest at the step-up coupon rate under
Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated
classes and to ultimate interest for all other rated classes.
The transaction has excess interest and subordination to provide
credit protection to the rated classes in the structure.
Losses will be allocated reverse sequentially, with class B-3
taking losses first. Once class M-1 is written off, the losses will
be allocated sequentially to the A classes, with the A-1A class
taking losses last.
Operational Risk Analysis (Positive)
Fitch considers originator and servicer capability, third-party due
diligence results, and the transaction-specific representation,
warranty and enforcement (RW&E) framework to derive a potential
operational risk adjustment. The only consideration that has a
direct impact on Fitch's loss expectations is due diligence.
Third-party due diligence was performed on 100% of the loans in the
transaction by loan count. Fitch applies a 5-bp z-score reduction
for loans fully reviewed by the third-party review (TPR) firm with
a final grade of either "A" or "B".
Counterparty and Legal Analysis (Neutral)
Fitch expects all relevant transaction parties to conform with the
requirements described in its "Global Structured Finance Rating
Criteria." Relevant parties are those whose failure to perform
could have a material outcome on the performance of the
transaction. Additionally, all legal requirements should be
satisfied to fully de-link the transaction from any other entities.
JPMMT 2026-HYB1 is fully de-linked, and the transaction will be
structured as a bankruptcy-remote, special-purpose vehicle. All
transaction parties and triggers align with Fitch expectations.
Rating Cap Analysis (Neutral)
Common rating caps in U.S. RMBS may include, but are not limited
to, new product types with limited or volatile historical data and
transactions with weak operational or structural/counterparty
features. These considerations do not apply to JPMMT 2026-HYB1,
and, therefore, Fitch is comfortable rating to the highest possible
rating at 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses were conducted at
the state and national levels to assess the effect of higher MVDs
for the subject pool as well as lower MVDs, illustrated by a gain
in home prices.
This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 37.07%, at 'AAAsf'. 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
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC, Opus, and Consolidated Analytics. The third-party
due diligence described in Form 15E focused on four areas:
compliance review, credit review, valuation review and data
integrity. The third-party review was conducted on 100% of the
pool. Fitch considered this information in its analysis and, as a
result, Fitch applies an approximate 5-bp origination PD credit for
loans fully reviewed by the TPR fi rm and have a final grade of
either "A" or "B."
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the loans. The third-party due diligence was
consistent with Fitch's U.S. RMBS Rating Criteria. The sponsor
engaged the following TPR firms: AMC, Consolidated Analytics and
Opus (all assessed as 'Acceptable') to perform the review of the
final population of loans in the pool. Loans reviewed under these
engagements were given compliance, credit and valuation grades and
assigned initial and final grades for each subcategory.
An exception and waiver report was provided to Fitch, indicating
the pool of reviewed loans has an exceptions and waivers. Fitch
determined that the exceptions and waivers do not materially affect
the overall credit risk of the loans due to the presence of
compensating factors, such as having liquid reserves or FICO scores
above guideline requirements or LTVs or DTIs lower than guideline
requirements. In addition, all loans were graded 'A' or 'B' so any
waiver or exception was not material. Therefore, no adjustments
were needed to compensate for these occurrences.
Fitch utilized data files made available by the issuer on its SEC
Rule 17g-5 designated website. The loan-level information Fitch
received was based on the Resi PLS data layout format, and the data
provided was considered comprehensive. The data contained in the
Resi PLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
JP MORGAN 2026-NQX1: DBRS Gives (P)B(low) Rating on B-2 Certs
-------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the Mortgage Pass-Through Certificates, Series 2026-NQX1 (the
Certificates) to be issued by J.P. Morgan Mortgage Trust 2026-NQX1
(the Issuer) as follows:
-- $136.0 million Class A-1FCF at (P) AAA (sf)
-- $45.3 million Class A-1LCF at (P) AAA (sf)
-- $155.2 million Class A-1A at (P) AAA (sf)
-- $26.1 million Class A-1B at (P) AAA (sf)
-- $181.3 million Class A-1 at (P) AAA (sf)
-- $70.3 million Class A-2 at (P) AA (low) (sf)
-- $38.1 million Class A-3 at (P) A (low) (sf)
-- $19.6 million Class M-1 at (P) BBB (low) (sf)
-- $18.0 million Class B-1 at (P) BB (low) (sf)
-- $9.7 million Class B-2 at (P) B (low) (sf)
Class A-1 is an exchangeable certificate, while Classes A-1A and
A-1B are depositable certificates. These classes can be exchanged
in combinations as specified in the offering documents.
The (P) AAA (sf) credit ratings on the Certificates reflect 30.60%
of credit enhancement provided by the subordinated Certificates.
The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB
(low) (sf), and (P) B (low) (sf) credit ratings reflect 17.15%,
9.85%, 6.10%, 2.65%, and 0.80% of credit enhancement,
respectively.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first-lien residential mortgages
funded by the issuance of the Certificates. The Certificates are
backed by 1,138 loans with a total principal balance of
approximately $522,587,003 as of March 1, 2026 (the Cut-Off Date).
The pool is, on average, three months seasoned, with loan ages
ranging from one to seventy-seven months. Approximately 24.7% of
the Mortgage Loans by balance were originated OCMBC, Inc., 21.2% of
the loans were originated by United Wholesale Mortgage, LLC (UWM)
and 17.2% of the loans were originated by Cake Mortgage Corp. The
Mortgage Loan Seller acquired approximately 16.9% from MAXEX
Clearing LLC ("MAXEX"). All the other originators individually
comprised less than 5.0% of the overall mortgage loans.
NewRez LLC, formerly known as New Penn Financial, LLC, doing
business as (dba) Shellpoint will service approximately 95.0% of
the loans, Selene Finance LP will service 4.2% of the loans. Cenlar
FSB will act as subservicer with respect to 0.8% of the Mortgage
Loans serviced by UWM. Computershare Trust Company, N.A. (rated BBB
(high) with a Stable trend by Morningstar DBRS) will act as Master
Servicer, Custodian, and Securities Administrator. Wilmington
Savings Fund Society, FSB will act as Owner Trustee.
As of the Cut-Off Date, 100.0% of the loans in the pool are
contractually current according to the Mortgage Bankers Association
(MBA) delinquency calculation method.
In accordance with the Consumer Financial Protection Bureau (CFPB)
Qualified Mortgage (QM) rules, 50.6% of the loans by balance are
designated as non-QM. Approximately 42.2% of the loans in the pool
were made to investors for business purposes and are exempt from
the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 5.5% of
the loans in the pool are designated as QM Safe Harbor, and 1.7%
are QM Rebuttable Presumption (by unpaid principal balance (UPB)).
Servicers will generally advance delinquent principal and interest
(P&I) on the mortgage loans for four months. Each servicer is
obligated to make advances in respect of taxes and insurance; the
cost of preservation, restoration, and protection of mortgaged
properties; and any enforcement or judicial proceedings, including
foreclosures and reasonable costs and expenses incurred in the
course of servicing and disposing of properties until otherwise
deemed unrecoverable.
The Retaining Sponsor will retain an eligible horizontal residual
interest in the transaction in the required amount of no less than
5.0% of the aggregate fair value of the Certificates (other than
the Class A-R Certificates) consisting of a portion of the Class
B-2, Class B-3, and Class XS Certificates to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
On any date following the date on which the aggregate UPB of the
mortgage loans is less than or equal to 10% of the Cut-Off Date
balance, the Optional Clean-Up Call Holder will have the option to
terminate the transaction by directing the master servicer to
purchase all of the mortgage loans and any real estate owned (REO)
property from the Issuer at a price equal to the sum of the
aggregate UPB of the mortgage loans (other than any REO property)
plus accrued interest thereon, the lesser of the fair market value
of any REO property and the stated principal balance of the related
loan, and any outstanding and unreimbursed servicing advances,
accrued and unpaid fees, any non-interest-bearing deferred amounts,
and expenses that are payable or reimbursable to the transaction
parties.
The holder of the Trust Certificates may, at its option, on any
Distribution Date on or after the date that is the earlier of (i)
three years after the Closing Date or or (2) the date on which the
balance of mortgage loans and REO properties falls to or below 30%
of the loan balance as of the Cut-Off Date (Optional Redemption
Date), redeem the Certificates at the optional termination price
described in the transaction documents.
Master Servicer on behalf of the Issuer may require the Seller to
repurchase loans that become delinquent in the first three monthly
payments following the date of acquisition. Such loans will be
repurchased at the related repurchase price.
The transaction's cash flow structure is generally similar to that
of other non-QM securitizations. The transaction employs a
sequential-pay cash flow structure with a pro rata principal
distribution among the senior tranches subject to certain
performance triggers related to cumulative losses or delinquencies
exceeding a specified threshold (Credit Event). The Class A-1A and
Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have
group specific allocations of principal, interest and loss
allocation rules within their respective groups. Principal proceeds
will be allocated to cover interest shortfalls on the seniormost
certificates before being applied sequentially to amortize the
balances of the more subordinated certificates. Excess spread can
be used to cover realized losses first before being allocated to
unpaid Cap Carryover Amounts due to the senior certificates. The
Class A-1 is an exchangeable certificate and can be exchanged with
the Class A-1A and Class A-1B as specified in the offering
documents. Also, the excess spread can be used to cover realized
losses first before being allocated to unpaid Cap Carryover Amounts
due to Class A Certificates, and M-1 (and B-1 if issued with fixed
rate).
Of note, the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3
Certificates coupon rates step up by 100 basis points on and after
the payment date in March 2030. Interest and principal otherwise
payable to the Class B-3 Certificates as accrued and unpaid
interest may be used to pay the Class A-1FCF, A-1LCF, A-1A, A-1B,
A-2, and A-3 Certificates Cap Carryover Amounts after the Class A
coupons step up.
Natural Disasters/Wildfires
The mortgage pool contains loans secured by mortgage properties
that are located within certain disaster areas. The Sponsor of the
transaction has informed Morningstar DBRS that the servicer has
ordered (and intends to order) property damage inspections (PDI)
for any property located in a known disaster zone prior to the
transactions closing date. Loans secured by properties known to be
materially damaged will not be included in the final transaction
collateral pool. To the extent that a PDI was ordered prior to
closing, but notice of material damages were not available until
after closing, the sponsor will repurchase the related loan/loans
within 90 days of notification.
The transaction documents also include representations and
warranties regarding the property conditions, which state that the
properties have not suffered damage that would have a material and
adverse impact on the values of the properties (including events
such as fire, windstorm, flood, earth movement, and hurricane).
The credit ratings reflect transactional strengths that include the
following:
-- Robust loan attributes and pool composition;
-- Compliance with the ATR rules;
-- Improved underwriting standards;
-- Current loan status; and
-- Satisfactory third-party due diligence reviews.
The transaction also includes the following challenges:
-- Debt service coverage ratio loans;
-- Certain nonprime, non-QM, investor loans, and loans to foreign
national borrowers;
-- Limited servicer advances of delinquent P&I; and
-- The representations and warranties standard.
Morningstar DBRS' credit ratings on the Certificates addresses the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the rated Certificates are the
related Interest Distribution Amount, Interest Carryforward Amount,
and the related Class Principal Amount.
Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1A,
A-1B, A-2, and A-3 Certificates also address the credit risk
associated with the increased rate of interest applicable to the
Certificates if they remain outstanding on the step-up date (April
2030) in accordance with the applicable transaction document(s).
Morningstar DBRS' credit ratings does not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, in this transaction, Morningstar DBRS'
credit ratings do not address the payment of any Cap Carryover
Amounts.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes:
All figures are in U.S. dollars unless otherwise noted.
JPMBB COMMERCIAL 2014-C22: DBRS Confirms Csf Rating on 2 Tranches
-----------------------------------------------------------------
DBRS Limited (Morningstar DBRS) confirmed the credit ratings on all
classes of Commercial Mortgage Pass-Through Certificates, Series
2014-C22 issued by JPMBB Commercial Mortgage Securities Trust
2014-C22 as follows:
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at A (high) (sf)
-- Class C at BB (high) (sf)
-- Class EC at BB (high) (sf)
-- Class D at C (sf)
-- Class E at C (sf)
The trends on Classes B, C, and EC are Negative. The trends on
Classes A-S and X-A are Stable. Classes D and E have credit ratings
that do not typically carry a trend in commercial mortgage-backed
securities transactions.
The credit rating confirmations reflect Morningstar DBRS'
recoverability expectations and the minimal changes in performance
for the eight remaining loans in the pool since the previous credit
rating action in April 2025. During that review, Morningstar DBRS
changed the trends on Class B, Class C, and the related
exchangeable Class EC to Negative from Stable, reflecting a
reduction in implied credit support driven by Morningstar DBRS'
loss projections for the loans in special servicing.
In the analysis for this review, Morningstar DBRS considered
liquidation scenarios for all six specially serviced loans and one
non-specially serviced loan, 10333 Richmond (Prospectus ID#7; 15.4%
of the current pool balance), that transferred back to the master
servicer in January 2026 following a loan modification that closed
in September 2025. Morningstar DBRS' loss projections for the pool
total $72.2 million, a nominal increase from Morningstar DBRS' loss
projection of $68.8 million at the prior review. Cumulative
projected losses would write down the entirety of the Class E, F,
and G certificate balances and approximately 50.0% of the Class D
certificate balance, which is currently rated C (sf). Ongoing
interest shortfalls continue to accrue, with the February 2026
remittance reflecting cumulative unpaid interest of $9.9 million,
up from $7.8 million at the last credit rating action. Interest
shortfalls are currently contained to the Class D certificate,
which is receiving approximately 40.0% of the scheduled interest
due as of the February 2026 reporting and has been shorted by
approximately $1.7 million to date. The Negative trends on Classes
B, C, and EC reflect Morningstar DBRS' concerns regarding the
likelihood that unpaid interest will continue to accrue and the
potential for further value deterioration associated with the loans
in special servicing, as well as the 10333 Richmond loan.
As of the February 2026 remittance, eight loans remained in the
pool with an aggregate principal balance of $244.3 million, a
collateral reduction of 78.2% from issuance. Morningstar DBRS'
liquidation analysis assumptions are generally based on
conservative haircuts to the most recent appraised values while
accounting for outstanding advances, projected future advances, and
expected liquidation expenses. To date, the trust has incurred
losses of approximately $50.0 million (including nonrecoverable
advances from principal), eroding the entirety of the non-rated
certificate balance and more than 80.0% of the Class G certificate
balance.
The largest contributor to Morningstar DBRS' loss projections is
the 10333 Richmond loan that is secured by a 218,700-square-foot
(sf) suburban office property in Houston. As noted above, the loan
recently returned to the master servicer in January 2026 following
a loan modification that closed in September 2025. Terms of the
loan modification included extending the loan's maturity date to
August 2026 and splitting the loan into two tranches: a $15.0
million A tranche and $22.6 million B tranche that accrues interest
but requires no monthly payments and becomes due only at maturity,
default, or during a defined capital event, as outlined in the loan
modification. The agreement also capitalizes more than $5 million
of unpaid interest and lender expenses into Tranche B, establishes
a new all-purpose reserve funded with $2.5 million of borrower
equity, and requires the borrower to contribute a total of $6.37
million in new equity. The property was only 39.0% occupied as of
September 2025 with the loan reporting a debt service coverage
ratio (DSCR) lower than breakeven since 2017. According to Reis,
the Westchase/Westheimer submarket reported a Q4 2025 vacancy rate
of 26.8%, an increase of almost 100 basis points from the prior
year. The collateral was most recently appraised in August 2024 at
a value of $8.9 million, an 81.0% decline from the issuance value
of $46.3 million. Although the loan remains current, Morningstar
DBRS maintained a stressed analysis in light of the significant
as-is value decline for the property. The loan was evaluated with a
liquidation scenario, based on a conservative 40% haircut to the
most recent appraised value, resulting in an implied loss of $37.5
million, representing a full loss to the trust.
The Laurel Park Place loan (Prospectus ID#10; 8.4% of the current
pool balance) is secured by a 356,500-sf Class B suburban mixed-use
building in Livonia, Michigan, approximately 20.0 miles west of the
Detroit central business district. The subject property consists
primarily of office space, with 43,000 sf dedicated to a 10-screen
theatre. The loan transferred to special servicing in August 2024
for maturity default and became real estate owned in January 2026.
The property has faced challenges since the departure of the
previous largest tenant, Tower Automotive (21.6% of the net
rentable area), in 2020. The property was 50.7% occupied as of the
September 2025 rent roll, a notable decline from 82.0% at issuance.
Leasing traction has stalled, likely reflecting broader softness in
the West Wayne County submarket, which reported a Q4 2025 average
vacancy rate of 24.2%, according to Reis. The property was most
recently appraised in September 2025 for $21.4 million,
approximately 50.0% less than the issuance appraised value of $37.4
million. Morningstar DBRS analyzed the loan with a liquidation
scenario by applying a 35.0% haircut to the September 2025
appraised value, resulting in an implied loss of $12.0 million and
a loss severity approaching 60.0%.
The two largest loans in the pool, Queens Atrium (Prospectus ID#1;
32.5% of the pool) and One Met Center (Prospectus ID#2; 27.9% of
the pool), transferred to the special servicer in 2024 after
failing to repay at their maturity dates. A forbearance agreement
was executed that extended the loans' maturity dates to July 2026
to allow the borrower additional time to seek replacement
financing. Although the lending landscape for office properties
remains challenging with a decline in investor appetite for the
asset class, the subject properties continue to perform well with
little to no value decline since issuance, as reflected by the most
recent appraisals made available in July 2025. In addition, the
loans benefit from low leverage points (with whole-loan
loan-to-value ratios below 65.0%) and strong DSCRs which remain
healthy at more than 2.0 times. Morningstar DBRS expects these
loans to be fully recovered.
The 120 Mountain View Boulevard loan (Prospectus ID#18; 5.6% of the
pool) is backed by a suburban New Jersey office property that was
just 4.1% occupied as of the December 2025 rent roll. The two
remaining loans, 244 Jackson Street (Prospectus ID#22; 5.6% of the
pool) and 630 Forest Avenue (Prospectus ID#65; 1.2% of the pool),
are backed by mixed-use office/retail and retail properties,
respectively. Both properties are fully dark after major tenants
vacated. Morningstar DBRS liquidated all three loans in its
analysis for this review based on conservative haircuts to the most
recent appraised values. This resulted in cumulative projected
losses of $25.9 million, with loss severities ranging from 72% to
100%.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes:
All figures are in U.S. dollars unless otherwise noted.
JPMBB COMMERCIAL 2014-C25: Moody's Cuts Rating on B Certs to Ba2
----------------------------------------------------------------
Moody's Ratings has affirmed the rating on one class and downgraded
the ratings on six classes in JPMBB Commercial Mortgage Securities
Trust 2014-C25, Commercial Mortgage Pass-Through Certificates,
Series 2014-C25 as follows:
Cl. A-5, Affirmed Aaa (sf); previously on Jul 25, 2025 Affirmed Aaa
(sf)
Cl. A-S, Downgraded to A2 (sf); previously on Jul 25, 2025
Downgraded to Aa3 (sf)
Cl. B, Downgraded to Ba2 (sf); previously on Jul 25, 2025
Downgraded to Baa3 (sf)
Cl. C, Downgraded to Caa3 (sf); previously on Jul 25, 2025
Downgraded to Caa1 (sf)
Cl. X-A*, Downgraded to A2 (sf); previously on Jul 25, 2025
Downgraded to Aa3 (sf)
Cl. X-B*, Downgraded to Ba2 (sf); previously on Jul 25, 2025
Downgraded to Baa3 (sf)
Cl. EC, Downgraded to B3 (sf); previously on Jul 25, 2025
Downgraded to B1 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The rating on one P&I class, Cl. A-5, was affirmed because of the
significant credit support and due to the expected principal
recoveries from the remaining loans in the pool. Class A-5 has paid
down 94% from its original balance and the class will benefit from
payment priority from any principal proceeds from any loan payoffs
or resolutions.
The ratings on three P&I classes, Cl. A-S, Cl. B, and Cl. C, were
downgraded due to the potential for higher losses and increased
risk of interest shortfalls driven primarily by the significant
exposure to loans in special servicing with declining performance.
Nine loans (71.1% of the pool) are in special servicing, including
four loans (25.8% of the pool) which have been deemed
non-recoverable by the master servicer. The largest specially
serviced loan (Mall at Barnes Crossing and Market Center Tupelo –
15.7% of the pool) is already real estate owned ("REO") and the
second largest specially serviced loan (Spectra Energy Headquarters
– 13.4% of the pool) is secured by an office property that is
fully vacant and the cash flow is expected to cease next month
(April 2026) when the tenant's lease expires. Furthermore, as of
the March 2026 remittance, all of the loans have now passed their
original maturity date or anticipated repayment date ("ARD") and
the risk of interest shortfalls and potential for higher losses may
increase if the outstanding loans become further delinquent or are
unable to pay off at their extended or final maturity dates.
The ratings on the IO classes, Cl. X-A and Cl. X-B, were downgraded
due to a decline in the credit quality of their respective
referenced classes. Class X-A references Cl. A-5 and Cl. A-S and
Class X-B references Cl. B.
The rating on the exchangeable class, Cl. EC, was downgraded due to
the decline in the credit quality of its referenced exchangeable
classes. Class EC references Cl. A-S, Cl. B and Cl. C.
Moody's rating action reflects a base expected loss of 42.0% of the
current pooled balance, compared to 47.7% at Moody's last review.
Moody's base expected loss plus realized losses is now 14.0% of the
original pooled balance, compared to 16.4% 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 71% of the pool is in
special servicing and Moody's have identified an additional
troubled loan representing 27% of the pool. In this approach,
Moody's determines a probability of default for each specially
serviced and troubled loan that it expects will generate a loss and
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 and troubled 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, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
DEAL PERFORMANCE
As of the March 2026 distribution date, the transaction's aggregate
certificate balance has decreased by 70% to $356.4 million from
$1.18 billion at securitization. The certificates are
collateralized by 11 mortgage loans and all the remaining loans
have passed their original maturity date or anticipated repayment
date ("ARD").
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 seven, the same as at Moody's last review.
Two loans, constituting 29% 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.
Four loans have been liquidated from the pool, contributing to an
aggregate realized loss of $15.8 million (for an average loss
severity of 77%). Nine loans, constituting 71% of the pool, are
currently in special servicing.
The largest specially serviced loan is the Mall at Barnes Crossing
and Market Center Tupelo loan ($56.1 million – 15.7% of the
pool), which is secured by an approximately 570,000 square foot
("SF") collateral portion of a 670,000 SF single-story regional
mall and a 60,000 SF adjacent strip center located in Tupelo,
Mississippi. The anchors include a Belk (non-collateral), Belk Home
Store, and JC Penney. A former Sears space (78,000 SF) is now
vacant. Other major tenants include a Dick's Sporting Goods (50,000
SF – 7.9% of NRA (net rentable area)), Barnes & Noble (29,500 SF
– 4.7% of NRA) and Cinemark Theater (24,550 SF – 3.9% of NRA).
As of September 2025, the collateral was 81% leased, compared to
80% in 2024 and 95% at securitization. The loan transferred to
special servicing in September 2024 due to the borrower's failure
to repay the loan at the September 2024 maturity date. A
foreclosure sale occurred in June 2025 and JLL was engaged to
manage and lease the REO properties. As of the March 2026
remittance, the loan has amortized 16.2% since securitization and
is last paid through its March 2026 payment date. The most recent
appraisal from September 2025 valued the property 54% below the
value at securitization.
The second largest specially serviced loan is the Spectra Energy
Headquarters loan ($47.8 million – 13.4% of the pool), which is
secured by a by a 614,000 SF office building located within the
West Loop submarket of Houston, Texas. Although the property is
100% leased to Spectra Energy Corporation, the property is fully
vacant and the current cash flow is expected to cease next month
(April 2026) when the tenant's lease expires. The loan did not pay
off on its ARD in October 2024 and all excess cash flow is now
being applied to principal for the remainder of the loan term. The
loan transferred to special servicing in January 2026 for imminent
monetary default and the borrower has requested an orderly
transition of title. As of the March 2026 remittance, the loan has
amortized 9.0% since securitization and is last paid through its
March 2026 payment date.
The third largest specially serviced loan is the Hilton Houston
Post Oak loan ($39.3 million – 11.0% of the pool), which
represents a pari passu portion of a $70.0 million mortgage loan.
The loan is secured by 448 key full-service hotel located in
Houston, Texas, near the Houston Galleria shopping area. The loan
transferred to special servicing in May 2020 for monetary default.
The borrower filed for bankruptcy in late 2021 and the loan
eventually went into foreclosure, becoming REO in September 2022.
Performance was significantly impacted by the pandemic and as of
December 2025, the reported occupancy was 65%. As of the March 2026
remittance, the loan is last paid through its November 2024 payment
date. The most recent appraisal from May 2025 valued the property
48% lower than the value at securitization. The master servicer has
recognized an appraisal reduction of $8.6 million and has deemed
the loan non-recoverable.
The fourth largest specially serviced loan is the Southport Plaza
loan ($25.0 million – 7.0% of the pool), which is secured by
which is secured by a Class B Office / Flex property located in
Staten Island, New York. The property contains approximately
127,500 SF of office space and 64,600 SF of industrial/flex space.
The loan transferred to special servicing in June 2020 for monetary
default as a result of the pandemic. The loan was previously
modified, but the borrower was not able to pay off the loan at its
maturity date in October 2024. As of September 2025, the property
was 57% leased, compared to 83% in 2024. The special servicer is
dual-tracking foreclosure and the appointment of a receiver. As of
the March 2026 remittance, the loan is last paid through its July
2025 payment date. The most recent appraisal from January 2025
valued the property 41% lower than the value at securitization.
The fifth largest specially serviced loan is the 9525 West Bryn
Mawr Avenue loan ($24.8 million – 7.0% of the pool), which is
secured by an approximately 250,000 SF office property located in
the Chicago suburb of Rosemont, Illinois. The loan transferred to
special servicing in May 2023 for imminent monetary default. A
receiver was appointed in November 2023 and the property became REO
in September 2025. As of June 2025, the property was 55% leased,
compared to 49% in 2024. As of the March 2026 remittance, the loan
is last paid through its January 2024 payment date. The most recent
appraisal from January 2025 valued the property 72% lower than the
value at securitization. The master servicer has recognized an
appraisal reduction of $11.9 million and has deemed the loan
non-recoverable.
The sixth largest specially serviced loan is the American Center
loan ($24.1 million – 6.8% of the pool), which is secured by a
508,600 SF office property located in the Detroit suburb of
Southfield, Michigan. The loan transferred to special servicing in
November 2024 due to imminent maturity default ahead of its
November 2024 maturity date. In April 2025 the lender and borrower
entered into a forbearance agreement which expires in January 2027
and includes the option to extend for one additional year. As of
September 2025, the property was 77% leased, compared to 81% in
2024. The most recent appraisal from August 2025 valued the
property 13% below the value at securitization but above the
outstanding loan balance. As of the March 2026 remittance, the loan
has amortized approximately 16.7% since securitization and is last
paid through its March 2026 payment date.
The seventh largest specially serviced loan is the Park Place loan
($19.1 million – 5.4% of the pool), which is secured by 177,000
SF office building located in Greenwood Village, Colorado. The loan
transferred to special servicing in February 2024 due to imminent
monetary default. A receiver is in place, managing the property,
and new leasing agents have been hired. As of June 2025, the
property was 58% leased, compared to 70% in 2024. The property is
facing significant upcoming lease rollover with approximately 97%
of NRA expiring within the next three years. As of the March 2026
remittance, the loan is last paid through December 2024 payment
date. The most recent appraisal from October 2025 valued the
property 70% lower than the value at securitization. The master
servicer has recognized an appraisal reduction of $11.9 million and
has deemed the loan non-recoverable.
The remaining two specially serviced loans are secured by an office
and retail property. Both properties have upcoming lease rollover
concentration risk and the retail loan has been deemed
non-recoverable by the master servicer.
Moody's have also assumed a high default probability for the
largest loan, constituting 27.1% of the pool, and have estimated an
aggregate loss of $149.6 million (a 43% expected loss on average)
from these specially serviced and troubled loans. The troubled loan
is the CityPlace loan ($96.5 million – 27.1% of the pool), which
is secured by five adjacent office buildings and one mixed-use
office building located in the St. Louis suburb of Creve Coeur,
Missouri. The collateral is part of a larger 31-acre campus, which
includes 1.2 million SF of office space, retail, and residential
buildings. The loan transferred to special servicing in July 2024
due to imminent maturity default after the borrower was unable to
pay off the loan at its October 2024 maturity date. The loan was
modified, brought current and returned to the master servicer in
February 2025. The modification terms include a maturity date
extension to December 2027, cash sweep for the remainder of the
loan term and $2 million excess cash reserve account deposit. The
loan is performing with a reported NOI DSCR of 1.30X as of
September 2025, however, the property has significant lease
rollover risk with approximately 45% of NRA expiring within the
next three years. As of September 2025, the property was 82%
leased, compared to 81% in 2024. As of the March 2026 remittance,
the loan has amortized 11.3% since securitization and is current on
P&I payments.
As of the March 2026 remittance statement cumulative interest
shortfalls were $8.8 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 two non-specially serviced loans represent 28.9% of the pool
balance and the largest loan, the CityPlace loan ($96.5 million –
27.1% of the pool), is discussed above as a troubled loan. The
other non-specially serviced loan is the Market Place Shopping
Center loan ($6.4 million – 1.8%), which is secured by a 215,000
SF grocery anchored retail shopping center located in the Chicago
suburb of Rockford, Illinois. The loan is on the watchlist after
passing the ARD in October 2024. As of December 2025, the property
was 89% leased, compared to 97% in 2024. As of the March 2026
remittance, the loan has amortized 26.9% since securitization and
is current on P&I payments.
LCCM 2013-GCP: S&P Lowers Class X-B Certs Rating to 'B- (sf)'
-------------------------------------------------------------
S&P Global Ratings lowered its ratings on seven classes of
commercial mortgage pass-through certificates from LCCM 2013-GCP
Mortgage Trust, a U.S. CMBS transaction.
This is a U.S. stand-alone (single-borrower) CMBS transaction that
is backed by a 15-year, fixed-rate, partially amortizing (interest
only for the first 84 months and then amortizes on a 360-month
schedule) mortgage loan totaling $248.7 million as of the March 17,
2026, trustee remittance report (down from $275.0 million at
issuance) secured by the borrower's fee simple interest in Grand
Central Plaza, an approximately 1.0 million-sq-ft, 1974-built,
39-story, class A-/B+ office tower with roughly 20,300 sq ft of
ground-floor retail space located at 622 Third Avenue and an
adjacent 17,000-sq-ft two-story retail building in the Grand
Central office submarket of Midtown Manhattan.
Rating Actions
The downgrades on the class A-1, A-2, B, C, and D certificates
reflect the following:
-- S&P's net recovery value is 24.0% lower than the valuation it
derived in its last review in September 2025, primarily due to
declining net cash flow (NCF) and occupancy at the property. S&P
increased its capitalization rate assumption to reflect the
potential additional volatility in NCFs and occupancy at the
property.
-- Despite stabilizing office submarket fundamentals and being
well located in proximity to Grand Central Terminal, a major
commuter hub, the property has had minimal new leasing activity.
S&P believes the property's performance will continue to be
stagnant without significant capital investments.
-- S&P's concern with the sponsor's ability to refinance the loan
by its maturity date on Feb. 11, 2028, if the property's
performance does not materially improve or the borrower does not
infuse additional capital. The master servicer reported a debt
service coverage of 0.77x, based on a 5.11% per annum fixed
interest rate for the nine months ending Sept. 30, 2025, down from
0.95x in 2024.
While the model-indicated rating on class A-1 was lower than S&P
revised rating, it qualitatively considered the following when
moderating our downgrade:
--The class's balance has been reduced by 72.5% to $10.0 million
as of the March 2026 trustee remittance report from $36.3 million
at issuance.
-- The class receives about $400,000 (on average) of monthly
amortization and is expected to pay off in full around the loan's
maturity in February 2028.
-- The class has a debt per sq. ft. of approximately $9.90.
-- The downgrades on the class X-A and X-B interest-only (IO)
certificates are based on our criteria for rating IO securities, in
which the ratings on the IO securities would not be higher than
that of the lowest-rated reference class. The notional balance of
the class X-A certificates references classes A-1 and A-2, while
the class X-B certificates references classes B, C, and D.
S&P said, "We will continue to monitor the performance of the
collateral property and loan, as well as the borrower's efforts to
pay off the loan by its maturity date in February 2028. If we
receive information that differs materially from our expectations,
including the loan transferring to special servicing or the master
servicer advancing on the loan, we may revisit our analysis and
take additional rating actions as we determine necessary."
Property-Level Analysis Update
As of the Sept. 30, 2025, rent roll, the property was 70.3% leased
(after adjusting for known tenant movements), down from the assumed
75.1% in our last review. The property has minimal rollover in the
next seven years, however, the lease of the largest tenant,
Interpublic Group, comprising 43.6% of the net rentable area (NRA)
and 63.2% of S&P Global Ratings' in place gross rent, expires in
2034. Per CoStar, tenants representing 3.0% of NRA are currently
marketing their space for sublease. The property had reported
decreasing NCF in each year since 2022.
According to CoStar, the Grand Central office submarket, where the
property is located, has stabilized and continues to outperform the
overall New York City office market. As of February 2026, the
average market rents in the submarket are reportedly one of the
highest, at around $83.00 per sq ft. CoStar projects the vacancy
rate to decline over the next couple of years to 13.3% in 2028 from
14.0% currently. According to the September 2025 rent roll, the
property was 29.7% vacant (after adjusting for known tenant
movements) and had a gross rent of $63.77 per sq ft, as calculated
by S&P Global Ratings.
S&P said, "In our current analysis, given the reported declines in
occupancy and NCF, as noted in the servicer-provided September 2025
rent roll and operating statements for the period ending September
2025, we revised our NCF, capitalization rate, and valuation
assumptions. This yielded an S&P Global Ratings' value of $244.2
million (or $242 per sq ft), which was 61.2% below the issuance
appraised value and an S&P Global Ratings' loan-to-value ratio of
101.8%. Based on our analysis, the S&P Global Ratings asset quality
score is 3.0 and the S&P Global Ratings income stability score is
2.5."
Table 1
Servicer-reported performance
Nine months ending September 2025(i) 2024(i) 2023(i)
Occupancy rate (%) 68.3 70.4 80.1
Net cash flow (mil. $) 10.4 17.1 24.3
Debt service coverage (x) 0.77 0.95 1.13
Appraisal value (mil. $)(ii) 630.0 630.0 630.0
(i)Reporting period.
(ii)At issuance, as of January 2013.
Table 2
S&P Global Ratings' key assumptions
Current review Last review At issuance
(Mar 2026)(i) (Sep 2025)(i) (Mar 2013)(i)
Trust balance (mil. $) 248.7 251.6 275.0
Occupancy rate (%) 70.3 75.1 91.8
Net cash flow (mil. $) 19.5 21.7 27.8
Capitalization rate (%) 8.00 6.75 6.50
Value (mil. $ 244.2 321.4 427.0
Value per sq. ft. ($) 242 319 424
Loan-to-value ratio (%) (ii) 101.8 78.3 64.4
(i)Review period.
(ii) Based on the trust balance at the time of review.
Ratings Lowered
LCCM 2013-GCP Mortgage Trust
Class A-1 to 'A- (sf)' from 'A+ (sf)'
Class A-2 to 'BBB (sf)' from 'A+ (sf)'
Class B to 'BB- (sf)' from 'BBB- (sf)'
Class C to 'B- (sf)' from 'BB (sf)'
Class D to 'B- (sf)' from 'BB- (sf)'
Class X-A to 'BBB (sf)' from 'A+ (sf)'
Class X-B to 'B- (sf)' from 'BB- (sf)'
MADISON PARK LXXVII: Fitch Assigns 'BB+sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Madison
Park Funding LXXVII, Ltd.
Entity/Debt Rating
----------- ------
Madison Park Funding
LXXVII, Ltd.
A-1 LT NRsf New Rating
A-1-L1 LT NRsf New Rating
A-1-L2 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
Madison Park Funding LXXVII, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
UBS Asset Management (Americas) LLC. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 97.7%
first-lien senior secured loans and has a weighted average recovery
assumption of 73.2%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 39% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting to
the indicative portfolio to reflect permissible concentration
limits and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1, and
between less than 'B-sf' and 'BB+sf' for class D-2 and between less
than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Madison Park
Funding LXXVII, Ltd..
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
MADISON PARK LXXVII: Moody's Assigns B3 Rating to $250,000 F Notes
------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
and two classes of loans incurred by Madison Park Funding LXXVII,
Ltd. (the Issuer):
US$76,000,000 Class A-1 Floating Rate Senior Notes due 2039,
Assigned Aaa (sf)
US$130,000,000 Class A-1-L1 Loans maturing 2039, Assigned Aaa (sf)
US$50,000,000 Class A-1-L2 Loans maturing 2039, Assigned Aaa (sf)
US$250,000 Class F Deferrable Floating Rate Junior Notes due 2039,
Assigned B3 (sf)
The notes and loans listed above are referred to herein,
collectively, as the Rated Debt.
The Class A-1-L1 and A-1-L2 Loans may not be exchanged or converted
into notes at any time.
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 not senior secured loans. The portfolio is
approximately 80% ramped as of the closing date.
UBS Asset Management (Americas) LLC (the Manager) will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.
In addition to the Rated Debt, 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 the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2992
Weighted Average Spread (WAS): 3.00%
Weighted Average Recovery Rate (WARR): 45.00%
Weighted Average Life (WAL): 8.07 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated 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.
MAGNETITE LIV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Magnetite LIV, Limited.
Entity/Debt Rating
----------- ------
Magnetite LIV,
Limited
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D-1 LT BBB-(EXP)sf Expected Rating
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
Transaction Summary
Magnetite LIV, Limited (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
BlackRock Financial Management, Inc. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $450 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.44 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 98.5% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.71% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 44.5% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a five-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The 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.
ESG Considerations
Fitch does not provide ESG relevance scores for Magnetite LIV,
Limited.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
MARBLE POINT XV: Moody's Cuts Rating on $22.9MM Cl. E Notes to B1
-----------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by Marble Point CLO XV Ltd.:
US$43,000,000 Class BR2 Senior Floating Rate Notes, Upgraded to
Aaa (sf); previously on Nov 27, 2024 Assigned Aa1 (sf)
US$19,100,000 Class CR2 Mezzanine Deferrable Floating Rate Notes,
Upgraded to Aa3 (sf); previously on Nov 27, 2024 Assigned A1 (sf)
US$22,900,000 Class E Mezzanine Deferrable Floating Rate Notes,
Downgraded to B1 (sf); previously on Jun 6, 2019 Assigned Ba3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$250,982,389 (Current outstanding balance US$170,955,754) Class
A1R2 Senior Floating Rate Notes, Affirmed Aaa (sf); previously on
Nov 27, 2024 Assigned Aaa (sf)
US$4,000,000 Class A2R2 Senior Floating Rate Notes, Affirmed Aaa
(sf); previously on Nov 27, 2024 Assigned Aaa (sf)
US$24,500,000 Class DR2 Mezzanine Deferrable Floating Rate Notes,
Affirmed Baa2 (sf); previously on Nov 27, 2024 Assigned Baa2 (sf)
Marble Point CLO XV Ltd., issued in June 2019 and last refinanced
in November 2024, is a collateralised loan obligation (CLO) backed
by a portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by Marble Point CLO Management LLC. The
transaction's reinvestment period ended in July 2024.
RATINGS RATIONALE
The rating upgrades on the Class BR2 and Class CR2 notes are
primarily a result of the deleveraging of the senior notes
following amortisation of the underlying portfolio since the
payment date in April 2025.
The Class A1R2 notes have paid down by approximately USD67.4
million (26.8%) in the last 12 months and USD80.0 million (31.9%)
since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased. According to the trustee
report dated February 2026[1] the Class A/B, Class C and Class D OC
ratios are reported at 138.8%, 127.6% and 115.7% compared to April
2025[2] levels of 130.6%, 122.4% and 113.3%, respectively.
The downgrade on the rating on the Class E notes is due to the
deterioration of the key credit metrics of the underlying pool
since the payment date in April 2025, continuing the adverse trends
that emerged following the November 2024 refinancing. According to
the trustee report dated February 2026 [1] the Weighted Average
Spread (WAS) declined to 3.07% from 3.25% in April 2025 [2] and the
Weighted Average Recovery Rate (WARR) declined to 46.02% from
46.22% over the same period. The reduction in WAS lowers the level
of excess spread available to absorb losses arising from future
defaults, while the decline in WARR increases the expected severity
of such losses.
The affirmations on the ratings on the Class A1R2, Class A2R2 and
Class DR2 notes are primarily a result of the expected losses on
the notes remaining consistent with their current rating levels,
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD302.5 million
Defaulted Securities: USD0
Diversity Score: 64
Weighted Average Rating Factor (WARF): 2911
Weighted Average Life (WAL): 4.2 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.1%
Weighted Average Recovery Rate (WARR): 45.8%
Par haircut in OC tests and interest diversion test: 0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Moody's notes that the March 2026 trustee report was published at
the time Moody's were completing Moody's analysis of the February
2026 data. Key portfolio metrics such as WARF, diversity score,
weighted average spread and life, and OC ratios exhibit little or
no change between these dates.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the liquidation agent/the
collateral manager or be delayed by an increase in loan
amend-and-extend restructurings. Fast amortisation would usually
benefit the ratings of the notes beginning with the notes having
the highest prepayment priority.
-- Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes that, at transaction maturity, the
liquidation value of such an asset will depend on the nature of the
asset as well as the extent to which the asset's maturity lags that
of the liabilities. Liquidation values higher than Moody's
expectations would have a positive impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
MARBLE POINT XVI: Moody's Cuts Rating on $20MM Cl. E-R Notes to B1
------------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Marble Point CLO XVI Ltd.:
US$20,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes
due 2034, Downgraded to B1 (sf); previously on November 17, 2021
Assigned Ba3 (sf)
Marble Point CLO XVI Ltd., originally issued in October 2019 and
refinanced in November 2021, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in November 2026.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating action on the Class E-R notes reflects the
specific risks to the junior notes posed by par loss and spread
compression observed in the underlying CLO portfolio. Based on
Moody's calculations, the total collateral par balance, including
recoveries from defaulted securities, is $487.7 million, or $12.3
million less than the initial par amount targeted during the deal's
ramp-up. Furthermore, based on the trustee's February 2026
report[1], the weighted average spread is reported at 3.02%
compared to 3.33% reported in February 2025[2].
No actions were taken on the Class A loans or the Class A-R, Class
B-R, Class C-R, Class D-1R and Class D-2R notes because their
expected losses remain commensurate with their current ratings,
after taking into account the CLO's latest portfolio information,
its relevant structural features and its actual
over-collateralization and interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Collateralized
Loan Obligations" rating methodology published in October 2025.
The key model inputs Moody's used in Moody's analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on Moody's
published methodology and could differ from the trustee's reported
numbers. For modeling purposes, Moody's used the following
base-case assumptions:
Performing par and principal proceeds balance: $487,681,605
Diversity Score: 78
Weighted Average Rating Factor (WARF): 2807
Weighted Average Spread (WAS): 2.78%
Weighted Average Recovery Rate (WARR): 45.85%
Weighted Average Life (WAL): 4.72 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and lower recoveries on defaulted assets.
Methodology Used for the Rating Action:
The principal methodology used in this rating was "Collateralized
Loan Obligations" published in October 2025.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.
MERIT 2026-1: Fitch Assigns 'B-sf' Final Rating on Class F Notes
----------------------------------------------------------------
Fitch Ratings has assigned MERIT 2026-1 final ratings.
Entity/Debt Rating Prior
----------- ------ -----
Merit 2026-1
A LT AAAsf New Rating AAA(EXP)sf
B LT AA-sf New Rating AA-(EXP)sf
C LT A-sf New Rating A-(EXP)sf
D LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
F LT B-sf New Rating B-(EXP)sf
Transaction Summary
The MERIT 2026-1 Designated Activity Company and MERIT 2026-1 LLC
(together MERIT 2026-1) transaction is the first term
securitization of aviation loans serviced by Merit AirFinance LP
(Merit). MERIT 2026-1 is backed by loans originated by Merit and
Castlelake LP. The portfolio consists of full recourse, limited
recourse and non-recourse facilities financing 97 aircraft and
engines.
MERIT 2026-1 issued fixed-rate class A, B, C, D, E and F notes,
which are repaid pro rata until a trigger breach causes sequential
amortization. A reserve fund is available to protect against
failure to pay senior expenses or class A interest.
KEY RATING DRIVERS
Asset Quality and Tiering (Neutral): The loan pool consists of 10
facilities secured by one or up to 40 aircraft/engines. The pool
comprises 90 aircraft and seven engines with a total appraised
value of about $1 billion. Of the loans, 52% by the number of loans
are full recourse to the borrower (airlines), 47% are limited
recourse loans to the special purpose vehicle (SPV)
owners/borrowers, which own the aircraft/engines and lease them to
airlines, and 1% is non-recourse.
The aircraft have a total appraised value of $999.8 million (56.7%
narrowbody, 30% widebody and 13.3% freighters by value). Of the
aircraft, 45.9% are Tier 1, 37.3% represent Tier 2 and 16.8% are
Tier 3 by total appraised value. The engines have a total appraised
value of $1.9 million, with all assumed to be in phase 3. The
weighted average age of the aircraft is 10.8 years. Fitch considers
the collateral quality to be neutral.
Transaction Structure (Positive): The notes are issued with higher
credit enhancement (CE) levels/lower loan-to-value ratios, relative
to peers', as driven by Fitch's greater loss assumption for this
transaction. Pro-rata amortization and any cash leakage to equity
will cease if any note-specific asset coverage ratio or interest
coverage ratio test is breached and amortization irreversibly
switches to sequential once the pool balance falls below 50%.
Recoveries are always allocated sequentially, which additionally
benefits CE on the senior notes. A reserve fund sized to 2.5% of
loan par protects against interest shortfalls on the class A notes,
and principal can also be used to pay non-deferrable interest.
Fitch believes these mechanisms are sufficient to maintain timely
payments of interest, even at the highest rating stresses and
towards the end of the transaction's life, when the portfolio
becomes more concentrated.
Pool Concentration (Neutral): The pool is diverse, despite exposure
to a single industry. It is secured by 97 aircraft and engines
operated by 34 airlines. The airlines are domiciled in 23
countries. Fitch derived its default assumptions using its
Portfolio Credit Model, which considers portfolio concentration.
Obligor Credit Risk (Neutral): Credit exposures (either directly in
the case of full recourse loans, or indirectly in the case of SPV
loans) are to 34 airlines. Ratings of the underlying airlines are
concentrated in the 'CCC'/'B'/'BB' categories, given exposures are
primarily to airlines (either directly or indirectly). Fitch
derived a proxy for non-recourse SPV's credit quality by comparing
required loan debt service to projected cash flows under different
rating stresses. Fitch caps the SPV's credit quality proxy at 'BB'
equivalent, given the level of concentration and absence of
liquidity coverage.
Operational and Servicing Risk (Neutral): Merit was founded
recently, in 2025, as a subsidiary of Castlelake, an established
aviation lessor and lease servicer. Fitch has found Merit to be
effective in originating and managing a portfolio of commercial
aircraft and engine loans, especially as it leverages its parent's
systems, processes, procedures and experience. The companies'
combined capability is underlined by a long record of servicing
leases, an experienced management team and solid portfolio
performance. Reliance on the servicer is lower for loan portfolios
than for operating lease portfolios, as the loan servicer does not
need to routinely remarket the aircraft.
Cash Flow Modeling (Neutral): Fitch used its Multi-Asset Cash Flow
Model to project asset cash flow and reflect the transaction's
liability structure. Fitch tested various combinations of
front-loaded, even-loaded and back-loaded defaults, and rising,
stable and decreasing interest rates. Its modeling suggests
principal and interest can be repaid on the rated class notes in
accordance with their terms and conditions.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is stressed, while
holding others equal. The modeling process uses the estimation and
stress of these variables to reflect asset performance in a
stressed environment. The results below should only be viewed as
one potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
future performance.
Rating sensitivity to increased default rates:
Increase default rate by 10% / 20%
- Class A: 'AA+sf'/'AAsf'
- Class B: 'A+sf'/'Asf'
- Class C: 'BBB+sf'/'BBB+sf'
- Class D: 'BBB-sf'/'BB+sf'
- Class E: 'BB-sf'/'BB-sf'
- Class F: 'B-sf'/'B-sf'
Rating sensitivity to reduced recovery rates:
Reduce recovery rate by 10% / 20%
- Class A: 'AA+sf'/'AAsf'
- Class B: 'Asf'/'A-sf'
- Class C: 'BBB+sf'/'BBB-sf'
- Class D: 'BBsf'/'B+sf'
- Class E: 'Bsf'/'NRsf'
- Class F: 'NRsf'/'NRsf'
Rating sensitivity to increased default rates and reduced recovery
rates:
Increase default rate and reduce recovery rate each by 10% / 20%
- Class A: 'AAsf'/'A+sf'
- Class B: 'Asf'/'BBBsf'
- Class C: 'BBBsf'/'BBsf'
- Class D: 'BB-sf'/'B-sf'
- Class E: 'Bsf' /'NRsf'
- Class F: 'Bsf'/'NRsf'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Rating sensitivity to reduced default rates and increased recovery
rates:
Reduce default rate and increase recovery rate each by 10%
- Class B: 'AA+sf'
- Class C: 'A+sf'
- Class D: 'BBB+sf'
- Class E: 'BBB-sf'
- Class F: 'BB-sf'
- The class A debt is already rated 'AAAsf' and cannot be
upgraded.
CRITERIA VARIATION
The following variation from the CLOs and Corporate CDOs Rating
Criteria and the Structured Finance CDOs Rating Criteria was
applied:
- Standard correlation assumptions in Fitch's Portfolio Credit
Model were overwritten with bespoke assumptions to reflect the
specifics of the aviation industry.
The following variation from the Structured Finance CDOs Rating
Criteria was applied:
- Fitch derived asset default probabilities using the actual
scheduled amortization of each loan, rather than the standardized
five-year weighted-average life assumption stated in the criteria.
This reflects the different characteristics of the non-recourse
facilities compared with typical structured finance tranches.
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.
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
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.
MIDOCEAN CREDIT XIV: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean
Credit CLO XIV refinancing notes.
Entity/Debt Rating Prior
----------- ------ -----
MidOcean Credit
CLO XIV
X 59803FAL5 LT AAAsf New Rating
A-1R 59803FAN1 LT NRsf New Rating
A-2 59803FAC5 LT PIFsf Paid In Full AAAsf
A-2R 59803FAQ4 LT AAAsf New Rating
B 59803FAE1 LT PIFsf Paid In Full AAsf
B-R 59803FAS0 LT AAsf New Rating
C 59803FAG6 LT PIFsf Paid In Full Asf
C-R 59803FAU5 LT Asf New Rating
D 59803FAJ0 LT PIFsf Paid In Full BBB-sf
D-R 59803FAW1 LT BBB-sf New Rating
E-1 59803GAA7 LT PIFsf Paid In Full BB-sf
E-2 59803GAE9 LT PIFsf Paid In Full BB-sf
E-R 59803GAG4 LT BB-sf New Rating
Transaction Summary
MidOcean Credit CLO XIV (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
MidOcean Credit RR Manager LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $399 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
The weighted average rating factor (WARF) of the indicative
portfolio is 22.86, and will be managed to a WARF covenant from a
Fitch test matrix. Issuers rated in the 'B' rating category denote
a highly speculative credit quality; however, the notes benefit
from appropriate credit enhancement and standard U.S. CLO
structural features.
Asset Security: The indicative portfolio consists of 94.92% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.42% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 40% of the portfolio balance in aggregate while the top five
obligors can represent up to 10% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentration is in line with that of other
recent CLOs.
Portfolio Management: The transaction has a three-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenants, that are greater
than six years, 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.
Key Provision Changes
The refinancing is being implemented via the amended and restated
indenture, which amended certain provisions of the transaction. The
changes include but are not limited to:
- The spreads for classes A-1R, A-2R, B-R, C-R, D-R, and E-R notes
are 1.22%, 1.50%, 1.65%, 2.00%, 3.40%, and 6.14% compared to the
spreads of 1.58%, 1.85%, 2.10%, 2.65%, 4.10%, 6.56%, and 7.40% for
classes A-1, A-2, B, C, D, E-1, and E-2. Class X notes are issued
with 1.05% spread.
- Class X is added.
- Class E-1 and Class E-2 are refinanced into class E-R.
- Addition of Dynamic WAL covenant. The portfolio can be managed to
a 5.0, 5.5, or 7.0 year WAL covenant, which would decline over time
if certain key tests are breached or the collateral balance is
below a certain threshold.
- The non-call for the refinanced notes is extended to June 30,
2027.
- Stated maturity on the refinanced notes and the reinvestment
period end date remain unchanged.
FITCH ANALYSIS
The portfolio includes 322 assets from 289 primarily high yield
obligors. The portfolio balance (excluding defaults and including
principal cash) is approximately $399 million. As of the latest
trustee report prior to the refinance date the transaction was
passing all collateral quality tests, coverage tests, and
concentration limitations. The weighted average rating of the
current portfolio is 'B+/B'.
Fitch has an explicit rating, credit opinion or private rating for
44.5% of the current portfolio par balance; ratings for 55.5% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map. The analysis focused on the Fitch stressed
portfolio (FSP), and cash flow model analysis was conducted for
this refinancing.
The FSP included the following concentrations, reflecting the
maximum limitations per the indenture or maintained at the current
level:
- Largest five obligors: 2.0% each, for an aggregate of 10.0%;
- Largest three industries: 17.0%, 14.0%, and 9.0%, respectively;
- Assumed risk horizon: 6 years;
- Minimum weighted average spread of 2.80%;
- Minimum weighted average recovery rate of 68.50%;
- Maximum weighted average rating factor of 25.00;
- Fixed rate Assets: 5.00%;
- Minimum weighted average coupon of 7.00%;
The transaction will exit its reinvestment period on April 15,
2029.
Fitch Asset and Cash Flow Analysis:
The Fitch model outputs are shown below. For each class, the notes
passed all nine cash flow scenarios under the assigned rating
scenarios with the minimum default cushions indicated.
Current Portfolio Model Outputs:
- Class X: 'AAAsf' / Default 41.80% / Recovery 38.52% / Cushion
58.20%
- Class A-2R: 'AAAsf' / Default 41.80% / Recovery 38.52% / Cushion
9.80%
- Class B-R: 'AAsf' / Default 39.10% / Recovery 47.31% / Cushion
9.60%
- Class C-R: 'Asf' / Default 34.60% / Recovery 56.94% / Cushion
8.30%
- Class D-R: 'BBB-sf' / Default 26.30% / Recovery 66.16% / Cushion
6.70%
- Class E-R: 'BB-sf' / Default 21.90% / Recovery 72.15% / Cushion
6.60%
Fitch Stress Portfolio (FSP) Model Outputs:
- Class X: 'AAAsf' / Default 49.50% / Recovery 35.74% / Cushion
50.50%
- Class A-2R: 'AAAsf' / Default 49.50% / Recovery 35.74% / Cushion
1.10%
- Class B-R: 'AAsf' / Default 46.10% / Recovery 42.65% / Cushion
0.30%
- Class C-R: 'Asf' / Default 41.10% / Recovery 52.65% / Cushion
0.40%
- Class D-R: 'BBB-sf' / Default 32.30% / Recovery 62.00% / Cushion
1.30%
- Class E-R: 'BB-sf' / Default 27.20% / Recovery 67.23% / Cushion
0.00%
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X, 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-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 and class A-2-R
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf'
for class D-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.
ESG Considerations
Fitch does not provide ESG relevance scores for MidOcean Credit CLO
XIV.
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.
MIDOCEAN CREDIT XXII: Fitch Assigns 'BB-sf' Final Rating on E Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
MidOcean Credit CLO XXII.
Entity/Debt Rating Prior
----------- ------ -----
MidOcean Credit
CLO XXII
A-1 LT NRsf New Rating NR(EXP)sf
A-1 Loans LT NRsf New Rating NR(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
Transaction Summary
MidOcean Credit CLO XXII (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
MidOcean Credit RR Manager LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 95.67%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.88% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 45% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for the WAL covenants that
are greater than six years, 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 'BB-sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1, and
between less than 'B-sf' and 'BB+sf' for class D-2 and between less
than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for
class D-1, and 'BBB+sf' for class D-2 and 'BBBsf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
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
16 March 2026
ESG Considerations
Fitch does not provide ESG relevance scores for MidOcean Credit CLO
XXII. 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.
MONTAUK PARK: Fitch Assigns 'BB-sf' Final Rating on Class E Notes
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
Montauk Park CLO, Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Montauk Park CLO, Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
Transaction Summary
Montauk Park CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Blackstone CLO Management LLC. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $600 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.33, and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 97.25%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.28% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 49% of the portfolio balance in aggregate while the top five
obligors can represent up to 7.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenants, that are greater
than six years, 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 between less than 'B-sf' and 'B+sf' for class
E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Montauk Park CLO,
Ltd. In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
MORGAN STANLEY 2015-C20: DBRS Confirms CCC Rating on Class F Certs
------------------------------------------------------------------
DBRS Limited (Morningstar DBRS) confirmed its credit rating on the
remaining class of Commercial Mortgage Pass-Through Certificates,
Series 2015-C20 issued by Morgan Stanley Bank of America Merrill
Lynch Trust 2015-C20 as follows:
-- Class F at CCC (sf)
Class F has a credit rating that does not typically carry a trend
in commercial mortgage-backed securities (CMBS) credit ratings.
Since Morningstar DBRS' prior review in April 2025, four loans have
fully repaid from the trust, resulting in the repayment of Classes
X-D, D, X-E, and E. The credit rating confirmation on Class F
reflects Morningstar DBRS' outlook and loss expectations for the
three remaining loans in the pool, two of which are in special
servicing. To date, the trust has incurred losses of $13.5 million
(including nonrecoverable advances from principal), eroding more
than 40.0% of the unrated Class G certificate balance. Morningstar
DBRS analyzed the pool's two specially serviced loans with
liquidation scenarios, resulting in a projected cumulative loss
amount of $14.6 million. These projected liquidated losses would
erode more than 70.0% of the remaining balance of the unrated Class
G certificate, leaving minimal credit support available to the
Class F certificate. As of the February 2026 remittance, interest
shortfalls totaled $2.0 million, an increase from $1.6 million at
the previous review. The Class F certificate has not received full
interest due since September 2025, resulting in approximately
$220,000 in outstanding shortfalls. Morningstar DBRS expects
interest shortfalls to continue accumulating, given that the pool's
largest loan--33 West 46th Street (Prospectus ID#12; 46.7% of the
current pool balance)--has been deemed nonrecoverable. These
factors form Morningstar DBRS' primary rationale for the credit
rating confirmation on the Class F certificate with this review.
The 33 West 46th Street loan is secured by a 42,525-square foot
(sf) Class B office property in Midtown Manhattan, New York. The
loan transferred to special servicing in August 2020 following a
payment default, and the asset became real estate owned in July
2024. Operating performance at the property has consistently
declined since issuance, with the loan's debt service coverage
ratio remaining well below breakeven since YE2020. As of December
2025, the property was approximately 64.6% occupied. The top three
tenants, which collectively represent about 30.0% of the net
rentable area (NRA), are committed to long-term leases, with the
earliest expiration occurring in 2034. Tenant leases representing
approximately 15.0% of the NRA have expired or are scheduled to
expire within the next 12 months. The most recent appraisal dated
September 2025 valued the property at $15.9 million, a 38.8%
decline from the issuance appraised value of $26.0 million. In its
analysis for this review, Morningstar DBRS applied a 30.0% haircut
to the most recent appraised value, resulting in an implied loss of
$10.9 million and a loss severity slightly above 60.0%.
The second loan in special servicing, Bradhurst Court (Prospectus
ID#16; 46.1% of the current pool balance) is secured by a 90,280-sf
grocery-anchored shopping center in the Harlem neighborhood of
Manhattan. The loan transferred to special servicing in November
2024 because of imminent monetary default. The shopping center was
100.0% occupied as of September 2025, with cash flow in line with
issuance expectations. The borrower and special servicer entered
into a forbearance agreement, extending the loan maturity for two
years. The loan is currently performing in accordance with the
terms of that agreement and remains current as of the February 2026
remittance. An updated appraisal received in September 2025 valued
the property at $15.9 million, representing a 30.9% decline from
the appraised value at issuance. Given the pool's concentrated
composition and the significant decline in the property's value
since issuance, Morningstar DBRS elected to liquidate the loan in
the analysis for this review. Morningstar DBRS applied a 15.0%
haircut to the updated valuation, resulting in an implied loss of
approximately $3.8 million and a loss severity slightly more than
20.0%.
Morningstar DBRS' credit rating on the applicable class addresses
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2015-UBS8: DBRS Cuts Rating on X-D Certs to CCC
--------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) downgraded its credit ratings on
three classes of Commercial Mortgage Pass-Through Certificates,
Series 2015-UBS8 issued by Morgan Stanley Capital I Trust 2015-UBS8
as follows:
-- Class D to BB (high) (sf) from BBB (low) (sf)
-- Class E to CCC (sf) from B (low) (sf)
-- Class X-D to CCC (sf) from B (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class C at A (low) (sf)
-- Class F at C (sf)
Morningstar DBRS maintained the Negative trend on Class D and the
Stable trend on Class C. The remaining classes have credit ratings
that do not typically carry trends in commercial mortgage-backed
securities (CMBS) transactions.
The credit rating downgrades and Negative trends reflect
Morningstar DBRS' ultimate recoverability for the four remaining
loans in the trust, and the uncertainty around the disposition
timeline and the increased exposure to adverse selection. As of the
March 2026 remittance, four of the original 57 loans remain in the
pool with an aggregate principal balance of $79.0 million,
representing a collateral reduction of 90.2%. All remaining loans
are specially serviced, two of which, Grove City Premium Outlets
(Grove City; Prospectus ID#5; 50.6% of the pool) and Gulfport
Premium Outlets (Gulfport; Prospectus ID#7; 30.4% of the pool),
were granted two-year forbearances that were executed in December
2025. However, the two smaller specially serviced loans, Crowne
Plaza Englewood (Prospectus ID#23; 9.8% of the pool) and 2424 &
2500 Wilcrest Drive (Prospectus ID#26; 9.1% of the pool) remain in
workout and are not cash flowing, with both contributing to monthly
interest shortfalls.
In the analysis for this review, Morningstar DBRS applied
conservative liquidation scenarios for each of the remaining loans,
based on value stresses to the most recent appraised values.
Individual property value haircuts ranged from 20.0% to 85.0%.
Morningstar DBRS considered various factors when determining the
level of stress, including the property type, age, submarket
conditions, historical performance, and upcoming tenant rollover
risk. The analysis resulted in cumulative implied losses of
approximately $15.1 million. These projected losses would fully
erode the balance of the unrated Class G and nearly 70% of the
Class F balance, reducing the credit support for Classes D and E,
supporting the credit rating downgrades. In the six-month period
from September 2025 to February 2026, the Class E certificate had
accrued interest shortfalls to a level that encroached upon
Morningstar DBRS' tolerance level for the credit rating. With the
March 2026 remittance report, the interest shortfalls on Class E
have been repaid; however, Morningstar DBRS believes it is likely
that the class will be shorted again as the workout periods for the
remaining loans extend and the servicer's decision making remains
conservative.
The Negative trend on Class D is generally reflective of the
increased propensity of interest shortfalls given the potential for
further declines in value of the collateral backing the remaining
loans over the remainder of the workout periods.
As previously noted, the two largest loans in special servicing,
Grove City and Gulfport, were both modified to allow for two-year
forbearance terms in December 2025, with both having the option to
extend the forbearance period by one year, to December 2028. As of
September 2025, both loans were performing as well with debt
service coverage ratios above 2.0 times. Both loans are secured by
open-air retail centers. As of June 2025, rollover risk remained a
noteworthy factor for both properties with tenants representing
25.6% and 26.5% of net rentable area scheduled to roll in the next
12 months at Grove City and Gulfport, respectively. Given the
transaction's wind-down status, Morningstar DBRS analyzed both of
the loans with liquidation scenarios based on conservative haircuts
of 50% and 55% to the September 2015 appraised values of $255.0
million and $108.0 million, resulting in relatively low implied
losses of approximately $6.0 million and $2.2 million, for Grove
City and Gulfport, respectively.
The largest contributor to interest shortfalls is Crowne Plaza
Englewood, which has been deemed nonrecoverable. The loan is 121+
days delinquent, and, per the servicer commentary, a receiver sale
and loan assumption was completed with the property acquired for
$9.5 million and the maturity date extended two years to November
2027. However, the servicer reports the new borrower has been
issued a notice of default on the terms of the assumption agreement
and regarding the nonpayment of franchise fees. The loan is secured
by a 194-room hotel in Englewood, New Jersey, approximately 12
miles from New York City. As of June 2025, the loan had been
negatively cash flowing since YE2024 with an annualized trailing
six months as of June 30, 2025, net cash flow (NCF) of -$0.23
million and a YE2024 NCF of -$0.26 million with occupancy figures
floating around the 70% mark since September 2022. With this
review, Morningstar DBRS analyzed the loan with a liquidation
scenario based on a conservative 25% haircut to the May 2025
appraised value of $9.5 million, resulting in an implied loss of
approximately $1.6 million.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a
significant or relevant effect on the credit analysis.
A description of how Morningstar DBRS considers ESG factors within
the Morningstar DBRS analytical framework can be found in the
Morningstar DBRS Criteria: Approach to Environmental, Social, and
Governance Factors in Credit Ratings (May 16, 2025) at
https://dbrs.morningstar.com/research/454196.
Class X-D is an interest-only (IO) certificate that references a
single rated tranche or multiple rated tranches. The IO rating
mirrors the lowest-rated applicable reference obligation tranche
adjusted upward by one notch if senior in the waterfall.
All credit ratings are subject to surveillance, which could result
in credit ratings being upgraded, downgraded, placed under review,
confirmed, or discontinued by Morningstar DBRS.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2019-C29: DBRS Cuts Rating on Cl. X-E Certs to Csf
-----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) downgraded credit ratings on five
classes of Commercial Mortgage Pass-Through Certificates, Series
2016-C29 issued by Morgan Stanley Bank of America Merrill Lynch
Trust 2016-C29 as follows:
-- Class C to BB (high) (sf) from A (high) (sf)
-- Class D to CCC (sf) from B (high) (sf)
-- Class E to C (sf) from CCC (sf)
-- Class X-D to CCC (sf) from BB (low) (sf)
-- Class X-E to C (sf) from CCC (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-4 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (high) (sf)
-- Class F at C (sf)
-- Class G at C (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class X-F at C (sf)
Morningstar DBRS changed the trends on Classes B and X-B to
Negative from Stable and maintained the Negative trend on Class C.
The trends on Classes A-4, A-S, and X-A are Stable. Classes D, X-D,
E, X-E, F, X-F, and G have credit ratings that do not typically
carry trends in commercial mortgage-backed securities (CMBS).
The credit rating downgrades reflect the increased loss projections
based on a recoverability analysis for the 22 remaining loans in
the pool, including eight loans that are in special servicing
(61.0% of the pool) as well as several other underperforming loans.
The pool is currently winding down with the remaining loans in the
pool scheduled to mature by May 2026. In the analysis for this
review, Morningstar DBRS analyzed six out of eight specially
serviced loans with liquidation scenarios based on haircuts ranging
from 20% and 80% to the most recent appraised values. As a result,
projected liquidated losses have increased to $52.3 million, a
scenario which would fully erode the balance of Classes F, G, and
the nonrated Class H, as well as nearly 43.0% of the Class E
certificate balance, thereby supporting the credit rating
downgrades. Additionally, outside of the loans in special
servicing, Morningstar DBRS has identified six loans, representing
about 18.6% of the pool, with elevated refinance risk because of
declining occupancy and net cash flow figures that could lead to
more value stress and increase the likelihood of realized losses
further up the capital stack.
The credit rating downgrades on Class C, D, and X-D, and the
Negative trends on Classes B, X-B, and C reflect the increased
propensity for interest shortfalls that, as of the March 2026
remittance, total $3.8 million, up from $2.4 million from previous
review in June 2025. Shortfalls continue to accumulate from seven
of the specially serviced assets, primarily driven by the
servicer's non-recoverability determination for the 696 Centre
(Prospectus ID#13, 5.0% of the current pool balance) and Crossings
at Hall Ferry loans (Prospectus ID#28, 2.9% of the current pool
balance), and special servicing fees for the remaining loans.
Cumulative shortfalls of just more than $80,000 are now affecting
Class D, with servicer shorting interest for a period of four
months as of the March 2026 remittance. Although Morningstar DBRS'
recoverability analysis suggests the Class B and C certificates
remain well insulated from loss and both continue to receive full
interest due, Morningstar DBRS is concerned about the timing around
the disposition of the remaining assets. As the workouts for the
defaulted loans continue to progress, the possibility of increased
adverse selection and/or increased fees or other expenses
ultimately affecting the trust could be a factor, which could
ultimately affect interest payments for the Class B and C
certificates, supporting the Class C downgrade and Negative trends
for both classes with this review.
The credit rating confirmations and Stable trends for the Class
A-4, A-S, and X-A certificates, which combined have an outstanding
principal balance of $96.0 million as of the March 2026 remittance,
is largely reflective of the ultimate recoverability expectations
for the Penn Square Mall loan (Prospectus ID#3, 14.38% of the pool)
as further discussed below. As of March 2026 remittance, 22 of the
original 69 loans remained outstanding with a pool balance of
$281.5 million, representing a collateral reduction of 65.2% since
issuance.
The Penn Square Mall loan, secured by a 1.1 million-square-foot
(sf) regional mall in Oklahoma City, transferred to special
servicing in November 2025 for maturity default. The default was
unexpected given the credit metrics remain healthy and the loan
benefits from well-capitalized sponsorship in Simon Property Group
(Simon). According to the most recent servicer commentary, the
maturity date was extended to January 2028, with a one-year
extension option that would push the maturity to 2029. As part of
the extension, Simon will fund a $30.0 million equity contribution,
of which $29.2 million will pay down the principal balance of the
loan. A cash sweep will also be in place, with excess funds applied
to the principal balance over the extended loan period till January
2028. Although the in-place debt service coverage ratio at just
over 2.0 times is considered healthy, cash flows are down from
issuance by about $8.0 million, a factor which combines with the
sub 4.0% interest rate on the existing loan to suggest takeout
financing would have likely required a meaningful equity
contribution from the sponsor. However, given the deleveraging
expected with the loan modification and the low going-in
loan-to-value ratio implied by the issuance appraisal that provides
significant cushion against value decline, Morningstar DBRS expects
a full recovery will ultimately be realized for this loan.
The largest contributor to Morningstar DBRS' projected losses is
the 696 Centre loan, secured by a 240,552 sf suburban office
building in Farmington Hills, Michigan. The loan transferred to
special servicing in February 2024 for imminent monetary default
and remains delinquent as of the March 2026 remittance. The loan is
currently in cash management and special servicer is monitoring the
leasing activity. The property reported an occupancy rate of 28.0%
according to September 2025 rent roll and has suffered from low
occupancy issues for several years. With this review, an updated
appraisal was provided, which valued the property at $5.0 million,
and represents a 6.0% decline from the April 2025 appraised value
of $5.3 million and, an 80.0% decline from the issuance appraised
value of $24.0 million. Morningstar DBRS analyzed this loan with a
liquidation scenario based on a conservative 20.0% haircut to the
most recent appraised value, which resulted in a liquidated loss of
$12.5 million and a loss severity of nearly 90.0%.
Another significant contributor to Morningstar DBRS' projected
losses is the Princeton Pike Corporate Center loan, backed by an
eight-building suburban office complex in Lawrenceville, New
Jersey. The loan transferred to special servicing in February 2024
for imminent monetary default and is currently delinquent, having
last paid in June 2025. The loan matured in January 2026. The
consolidated collateral occupancy rate has fallen significantly,
reported at 44.8% as of the February 2025 rent rolls, a decline
from the already low September 2023 figure of 59.5%. In addition,
15 tenants representing 15.2% of NRA have leases that have expired
since the February 2025 rent roll date or are scheduled to expire
in the next 12 months. According to Reis, office properties within
the Trenton submarket reported an average vacancy rate of 14.7% as
of Q3 2025. Although an updated appraisal was not available,
Morningstar DBRS referred to the recent liquidation price of $12.3
million ($48 per sf) for the Princeton South Corporate Center loan
in the Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28
transaction (also rated by Morningstar DBRS) as a comparable for
the subject property. Based on that information, Morningstar DBRS
liquidated the subject loan from the pool with an 80.0% haircut to
the issuance value of $199.0 million, resulting in a total loss of
$11.5 million and a loss severity of 78.0%.
Morningstar DBRS' credit ratings on the applicable classes address
the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
Where applicable, a description of these financial obligations can
be found in the transactions' respective press releases at
issuance.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO)
certificates that reference a single rated tranche or multiple
rated tranches. The IO rating mirrors the lowest-rated applicable
reference obligation tranche adjusted upward by one notch if senior
in the waterfall.
All credit ratings are subject to surveillance, which could result
in credit ratings being upgraded, downgraded, placed under review,
confirmed, or discontinued by Morningstar DBRS.
Notes: All figures are in U.S. dollars unless otherwise noted.
MOUNTAIN POINT 1: Fitch Assigns 'BBsf' Rating on Class E Notes
--------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Mountain
Point CLO 1 Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Mountain Point
CLO 1 Ltd
A-1 LT NRsf New Rating NR(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AA+sf New Rating AA+(EXP)sf
C LT A+sf New Rating A+(EXP)sf
D-1 LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BBsf New Rating BB(EXP)sf
F LT NRsf New Rating NR(EXP)sf
Subordinated Notes LT NRsf New Rating NR(EXP)sf
Transaction Summary
Mountain Point CLO 1 Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Mountain Point Credit Management LLC. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $500 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 100%
first-lien senior secured loans and has a weighted average recovery
assumption of 74.74%. Fitch stressed the indicative portfolio by
assuming a higher portfolio concentration of assets with lower
recovery prospects and further reduced recovery assumptions for
higher rating stresses.
Portfolio Composition: The largest three industries may comprise up
to 42% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity required by industry, obligor and
geographic concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting to
the indicative portfolio to reflect permissible concentration
limits and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio is 12 months less
than the WAL covenant to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1, and
between less than 'B-sf' and 'BB+sf' for class D-2 and between less
than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'. DRAFT
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 'A-sf' for class D-2 and 'BBB+sf' for class E
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
Date of Relevant Committee
March 19, 2026
ESG Considerations
Fitch does not provide ESG relevance scores for Mountain Point CLO
1 Ltd. In cases where Fitch does not provide ESG relevance scores
in connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
MOUNTAIN POINT 1: Moody's Assigns B3 Rating to $250,000 Cl. F Notes
-------------------------------------------------------------------
Moody's Ratings has assigned ratings to two classes of notes issued
by Mountain Point CLO 1 Ltd (the Issuer or Mountain Point 1):
US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due
2039, Definitive Rating Assigned Aaa (sf)
US$250,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2039, 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.
Mountain Point 1 is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
first lien senior secured loans. The portfolio is approximately 90%
ramped as of the closing date.
Mountain Point 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, the manager may not reinvest and
all proceeds received will be used to amortize the notes in
sequential order. This is the Manager's first CLO.
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 the
"Collateralized Loan Obligations" rating methodology published in
October 2025.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $500,000,000
Diversity Score: 100
Weighted Average Rating Factor (WARF): 3052
Weighted Average Spread (WAS): 2.80%
Weighted Average Recovery Rate (WARR): 46.50%
Weighted Average Life (WAL): 9.07 years
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
MPOWER EDUCATION 2026-A: DBRS Gives (P)BB(low) Rating to C Notes
----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the following classes of notes (the Notes) to be issued by
MPOWER Education Trust 2026-A (MPOWER 2026-A):
-- $191,300,000 Class A Notes at (P) A (sf)
-- $42,900,000 Class B Notes at (P) BBB (low) (sf)
-- $14,300,000 Class C Notes at (P) BB (low) (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The Morningstar DBRS provisional credit ratings on the Notes are
based upon a review by Morningstar DBRS of the following
considerations:
-- The transaction's capital structure and the form and
sufficiency of available credit enhancement.
-- Overcollateralization, subordination, the Reserve Account, and
excess spread create credit enhancement levels that are
commensurate with the proposed credit ratings.
-- Transaction cash flows are sufficient to repay investors under
all credit rating stress scenarios in accordance with the terms
of the MPOWER 2026-A transaction documents.
-- The quality and credit characteristics of the student loan
borrowers.
-- Structural features of the transaction that require the Notes
to enter into full turbo principal amortization if performance
deteriorates.
-- The experience, origination, and underwriting capabilities of
MPOWER Financing, Public Benefit Corporation (MPOWER) and its
bank partner.
-- Morningstar DBRS has performed an operational assessment of
MPOWER and considers MPOWER, and via its bank partnership with
Bank of Lake Mills, an acceptable originator of private student
loans.
-- The ability of the subservicer to perform collections on the
collateral pool and other required activities.
-- Morningstar DBRS has performed an operational assessment of
Launch Servicing, LLC and considers the entity an acceptable
subservicer of private student loans.
-- The legal structure and expected legal opinions that will
address the true sale of the student loans, the
nonconsolidation of the trust, that the trust has a valid
first-priority security interest in the assets, and the
consistency with the Morningstar DBRS Legal Criteria for U.S.
Structured Finance.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies,
available in its commentary, Baseline Macroeconomic Scenarios
for Rated Sovereigns December 2025 Update published on December
19, 2025. These baseline macroeconomic scenarios replace
Morningstar DBRS' moderate and adverse coronavirus pandemic
scenarios, which were first published in April 2020.
Morningstar DBRS' credit ratings on the securities referenced
herein address the credit risk associated with the identified
financial obligations in accordance with the relevant transaction
documents. The associated financial obligations are the related
Noteholders' Interest Distribution Amount and the related
Outstanding Principal Amount.
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, the associated contractual payment
obligation that is not a financial obligation for each of the rated
notes is the related interest on any unpaid Noteholders' Interest
Distribution Amount.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a
significant or relevant effect on the credit analysis.
Notes: All figures are in U.S. dollars unless otherwise noted.
NAVESINK CLO 5: S&P Assigns BB- (sf) Rating on Class E Debt
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to Navesink CLO 5
Ltd./Navesink CLO 5 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 ZAIS Leveraged Loan Master Manager
LLC, a subsidiary of ZAIS Group 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.
S&P said, "In some cases, our credit and cash flow analysis suggest
that the available credit enhancement for the CLO debt could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, given the various factors and
assumptions incorporated in our quantitative analysis and the fact
that most CLOs are permitted to modify their portfolios, we may
assign lower ratings to the debt than what our model results
suggest."
Ratings Assigned
Navesink CLO 5 Ltd./Navesink CLO 5 LLC
Class A-1, $240.0 million: AAA (sf)
Class A-2, $24.0 million: AAA (sf)
Class B-1, $26.0 million: AA (sf)
Class B-2, $14.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1 (deferrable), $24.0 million: BBB- (sf)
Class D-2 (deferrable), $4.0 million: BBB- (sf)
Class E (deferrable), $12.0 million: BB- (sf)
Senior subordinated notes, $7.5 million: NR
Junior subordinated notes, $22.5 million: NR
NR--Not rated.
NAVESINK CLO 6: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings assigned its ratings to Navesink CLO 6
Ltd./Navesink CLO 6 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 ZAIS Leveraged Loan Master Manager
LLC, a subsidiary of Zais Group 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.
S&P said, "In some cases, our credit and cash flow analysis suggest
that the available credit enhancement for the CLO debt could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, given the various factors and
assumptions incorporated in our quantitative analysis and the fact
that most CLOs are permitted to modify their portfolios, we may
assign lower ratings to the debt than what our model results
suggest."
Ratings Assigned
Navesink CLO 6 Ltd./Navesink CLO 6 LLC
Class A-1, $252.0 million: AAA (sf)
Class A-2, $16.0 million: AAA (sf)
Class B, $36.0 million: AA (sf)
Class C (deferrable), $24.0 million: A (sf)
Class D-1 (deferrable), $19.0 million: BBB- (sf)
Class D-1F (deferrable), $5.0 million: BBB- (sf)
Class D-2 (deferrable), $4.0 million: BBB- (sf)
Class E (deferrable), $12.0 million: BB- (sf)
Senior subordinated notes, $7.5 million: NR
Junior subordinated notes, $22.5 million: NR
NR--Not rated.
NEUBERGER BERMAN 63: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger
Berman Loan Advisers CLO 63, Ltd.
Entity/Debt Rating
----------- ------
Neuberger Berman
Loan Advisers
CLO 63, 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
Sub Notes LT NRsf New Rating
Transaction Summary
Neuberger Berman Loan Advisers CLO 63, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that will
be managed by Neuberger Berman Loan Advisers IV LLC. Net proceeds
from the issuance of the secured and subordinated notes will
provide financing on a portfolio of approximately $500 million of
primarily first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 24.05 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 99.79% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 71.9% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 42% of the portfolio balance in aggregate while the top five
obligors can represent up to 11.0% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for the WAL covenants that
are greater than six years, to account for structural and
reinvestment conditions after the reinvestment period. In Fitch's
opinion, these conditions would reduce the effective risk horizon
of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'A-sf' and 'AAAsf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'B+sf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and
'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to 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 Neuberger Berman
Loan Advisers CLO 63, 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.
NEW MOUNTAIN 9: Fitch Assigns 'BB-sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to New
Mountain CLO 9 Ltd.
Entity/Debt Rating
----------- ------
New Mountain
CLO 9 Ltd
A-2 LT AAAsf New Rating
A-L 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
Equity LT NRsf New Rating
Transaction Summary
New Mountain CLO 9, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by New
Mountain Credit CLO Advisers, L.L.C. Net proceeds from the issuance
of the secured and subordinated notes will provide financing on a
portfolio of approximately $400 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 24.12 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 99.9% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.67% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 42.5% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for the WAL covenants that
are greater than six years 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-L, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'Bsf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and
'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-L 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, 'A+sf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for New Mountain CLO 9
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.
NGC CLO 3: S&P Assigns BB- (sf) Rating on Class E Debts
-------------------------------------------------------
S&P Global Ratings assigned its ratings to NGC CLO 3 Ltd./NGC CLO 3
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 NGC CLO Manager LLC, a subsidiary of
the Nassau Financial Group.
The ratings reflect S&P's view of:
-- The diversification of the collateral pool;
-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;
-- The experience of the collateral manager's team, which can
affect the performance of the rated debt through portfolio
identification and ongoing management; and
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
S&P said, "In some cases, our credit and cash flow analysis suggest
that the available credit enhancement for the CLO debt could
withstand stresses commensurate with higher rating levels than
those we have assigned. However, given the various factors and
assumptions incorporated in our quantitative analysis and the fact
that most CLOs are permitted to modify their portfolios, we may
assign lower ratings to the debt than what our model results
suggest."
Ratings Assigned
NGC CLO 3 Ltd./NGC CLO 3 LLC
Class X(i), $4.00 million: AAA (sf)
Class A, $240.00 million: AAA (sf)
Class B, $64.00 million: AA (sf)
Class C-1 (deferrable), $21.00 million: A (sf)
Class C-2 (deferrable), $3.00 million: A (sf)
Class D-1 (deferrable), $17.00 million: BBB (sf)
Class D-2 (deferrable), $1.00 million: BBB (sf)
Class D-J (deferrable), $8.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $33.96 million: NR
(i)The class X debt is expected to be paid down using interest
proceeds in equal installments from the second payment date to the
13th payment date.
NR--Not rated.
NLT 2026-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes
-----------------------------------------------------------
S&P Global Ratings assigned its ratings to NLT 2026-NQM1's
mortgage-backed notes.
The note issuance is an RMBS transaction backed by first-lien,
fixed- and adjustable-rate, fully amortizing residential mortgage
loans (some with interest-only periods) to both prime and nonprime
borrowers. The loans are secured by single-family residential
properties, planned-unit developments, two- to four family units,
condominiums, manufactured housing, five-to-10 unit multi-family,
and 11-20 unit multi-family residential properties. The pool has
895 residential mortgage loans, including 41 loans that are
cross-collateralized loans backed by 304 properties for a total
property count of 1,158. The loans are qualified mortgage (QM) safe
harbor (average prime offer rate [APOR]), QM rebuttable presumption
(APOR), non-QM/ability-to-repay (ATR)-compliant, or ATR-exempt.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The credit enhancement provided in the transaction;
-- The representation and warranty framework;
-- The pool's geographic concentration;
-- The transaction's associated structural mechanics; and
-- The transaction's mortgage loan originators/aggregator.
S&P said, "Our U.S. economic outlook, which that considers our
current projections for U.S. economic growth, unemployment rates,
and interest rates, as well as our view of housing fundamentals.
Our economic outlook is updated, if necessary, when these
projections change materially."
Ratings Assigned
NLT 2026-NQM1 Trust(i)
Class A-1, $277,340,000: AAA (sf)
Class A-2, $29,130,000: AA (sf)
Class A-3, $43,690,000: A (sf)
Class M-1, $17,960,000: BBB (sf)
Class B-1, $12,970,000: BB (sf)
Class B-2, $10,380,000: B (sf)
Class B-3, $7,582,949: NR
Class XS, notional(ii): NR
Class PT, $399,052,949: NR
Class A-IO-S, notional(ii): NR
Class R, N/A: NR
(i)The ratings address the ultimate payment of interest and
principal and do not address payment of 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 $399,052,949.
N/A--Not applicable.
NR--Not rated.
OCTAGON 51: Moody's Cuts Rating on Class F Notes to B3
------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Octagon 51, Ltd.:
US$5.6M Class F Junior Secured Deferrable Floating Rate Notes,
Downgraded to B3 (sf); previously on May 28, 2021 Assigned B2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$320M Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Feb 19, 2025 Assigned Aaa (sf)
US$60M Class B-R Senior Secured Floating Rate Notes, Affirmed Aa2
(sf); previously on Feb 19, 2025 Assigned Aa2 (sf)
US$25.75M Class C-R Mezzanine Secured Deferrable Floating Rate
Notes, Affirmed A2 (sf); previously on Feb 19, 2025 Assigned A2
(sf)
US$33M Class D-R Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Baa3 (sf); previously on Feb 19, 2025 Assigned Baa3 (sf)
US$21.25M Class E-R Junior Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Feb 19, 2025 Assigned Ba3 (sf)
Octagon 51, Ltd., issued in May 2021 and refinanced in February
2025, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by Octagon Credit Investors, LLC. The
transaction's reinvestment period will end in July 2026.
RATINGS RATIONALE
The rating downgrade on the Class F notes is primarily a result of
the deterioration in over-collateralisation ratios due to par loss
observed since the refinancing of the transaction in February
2025.
The affirmations on the ratings on the Class A-R, B-R, C-R, D-R and
E-R notes are primarily a result of the expected losses on the
notes remaining consistent with their current rating levels, after
taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The over-collateralisation ratios of the Class F notes have
deteriorated since September 2025. According to Moody's
computations as of February 2026, the Class F OC ratio is at
104.33% compared to August 2025 levels of 105.41%, respectively.
In light of reinvestment restrictions during the amortisation
period, and therefore the limited ability to effect significant
changes to the current collateral pool, Moody's analysed the deal
assuming a higher likelihood that the collateral pool
characteristics would maintain an adequate buffer relative to
certain covenant requirements.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD484.9m
Defaulted Securities: USD3.2m
Diversity Score: 85
Weighted Average Rating Factor (WARF): 2761
Weighted Average Life (WAL): 4.7 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.0%
Weighted Average Coupon (WAC): 4.6%
Weighted Average Recovery Rate (WARR): 46.2%
Par haircut in OC tests and interest diversion test: 0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Moody's note that the March 2026[1] trustee report was published at
the time Moody's were completing Moody's analysis of the February
2026[2] data. Key portfolio metrics such as WARF, diversity score,
weighted average spread and life, and OC ratios exhibit little or
no change between these dates.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: Once reaching the end of the
reinvestment period in July 2026, The main source of uncertainty in
this transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
ONITY LOAN 2026-HB1: DBRS Gives (P)B(sf) Rating on Cl. M5 Notes
---------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the Asset-Backed Notes, Series 2026-HB1 (the Notes) to be issued
by Onity Loan Investment Trust 2026-HB1 as follows:
-- $437.3 million Class A at (P) AAA (sf)
-- $30.2 million Class M1 at (P) AA (low) (sf)
-- $22.5 million Class M2 at (P) A (low) (sf)
-- $22.0 million Class M3 at (P) BBB (low) (sf)
-- $22.0 million Class M4 at (P) BB (low) (sf)
-- $13.5 million Class M5 at (P) B (sf)
Other than the specified classes above, Morningstar DBRS did not
rate any other classes in this transaction.
The (P) AAA (sf) credit rating reflects 19.2% of credit enhancement
(CE). The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf),
(P) BB (low) (sf), and (P) B (sf) credit ratings reflect 13.6%,
9.5%, 5.4%, 1.4%, and -1.1% of CE, respectively.
Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowner's
association dues, if applicable. Reverse mortgages are typically
nonrecourse; borrowers do not have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.
As of January 31, 2026 (the Cut-Off Date), the collateral has
approximately $541.32 million in unpaid principal balance (UPB)
from 1,937 performing and nonperforming home equity conversion
mortgage reverse mortgage loans and real estate owned assets
secured by first liens typically on single-family residential
properties, condominiums, multifamily (two- to four-family)
properties, manufactured homes, and planned unit developments. The
mortgage assets were originated between 2001 and 2022. Of the total
assets, 184 have a fixed interest rate (12.70% of the balance),
with a 5.190% weighted-average (WA) interest rate. The remaining
1,753 assets have floating-rate interest (87.30% of the balance)
with a 5.747% WA interest rate, bringing the entire collateral pool
to a 5.676% WA interest rate.
The transaction uses a sequential structure. No subordinate note
shall receive any principal payments until the senior notes (Class
A Notes) have been reduced to zero. This structure provides CE in
the form of subordinate classes and reduces the effect of realized
losses. These features increase the likelihood that holders of the
most senior class of notes will receive regular distributions of
interest and/or principal.
Classes M1, M2, M3, M4, and M5 have principal lockout insofar as
they are not entitled to principal payments prior to a Redemption
Date, unless an Acceleration Event or Auction Failure Event occurs.
Available cash will be trapped until these dates, at which stage
the Notes will start to receive payments. Note that the Morningstar
DBRS cash flow as it pertains to each note models the first payment
being received after these dates for each of the respective notes;
therefore, at the time of issuance, these rules are not likely to
affect the natural cash flow waterfall.
A failure to pay the Notes in full on the Mandatory Call Date
(March 2029) will trigger a mandatory auction of all assets. If the
auction fails to elicit sufficient proceeds to pay off the Notes,
another auction will follow every three months, for up to a year
after the Mandatory Call Date. If these have failed to pay off the
Notes, this is deemed an Auction Failure, and subsequent auctions
will proceed every six months.
If the Class M4 and Class M5 Notes have not been redeemed or paid
in full by the Mandatory Call Date, these notes will accrue
Additional Accrued Amounts. Morningstar DBRS does not rate these
Additional Accrued Amounts.
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Interest Amount, Cap
Carryover, and Note Amount.
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, the credit ratings on the Notes do not
address Additional Accrued Amounts based on their position in the
cash flow waterfall.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
ORION CLO 2026-7: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Orion CLO 2026-7 Ltd.
Entity/Debt Rating
----------- ------
Orion CLO 2026-7
Ltd.
A-1 LT AAA(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D-1 LT BBB-(EXP)sf Expected Ratin
D-2 LT BBB-(EXP)sf Expected Rating
E LT BB-(EXP)sf Expected Rating
Subordinated LT NR(EXP)sf Expected Rating
Transaction Summary
Orion CLO 2026-7 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Antares Liquid Credit Strategies LLC. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $400 million of primarily
first-lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 22.85 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 100%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.78% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: 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: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'B+sf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and
'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1 and class A-2
notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for
class D-1, and 'BBB+sf' for class D-2 and 'BBBsf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Orion CLO 2026-7
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.
ORION CLO 2026-7: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Orion CLO
2026-7 Ltd.
Entity/Debt Rating Prior
----------- ------ -----
Orion CLO 2026-7 Ltd.
A-1 LT AAAsf New Rating AAA(EXP)sf
A-1L LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
B LT AAsf New Rating AA(EXP)sf
C LT Asf New Rating A(EXP)sf
D-1 LT BBB-sf New Rating BBB-(EXP)sf
D-2 LT BBB-sf New Rating BBB-(EXP)sf
E LT BB-sf New Rating BB-(EXP)sf
Subordinated LT NRsf New Rating NR(EXP)sf
Transaction Summary
Orion CLO 2026-7 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Antares Liquid Credit Strategies LLC. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $400 million of primarily
first lien senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
The weighted average rating factor (WARF) of the indicative
portfolio is 22.85 and will be managed to a WARF covenant from a
Fitch test matrix. Issuers rated in the 'B' rating category denote
a highly speculative credit quality; however, the notes benefit
from appropriate credit enhancement and standard U.S. CLO
structural features.
Asset Security: The indicative portfolio consists of 100% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.78% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: 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: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant to account for
structural and reinvestment conditions after the reinvestment
period. In Fitch's opinion, these conditions would reduce the
effective risk horizon of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-1, between
'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for
class B, between 'B+sf' and 'BBB+sf' for class C, between less than
'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and
'BB+sf' for class D-2, and between less than 'B-sf' and '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, 'A-sf' for
class D-1, 'BBB+sf' for class D-2, and 'BBBsf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
Date of Relevant Committee
19 March 2026
ESG Considerations
Fitch does not provide ESG relevance scores for Orion CLO 2026-7
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.
OZLM XXIV: Moody's Lowers Rating on $18MM Class D Notes to B1
-------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by OZLM XXIV, Ltd.:
US$18M Class D Secured Deferrable Floating Rate Notes, Downgraded
to B1 (sf); previously on Aug 26, 2019 Assigned Ba3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$219M (Current outstanding amount US$45,272,739) Class A-1A-R
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Sep 15, 2021 Assigned Aaa (sf)
US$25M (Current outstanding amount US$5,168,121) Class A-1B-R
Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on
Sep 15, 2021 Assigned Aaa (sf)
US$16M Class A-1C-R Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Sep 15, 2021 Assigned Aaa (sf)
OZLM XXIV, Ltd., originally issued in August 2019 and partially
refinanced in September 2021, is a collateralised loan obligation
(CLO) backed by a portfolio of mostly high-yield senior secured US
loans. The portfolio is managed by Sculptor Loan Management LP. The
transaction's reinvestment period ended in July 2024.
RATINGS RATIONALE
The rating downgrade on the Class D notes is primarily a result of
the continued deterioration of the weighted average spread (WAS) of
the portfolio since the payment date in January 2025.
The portfolio WAS has deteriorated in the last 12 months. According
to the trustee report dated February 2026[1], the WAS is reported
at 3.01% compared to February 2025[2] level of 3.32%. Moody's notes
that the Minimum Floating Spread Test is currently failing.
The affirmations on the ratings on the Class A-1A-R, A-1B-R, and
Class A-1C-R notes are primarily a result of the expected losses on
the notes remaining consistent with their current rating levels,
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD183.5m
Defaulted Securities: USD1.7m
Diversity Score: 45
Weighted Average Rating Factor (WARF): 2638
Weighted Average Life (WAL): 3.3 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.75%
Weighted Average Recovery Rate (WARR): 45.75%
Par haircut in OC tests and interest diversion test: 0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability Moody's are analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen as a result of the manager's decision to reinvest in new
issue loans or other loans with longer maturities, or participate
in amend-to-extend offerings. The effect on the ratings of
extending the portfolio's weighted average life can be positive or
negative depending on the notes' seniority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
PIKES PEAK 22: Fitch Assigns 'BB-sf' Rating on Class E Notes
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Pikes
Peak CLO 22.
Entity/Debt Rating
----------- ------
PIKES PEAK CLO 22
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 Notes LT NRsf New Rating
Transaction Summary
Pikes Peak CLO 22 (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Partners Group CLO Advisers 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: 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 23.06 and will be managed to a WARF covenant from a
Fitch test matrix. Issuers rated in the 'B' rating category denote
a highly speculative credit quality; however, the notes benefit
from appropriate credit enhancement and standard U.S. CLO
structural features.
Asset Security: The indicative portfolio consists of 97.5% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.92% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 43% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant that are greater
than six years to account for structural and reinvestment
conditions after the reinvestment period. In Fitch's opinion, these
conditions would reduce the effective risk horizon of the portfolio
during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1,
between less than 'B-sf' and 'BB+sf' for class D-2, and between
less than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for
class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for PIKES PEAK CLO 22.
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.
PIKES PEAK 7: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
--------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Pikes
Peak CLO 7 refinancing notes.
Entity/Debt Rating Prior
----------- ------ -----
Pikes Peak CLO 7
A-1A-R2 LT NRsf New Rating
A-1B-R2 LT NRsf New Rating
A-1L-R2 LT NRsf New Rating
A-2-R 72133FAN5 LT PIFsf Paid In Full AAAsf
A-2-R2 LT AAAsf New Rating
B-R 72133FAK1 LT PIFsf Paid In Full AAsf
B-R2 LT AAsf New Rating
C-R 72133FAL9 LT PIFsf Paid In Full Asf
C-R2 LT Asf New Rating
D-R 72133FAM7 LT PIFsf Paid In Full BBB-sf
D-R2 LT BBB-sf New Rating
E-R 72133KAE4 LT PIFsf Paid In Full BB-sf
E-R2 LT BB-sf New Rating
Transaction Summary
Pikes Peak CLO 7 (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by Partners
Group CLO Advisers LP that originally closed in February 2021 and
was reset in March 2024, both rated by Fitch. On March 30, 2026
(refinancing date), the secured notes will be refinanced in full
from the proceeds of the issuance of new secured notes. Net
proceeds from the issuance of the secured and existing subordinated
notes will provide financing on a portfolio of approximately $394
million of primarily first-lien senior secured leveraged loans
(excluding defaults and including principal cash).
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.82 and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 97.55%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.25% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 45% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 2.9-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by 12 months for the WAL covenants that are
greater than six years, 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.
Key Provision Changes
The refinancing is being implemented via the third supplemental
indenture, which amended certain provisions of the transaction. The
changes include but are not limited to:
- All notes are being refinanced with lower spreads except for the
class D-R2 and E-R2 notes, which were increased.
- The non-call period for the refinanced notes (except E-R2) is
extended to March 30, 2027.
- Stated maturity on the refinanced notes and the reinvestment
period end date remain the same as the original notes.
FITCH ANALYSIS
The portfolio includes 353 assets from 295 primarily high-yield
obligors. The portfolio balance (excluding defaults and including
principal cash) is approximately $394 million. As of the latest
trustee report prior to the refinance date the transaction did not
pass its Weighted Average Rating Factor test. It passed all other
collateral quality tests, coverage tests, and concentration
limitations. The weighted average rating of the current portfolio
is 'B'.
Fitch has an explicit rating, credit opinion or private rating for
42.0% of the current portfolio par balance; ratings for 58.0% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map. The analysis focused on the Fitch stressed
portfolio (FSP), and cash flow model analysis was conducted for
this refinancing.
The FSP included the following concentrations, reflecting the
maximum limitations per the indenture or maintained at the current
level:
- Largest five obligors: 2.5% each, for an aggregate of 12.5%;
- Largest three industries: 17.0%, 14.0%, and 14.0%, respectively;
- Assumed risk horizon: 6.07 years;
- Minimum weighted average spread of 2.99%;
- Minimum weighted average recovery rate of 72.78%;
- Maximum weighted average rating factor of 24.00;
- Fixed rate Assets: 5.00%;
- Minimum weighted average coupon of 7.50%;
The transaction will exit its reinvestment period on Feb. 25,
2029.
Fitch Asset and Cash Flow Analysis:
The Fitch model outputs are shown below. For each class, the notes
passed all nine cash flow scenarios under the assigned rating
scenarios with the minimum default cushions indicated.
Current Portfolio Model Outputs:
- Class A2R2: 'AAAsf' / Default 42.60% / Recovery 38.97% / Cushion
11.80%
- Class BR2: 'AAsf' / Default 39.80% / Recovery 47.74% / Cushion
10.80%
- Class CR2: 'Asf' / Default 35.30% / Recovery 57.79% / Cushion
10.40%
- Class DR2: 'BBB-sf' / Default 27.10% / Recovery 67.16% / Cushion
8.70%
- Class ER2: 'BB-sf' / Default 22.60% / Recovery 72.57% / Cushion
3.80%
Fitch Stress Portfolio (FSP) Model Outputs:
- Class A2R2: 'AAAsf' / Default 48.90% / Recovery 38.81% / Cushion
6.10%
- Class BR2: 'AAsf' / Default 45.60% / Recovery 46.61% / Cushion
5.20%
- Class CR2: 'Asf' / Default 40.60% / Recovery 56.17% / Cushion
4.80%
- Class DR2: 'BBB-sf' / Default 31.70% / Recovery 65.45% / Cushion
4.50%
- Class ER2: 'BB-sf' / Default 26.50% / Recovery 71.26% / Cushion
0.00%
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'Asf' and 'AAAsf' for class A-2-R2, between
'BBB-sf' and 'AAsf' for class B-R2, between 'BB-sf' and 'Asf' for
class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-R2,
and between less than 'B-sf' and 'B+sf' for class E-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R2 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2,
'A+sf' for class D-R2, and 'BBBsf' for class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Pikes Peak CLO 7.
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.
PMT LOAN 2026-CNF3: Moody's Assigns B3 Rating to Cl. B-5 Certs
--------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to 43 classes of
residential mortgage-backed securities (RMBS) issued by PMT Loan
Trust 2026-CNF3, and sponsored by PennyMac Corp.
The securities are backed by a pool of GSE-eligible (100.0% by
balance) residential mortgages aggregated by PennyMac Corp.,
originated and serviced by PennyMac Corp.
The complete rating actions are as follows:
Issuer: PMT Loan Trust 2026-CNF3
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-5, Definitive Rating Assigned Aaa (sf)
Cl. A-6, Definitive Rating Assigned Aaa (sf)
Cl. A-7, Definitive Rating Assigned Aaa (sf)
Cl. A-8, Definitive Rating Assigned Aaa (sf)
Cl. A-9, Definitive Rating Assigned Aaa (sf)
Cl. A-10, Definitive Rating Assigned Aaa (sf)
Cl. A-11, Definitive Rating Assigned Aaa (sf)
Cl. A-12, Definitive Rating Assigned Aaa (sf)
Cl. A-13, Definitive Rating Assigned Aaa (sf)
Cl. A-14, Definitive Rating Assigned Aaa (sf)
Cl. A-15, Definitive Rating Assigned Aaa (sf)
Cl. A-16, Definitive Rating Assigned Aaa (sf)
Cl. A-17, Definitive Rating Assigned Aaa (sf)
Cl. A-18, Definitive Rating Assigned Aaa (sf)
Cl. A-19, Definitive Rating Assigned Aa1 (sf)
Cl. A-20, Definitive Rating Assigned Aa1 (sf)
Cl. A-21, Definitive Rating Assigned Aa1 (sf)
Cl. A-22, Definitive Rating Assigned Aa1 (sf)
Cl. A-23, Definitive Rating Assigned Aaa (sf)
Cl. A-23X*, Definitive Rating Assigned Aaa (sf)
Cl. A-24, Definitive Rating Assigned Aaa (sf)
Cl. A-24X*, Definitive Rating Assigned Aaa (sf)
Cl. A-X1*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X2*, Definitive Rating Assigned Aaa (sf)
Cl. A-X4*, Definitive Rating Assigned Aaa (sf)
Cl. A-X6*, Definitive Rating Assigned Aaa (sf)
Cl. A-X8*, Definitive Rating Assigned Aaa (sf)
Cl. A-X10*, Definitive Rating Assigned Aaa (sf)
Cl. A-X12*, Definitive Rating Assigned Aaa (sf)
Cl. A-X14*, Definitive Rating Assigned Aaa (sf)
Cl. A-X16*, Definitive Rating Assigned Aaa (sf)
Cl. A-X18*, Definitive Rating Assigned Aaa (sf)
Cl. A-X20*, Definitive Rating Assigned Aa1 (sf)
Cl. A-X22*, Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Definitive Rating Assigned A3 (sf)
Cl. B-3, Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Definitive Rating Assigned Ba3 (sf)
Cl. B-5, Definitive Rating Assigned B3 (sf)
*Reflects Interest-Only Classes
Moody's are withdrawing the provisional rating for the Class A-1A
Loans, assigned on March 18, 2026, because the Class A-1A Loans
were not funded on the closing date.
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.50%, in a baseline scenario-median is 0.25% and reaches 6.89% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGIES
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations" published in August 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
PMT LOAN 2026-INV4: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs
-----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 72 classes of
residential mortgage-backed securities (RMBS) to be issued by PMT
Loan Trust 2026-INV4, and sponsored by PennyMac Corp.
The securities are backed by a pool of GSE-eligible residential
mortgages aggregated, originated and serviced by PennyMac Corp.
The complete rating actions are as follows:
Issuer: PMT Loan Trust 2026-INV4
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-5, Assigned (P)Aaa (sf)
Cl. A-6, Assigned (P)Aaa (sf)
Cl. A-7, Assigned (P)Aaa (sf)
Cl. A-8, Assigned (P)Aaa (sf)
Cl. A-9, Assigned (P)Aaa (sf)
Cl. A-10, Assigned (P)Aaa (sf)
Cl. A-11, Assigned (P)Aaa (sf)
Cl. A-12, Assigned (P)Aaa (sf)
Cl. A-13, Assigned (P)Aaa (sf)
Cl. A-14, Assigned (P)Aaa (sf)
Cl. A-15, Assigned (P)Aaa (sf)
Cl. A-16, Assigned (P)Aaa (sf)
Cl. A-17, Assigned (P)Aaa (sf)
Cl. A-18, Assigned (P)Aaa (sf)
Cl. A-19, Assigned (P)Aaa (sf)
Cl. A-20, Assigned (P)Aaa (sf)
Cl. A-21, Assigned (P)Aaa (sf)
Cl. A-22, Assigned (P)Aaa (sf)
Cl. A-23, Assigned (P)Aaa (sf)
Cl. A-24, Assigned (P)Aaa (sf)
Cl. A-25, Assigned (P)Aaa (sf)
Cl. A-26, Assigned (P)Aaa (sf)
Cl. A-27, Assigned (P)Aaa (sf)
Cl. A-28, Assigned (P)Aa1 (sf)
Cl. A-29, Assigned (P)Aa1 (sf)
Cl. A-30, Assigned (P)Aa1 (sf)
Cl. A-31, Assigned (P)Aa1 (sf)
Cl. A-32, Assigned (P)Aa1 (sf)
Cl. A-33, Assigned (P)Aa1 (sf)
Cl. A-36, Assigned (P)Aaa (sf)
Cl. A-36X*, Assigned (P)Aaa (sf)
Cl. A-37, Assigned (P)Aaa (sf)
Cl. A-37X*, Assigned (P)Aaa (sf)
Cl. A-38, Assigned (P)Aaa (sf)
Cl. A-38X*, Assigned (P)Aaa (sf)
Cl. A-39, Assigned (P)Aaa (sf)
Cl. A-39X*, Assigned (P)Aaa (sf)
Cl. A-40, Assigned (P)Aaa (sf)
Cl. A-40X*, Assigned (P)Aaa (sf)
Cl. A-X1*, Assigned (P)Aa1 (sf)
Cl. A-X2*, Assigned (P)Aaa (sf)
Cl. A-X3*, Assigned (P)Aaa (sf)
Cl. A-X6*, Assigned (P)Aaa (sf)
Cl. A-X7*, Assigned (P)Aaa (sf)
Cl. A-X8*, Assigned (P)Aaa (sf)
Cl. A-X9*, Assigned (P)Aaa (sf)
Cl. A-X11*, Assigned (P)Aaa (sf)
Cl. A-X12*, Assigned (P)Aaa (sf)
Cl. A-X14*, Assigned (P)Aaa (sf)
Cl. A-X15*, Assigned (P)Aaa (sf)
Cl. A-X18*, Assigned (P)Aaa (sf)
Cl. A-X19*, Assigned (P)Aaa (sf)
Cl. A-X21*, Assigned (P)Aaa (sf)
Cl. A-X22*, Assigned (P)Aaa (sf)
Cl. A-X24*, Assigned (P)Aaa (sf)
Cl. A-X25*, Assigned (P)Aaa (sf)
Cl. A-X26*, Assigned (P)Aaa (sf)
Cl. A-X27*, Assigned (P)Aaa (sf)
Cl. A-X30*, Assigned (P)Aa1 (sf)
Cl. A-X31*, Assigned (P)Aa1 (sf)
Cl. A-X32*, Assigned (P)Aa1 (sf)
Cl. A-X33*, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A3 (sf)
Cl. B-3, Assigned (P)Baa3 (sf)
Cl. B-4, Assigned (P)Ba3 (sf)
Cl. B-5, Assigned (P)B3 (sf)
Cl. A-1A Loans, Assigned (P)Aaa (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.79%, in a baseline scenario-median is 0.48% and reaches 7.74% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGIES
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations" published in August 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
PRPM 2026-CRE1: Fitch Assigns 'B-sf' Final Rating on Three Tranches
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
PRPM 2026-CRE1 Issuer, LLC as follows:
- $350,830,000a class A 'AAAsf'; Outlook Stable;
- $43,850,000a class A-S 'AAAsf'; Outlook Stable;
- $47,710,000a class B 'AA-sf'; Outlook Stable;
- $38,460,000a class C 'A-sf'; Outlook Stable;
- $23,860,000a class D 'BBBsf'; Outlook Stable;
- $18,460,000a class E 'BBB-sf'; Outlook Stable;
- $17,700,000b,c class F 'BB-sf'; Outlook Stable;
- $16,150,000b,c class G 'B-sf'; Outlook Stable.
Fitch has also assigned ratings to the following classes of
exchangeable notes:
- $0b,c class F-E 'BB-sf'; Outlook Stable;
- $0b,c class F-X 'BB-sf'; Outlook Stable;
- $0b,c class G-E 'B-sf'; Outlook Stable;
- $0b,c class G-X 'B-sf'; Outlook Stable.
The following classes are not rated by Fitch:
- $0c class OC;
- $58,480,000c,d income notes.
(a) Privately placed and pursuant to Rule 144A.
(b) Exchangeable notes. Each class of exchangeable notes may be
exchanged for the corresponding classes of exchangeable notes, and
vice versa. The dollar denomination of each of the received classes
of notes must be equal to the dollar denomination of each of the
surrendered classes of notes. The ratings of the exchangeable
classes would reference the ratings of the associate referenced or
original classes.
(c) Retained notes.
(d) Horizontal risk retention interest, estimated to be 9.5% of the
notional amount of the notes.
The approximate collateral interest balance as of the cutoff date
is $515,577,503 and does not include future funding.
Transaction Summary
The notes are collateralized by 19 loans secured by 20 commercial
properties with an aggregate principal balance of $515,577,503 as
of the cut-off date. The pool also includes ramp cash of
approximately $99,922,497 for the purchase of ramp-up collateral
interests during the 120 days following the closing date. The loans
and participation interests in the loans will be owned by PRPM
2026-CRE1 Issuer, LLC, as issuer of the notes. The aggregate
principal balance does not include $5.3 million of future funding.
KeyBank National Association is the servicer and the special
servicer. The trustee is Wilmington Trust, National Association,
and the note administrator is Computershare Trust Company, National
Association. The notes will follow a sequential paydown structure.
KEY RATING DRIVERS
Fitch Net Cash Flow: Fitch performed cash flow analyses on all 19
loans totaling 100.0% of the pool by balance. Fitch's resulting
aggregate net cash flow (NCF) of $17.5 million represents a 12.7%
decline from the issuer's aggregate underwritten NCF of $20.0
million. Aggregate cash flows include only the pro-rated trust
portion of any pari passu loan and exclude loans for which Fitch
conducted an alternative value analysis.
Higher Fitch Leverage: The pool has higher leverage compared to
recent CRE CLO transactions rated by Fitch. The pool's Fitch
loan‐to‐value ratio (LTV) of 154.0% is higher than the 2025 and
2024 CRE CLO averages of 140.1% and 140.7%, respectively. The
pool's Fitch NCF debt yield (DY) of 5.9% is lower than the 2025 and
2024 CRE CLO averages of 6.4% and 6.5%, respectively.
Higher Pool Concentration: The pool is more concentrated compared
to recently rated Fitch CRE CLO transactions. The top 10 loans in
the pool make up 68.8% of the pool, which is higher than the 2025
CRE CLO average of 61.6% but lower than the 2024 CRE CLO average of
70.5%, respectively. Fitch measures loan concentration risk with an
effective loan count, which accounts for both the number and size
of loans in the pool. The pool's effective loan count is 21.7
(given the credit to the ramp cash for the purchase of ramp-up
collateral interests). Fitch views diversity as a key mitigator to
idiosyncratic risk. Fitch raises the overall loss for pools with
effective loan counts below 40.
Limited Amortization: The pool is 96.2% comprised of IO loans,
which is higher than the 2025 and 2024 CRE CLO averages of 72.7%
and 56.8%, respectively, based on the fully extended loan terms. As
a result, Fitch expects the pool to have 0.1% principal paydown at
the end of the fully extended loan term, which is worse than the
2025 and 2024 CRE CLO average scheduled paydowns for Fitch-rated
U.S. CRE CLO transactions of 0.5% and 0.6%, respectively.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
debt service obligations. The model-implied rating sensitivity to
changes in one variable, Fitch NCF, are as follows:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'
/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/less than 'CCCsf'
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF, are as follows:
- Original Rating:
'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf';
- 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'
/'Asf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B+sf'
SUMMARY OF FINANCIAL ADJUSTMENTS
Fitch has assigned an overcollateralization (OC) credit of 1.0% at
the 'BBB-sf' level and 0.250% at the 'BB+sf' level, based on the
weighted-average spread (WAS) on the assets and liabilities. This
transaction utilizes note protection tests to provide additional
credit enhancement (CE) to the investment-grade note holders, if
needed. The note protection tests comprise an interest coverage
test and a par value test at the 'BBB-' level (class E) in the
capital structure. Should either of these metrics fall below a
minimum requirement then interest payments to the retained notes
are diverted to pay down the senior most notes. This diversion of
interest payments continues until the note protection tests are
back above their minimums.
As a result of this structural feature, Fitch's analysis of the
transaction included an evaluation of the liability structure under
different stress scenarios. To undertake this evaluation, Fitch
used the cash flow modeling referenced in the Fitch criteria, "U.S.
and Canadian Multiborrower CMBS Rating Criteria." Different
scenarios were run where asset default timing distributions and
recovery timing assumptions were stressed.
Key inputs, including Rating Default Rate (RDR) and Rating Recovery
Rate (RRR), were based on the CMBS multiborrower model output in
combination with CMBS analytical insight. The cash flow modeling
results showed that the default rates in the stressed scenarios did
not exceed the available CE in any stressed scenario.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by KPMG LLP. The third-party due diligence described in
Form 15E focused on a comparison and recomputation 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.
PRPM 2026-RCF2: Fitch Assigns 'BB-(EXP)sf' Rating on Class M2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to PRPM 2026-RCF2, LLC
(PRPM 2026-RCF2).
Entity/Debt Rating
----------- ------
PRPM 2026-RCF2
A1 LT AAA(EXP)sf Expected Rating
A2 LT AA-(EXP)sf Expected Rating
A3 LT A-(EXP)sf Expected Rating
M1 LT BBB-(EXP)sf Expected Rating
M2 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 series 2026-RCF2 residential
mortgage-backed notes to be issued by PRPM 2026-RCF2, LLC as
indicated above. The notes are supported by 1,008 loans with a
balance of $353.58 million as of the cutoff date. This will be the
12th PRPM RCF transaction to be rated by Fitch and the second RCF
transaction of 2026.
The notes are secured by a pool of recently originated and
seasoned, fixed-rate and adjustable-rate, fully amortizing,
interest-only performing and reperforming mortgage secured by
senior and junior liens on single family residential properties,
planned unit developments, condominiums, two-to-four family
residential properties, manufactured housing, townhouses,
cooperative shares, a five-to-ten unit multi-family property and a
condotel.
Based on the transaction documents, 76.5% of the pool loans
represent collateral with a defect or exception to guidelines that
precludes the loans from a government-sponsored enterprise (GSE)
pool (scratch and dent [S&D]). The remaining loans are reperforming
loans (RPLs) or seasoned non-qualified mortgage (non-QM) loans or
ITIN loans.
The loans were originated by various originators, with no
originator contributing more than 10% to the pool. Following the
servicing transfer, which will take place on or before 45 days
after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by
Fitch, will service 74.5% of the loans; Fay Servicing, rated 'RSS2'
by Fitch, will service 4.2%; and NewRez LLC dba Shellpoint Mortgage
Servicing, rated 'RSS2+' by Fitch, will service 21.3%.
A majority of the loans adhere to QM or are exempt from QM Rules.
Only 16.5% are non-QM loans. Fitch did not adjust the QM status in
its analysis under the revised "U.S. RMBS Rating Criteria."
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 March 2030.
Fitch was only asked to rate class A-1, A-2, A-3, M-1 and M-2
notes.
KEY RATING DRIVERS
Credit Risk of Nonprime Credit Quality Mortgage Assets (Negative):
RMBS transactions are directly affected by the performance of the
underlying residential mortgages or mortgage-related assets. Fitch
analyzes loan-level attributes and macroeconomic factors to assess
the credit risk and expected losses.
The borrowers in this pool have relatively strong credit profiles
with a Fitch-determined weighted average (WA) FICO score of 730,
current WA FICO of 709 and a 39.3% Fitch-determined debt-to-income
ratio (DTI). The borrowers also have moderate leverage, with an
original combined loan-to-value ratio (cLTV), as determined by
Fitch, of 79.6%, translating to a Fitch-calculated sustainable
loan-to-value ratio (sLTV) of 79.2%.
Of the loans in the pool, 76.5% are loans that are considered S&D,
5.5% are RPLs, 2.6% are ITIN loans and 15.5% are seasoned non-QM
loans.
A majority of the loans are fully documented, but 28.4% are less
than full documentation (bank statement, DSCR or other).
PRPM 2026-RCF2 has a final probability of default (PD) of 49.10% in
the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the
'AAAsf' rating stress is 46.06%. The expected loss in the 'AAAsf'
rating stress is 22.61%.
Structural Analysis (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 partially mitigated by reallocation of
available funds after a credit event.
The servicers will not be advancing DQ monthly payments of
principal and interest (P&I). As 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 (March 2030), 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.
Operational Risk Analysis (Negative): Fitch considers originator
and servicer capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100% of the loans in the transaction by loan count.
For S&D transactions, credit is not given to loans with a due
diligence grade of "A" or "B" since these loans have a material
defect. The loans are penalized for having "C" and "D" grades.
Counterparty and Legal Analysis (Neutral): Fitch expects all
relevant transaction parties to conform with the requirements
described in its "Global Structured Finance Rating Criteria."
Relevant parties are those whose failure to perform could have a
material outcome on the performance of the transaction.
Additionally, all legal requirements should be satisfied to fully
de-link the transaction from any other entities. Fitch expects PRPM
2026-RCF2 to be fully de-linked and a bankruptcy-remote SPV. All
transaction parties and triggers align with Fitch expectations.
Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may
include, but are not limited to, new product types with limited or
volatile historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to PRPM 2026-RCF2, and, therefore, Fitch is comfortable rating to
the highest possible rating at 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 37.4%, at 'AAA'. The analysis indicates some
potential rating migration, with higher MVDs for all rated classes
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated classes excluding those being
assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified while holding
others equal. The modeling process uses the modification of these
variables to reflect asset performance in up environments and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. They should not be used as indicators of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) by
the following TPR firms: Canopy, Clarifii, Clayton, Consolidated
Analytics, Incenter, Infinity, Opus, Selene and Situs AMC, Each of
these TPR firms are assessed as an acceptable TPR firm by Fitch.
The third-party due diligence described in these Form 15Es focused
on regulatory compliance, credit, valuation, data integrity,
payment history, servicing comment review, modification and
title/lien review, as applicable to each TPR's scope of review.
A title/lien review was conducted on the seasoned loans in the
pool. Fitch also received servicer confirmations that the lien
status and payment history in the loan tape were accurate per their
records.
U.S. Bank National Association and Computershare conducted the
custodial reviews.
Fitch incorporated the due diligence results into its analysis.
Based on 100% due diligence coverage of the pool, Fitch raised loss
expectations on loans with grades of 'C' or 'D' that had material
findings. These material findings consisted of missing HUD-1s, ATR
Risk loans, loans with potential lien issues or the property had a
PACE loan associated with it, underwriting defects involving
documentation issues and underwriting defects involving occupancy
issues. Fitch increased the loss severity and or probability of
default on these loans to address these findings.
Fitch considered this information in its analysis and, as a result,
the losses increased.
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 the third-party review firms to perform the
review. Loans reviewed under these engagements were given initial
and final compliance grades (100% of the pool). The sponsor also
engaged TPRs to conduct a title review/lien search. U.S Bank
National Association and Computershare conducted the custodial
reviews. The servicers confirmed the lien position for each loan
and that the payment history provided in the loan tape was
accurate.
Fitch also received notes on exceptions based on the post-close
quality control (QC) performed by the GSEs the S&D portion of the
pool. 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.
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 several 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 S&D 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
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
RATE 2026-J1: Fitch Assigns 'Bsf' Final Rating on Class B-5 Notes
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes issued by RATE Mortgage Trust 2026-J1 (RATE
2026-J1).
Entity/Debt Rating Prior
----------- ------ -----
RATE 2026-J1
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAAsf New Rating AAA(EXP)sf
A-3 LT AAAsf New Rating AAA(EXP)sf
A-4 LT AAAsf New Rating AAA(EXP)sf
A-5 LT AAAsf New Rating AAA(EXP)sf
A-6 LT AAAsf New Rating AAA(EXP)sf
A-7 LT AAAsf New Rating AAA(EXP)sf
A-8 LT AAAsf New Rating AAA(EXP)sf
A-9 LT AAAsf New Rating AAA(EXP)sf
A-10 LT AAAsf New Rating AAA(EXP)sf
A-11 LT AAAsf New Rating AAA(EXP)sf
A-12 LT AAAsf New Rating AAA(EXP)sf
A-13 LT AAAsf New Rating AAA(EXP)sf
A-14 LT AAAsf New Rating AAA(EXP)sf
A-15 LT AAAsf New Rating AAA(EXP)sf
A-16 LT AAAsf New Rating AAA(EXP)sf
A-17 LT AAAsf New Rating AAA(EXP)sf
A-18 LT AAAsf New Rating AAA(EXP)sf
A-19 LT AAAsf New Rating AAA(EXP)sf
A-20 LT AAAsf New Rating AAA(EXP)sf
A-21 LT AAAsf New Rating AAA(EXP)sf
A-22 LT AAAsf New Rating AAA(EXP)sf
A-23 LT AAAsf New Rating AAA(EXP)sf
A-24 LT AAAsf New Rating AAA(EXP)sf
A-25 LT AAAsf New Rating AAA(EXP)sf
A-26 LT AAAsf New Rating AAA(EXP)sf
A-27 LT AAAsf New Rating AAA(EXP)sf
A-29 LT AAAsf New Rating AAA(EXP)sf
A-30 LT AAAsf New Rating AAA(EXP)sf
A-X-1 LT AAAsf New Rating AAA(EXP)sf
A-X-2 LT AAAsf New Rating AAA(EXP)sf
A-X-3 LT AAAsf New Rating AAA(EXP)sf
A-X-4 LT AAAsf New Rating AAA(EXP)sf
A-X-5 LT AAAsf New Rating AAA(EXP)sf
A-X-6 LT AAAsf New Rating AAA(EXP)sf
A-X-7 LT AAAsf New Rating AAA(EXP)sf
A-X-8 LT AAAsf New Rating AAA(EXP)sf
A-X-9 LT AAAsf New Rating AAA(EXP)sf
A-X-10 LT AAAsf New Rating AAA(EXP)sf
A-X-11 LT AAAsf New Rating AAA(EXP)sf
A-X-12 LT AAAsf New Rating AAA(EXP)sf
A-X-13 LT AAAsf New Rating AAA(EXP)sf
A-X-14 LT AAAsf New Rating AAA(EXP)sf
A-X-15 LT AAAsf New Rating AAA(EXP)sf
A-X-16 LT AAAsf New Rating AAA(EXP)sf
A-X-17 LT AAAsf New Rating AAA(EXP)sf
A-X-18 LT AAAsf New Rating AAA(EXP)sf
A-X-19 LT AAAsf New Rating AAA(EXP)sf
A-X-20 LT AAAsf New Rating AAA(EXP)sf
A-X-21 LT AAAsf New Rating AAA(EXP)sf
A-X-22 LT AAAsf New Rating AAA(EXP)sf
A-X-23 LT AAAsf New Rating AAA(EXP)sf
A-X-24 LT AAAsf New Rating AAA(EXP)sf
A-X-25 LT AAAsf New Rating AAA(EXP)sf
A-X-26 LT AAAsf New Rating AAA(EXP)sf
A-X-27 LT AAAsf New Rating AAA(EXP)sf
A-X-28 LT AAAsf New Rating AAA(EXP)sf
A-X-29 LT AAAsf New Rating AAA(EXP)sf
A-X-30 LT AAAsf New Rating AAA(EXP)sf
B-1 LT AAsf New Rating AA(EXP)sf
B-1A LT AAsf New Rating AA(EXP)sf
B-X-1 LT AAsf New Rating AA(EXP)sf
B-2 LT Asf New Rating A(EXP)sf
B-2A LT Asf New Rating A(EXP)sf
B-X-2 LT Asf New Rating A(EXP)sf
B-3 LT BBB-sf New Rating BBB-(EXP)sf
B-4 LT BBsf New Rating BB(EXP)sf
B-5 LT Bsf New Rating B(EXP)sf
B-6 LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
A-X-S LT NRsf New Rating NR(EXP)sf
A-1L LT WDsf Withdrawn AAA(EXP)sf
A-2L LT WDsf Withdrawn AAA(EXP)sf
A-3L LT WDsf Withdrawn AAA(EXP)sf
Transaction Summary
The notes are supported by 293 loans with a total balance of
approximately $360.1 million as of the cutoff date. The pool
consists of prime fixed-rate mortgages originated by Guaranteed
Rate, Inc. Distributions of principal and interest (P&I) and loss
allocations are based on a senior-subordinate, shifting-interest
structure.
The issuer has withdrawn classes A-1L, A-2L and A-3L as they are
not being funded at close and will not be funded at any point in
the future. Therefore, Fitch has withdrawn the ratings for those
classes, all of which had expected ratings of 'AAA(EXP)sf' with a
Stable Outlook.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. RATE 2026-J1 has a final probability of default (PD) of
6.51% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 34.54%. The expected loss in the
'AAAsf' rating stress is 2.25%.
Structural Analysis: The mortgage cash flow and loss allocation in
RATE 2026-J1 are based on a senior-subordinate, shifting-interest
structure, whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years. The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest that is contractually due to bondholders in
reverse-sequential order. This feature can result in interest
reductions to rated bonds in high-stress delinquency scenarios.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios The CE for all ratings were sufficient for the given
rating levels. The CE for a given rating exceeded the expected
losses of that rating stress to address the structures recoupment
of advances and leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction by loan count.
Fitch applies a 5-bp z-score reduction for loans fully reviewed by
a third-party review (TPR) firm, which have a final grade of either
"A" or "B."
Counterparty and Legal Analysis: Fitch confirms all relevant
transaction parties conform with the requirements described in its
"Global Structured Finance Rating Criteria." Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. Additionally, all legal
requirements have been satisfied to fully de-link the transaction
from any other entity. RATE 2026-J1 is fully de-linked and a
bankruptcy remote special purpose vehicle. All transaction parties
and triggers align with Fitch's expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to RATE 2026-J1, and, therefore, Fitch is comfortable assigning the
highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 37.8% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those assigned 'AAAsf' ratings.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics. The third-party due diligence
described in Form 15E focused on credit, compliance, and property
valuation review. Fitch considered this information in its analysis
and, as a result, Fitch made the following adjustment to its
analysis: a 5% credit at the loan level for each loan where
satisfactory due diligence was completed.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
RATE 2026-J1: Fitch Corrects March 10 Ratings Release
-----------------------------------------------------
Fitch Ratings issued a correction of a release on RATE Mortgage
Trust 2026-J1 (RATE 2026-J1) published on March 10, 2026. It
updates the rating for class A-X-S to 'NR(EXP)sf' rather than
'AAA(EXP)sf'/Outlook Stable as stated in the original release. The
error was due to incorrect mapping of the excess servicing class.
The amended release is as follows:
Fitch Ratings has assigned expected ratings to the residential
mortgage-backed notes issued by RATE Mortgage Trust 2026-J1 (RATE
2026-J1).
Entity/Debt Rating
----------- ------
RATE 2026-J1
A-1 LT AAA(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
A-4 LT AAA(EXP)sf Expected Rating
A-5 LT AAA(EXP)sf Expected Rating
A-6 LT AAA(EXP)sf Expected Rating
A-7 LT AAA(EXP)sf Expected Rating
A-8 LT AAA(EXP)sf Expected Rating
A-9 LT AAA(EXP)sf Expected Rating
A-10 LT AAA(EXP)sf Expected Rating
A-11 LT AAA(EXP)sf Expected Rating
A-12 LT AAA(EXP)sf Expected Rating
A-13 LT AAA(EXP)sf Expected Rating
A-14 LT AAA(EXP)sf Expected Rating
A-15 LT AAA(EXP)sf Expected Rating
A-16 LT AAA(EXP)sf Expected Rating
A-17 LT AAA(EXP)sf Expected Rating
A-18 LT AAA(EXP)sf Expected Rating
A-19 LT AAA(EXP)sf Expected Rating
A-20 LT AAA(EXP)sf Expected Rating
A-21 LT AAA(EXP)sf Expected Rating
A-22 LT AAA(EXP)sf Expected Rating
A-23 LT AAA(EXP)sf Expected Rating
A-24 LT AAA(EXP)sf Expected Rating
A-25 LT AAA(EXP)sf Expected Rating
A-26 LT AAA(EXP)sf Expected Rating
A-27 LT AAA(EXP)sf Expected Rating
A-29 LT AAA(EXP)sf Expected Rating
A-30 LT AAA(EXP)sf Expected Rating
A-X-1 LT AAA(EXP)sf Expected Rating
A-X-2 LT AAA(EXP)sf Expected Rating
A-X-3 LT AAA(EXP)sf Expected Rating
A-X-4 LT AAA(EXP)sf Expected Rating
A-X-5 LT AAA(EXP)sf Expected Rating
A-X-6 LT AAA(EXP)sf Expected Rating
A-X-7 LT AAA(EXP)sf Expected Rating
A-X-8 LT AAA(EXP)sf Expected Rating
A-X-9 LT AAA(EXP)sf Expected Rating
A-X-10 LT AAA(EXP)sf Expected Rating
A-X-11 LT AAA(EXP)sf Expected Rating
A-X-12 LT AAA(EXP)sf Expected Rating
A-X-13 LT AAA(EXP)sf Expected Rating
A-X-14 LT AAA(EXP)sf Expected Rating
A-X-15 LT AAA(EXP)sf Expected Rating
A-X-16 LT AAA(EXP)sf Expected Rating
A-X-17 LT AAA(EXP)sf Expected Rating
A-X-18 LT AAA(EXP)sf Expected Rating
A-X-19 LT AAA(EXP)sf Expected Rating
A-X-20 LT AAA(EXP)sf Expected Rating
A-X-21 LT AAA(EXP)sf Expected Rating
A-X-22 LT AAA(EXP)sf Expected Rating
A-X-23 LT AAA(EXP)sf Expected Rating
A-X-24 LT AAA(EXP)sf Expected Rating
A-X-25 LT AAA(EXP)sf Expected Rating
A-X-26 LT AAA(EXP)sf Expected Rating
A-X-27 LT AAA(EXP)sf Expected Rating
A-X-28 LT AAA(EXP)sf Expected Rating
A-X-29 LT AAA(EXP)sf Expected Rating
A-X-30 LT AAA(EXP)sf Expected Rating
B-1 LT AA(EXP)sf Expected Rating
B-1A LT AA(EXP)sf Expected Rating
B-X-1 LT AA(EXP)sf Expected Rating
B-2 LT A(EXP)sf Expected Rating
B-2A LT A(EXP)sf Expected Rating
B-X-2 LT A(EXP)sf Expected Rating
B-3 LT BBB-(EXP)sf Expected Rating
B-4 LT BB(EXP)sf Expected Rating
B-5 LT B(EXP)sf Expected Rating
B-6 LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
A-X-S LT NR(EXP)sf Expected Rating
A-1L LT AAA(EXP)sf Expected Rating
A-2L LT AAA(EXP)sf Expected Rating
A-3L LT AAA(EXP)sf Expected Rating
Transaction Summary
Fitch expects to rate the residential mortgage-backed certificates
issued by RATE Mortgage Trust 2026-J1 (RATE 2026-J1) as indicated
above. The certificates are supported by 293 loans with a total
balance of approximately $360.1 million as of the cutoff date. The
pool consists of prime fixed-rate mortgages originated by
Guaranteed Rate, Inc. Distributions of principal and interest (P&I)
and loss allocations are based on a senior-subordinate,
shifting-interest structure.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. RATE 2026-J1 has a final probability of default (PD) of
6.51% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 34.54%. The expected loss in the
'AAAsf' rating stress is 2.25%.
Structural Analysis: The mortgage cash flow and loss allocation in
RATE 2026-J1 are based on a senior-subordinate, shifting-interest
structure, whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years. The transaction incorporates a
structural feature for loans more than 120 days delinquent (a
stop-advance loan). Unpaid interest on stop-advance loans reduces
the amount of interest that is contractually due to bondholders in
reverse-sequential order. This feature can result in interest
reductions to rated bonds in high-stress delinquency scenarios.
Fitch analyzes the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios The CE for all ratings were sufficient for the given
rating levels. The CE for a given rating exceeded the expected
losses of that rating stress to address the structures recoupment
of advances and leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction by loan count.
Fitch applies a 5-bp z-score reduction for loans fully reviewed by
a third-party review (TPR) firm, which have a final grade of either
"A" or "B."
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material impact on
the performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entity. Fitch expects RATE 2026-J1 to be fully
de-linked and a bankruptcy remote special purpose vehicle. All
transaction parties and triggers align with Fitch's expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to RATE 2026-J1, and, therefore, Fitch is comfortable assigning the
highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 37.8% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those assigned 'AAAsf' ratings.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Consolidated Analytics. The third-party due diligence
described in Form 15E focused on credit, compliance, and property
valuation review. Fitch considered this information in its analysis
and, as a result, Fitch made the following adjustment to its
analysis: a 5% credit at the loan level for each loan where
satisfactory due diligence was completed.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
RATE MORTGAGE 2026-J1: DBRS Finalizes B(low) Rating on B-5 Notes
----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized the following provisional
credit ratings on the Mortgage-Backed Notes, Series 2026-J1 (the
Notes) to be issued by RATE Mortgage Trust 2026-J1 (RATE 2026-J1,
or the Trust) as follows:
-- $153.0 million Class A-1 at AAA (sf)
-- $153.0 million Class A-2 at AAA (sf)
-- $153.0 million Class A-3 at AAA (sf)
-- $114.8 million Class A-4 at AAA (sf)
-- $114.8 million Class A-5 at AAA (sf)
-- $114.8 million Class A-6 at AAA (sf)
-- $91.8 million Class A-7 at AAA (sf)
-- $91.8 million Class A-8 at AAA (sf)
-- $91.8 million Class A-9 at AAA (sf)
-- $23.0 million Class A-10 at AAA (sf)
-- $23.0 million Class A-11 at AAA (sf)
-- $23.0 million Class A-12 at AAA (sf)
-- $61.2 million Class A-13 at AAA (sf)
-- $61.2 million Class A-14 at AAA (sf)
-- $61.2 million Class A-15 at AAA (sf)
-- $38.3 million Class A-16 at AAA (sf)
-- $38.3 million Class A-17 at AAA (sf)
-- $38.3 million Class A-18 at AAA (sf)
-- $40.3 million Class A-19 at AAA (sf)
-- $40.3 million Class A-20 at AAA (sf)
-- $40.3 million Class A-21 at AAA (sf)
-- $193.4 million Class A-22 at AAA (sf)
-- $193.4 million Class A-23 at AAA (sf)
-- $193.4 million Class A-24 at AAA (sf)
-- $193.4 million Class A-25 at AAA (sf)
-- $40.3 million Class A-26 at AAA (sf)
-- $153.0 million Class A-27 at AAA (sf)
-- $153.0 million Class A-29 at AAA (sf)
-- $153.0 million Class A-30 at AAA (sf)
-- $346.4 million Class A-X-1 at AAA (sf)
-- $153.0 million Class A-X-2 at AAA (sf)
-- $153.0 million Class A-X-3 at AAA (sf)
-- $153.0 million Class A-X-4 at AAA (sf)
-- $114.8 million Class A-X-5 at AAA (sf)
-- $114.8 million Class A-X-6 at AAA (sf)
-- $114.8 million Class A-X-7 at AAA (sf)
-- $91.8 million Class A-X-8 at AAA (sf)
-- $91.8 million Class A-X-9 at AAA (sf)
-- $91.8 million Class A-X-10 at AAA (sf)
-- $23.0 million Class A-X-11 at AAA (sf)
-- $23.0 million Class A-X-12 at AAA (sf)
-- $23.0 million Class A-X-13 at AAA (sf)
-- $61.2 million Class A-X-14 at AAA (sf)
-- $61.2 million Class A-X-15 at AAA (sf)
-- $61.2 million Class A-X-16 at AAA (sf)
-- $38.3 million Class A-X-17 at AAA (sf)
-- $38.3 million Class A-X-18 at AAA (sf)
-- $38.3 million Class A-X-19 at AAA (sf)
-- $40.3 million Class A-X-20 at AAA (sf)
-- $40.3 million Class A-X-21 at AAA (sf)
-- $40.3 million Class A-X-22 at AAA (sf)
-- $193.4 million Class A-X-23 at AAA (sf)
-- $193.4 million Class A-X-24 at AAA (sf)
-- $193.4 million Class A-X-25 at AAA (sf)
-- $346.4 million Class A-X-26 at AAA (sf)
-- $153.0 million Class A-X-27 at AAA (sf)
-- $40.3 million Class A-X-28 at AAA (sf)
-- $153.0 million Class A-X-29 at AAA (sf)
-- $153.0 million Class A-X-30 at AAA (sf)
-- $5.8 million Class B-1 at AA (low) (sf)
-- $5.8 million Class B-1A at AA (low) (sf)
-- $5.8 million Class B-X-1 at AA (low) (sf)
-- $3.1 million Class B-2 at A (low) (sf)
-- $3.1 million Class B-2A at A (low) (sf)
-- $3.1 million Class B-X-2 at A (low) (sf)
-- $2.2 million Class B-3 at BBB (low) (sf)
-- $1.3 million Class B-4 at BB (low) (sf)
-- $721.0 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-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8,
A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16,
A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24,
A-X-25, A-X-26, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2
are interest-only (IO) notes. The class balances represent notional
amounts.
Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14,
A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-26, A-29,
A-30, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11,
A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25,
A-X-26, A-X-29, A-X-30, B-1, and B-2 are exchangeable classes.
These classes can be exchanged for combinations of initial
exchangeable notes as specified in the offering documents.
Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11,
A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, and A-30 are
super senior tranches. These classes benefit from additional
protection from the senior support notes (Classes A-19, A-20, A-21,
and A-26) with respect to loss allocation.
The AAA (sf) credit ratings on the Certificates reflect 3.80% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 2.20%, 1.35%, 0.75%, 0.40%, and
0.20% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The Trust is a securitization of a portfolio of first-lien,
fixed-rate prime residential mortgages to be funded by the issuance
of the Notes. The Notes are backed by 293 loans with a total
principal balance of $360,103,245 as of the Cut-Off Date (March 1,
2026).
Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor,
began issuing prime jumbo securitizations from its RATE shelf in
early 2021 and this transaction represents the thirteenth prime
jumbo RATE deal. The pool consists of fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of 30 years and a
weighted-average (WA) loan age of two months.
All of the mortgage loans were originated by Guaranteed Rate.
Guaranteed Rate is also the Servicing Administrator and Sponsor of
the transaction. The loans will be serviced by ServiceMac, LLC
(ServiceMac). Computershare Trust Company, N.A. (Computershare
Trust Company; rated BBB (high) with a Stable trend by Morningstar
DBRS) will act as the Master Servicer, Loan Agent, Paying Agent,
Note Registrar, and Certificate Registrar. Deutsche Bank National
Trust Company will act as the Custodian. Wilmington Savings Fund
Society, FSB will serve as Trustee.
In an arrangement similar to those of the prior RATE
securitizations, the Servicing Administrator will fund advances of
delinquent principal and interest (P&I) on any mortgage until such
loan becomes 120 days delinquent or such P&I advances are deemed
unrecoverable by the Servicer or the Master Servicer (Stop-Advance
Loan). The Servicing Administrator will also fund advances in
respect of taxes, insurance premiums, and reasonable costs incurred
in the course of servicing and disposing properties.
The interest entitlements for each class in this transaction are
reduced reverse sequentially by the delinquent interest that would
have accrued on the Stop-Advance Loans. In other words, investors
are not entitled to any interest on such severely delinquent
mortgages, unless such interest amounts are recovered. The
delinquent interest recovery amounts, if any, will be distributed
sequentially to the P&I notes.
The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 to 120 days delinquent
under the Mortgage Bankers Association method at a price equal to
par plus interest and unreimbursed servicing advance amounts,
provided that such repurchases in aggregate do not exceed 10% of
the total principal balance as of the Cut-Off Date.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that is enhanced from a pre-crisis structure.
The provisional credit ratings reflect transactional strength that
include the following:
-- High-quality credit attributes;
-- Well-qualified borrowers;
-- Satisfactory third-party due diligence review;
-- Structural enhancements; and
-- 100% current loans.
The transaction also includes the following challenges:
-- Representations and warranties framework;
-- Limited advances of delinquent P&I; and
-- Servicing administrator's financial capabilities.
Morningstar DBRS' credit ratings on the Certificates and Loans
address the credit risk associated with the identified financial
obligations in accordance with the relevant transaction documents.
The associated financial obligations are the Interest Payment
Amount, any Interest Shortfall, and the Debt Amount (for non IO
classes).
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt credit rating
scale provides an opinion on the risk that an issuer will not meet
its short-term financial obligations in a timely manner.
Notes:
All figures are in U.S. dollars unless otherwise noted.
RIN XIII LLC: Moody's Assigns Ba3 Rating to $9MM Class E Notes
--------------------------------------------------------------
Moody's Ratings has assigned ratings to six classes of notes issued
by RIN XIII LLC (the Issuer or RIN XIII):
US$288,000,000 Class A-1 Floating Rate Senior Notes due 2039,
Definitive Rating Assigned Aaa (sf)
US$9,000,000 Class A-2 Floating Rate Senior Notes due 2039,
Definitive Rating Assigned Aaa (sf)
US$45,000,000 Class B Floating Rate Senior Notes due 2039,
Definitive Rating Assigned Aa1 (sf)
US$27,000,000 Class C Deferrable Floating Rate Mezzanine Notes due
2039, Definitive Rating Assigned A2 (sf)
US$27,000,000 Class D Deferrable Floating Rate Mezzanine Notesdue
2039, Definitive Rating Assigned Baa3 (sf)
US$9,000,000 Class E Deferrable Floating Rate Mezzanine Notes due
2039, Definitive Rating Assigned Ba3 (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.
RIN XIII LLC is a managed cash flow Project Finance CLO (PF CLO).
The issued notes will be collateralized primarily by broadly
syndicated senior secured project finance and corporate
infrastructure loans. At least 50.0% of the portfolio must consist
of project finance infrastructure loans and eligible investments.
The PF CLO permits up to 35% of the portfolio to be in project
finance loans in the electricity (gas) contracted or merchant
sectors. At least 96.0% of the portfolio must consist of first lien
senior secured loans and up to 4.0% of the portfolio may consist of
permitted debt securities and second lien loans. The portfolio is
approximately 89% ramped as of the closing date.
RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA
(the "Portfolio Advisor") 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, the
Portfolio Advisor is not permitted to purchase additional assets,
and unscheduled principal payments and proceeds from the sale of
assets will be used to amortized the Rated Notes in sequential
order.
In addition to the Rated Notes, the Issuer issued 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 ratings of the Rated Notes also took into account the
concentrated nature of the portfolio. The PF CLO's indenture allows
for a portfolio that is highly concentrated by sector and
individual asset size. Up to 35% of the portfolio's assets may be
in the electricity (gas) contracted or merchant sectors. The five
largest sub-sectors could constitute up to 61% of the portfolio,
with the largest sub-sector potentially being up to 45% of the
portfolio. Additionally, the portfolio may have minimum of 50
obligors with the largest obligor potentially comprising up to
3.50% of the portfolio. Credit deterioration in a single sector or
in a few obligors could have an outsized negative impact on the PF
CLO portfolio's overall credit quality. Moody's analysis considered
the potential for a concentrated portfolio.
Moody's modeled the transaction applying the Monte Carlo simulation
framework in Moody's CDOROM(TM), as described in the "Project
Finance and Infrastructure Asset CLOs" rating methodology published
in July 2024 and using a cash flow model based on the Binomial
Expansion Technique, as described in the "Collateralized Loan
Obligations" rating methodology published in October 2025.
Portfolio Par: $450,000,000
Weighted Average Rating Factor (WARF) of Project Finance Loans:
1800
Weighted Average Rating Factor (WARF) of Corporate Infrastructure
Loans: 3000
Weighted Average Spread (WAS): 2.78%
Weighted Average Coupon (WAC): 6.0%
Weighted Average Recovery Rate (WARR) of Project Finance Loans:
65.00%
Weighted Average Recovery Rate (WARR) of Corporate Infrastructure
Loans: 58.80%
Weighted Average Life (WAL): 8.0
Permitted Debt Securities and Second Lien Loans: 4.0%
Minimum Obligors: 50
Largest Obligor: 3.50%
Largest 5 Obligors: 61.00%
B2 Default Probability Rating Obligations: 17.00%
B3 Default Probability Rating Obligations: 10.00%
Project Finance Infrastructure Obligors: 50.00%
Corporate Power Infrastructure Obligors: 14.75%
Power Infrastructure Obligors: 44.75%
Long Dated Assets: 2.0%
Methodologies Underlying the Rating Action:
The methodologies used in these ratings were "Collateralized Loan
Obligations" published in October 2025.
Factors That Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
ROCKFORD TOWER 2017-3: Moody's Affirms Ba3 Rating on Class E Notes
------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following class of
notes issued by Rockford Tower CLO 2017-3, Ltd.:
US$32.5M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Aa2 (sf); previously on Sep 19, 2025 Upgraded to A2
(sf)
Moody's have also affirmed the ratings on the following notes:
US$320M (Current outstanding amount US$40,000) Class A Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep
19, 2025 Affirmed Aaa (sf)
US$55M Class B Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Sep 19, 2025 Affirmed Aaa (sf)
US$25M Class C Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Aaa (sf); previously on Sep 19, 2025 Upgraded to Aaa (sf)
US$27.5M Class E Junior Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Sep 19, 2025 Affirmed Ba3 (sf)
Rockford Tower CLO 2017-3, Ltd., issued in December 2017, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured and mezzanine US loans. The
portfolio is managed by Rockford Tower Capital Management, L.L.C.
The transaction's reinvestment period ended in January 2023.
RATINGS RATIONALE
The rating upgrade on the Class D notes is primarily a result of
the ongoing deleveraging of the Class A notes following
amortisation of the underlying portfolio since the last rating
action in September 2025.
The affirmations on the ratings on the Class A, B, C and E notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A notes have paid down by approximately USD100.94m (31.5%
of its original balance) in the last 12 months, thereof USD65.74m
(20.5% of its original balance) since the last rating action in
September 2025, and USD319.96mn (99.99%) since closing. As a result
of the deleveraging, over-collateralisation (OC) has increased
across capital structure, except for Class E notes. According to
the trustee report dated February 2026[1] the Class A/B, Class C
and Class D OC ratios are reported at 264.79%, 182.08% and 129.50%
compared to August 2025[2] reported levels of 178.96%, 148.27% and
121.24%, respectively. At the same time the Class E OC ratio
deteriorated to 104.07% as per February 2026[1] report from 105.04%
as per August 2025[2] report.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD154,179,774
Defaulted Securities: USD4,404,832
Diversity Score: 39
Weighted Average Rating Factor (WARF): 3544
Weighted Average Life (WAL): 2.72 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.16%
Weighted Average Coupon (WAC): 10%
Weighted Average Recovery Rate (WARR): 45.74%
Par haircut in OC tests and interest diversion test: 6.69%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
-- Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes that, at transaction maturity, the
liquidation value of such an asset will depend on the nature of the
asset as well as the extent to which the asset's maturity lags that
of the liabilities. Liquidation values higher than Moody's
expectations would have a positive impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
SAIF SECURITIZATION 2026-CES1: DBRS Gives (P)B(low) on B-2 Debt
---------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the Asset-Backed Securities, Series 2026-CES1 (the Notes) to be
issued by SAIF Securitization Trust 2026-CES1 (SAIF 2026-CES1 or
the Issuer) as follows:
-- $185.9 million Class A-1A at (P) AAA (sf)
-- $13.1 million Class A-1B at (P) AAA (sf)
-- $199.1 million Class A-1 at (P) AAA (sf)
-- $12.9 million Class A-2 at (P) AA (low) (sf)
-- $10.5 million Class A-3 at (P) A (low) (sf)
-- $9.5 million Class M-1 at (P) BBB (low) (sf)
-- $7.2 million Class B-1 at (P) BB (low) (sf)
-- $5.0 million Class B-2 at (P) B (low) (sf)
The (P) AAA (sf) credit rating reflects 19.70% of credit
enhancement provided by the 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 14.50%, 10.25%, 6.40%,
3.50%, and 1.50% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
SAIF 2026-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 Notes. The Notes are backed by 3,454
mortgage loans with a total principal balance of $247,886,898 as of
the Cut-Off Date (February 28, 2026).
SAIF 2026-CES1 represents the third CES securitization by SAGE
Residential AIF I, LLC. Carrington Mortgage Loans, LLC is the top
originator and servicer for 63.3.% of the mortgage pool, followed
by PHH Mortgage Corporation for 33.0% and Planet Home Lending, LLC
for 3.7%.
Wilmington Savings Fund Society, FSB will act as the Indenture
Trustee, Delaware Trustee, Paying Agent, Note Registrar,
Certificate Registrar, and Custodian. SAIF III Master Servicing,
LLC will act as the Securities Servicing Administrator.
The portfolio, on average, is four months seasoned though seasoning
ranges from one months to 18 months. Borrowers in the pool
represent prime and near-prime credit quality -- with a
weighted-average Morningstar DBRS-calculated current FICO score of
726, Issuer-provided original combined loan-to-value ratio of
68.7%, and the vast majority of the loans originated with full
documentation standards. Nearly all the loans in the pool (99.2%)
are current and 97.8% of them have never been delinquent since
origination.
Based on Issuer-provided information, the loans in the pool are all
subject to the Consumer Financial Protection Bureau's
Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules as they are
made to investors for business purposes. The loans subject to the
ATR rules are designated as QM Safe Harbor (9.4%), QM Rebuttable
Presumption (14.3%), and Non-QM (76.2%) by unpaid principal balance
(UPB).
There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicers 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 is 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 UPB will be
considered a realized loss and will be allocated reverse
sequentially to the Noteholders. If there are any subsequent
recoveries for such Charged-Off Loans, the recoveries will be
included in the interest remittance amount and principal remittance
amount and applied in accordance with the respective distribution
waterfall. In addition, the principal balance of any class of Notes
previously reduced by the allocation of such realized losses may be
increased by such recoveries sequentially in order of seniority.
Morningstar DBRS' analysis assumed reduced recoveries upon default
of loans in this pool.
On or after the earlier of (1) the three-year anniversary of the
Closing Date or (2) the date when the UPB of the mortgage loans is
reduced to 30% of the Cut-Off Date balance, the Controlling Holder
(an affiliate of the Sponsor) may redeem all of the outstanding
Notes (Optional Redemption) at a price equal to (A) the class
balances of the related Notes; (B) accrued and unpaid interest
(including any cap carryover amounts); and (C) unpaid expenses. The
proceeds will be distributed to the Noteholders in accordance with
the priority of payments.
The Controlling Holder, at its option, may purchase any mortgage
loan that is 90 days or more delinquent under the MBA method at the
repurchase price (Optional Purchase) described in the transaction
documents. The total balance of such loans purchased by the
Depositor will not exceed 10% of the Cut-Off Date balance.
This transaction incorporates a sequential-pay cash flow structure;
however, the Class A-1A and A-1B Notes are paid pro rata. Principal
proceeds can be used to cover interest shortfalls after the more
senior tranches are paid in full (IPIP). For this transaction, the
Class A-1A, A-1B, A-2, A-3, and M-1 fixed interest rates step up by
100 basis points on and after the payment date in April 2030.
The credit ratings reflect transactional strengths that include the
following:
-- Robust equity, documentation standards, and near-prime credit
quality
-- Certain second-lien attributes
-- Satisfactory third-party due diligence review
-- Current loan status
-- Improved underwriting standards
The transaction also includes the following challenges:
-- Financially leveraged borrowers
-- Representations and warranties framework
-- No servicer advances of delinquent principal or interest
-- Limited third-party diligence valuation review
Morningstar DBRS' credit ratings on the Notes address the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for each of the rated Notes are the related
Interest Payment Amount, Interest Carryforward Amount, and Class
Principal Amount. The associated financial obligations are listed
at the end of this Press Release.
Morningstar DBRS' credit ratings on the Class A-1A, A-1B, A-2, A-3,
and M-1 Notes also address the credit risk associated with the
increased rate of interest applicable if the Class A-1A, A-1B, A-2,
A-3, and M-1 Notes remain outstanding on or after the distribution
date in April 2030 in accordance with the applicable transaction
document(s).
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, in this transaction, Morningstar DBRS'
credit ratings do not address the payment of any Cap Carryover
Amount based on its position in the cash flow waterfall.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
SAIF SECURITIZATION 2026-CES1:S&P Assigns 'B-' Rating on B-2 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to SAIF Securitization
Trust 2026-CES1's mortgage-backed notes.
The note issuance is an RMBS securitization backed by closed-end,
second-lien, fixed-rate, fully amortizing residential mortgage
loans to both prime and nonprime borrowers. The loans are secured
by single-family residential properties, planned-unit developments,
condominiums, and manufactured-housing residential properties. The
pool has 3,454 loans comprising qualified mortgage
(QM)/non-higher-priced mortgage loan (safe harbor),
non-QM/compliant and QM rebuttable presumption loans.
After S&P assigned preliminary ratings on March 19, 2026, the class
A-1B note amount decreased to $13,014,000 from $13,138,000 and the
corresponding class A-1 note amount decreased to $198,929,000 from
$199,053,000. The class B-3 note amount increased to $3,842,897
from $3,718,897. Credit enhancement increased by five basis points
for the class A-1B, A-1, A-2, A-3, M-1, B-1, and B-2 notes. After
analyzing the final coupons and the updated structure, its ratings
remain unchanged from the preliminary ratings.
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator and originators; and
-- S&P said, "Our U.S. economic outlook, which considers our
current projections for U.S. economic growth, unemployment rates,
and interest rates, as well as our view of housing fundamentals.
Our outlook is updated, if necessary, when these projections change
materially."
Ratings Assigned(i)
SAIF Securitization Trust 2026-CES1
Class A-1A, $185,915,000: AAA (sf)
Class A-1B, $13,014,000: AAA (sf)
Class A-1, $198,929,000: AAA (sf)
Class A-2, $12,890,000: AA- (sf)
Class A-3, $10,535,000: A- (sf)
Class M-1, $9,544,000: BBB- (sf)
Class B-1, $7,188,000: BB- (sf)
Class B-2, $4,958,000: B- (sf)
Class B-3, $3,842,897: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(iii): NR
Class R, N/A(iv): NR
(i)The ratings address the ultimate payment of interest and
principal; they do not address payment of the cap carryover
amounts.
(ii)On any payment date, the class A-IO-S notes will have a
notional amount equal to the aggregate unpaid principal balance of
the mortgage loans as of the first day of the related due period.
The class A-IO-S will not be entitled to payments of principal.
(iii)The notional amount equals the aggregate unpaid principal
balance of the mortgage loans as of the first day of the related
due period.
(iv)The class R notes did not have a class principal amount and are
the class of notes representing the residual interest in the
issuer. The class R notes did not receive payments.
N/A--Not applicable.
NR--Not rated.
SEQUOIA MORTGAGE 2026-4: Fitch Assigns Bsf Rating on Class B5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2026-4 (SEMT 2026-4).
Entity/Debt Rating Prior
----------- ------ -----
SEMT 2026-4
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A7A LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A16A LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A19 LT AAAsf New Rating AAA(EXP)sf
A20 LT AAAsf New Rating AAA(EXP)sf
A21 LT AAAsf New Rating AAA(EXP)sf
A22 LT AAAsf New Rating AAA(EXP)sf
A23 LT AAAsf New Rating AAA(EXP)sf
A24 LT AAAsf New Rating AAA(EXP)sf
A25 LT AAAsf New Rating AAA(EXP)sf
A26F LT WDsf Withdrawn AAA(EXP)sf
A27 LT WDsf Withdrawn AAA(EXP)sf
A28 LT AAAsf New Rating AAA(EXP)sf
A29 LT WDsf Withdrawn AAA(EXP)sf
ACH4 LT AAAsf New Rating AAA(EXP)sf
A31 LT AAAsf New Rating AAA(EXP)sf
A32 LT AAAsf New Rating AAA(EXP)sf
ACH67 LT AAAsf New Rating AAA(EXP)sf
A33 LT AAAsf New Rating AAA(EXP)sf
A34 LT AAAsf New Rating AAA(EXP)sf
A35 LT AAAsf New Rating AAA(EXP)sf
A36 LT AAAsf New Rating AAA(EXP)sf
A37 LT AAAsf New Rating AAA(EXP)sf
A38 LT AAAsf New Rating AAA(EXP)sf
A39 LT AAAsf New Rating AAA(EXP)sf
A40 LT AAAsf New Rating AAA(EXP)sf
A41 LT AAAsf New Rating AAA(EXP)sf
A42 LT AAAsf New Rating AAA(EXP)sf
A43 LT AAAsf New Rating AAA(EXP)sf
A44 LT WDsf Withdrawn AAA(EXP)sf
A45 LT WDsf Withdrawn AAA(EXP)sf
A46 LT WDsf Withdrawn AAA(EXP)sf
AIO1 LT AAAsf New Rating AAA(EXP)sf
AIO2 LT AAAsf New Rating AAA(EXP)sf
AIO3 LT AAAsf New Rating AAA(EXP)sf
AIO4 LT AAAsf New Rating AAA(EXP)sf
AIO5 LT AAAsf New Rating AAA(EXP)sf
AIO6 LT AAAsf New Rating AAA(EXP)sf
AIO7 LT AAAsf New Rating AAA(EXP)sf
AIO8 LT AAAsf New Rating AAA(EXP)sf
AIO9 LT AAAsf New Rating AAA(EXP)sf
AIO10 LT AAAsf New Rating AAA(EXP)sf
AIO11 LT AAAsf New Rating AAA(EXP)sf
AIO12 LT AAAsf New Rating AAA(EXP)sf
AIO13 LT AAAsf New Rating AAA(EXP)sf
AIO14 LT AAAsf New Rating AAA(EXP)sf
AIO15 LT AAAsf New Rating AAA(EXP)sf
AIO16 LT AAAsf New Rating AAA(EXP)sf
AIO17 LT AAAsf New Rating AAA(EXP)sf
AIO18 LT AAAsf New Rating AAA(EXP)sf
AIO19 LT AAAsf New Rating AAA(EXP)sf
AIO20 LT AAAsf New Rating AAA(EXP)sf
AIO21 LT AAAsf New Rating AA(EXP)sf
AIO22 LT AAAsf New Rating AAA(EXP)sf
AIO23 LT AAAsf New Rating AAA(EXP)sf
AIO24 LT AAAsf New Rating AAA(EXP)sf
AIO25 LT AAAsf New Rating AAA(EXP)sf
AIO26 LT AAAsf New Rating AAA(EXP)sf
AIO27 LT WDsf Withdrawn AAA(EXP)sf
AIO27F LT WDsf Withdrawn AAA(EXP)sf
AIO28 LT AAAsf New Rating AAA(EXP)sf
AIO29 LT AAAsf New Rating AAA(EXP)sf
AIO30 LT AAAsf New Rating AAA(EXP)sf
AIO36 LT AAAsf New Rating AAA(EXP)sf
AIO37 LT AAAsf New Rating AAA(EXP)sf
AIO38 LT AAAsf New Rating AAA(EXP)sf
AIO39 LT AAAsf New Rating AAA(EXP)sf
AIO40 LT AAAsf New Rating AAA(EXP)sf
AIO41 LT AAAsf New Rating AAA(EXP)sf
AIO42 LT AAAsf New Rating AAA(EXP)sf
AIO43 LT AAAsf New Rating AAA(EXP)sf
AIO44 LT AAAsf New Rating AAA(EXP)sf
AIO45 LT WDsf Withdrawn AAA(EXP)sf
AIO46 LT WDsf Withdrawn AAA(EXP)sf
AIO47 LT WDsf Withdrawn AAA(EXP)sf
AIO67 LT AAAsf New Rating AAA(EXP)sf
B1 LT AAsf New Rating AA(EXP)sf
B1A LT AAsf New Rating AA(EXP)sf
B1X LT AAsf New Rating AA(EXP)sf
B2 LT Asf New Rating A(EXP)sf
B2A LT Asf New Rating A(EXP)sf
B2X LT Asf New Rating A(EXP)sf
B3 LT BBBsf New Rating BBB(EXP)sf
B4 LT BBsf New Rating BB(EXP)sf
B5 LT Bsf New Rating B(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
LTR LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
COLLAT LT NRsf New Rating NR(EXP)sf
Transaction Summary
The certificates are supported by 598 loans with a total balance of
approximately $742.07 million as of the cutoff date. The pool
consists of prime jumbo fixed-rate mortgages acquired by Redwood
Residential Acquisition Corp. (RRAC) from Rocket Mortgage and
various mortgage originators. Distributions of principal and
interest (P&I) and loss allocations are based on a
senior-subordinate, shifting-interest structure with full
advancing.
The borrowers in the pool exhibit a strong credit profile, with a
weighted-average (WA) Fitch FICO of 776 and 34.7% debt-to-income
(DTI) ratio. The borrowers also have moderate leverage, with a
69.8% mark-to-market combined LTV (cLTV). Overall, 94.3% of the
pool loans are for primary residences, while the remainder are
second homes. In addition, 100% of the loans were underwritten to
full documentation.
Following the publication of the presale and expected ratings, the
issuer provided final documentation and structure that reflected
the withdrawal of the following classes: A26F, A27, A29, A44, A45,
A46, AIO27, AIO27F, AIO45, AIO46, and AIO47.
There were no changes to the credit enhancement (CE) levels or
expected ratings of the remaining classes.
The A26F, A27, A29, A44, A45, A46, AIO27, AIO27F, AIO45, AIO46, and
AIO47 classes are no longer being issued and were cancelled by the
issuer. Fitch has withdrawn the 'AAA(EXP)sf'/Stable expected
ratings for the notes.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. SEMT 2026-4 had a final probability of default (PD) of
9.28% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress was 33.57%. The expected loss in the
'AAAsf' rating stress was 3.11%
Structural Analysis: The mortgage cash flow and loss allocation in
SEMT 2026-4 were based on a senior-subordinate, shifting-interest
structure whereby the subordinate classes receive only scheduled
principal and are locked out from receiving unscheduled principal
or prepayments for five years.
Fitch analyzed the capital structure to determine the adequacy of
the transaction's CE to support payments on the securities under
multiple scenarios incorporating Fitch's loss projections derived
from the asset analysis. Fitch applied its assumptions for
defaults, prepayments, delinquencies and interest rate scenarios.
The CE for all ratings was sufficient for the given rating levels.
The CE for a given rating exceeded the expected losses of that
rating stress to address the structures recoupment of advances and
leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considered originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that had a direct impact on Fitch's loss
expectations was due diligence. Third-party due diligence was
performed on 98.5% of the loans in the transaction by loan count.
Fitch applied a 5bp z-score reduction for loans fully reviewed by a
third-party review (TPR) firm, which have a final grade of either
"A" or "B".
Counterparty and Legal Analysis: Fitch expected all relevant
transaction parties to conform with the requirements described in
its Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material outcome on the
performance of the transaction. Additionally, all legal
requirements were satisfied to fully de-link the transaction from
any other entities. SEMT 2026-4 was fully de-linked and a
bankruptcy remote SPV. All transaction parties and triggers aligned
with Fitch expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations did not
apply to SEMT 2026-4 and therefore Fitch was comfortable rating to
the highest possible rating at 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 37.7% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs compared to the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class, excluding those assigned ratings of 'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, and Consolidated Analytics. The
third-party due diligence described in Form 15E focused on credit,
compliance, and property valuation. Fitch considered this
information in its analysis and, as a result, Fitch applies an
approximate 5-bp z-score reduction for loans fully reviewed by the
TPR firm and that have a final grade of either "A" or "B."
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
SEQUOIA MORTGAGE 2026-INV2: Fitch Assigns 'Bsf' Rating on B5 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2026-INV2 (SEMT 2026-INV2).
Entity/Debt Rating Prior
----------- ------ -----
SEMT 2026-INV2
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A19 LT AA+sf New Rating AA+(EXP)sf
A20 LT AA+sf New Rating AA+(EXP)sf
A21 LT AA+sf New Rating AA+(EXP)sf
A22 LT AA+sf New Rating AA+(EXP)sf
A23 LT AA+sf New Rating AA+(EXP)sf
A24 LT AA+sf New Rating AA+(EXP)sf
A25 LT AA+sf New Rating AA+(EXP)sf
A26F LT AAAsf New Rating AAA(EXP)sf
ACH4 LT AAAsf New Rating AAA(EXP)sf
A31 LT AAAsf New Rating AAA(EXP)sf
ACH67 LT AAAsf New Rating AAA(EXP)sf
A32 LT AAAsf New Rating AAA(EXP)sf
A33 LT AAAsf New Rating AAA(EXP)sf
A34 LT AAAsf New Rating AAA(EXP)sf
AIO1 LT AA+sf New Rating AA+(EXP)sf
AIO2 LT AAAsf New Rating AAA(EXP)sf
AIO3 LT AAAsf New Rating AAA(EXP)sf
AIO4 LT AAAsf New Rating AAA(EXP)sf
AIO5 LT AAAsf New Rating AAA(EXP)sf
AIO6 LT AAAsf New Rating AAA(EXP)sf
AIO7 LT AAAsf New Rating AAA(EXP)sf
AIO8 LT AAAsf New Rating AAA(EXP)sf
AIO9 LT AAAsf New Rating AAA(EXP)sf
AIO10 LT AAAsf New Rating AAA(EXP)sf
AIO11 LT AAAsf New Rating AAA(EXP)sf
AIO12 LT AAAsf New Rating AAA(EXP)sf
AIO13 LT AAAsf New Rating AAA(EXP)sf
AIO14 LT AAAsf New Rating AAA(EXP)sf
AIO15 LT AAAsf New Rating AAA(EXP)sf
AIO16 LT AAAsf New Rating AAA(EXP)sf
AIO17 LT AAAsf New Rating AAA(EXP)sf
AIO18 LT AAAsf New Rating AAA(EXP)sf
AIO19 LT AAAsf New Rating AAA(EXP)sf
AIO20 LT AA+sf New Rating AA+(EXP)sf
AIO21 LT AA+sf New Rating AA+(EXP)sf
AIO22 LT AA+sf New Rating AA+(EXP)sf
AIO23 LT AA+sf New Rating AA+(EXP)sf
AIO24 LT AA+sf New Rating AA+(EXP)sf
AIO25 LT AA+sf New Rating AA+(EXP)sf
AIO26 LT AA+sf New Rating AA+(EXP)sf
AIO27F LT AAAsf New Rating AAA(EXP)sf
AIO29 LT AAAsf New Rating AAA(EXP)sf
AIO33 LT AAAsf New Rating AAA(EXP)sf
AIO67 LT AAAsf New Rating AAA(EXP)sf
B1 LT AAsf New Rating AA(EXP)sf
B1A LT AAsf New Rating AA(EXP)sf
B1X LT AAsf New Rating AA(EXP)sf
B2 LT Asf New Rating A(EXP)sf
B2A LT Asf New Rating A(EXP)sf
B2X LT Asf New Rating A(EXP)sf
B3 LT BBBsf New Rating BBB(EXP)sf
B4 LT BBsf New Rating BB(EXP)sf
B5 LT Bsf New Rating B(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
LTR LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
SEMT 2026-INV2 features entirely fixed-rate prime investor and
second-occupancy loans acquired by Redwood from Rocket Mortgage and
various other mortgage originators. The certificates are supported
by 1,118 loans with a total balance of approximately $438.42
million as of the cutoff date.
Distributions of principal and interest (P&I) and loss allocations
are based on a senior-subordinate, shifting-interest structure.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. SEMT 2026-INV2 had a final probability of default of 20.1%
in the 'AAAsf' rating stress. Fitch's final loss severity in the
'AAAsf' rating stress was 45.9%. The expected loss in the 'AAAsf'
rating stress was 9.2%.
Structural Analysis: The mortgage cash flow and loss allocation in
SEMT 2026-INV2 were based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years.
Fitch analyzed the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings was sufficient for the given
rating levels. The CE for a given rating exceeded the expected
losses of that rating stress to address the structure's recoupment
of advances and leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considered originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
framework to derive a potential operational risk adjustment. The
only consideration that had a direct impact on Fitch's loss
expectations was due diligence. Third-party due diligence was
performed on 100% of the loans in the transaction by loan count.
Fitch applies a 5-bp z-score reduction for loans fully reviewed by
a third-party review (TPR) firm, which had a final grade of either
A or B.
Counterparty and Legal Analysis: Fitch expected all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
were those whose failure to perform could have a material impact on
the performance of the transaction. In addition, all legal
requirements were satisfied to fully de-link the transaction from
any other entities. Fitch expected SEMT 2026-INV2 to be fully
de-linked and a bankruptcy-remote special-purpose vehicle. All
transaction parties and triggers aligned with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations did not
apply to SEMT 2026-INV2, and, therefore, Fitch was comfortable
assigning the highest possible rating of 'AAAsf' without any rating
caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 37.9% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs compared to the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class, excluding those assigned ratings of 'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Clayton, Opus, Digital Risk, and Consolidated
Analytics. The third-party due diligence described in Form 15E
focused on credit, compliance, and property valuation. Fitch
considered this information in its analysis and, as a result, Fitch
applies an approximate 5-bp z-score reduction for loans fully
reviewed by the TPR firm and have a final grade of either A or B.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
SEQUOIA MORTGAGE 2026-MED1: Fitch Assigns 'Bsf' Rating on B2 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2026-MED1 (SEMT 2026-MED1).
Entity/Debt Rating Prior
----------- ------ -----
SEMT 2026-MED1
A1 LT AAAsf New Rating AAA(EXP)sf
A1AF LT AAAsf New Rating AAA(EXP)sf
A1BF LT AAAsf New Rating AAA(EXP)sf
A1A LT AAAsf New Rating AAA(EXP)sf
A1B LT AAAsf New Rating AAA(EXP)sf
A1A1 LT AAAsf New Rating AAA(EXP)sf
A1B1 LT AAAsf New Rating AAA(EXP)sf
A1A2 LT AAAsf New Rating AAA(EXP)sf
A1B2 LT AAAsf New Rating AAA(EXP)sf
A1AX1 LT AAAsf New Rating AAA(EXP)sf
A1BX1 LT AAAsf New Rating AAA(EXP)sf
A1AX2 LT AAAsf New Rating AAA(EXP)sf
A1BX2 LT AAAsf New Rating AAA(EXP)sf
A1AX3 LT AAAsf New Rating AAA(EXP)sf
A1BX3 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAsf New Rating AA(EXP)sf
A2X LT AAsf New Rating AA(EXP)sf
M1 LT Asf New Rating A(EXP)sf
M1X LT Asf New Rating A(EXP)sf
M2 LT BBBsf New Rating BBB(EXP)sf
B1 LT BBsf New Rating BB(EXP)sf
B2 LT Bsf New Rating B(EXP)sf
B3 LT NRsf New Rating NR(EXP)sf
AIOS LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The certificates are supported by 607 loans with a total balance of
approximately $482.25 million as of the cutoff date. The pool
consists of primarily new-origination, adjustable-rate mortgage
loans backed by medical professionals and subsequently acquired by
Redwood Residential Acquisition Corp. (RRAC) from Huntington Bank
and various other originators.
All loans were originated to the Sequoia Medical Professionals
program or a substantially similar program and eligible borrowers
include those who have the following professional designations:
medical doctor (MD), doctor of osteopathy (DO), doctor of dental
medicine or science (DMD/DDS), doctor of pharmacy (PharmD), doctor
of veterinary medicine (MVM) or certified registered nurse
anesthetist (CRNA), along with medical residents and fellows who
are in enrolled in such programs and have an active employment
contract. Distributions of principal and interest (P&I) and loss
allocations are based on a sequential-pay structure.
The prime borrowers in the pool exhibited strong credit profiles,
with a weighted-average (WA) Fitch FICO of 768 and 37.2%
debt-to-income (DTI) ratio. The borrowers had a significant amount
of leverage, with a 93.1% mark-to-market combined LTV (cLTV).
Overall, 100% of the pool loans were for primary residences. In
addition, 100% of the loans were underwritten to full
documentation.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions are directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzes loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. SEMT 2026-MED1 had a final probability of default (PD) of
20.80% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress was 51.35%. The expected loss in the
'AAAsf' rating stress was 10.68%.
Structural Analysis: The mortgage cash flow and loss allocation are
based on a sequential-pay structure, whereby interest and principal
are paid pro rata amongst classes A-1A and A-1B (with classes
A-1AX1 and A-1BX1 receiving their respective interest allocation),
followed by classes A-2 to B-3 sequentially. Realized losses will
be allocated in reverse-sequential order, beginning with class B-3.
The A and M classes pay the NWAC minus a fixed amount, while
featuring IO classes that pay the fixed difference.
SEMT 2026-MED1 will feature the servicing administrator (RRAC),
following initial reductions in the class A-IO-S strip and
servicing administrator fees, obligated to advance delinquent P&I
to the trust until deemed nonrecoverable for the servicing released
mortgage loans. Full advancing of P&I is a common structural
feature across prime transactions in providing liquidity to the
certificates.
Due to the sequential structure and full advancing, the credit
enhancement (CE) levels were equivalent to Fitch's expected losses
at each rating category, except the 'AAAsf' notes, due to the
limited principal leakage as a result of the pro rata allocations
between the class A-1A and A-1B notes.
Fitch analyzed the capital structure to determine the adequacy of
the transaction's CE to support payments on the securities under
multiple scenarios incorporating Fitch's loss projections derived
from the asset analysis. Fitch applied its assumptions for
defaults, prepayments, delinquencies and interest rate scenarios.
The CE for all ratings were sufficient for the given rating levels.
The credit CE or a given rating exceeded the expected losses of
that rating stress to address the structures recoupment of advances
and leakage of principal to more subordinate classes.
Operational Risk Analysis: Fitch considered originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that had a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0 % of the loans in the transaction. Fitch applied
a 5-bps z-score reduction for loans fully reviewed by a third-party
review (TPR) firm, which have a final grade of either 'A' or 'B'.
Fitch may apply additional penalties to loans with unresolved
exceptions.
Counterparty and Legal Analysis: Fitch confirmed all relevant
transaction parties conform with the requirements described in its
"Global Structured Finance Rating Criteria." Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. In addition, all legal requirements
have been satisfied to fully de-link the transaction from any other
entities. SEMT 2026-MED1 was fully de-linked and a bankruptcy
remote special purpose vehicle (SPV). All transaction parties and
triggers align with Fitch's expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to SEMT 2026-MED1 and, therefore, Fitch was comfortable assigning
the highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the metropolitan statistical area level. Sensitivity
analysis was conducted at the state and national levels to assess
the effect of higher MVDs for the subject pool as well as lower
MVDs, illustrated by a gain in home prices.
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the
model-projected 38.0% at 'AAAsf'. The analysis indicates there is
some potential rating migration with higher MVDs compared to the
model projection. Specifically, a 10% additional decline in home
prices would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class, excluding those assigned ratings of 'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton. The third-party due diligence described in
Form 15E focused on credit, compliance, and property valuation.
Fitch considered this information in its analysis and, as a result,
Fitch applies an approximate 5-bp z-score reduction for loans fully
reviewed by the TPR firm and that have a final grade of either 'A'
or 'B'.
Three loans received a 5% loss severity add-on penalty due to
significantly understated finance charges on their closing
disclosures, and one loan received a 12-month foreclosure extension
due to missing certification of compliance in Illinois. None of the
C-graded loans received a credit in the analysis.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
SHACKLETON 2013-IV-R: Moody's Affirms B1 Rating on $18.3MM D Notes
------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Shackleton 2013-IV-R CLO, Ltd.:
US$27.75M Class C Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to A1 (sf); previously on Oct 7, 2025 Upgraded to
A3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$255M (Current outstanding amount US$790,072) Class A-1a Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct
7, 2025 Affirmed Aaa (sf)
US$15.7M (Current outstanding amount US$48,644) Class A-1b-R
Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on
Oct 7, 2025 Affirmed Aaa (sf)
US$32M Class A-2a Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Oct 7, 2025 Affirmed Aaa (sf)
US$11.75M Class A-2b-R Senior Secured Fixed Rate Notes, Affirmed
Aaa (sf); previously on Oct 7, 2025 Affirmed Aaa (sf)
US$3M Class A-2c-R Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Oct 7, 2025 Affirmed Aaa (sf)
US$21M Class B Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Aaa (sf); previously on Oct 7, 2025 Upgraded to Aaa (sf)
US$18.3M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed B1 (sf); previously on Oct 7, 2025 Affirmed B1 (sf)
US$8.4M Class E Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Caa3 (sf); previously on Oct 7, 2025 Downgraded to Caa3
(sf)
Shackleton 2013-IV-R CLO, Ltd., originally issued in April 2018 and
partially refinanced in October 2020, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The portfolio is managed
by Alcentra NY, LLC. The transaction's reinvestment period ended in
April 2023.
RATINGS RATIONALE
The rating upgrade on the Class C notes is primarily a result of
the deleveraging of the senior notes following amortisation of the
underlying portfolio since the last rating action in October 2025.
The affirmations on the ratings on the Class A-1a, Class A-1b-R,
Class A-2a, Class A-2b-R, Class A-2c-R, Class B, Class D and Class
E notes are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A-1a and A-1b-R notes have collectively paid down by
approximately USD49.0 million (18.1% of original balance) since the
last rating action in October 2025 and USD269.9 million (99.7%)
since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased for Class A, Class B and
Class C. According to the trustee report dated March 2026[1], the
OC ratios for Class A, Class B and Class C are reported at 247.46%,
171.70% and 122.24%, compared to September 2025[2] levels of
178.90%, 146.95% and 118.90%, respectively.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on v published methodology and
could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD123.5m
Defaulted Securities: USD5.3m
Diversity Score: 39
Weighted Average Rating Factor (WARF): 3859
Weighted Average Life (WAL): 2.6 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.05%
Weighted Average Recovery Rate (WARR): 47.4%
Par haircut in OC tests and interest diversion test: 6.51%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Moody's analysed
defaulted recoveries assuming the lower of the market price or the
recovery rate to account for potential volatility in market prices.
Recoveries higher than Moody's expectations would have a positive
impact on the notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
SIERRA TIMESHARE 2026-1: Fitch Assigns 'BBsf' Rating on Cl. D Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Outlooks to notes
issued by Sierra Timeshare 2026-1 Receivables Funding LLC (Sierra
2026-1).
The notes are backed by a pool of fixed-rate timeshare loans
originated by Wyndham Vacation Resorts, Inc. (WVRI) and the Wyndham
Resort Development Corporation (WRDC). Both entities are indirect,
wholly owned operating subsidiaries of Travel + Leisure Co. (T+L;
formerly Wyndham Destinations, Inc.). This is T+L's 54th public
Sierra transaction.
Entity/Debt Rating Prior
----------- ------ -----
Sierra Timeshare
2026-1 Receivables
Funding LLC
A LT AAAsf New Rating AAA(EXP)sf
B LT Asf New Rating A(EXP)sf
C LT BBBsf New Rating BBB(EXP)sf
D LT BBsf New Rating BB-(EXP)sf
KEY RATING DRIVERS
Borrower Risk - Consistent Credit Quality: Approximately 71.49% of
Sierra 2026-1 consists of WVRI-originated loans. The remainder of
the pool comprises WRDC loans. Fitch has determined that, on a
like-for-like FICO basis, WRDC's receivables perform better than
WVRI's. The weighted average (WA) original FICO score of the pool
is 741, which is marginally lower than the prior transaction. The
collateral pool has eight months of seasoning and comprises 60.52%
of upgraded loans.
Forward-Looking Approach on Rating Case CGD Proxy - Shifting CGDs:
Similar to other timeshare originators, T+L's delinquency and
default performance exhibited notable increases in the 2007-2008
vintages before stabilizing in 2009 and thereafter. However, the
2017 through 2024 vintages show increasing gross defaults, tracking
outside of peak levels experienced in 2008. This is partially
driven by an increased usage of paid product exits (PPEs).
The 2022-2024 transactions are generally demonstrating weakening
default trends relative to improved performance in 2020-2021
transactions, although trending around the worst-performing 2019
transactions. Fitch's rating case cumulative gross default (CGD)
proxy for the pool is 22.00%, up from 21.50% for 2025-3. Given the
current economic environment, default vintages reflecting more
recent vintage performance were used, specifically of the 2015-2021
vintages.
Structural Analysis - Shifting CE: The initial hard credit
enhancement (CE) for class A, B, C and D notes is 57.35%, 39.95%,
18.75% and 4.50%, respectively. CE is higher for classes A, B, and
C, and the same for class D, relative to 2025-3, mainly due to
differences in subordination. Hard CE comprises
overcollateralization, a reserve account and subordination. Soft CE
is also provided by excess spread and is 8.94% per annum. Default
coverage for all notes can support CGD multiples of 3.00x, 2.25x,
1.50x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf',
respectively.
Originator/Seller/Servicer Operational Review - Quality of
Origination/Servicing: Fitch considers T+L to have demonstrated
sufficient capabilities as an originator and servicer of timeshare
loans. This is shown by the historical delinquency and loss
performance of securitized trusts and the managed portfolio.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults could produce
CGD levels that are higher than the rating case and would likely
result in declines of CE and remaining default coverage levels
available to the notes. Unanticipated increases in prepayment
activity could also result in a decline in coverage. Decreased
default coverage may make certain note ratings susceptible to
potential negative rating actions depending on the extent of the
decline in coverage.
Therefore, Fitch conducts sensitivity analyses by stressing both a
transaction's initial rating case CGD and prepayment assumptions
and examining the rating implications on all classes of issued
notes. The CGD sensitivity stresses the rating case CGD proxy to
the level necessary to reduce each rating by one full category, to
non-investment grade (BBsf) and to 'CCCsf' based on the break-even
default coverage provided by the CE structure.
The CGD and prepayment sensitivities include 1.5x and 2.0x
increases to the prepayment assumptions, representing moderate and
severe stresses, respectively. These analyses are intended to
provide an indication of the rating sensitivity of the notes to
unexpected deterioration of a trust's performance.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If the CGD is 20% less than the projected
rating case CGD proxy, the expected ratings would be maintained for
class A notes at a stronger rating multiple. For class B, C and D
notes the multiples would increase, resulting in potential upgrades
of up to two rating categories for the subordinate classes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to 155 sample loans. Fitch
considered this information in its analysis and it did not have an
effect on its 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.
SOUND POINT V-R: Moody's Cuts Rating on $12MM Cl. F Notes to Caa3
-----------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by Sound Point CLO V-R, Ltd.:
US$30M Class C Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Aa1 (sf); previously on Sep 4, 2025 Upgraded to Aa2
(sf)
US$12M (Current outstanding balance US$15,057,447) Class F Junior
Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf);
previously on Sep 4, 2025 Affirmed Caa2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$390M (Current outstanding balance US$104,370,524) Class A
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Sep 4, 2025 Affirmed Aaa (sf)
US$66M Class B Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Sep 4, 2025 Upgraded to Aaa (sf)
US$40M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Baa3 (sf); previously on Sep 4, 2025 Affirmed Baa3 (sf)
US$26M Class E Junior Secured Deferrable Floating Rate Notes,
Affirmed B1 (sf); previously on Sep 4, 2025 Downgraded to B1 (sf)
Sound Point CLO V-R, Ltd., issued in July 2018, is a collateralised
loan obligation (CLO) backed by a portfolio of mostly high-yield
senior secured US loans. The portfolio is managed by Sound Point
Capital Management, LP. The transaction's reinvestment period ended
in July 2023.
RATINGS RATIONALE
The rating upgrade on the Class C notes is primarily a result of
the significant deleveraging of the Class A notes following
amortisation of the underlying portfolio since the last rating
action in September 2025. The downgrade to the rating on the Class
F notes is primarily a result of the deterioration in the credit
quality of the underlying collateral pool the last rating action in
September 2025.
The ratings affirmations on the Class A, B, D and E notes are
primarily a result of the expected losses on the notes remaining
consistent with their current rating levels, after taking into
account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The credit quality has deteriorated as reflected in the
deterioration in the average credit rating of the portfolio
(measured by the weighted average rating factor, or WARF) and an
increase in the proportion of securities from issuers with ratings
of Caa1 or lower. According to the trustee report dated March
2026[1], the WARF was 3890, compared with 3619 in the July 2025[2]
report, as of the last rating action. Securities with ratings of
Caa1 or lower currently make up approximately 23.4% of the
underlying portfolio, versus 19.9% in July 2025[2]. In addition,
the Class E OC ratio decreased to 99.84% from 101.58% in July
2025[2] and is currently failing. Moody's also notes that the Class
F deferred interest has increased to $3,057,447 from $2,132,223 in
July 2025[2].
The Class A notes have paid down by approximately USD69.4 million
(17.8%) since the last rating action in September 2025 and USD285.6
million (73.2%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased. According to the trustee
report dated March 2026[1] the Class A/B, Class C and Class D
ratios are reported at 156.09%, 132.72% and 110.63% compared to
July 2025[2] levels of 142.25%, 126.43% and 110.11%, respectively.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD283,878,345
Defaulted Securities: USD1,792,925
Diversity Score: 54
Weighted Average Rating Factor (WARF): 3621
Weighted Average Life (WAL): 3.13 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.24%
Weighted Average Recovery Rate (WARR): 45.8%
Par haircut in OC tests and interest diversion test: 7.06%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in October 2025.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, such as account bank, using the
methodology "Structured Finance Counterparty Risks" published in
May 2025. Moody's concluded the ratings of the notes are not
constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may changeThe collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
STARWOOD RETAIL 2014-STAR: DBRS Confirms Csf Rating on 5 Tranches
-----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all
classes of Commercial Mortgage Pass-Through Certificates, Series
2014-STAR issued by Starwood Retail Property Trust 2014-STAR as
follows:
-- Class A at C (sf)
-- Class B at C (sf)
-- Class C at C (sf)
-- Class D at C (sf)
-- Class E at C (sf)
All classes have credit ratings that do not typically carry trends
in commercial mortgage-backed securities (CMBS) ratings.
The credit rating confirmations reflect the stable liquidated loss
expectations for the remaining collateral regional malls, as based
on the total appraised value of $144.2 million for the two
remaining collateral malls as of September 2025. Based on that
figure, Morningstar DBRS expects that all classes, including the
$292.1 million Class A certificate, will take a loss upon final
resolution. Two of the original collateral properties, MacArthur
Center and Northlake Mall, were sold and liquidated from the trust
as of the August 2023 and March 2025 reporting dates, respectively.
As of the March 2026 reporting, the combined loss remained
contained to the first loss piece, Class F (no longer rated by
Morningstar DBRS), which has a remaining balance of $0.26 million.
All classes are being shorted interest and, as of the March 2026
reporting, interest shortfalls increased to $135.0 million from
$118.0 million at the time of Morningstar DBRS' last credit rating
action.
The underlying floating-rate loan had an original balance of $725.0
million and, as of the March 2026 reporting, had an outstanding
principal balance of $606.6 million with outstanding servicer
advances and other amounts, bringing the total trust exposure to
$821.0 million. The remaining portfolio includes one regional mall
and one lifestyle center. The Mall at Wellington Green is a 1.3
million-square-foot (sf) indoor regional mall in Palm Beach County,
Florida. The subject is anchored by City Furniture and
noncollateral Macy's, Dillard's, and JCPenney. At issuance,
Nordstrom was in place on a ground lease but closed in 2019. The
special servicer reported that the ground lease for that space was
terminated, and the trust acquired ownership of the parcel in early
2024. The Mall at Partridge Creek is a 626,000-sf lifestyle center
in Clinton Township, Michigan, about 30 miles north of downtown
Detroit. The property's only remaining anchor is MJR Digital
Cinemas, as Nordstrom and Carson's vacated in 2019 and 2018,
respectively. The special servicer reported that the ground lease
for the Nordstrom space at this property had also been terminated
and the trust acquired the parcel in late 2023.
The loan initially matured in 2017, with extension options
available that were subject to debt yield hurdle requirements;
however, those could not be met, and as a result the sponsor was
required to make a principal paydown of $25.0 million and monthly
principal payments of $0.8 million to satisfy a loan modification
to extend the maturity to 2019. With the paydown amounts, the loan
balance was ultimately reduced by approximately $44.0 million.
Despite the deleveraging, the borrower was still unable to repay at
the extended maturity given the sustained occupancy and cash flow
declines for the portfolio, and the loan was transferred to special
servicing. The initial resolution strategy considered another loan
modification, but, ultimately, the borrower agreed to an orderly
transition of the properties to a receiver that was to work toward
stabilizing the assets prior to disposition. The special servicer
reported an October 2025 occupancy rate hovering around 91.0% for
the Mall at Partridge Creek and around 89.0% for the Mall at
Wellington Green (not including the noncollateral Nordstrom spaces
for each).
As of the March 2026 remittance, the principal balance of the loan
totaled $606.6 million. According to the most recent reporting,
there is $5.7 million held in the cash management reserves that can
be used for capital expenditures, operating expenses, repaying
advances, and other property expenses and serves as additional cash
collateral.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes:
All figures are in U.S. dollars unless otherwise noted.
SWITCH ABS 2024-2: DBRS Confirms BB(low) Rating on Cl. C Debt
-------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the following classes of Secured Data Center Revenue
Term Notes, Series 2026-1 issued by Switch ABS Issuer, LLC (the
Master Trust):
-- Class A-2-I at AAA (sf)
-- Class A-2-II at AA (low) (sf)
-- Class A-2-III at A (low) (sf)
Additionally, DBRS, Inc. (Morningstar DBRS) confirmed its credit
ratings on the following classes of Secured Data Center Revenue
Term Notes, Series 2025-2 issued by Switch ABS Issuer, LLC (the
Master Trust):
-- Class A-2-I at AAA (sf)
-- Class A-2-II at AA (low) (sf)
-- Class A-2-III at A (low) (sf)
-- Class B at BBB (low) (sf)
Also, DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on
the following classes of Secured Data Center Revenue Term Notes,
Series 2025-1 issued by Switch ABS Issuer, LLC (the Master Trust):
-- Class A-2 at A (low) (sf)
-- Class B at BBB (low) (sf)
Also, DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on
the following classes of Secured Data Center Revenue Term Notes,
Series 2024-2 issued by Switch ABS Issuer, LLC (the Master Trust):
-- Class A-2 at A (low) (sf)
-- Class B at BBB (low) (sf)
-- Subordinated Class C at BB (low) (sf)
Also, DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on
the following classes of Secured Data Center Revenue Term Notes,
Series 2024-1 issued by Switch ABS Issuer, LLC (the Master Trust):
-- Class A-1-L at A (sf)
-- Class A-2 at A (low) (sf)
-- Class B at BBB (low) (sf)
All trends are Stable.
The Master Trust is a securitization collateralized by the
borrower's fee-simple and leasehold interest in 11 data center
properties (12 buildings) in four states: Georgia, Michigan,
Nevada, and Texas. Morningstar DBRS generally takes a positive view
on the credit profile of the overall transaction based on the
portfolio's favorable property quality, affordable power rates,
desirable efficiency metrics, and strong redundancy. Switch, Ltd.
(Switch) has a portfolio of more than 20 operating data center
properties in six different metropolitan areas, including the
subject collateral. The transaction is structured as a master trust
with the subject Series 2026-1 notes being the fifth issuance of
notes from the Master Trust. The inaugural Series 2024-1 notes were
securitized by four assets in Michigan, Nevada, and Texas. As part
of the second issuance, Series 2024-2, two additional assets in
Georgia and Nevada were contributed to the Master Trust. As part of
the third issuance, two assets in Las Vegas were contributed to the
Master Trust. As part of the fourth issuance, another two assets in
Las Vegas were contributed to the Master Trust. Additionally, as
part of the subject issuance, one asset in Reno, Nevada, will be
contributed to the Master Trust. The debt and collateral associated
with the first, second, third, and fourth issuances from the Master
Trust were considered during the analysis of the subject issuance.
Morningstar DBRS' credit ratings on the term notes reflect the
elevated leverage of the transaction, the strong and stable cash
flow performance, and a firm legal structure to protect
noteholders' interests. The credit ratings also reflect the quality
of service provided by the company, the access to key fiber nodes,
and technology that can maintain the data centers' relevance into
the future.
The data centers backing this financing are generally well built
and benefit from the large national network provided by Switch.
Switch is a leader in the technology sector with more than 950
patents and patents pending for design and operations, which
maintain its high standards and reliability. Switch also uses a
modular design that allows for infrastructure upgrades and
interchanging with minimal disruption. Finally, Switch has, over
the last two decades, developed a large purchasing co-operative for
its customers that allows for savings on both connectivity and
power, both of which represent key inputs for users.
Data centers, which have existed in various forms for many years,
have become a key component of the modern global technology
industry. The advent of cloud computing, streaming media, file
storage, and artificial intelligence applications has increased the
need for these facilities over the last decade in order to manage,
store, and transmit data globally. Both hyperscale and colocation
data centers have a role in the existing data ecosystem. Hyperscale
data centers are designed for large capacity storage and processing
of information, whereas colocation centers act as an on-ramp for
users to gain access to the wider network, or for information from
the network to be routed back to users. From the standpoint of the
physical plants, the data center assets are adequately powered,
with some assets in the portfolio exhibiting higher critical IT
loads than others. Morningstar DBRS views the data center assets as
solid, with a strong critical infrastructure, including power and
redundancy, that is built to accommodate current and future
technology needs.
Morningstar DBRS' credit ratings on the term notes address the
credit risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations are the related Principal Amounts and Accrued
Note Interest for the rated classes.
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, Post-ARD Additional Interest; Unpaid
Accrued Note Interest; and Prepayment Consideration.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Notes:
All figures are in U.S. dollars unless otherwise noted.
TABERNA PREFERRED IV: Moody's Ups Rating on Cl. A-1 Notes from Ba1
------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Taberna Preferred Funding IV, Ltd.:
US$313,350,000 Class A-1 First Priority Delayed Draw Senior Secured
Floating Rate Notes due 2036 (current balance $58,598,118),
Upgraded to Baa2 (sf); previously on June 3, 2025 Upgraded to Ba1
(sf)
Taberna Preferred Funding IV, Ltd., issued in December 2005, is a
collateralized debt obligation (CDO) backed by a portfolio of REIT
trust preferred securities (TruPS).
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
RATINGS RATIONALE
The rating actions is primarily a result of the ongoing
deleveraging of the Class A-1 notes, and the resulting increase in
the transaction's over-collateralization (OC) ratios.
The Class A-1 notes have paid down by approximately 32.9 % or $28.7
million since the last rating action in June 2025, using principal
proceeds from the redemption of the underlying assets and the
diversion of excess interest proceeds. Based on Moody's
calculations, the OC ratio for the Class A-1 notes has improved to
328.1%, from June 2025 level of 248.2%. The Class A-1 notes will
continue to benefit from the diversion of excess interest and the
use of proceeds from redemptions of any assets in the collateral
pool.
The action also reflects the consideration that an event of default
(EoD) is continuing for the transaction, and that as a remedy to
the EoD, 66 2/3% of each class, voting separately, can direct the
trustee to proceed with the sale and liquidation of the collateral.
The EoD occurred in August 2009 due to failure to pay interest on
the Class B notes. In September 2009, the controlling class voted
to accelerate the deal. As a result of the acceleration of the
deal, the Class A-1 notes have been receiving all proceeds after
Class A-1, Class A-2, and Class A-3 interest, and will continue to
receive until they are paid in full.
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: $192.3 million
Defaulted/deferring par: $82.6 million
Weighted average default probability: 21.23% (implying a WARF of
2187)
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 includes, among others, deteriorating credit
quality of the portfolio.
No actions were taken on the Class B-1 and Class B-2 notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CDO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.
Methodology Used for the Rating Action
The principal methodology used in this rating was "TruPS CDOs"
published in June 2025.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.
TPG CLO 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes
-------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to TPG CLO
2026-3, LTD.
Entity/Debt Rating
----------- ------
TPG CLO 2026-3, 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 Notes LT NRsf New Rating
Transaction Summary
TPG CLO 2026-3, LTD (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Angelo, Gordon & Co., L.P. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $450 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 22.12, and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 100%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.96% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 48% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for the WAL covenants that
are greater than six years, to account for structural and
reinvestment conditions after the reinvestment period. In Fitch's
opinion, these conditions would reduce the effective risk horizon
of the portfolio during stress periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-2, between
'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for
class C, between less than 'B-sf' and 'BB+sf' for class D-1, and
between less than 'B-sf' and 'BB+sf' for class D-2 and between less
than 'B-sf' and 'B+sf' for class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2 notes as
these notes are in the highest rating category of 'AAAsf'.
For all other notes, 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.
ESG Considerations
Fitch does not provide ESG relevance scores for TPG CLO 2026-3,
LTD.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
TRAPEZA CDO IX: Moody's Upgrades Rating on 3 Tranches to B2
-----------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Trapeza CDO IX, Ltd.:
US$162,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes due 2040 (current balance of $24,043,510.44), Upgraded
to Aaa (sf); previously on January 24, 2020 Upgraded to Aa1 (sf)
US$27,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes due 2040, Upgraded to Aaa (sf); previously on May 29,
2025 Upgraded to Aa2 (sf)
US$23,000,000 Class A-3 Third Priority Senior Secured Floating Rate
Notes due 2040, Upgraded to Aa1 (sf); previously on May 29, 2025
Upgraded to Aa3 (sf)
US$23,000,000 Class B-1 Fourth Priority Secured Floating Rate Notes
due 2040 (current balance including interest shortfall of
$24,971,370.37), Upgraded to B2 (sf); previously on January 24,
2020 Upgraded to B3 (sf)
US$10,000,000 Class B-2 Fourth Priority Secured Fixed/Floating Rate
Notes due 2040 (current balance including interest shortfall of
$10,857,117.54), Upgraded to B2 (sf); previously on January 24,
2020 Upgraded to B3 (sf)
US$25,000,000 Class B-3 Fourth Priority Secured Fixed/Floating Rate
Notes due 2040 (current balance including interest shortfall of
$27,752,800.88), Upgraded to B2 (sf); previously on January 24,
2020 Upgraded to B3 (sf)
Trapeza CDO IX, Ltd., issued in January 2006, 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(s) 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 the resulting increase in the transaction's
over-collateralization (OC) ratios and the improvement in the
credit quality of the underlying portfolio.
The Class A-1 notes have paid down by approximately 45.0% or $19.6
million since May 2025, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2, Class A-3 and Class B-1/B-2/B-3 notes
have improved to 599.88%, 282.57%, 194.79% and 104.80%,
respectively, from May 2025 levels of 373.80%, 231.00%, 174.30% and
103.90%, respectively. The Class A-1 notes will continue to benefit
from the diversion of excess interest and the use of proceeds from
redemptions of any assets in the collateral pool.
Furthermore, the deal has benefited from improvement in the credit
quality of the underlying portfolio. According to Moody's
calculations, the weighted average rating factor (WARF) improved to
756 from 978 in May 2025.
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: $144.2 million
Defaulted/deferring par: $32.5 million
Weighted average default probability: 5.82% (implying a WARF of
756)
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 "TruPS CDOs"
published in June 2025.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings:
The performance of the rated notes is subject to uncertainty. The
performance of the rated notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The portfolio consists primarily
of unrated assets whose default probability Moody's assesses
through credit scores derived using RiskCalc(TM) or credit
estimates. Because these are not public ratings, they are subject
to additional estimation uncertainty.
TRESTLES CLO X: Fitch Assigns 'B-sf' Rating on Class F Notes
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Trestles
CLO X, Ltd.
Entity/Debt Rating
----------- ------
Trestles CLO X,
Ltd.
X LT AAAsf New Rating
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 B-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
Trestles CLO X, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by APC
Asset Development II, LP. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 24.19, and will be managed to a WARF covenant from a Fitch test
matrix. Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 99.5% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.42% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 42% of the portfolio balance in aggregate while the top five
obligors can represent up to 12.5% of the portfolio balance in
aggregate. The level of diversity resulting from the industry,
obligor and geographic concentrations is in line with that of other
recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is 12 months less than the WAL covenant, floored at six
years to account for structural and reinvestment conditions after
the reinvestment period. In Fitch's opinion, these conditions would
reduce the effective risk horizon of the portfolio during stress
periods.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for
class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf'
and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for
class D-1, between less than 'B-sf' and 'BB+sf' for class D-2,
between less than 'B-sf' and 'B+sf' for class E, and between less
than 'B-sf' and 'Bsf' for class F.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X 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, 'BBB+sf' for class E, and 'BBB-sf'
for class F.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
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 Trestles CLO X,
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.
UBS COMMERCIAL 2018-C8: Fitch Lowers Rating on E-RR Certs to 'B-sf'
-------------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed nine classes of UBS
Commercial Mortgage Trust 2018-C8 Commercial Mortgage Pass-Through
Certificates (UBS 2018-C8). Following their downgrades, classes
D-RR and E-RR were assigned Negative Rating Outlooks. The Rating
Outlooks on classes B and X-B have been revised to Stable from
Negative.
Entity/Debt Rating Prior
----------- ------ -----
UBS Commercial
Mortgage Trust
2018-C8
A-3 90276VAD1 LT AAAsf Affirmed AAAsf
A-4 90276VAE9 LT AAAsf Affirmed AAAsf
A-S 90276VAH2 LT AAAsf Affirmed AAAsf
A-SB 90276VAC3 LT AAAsf Affirmed AAAsf
B 90276VAJ8 LT AA-sf Affirmed AA-sf
C 90276VAK5 LT A-sf Affirmed A-sf
D 90276VAN9 LT BBBsf Affirmed BBBsf
D-RR 90276VAQ2 LT BBsf Downgrade BBB-sf
E-RR 90276VAS8 LT B-sf Downgrade BBsf
F-RR 90276VAU3 LT CCCsf Downgrade B-sf
X-A 90276VAF6 LT AAAsf Affirmed AAAsf
X-B 90276VAG4 LT AA-sf Affirmed AA-sf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case
losses are 6.9%, an increase from 5.3% at Fitch's prior rating
action. Fitch Loans of Concerns (FLOCs) comprise 13 loans (33.2%),
including three specially serviced loans (12.6%).
The downgrades reflect increased pool loss expectations since
Fitch's last rating action, primarily driven by Park Place at
Florham Park (5.1% of the pool) following its recent transfer to
special servicing in December 2025, and increased expected losses
on El Dorado Tech Center (2.9%) due to concerns of the sole tenant
departing.
The Negative Outlooks on classes D-RR and E-RR reflect the high
concentration of FLOCs in the pool. The Negative Outlooks also
reflect the possibility of downgrades should performance
deteriorate further on FLOCs, including Park Place at Florham Park
(5.1%), City Square and Clay Street (5.1%) and El Dorado Tech
Center (2.9%).
The revision of the Outlook to Stable from Negative on classes B
and X-B reflects increased credit enhancement (CE) and higher
certainty of repayment from loans expected to refinance at
maturity. Due to the heightened maturity concentration risk as
approximately 90% of the pool matures between January and February
2028, Fitch conducted a recovery and liquidation analysis that
categorized and ranked remaining loans based on their loan status,
collateral quality, and repayment/loss expectations to assess
outstanding class ratings in relation to available CE. This
analysis contributed to the stable outlook revisions.
FLOCs; Largest Loss Contributors: The largest increase in loss
since the prior rating action and largest contributor to losses is
Park Place at Florham Park, which is secured by a four-building
suburban office park totaling 360,265-sf and located in Florham
Park, NJ. The loan transferred to special servicing on Dec. 19,
2025, due to imminent monetary default. Fitch requested an updated
appraised value but did not receive a response. As of the January
2026 remittance, the loan status was listed as a foreclosure after
being current for the entire 2025 calendar year.
The property's occupancy has remained unchanged at 75.5% since
2024. The top three tenants are Fairleigh Dickinson University
(21.4%; expires June 2028), RBC Capital Markets (14.6%; expires
July 2028) and Schenk Price Smith & King LLP (10.7%; expires
December 2027). The servicer-reported NOI DSCR was 1.22x at YE
2024, compared to 1.24x at YE 2023 and 1.44x at YE 2022. As of the
March 2025 rent roll, upcoming rollover consists of 11.5% of the
NRA in 2025, 0% in 2026 and 16.3% in 2027.
Fitch's 'Bsf' rating case loss of 41.6% (prior to a concentration
adjustment) is based on a 10% cap rate, 10% stress to YE 2024 NOI
and factors an elevated probability of default due to the transfer
to special servicing and foreclosure status.
The second-largest increase in loss since the prior rating action
and third-largest contributor to losses is El Dorado Tech Center,
which is secured by a 180,480-sf suburban office property fully
occupied by GoDaddy through December 2027, ahead of the loan's
February 2028 maturity date. The loan is current but was flagged as
a FLOC due to GoDaddy ceasing to conduct its normal business
operations at the property, which activated a cash trap.
The rollover reserve balance is approximately $226,000 as of
February 2026. Per the borrower, the tenant is continuing to pay
rent but not regularly occupying its space. The space is currently
on the market for sublease. NOI DSCR was reported 2.58x at YE2025.
Fitch's 'Bsf' case loss of 27.5% reflects a 10.25% cap rate, 10%
stress to YE 2024 NOI and factors an elevated probability of
default due to concerns with the sole tenant and heightened default
risk.
The largest specially serviced loan is the Tryad Industrial &
Business Center, a 3.4 million-sf industrial property located in
Rochester, NY. The loan transferred to special servicing in August
2024 due to imminent non-monetary default however, the loan is
currently 90+ days delinquent. A receiver was appointed in May 2025
and a proposed loan modification/extension is pending approval. Due
to the loan's low leverage and updated appraisal value that is
higher than the senior note balance, minimal losses are expected.
Credit Enhancement: As of the February 2026 distribution date, the
pool balance has been reduced by 16.2% since issuance. Realized
losses to date are approximately $762,000. Nine loans (11.2%) are
fully defeased.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to 'AAAsf' rated classes are not expected due to the
high CE, senior position in the capital structure and expected
continued amortization and loan repayments but may occur if
deal-level losses increase significantly and/or interest shortfalls
occur or are expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories
could occur if deal-level losses increase significantly from
outsized losses on larger FLOCs.
Downgrades to classes rated in the 'BBBsf' category are possible
with higher-than-expected losses from continued underperformance of
the FLOCs and/or with greater certainty of losses on the specially
serviced loans and/or FLOCs. Elevated risk loans Tryad Industrial &
Business Center, Park Place at Florham Park, City Square and Clay
Street and El Dorado Tech Center.
Downgrades to classes rated in the 'BBsf' and 'Bsf' categories
would occur with greater certainty of losses on the specially
serviced loans or FLOCs and/or additional loans transfer to special
servicing.
Downgrades to the distressed 'CCCsf' rated class would occur should
additional loans transfer to special servicing and/or default, or
as losses become realized or more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'AAsf' and 'Asf' category may be
possible with significantly increased CE, coupled with
stable-to-improved pool-level loss expectations and improved
performance on the FLOCs, including Park Place at Florham Park,
City Square and Clay Street and El Dorado Tech Center.
Upgrades to classes rated in the 'BBBsf' category would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely
until the later years in a transaction and only if the performance
of the remaining pool is stable, recoveries on the FLOCs and
specially serviced loans are better than expected and there is
sufficient CE to the classes.
Upgrades to the distressed 'CCCsf' rated class is not expected, but
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.
UNITED AUTO 2025-1: S&P Affirms BB (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings raised its ratings on six classes of notes and
affirmed its ratings on seven classes of notes from United Auto
Credit Securitization Trust (UACST) 2022-1, 2022-2, 2023-1, 2024-1,
and 2025-1 transactions.
These are ABS transactions backed by subprime retail auto loan
receivables originated and serviced by United Auto Credit Corp.
The rating actions reflect:
-- Each transaction's collateral performance to date and S&P's
expectations regarding the transactions' future collateral
performances;
-- S&P's revised cumulative net loss (CNL) expectations for each
transaction and the transactions' structures and credit enhancement
levels; and
-- Other credit factors, such as credit stability, payment
priorities under various scenarios, and sector- and issuer-specific
analyses, including our most recent macroeconomic outlook that
incorporates baseline forecasts for U.S. GDP and unemployment.
Considering all these factors, S&P believes the notes'
creditworthiness is consistent with the raised and affirmed
ratings.
The UACST 2023-1, 2024-1, and 2025-1 transactions are performing
worse than our prior or original CNL expectations. Cumulative gross
losses for these transactions are higher, which, coupled with lower
cumulative recoveries, result in elevated CNLs. Additionally,
delinquencies and extensions for these transactions are elevated.
Given the transactions' relatively weaker performances and
prevailing adverse economic headwinds, S&P revised and raised our
expected CNLs for these three transactions. Although the UACST
2022-1 and 2022-2 transactions are performing worse than its
original CNL expectations, they have been performing in line with
S&P's revised expectations since our last review; therefore, it
maintained its prior CNL expectations for these two transactions.
Table 1
Collateral performance (%)(i)
Pool 60+ Day Current
Series Month factor delinq. Extensions CGL CRR CNL
2022-1 49 4.01 6.40 1.54 34.79 22.73 26.89
2022-2 44 8.90 6.04 1.88 43.96 20.97 34.74
2023-1 38 14.14 6.10 2.12 37.60 26.47 27.64
2024-1 23 36.83 4.67 2.71 25.94 24.29 19.64
2025-1 12 62.67 4.29 2.64 14.13 20.29 11.26
(i)As of the March 2026 distribution date.
Delinq.--Delinquencies.
CGL--Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
Table 2
CNL expectations (%)
Original Prior Current
Lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.(ii)
2022-1 20.50 27.50 27.50
2022-2 20.25 37.50 37.50
2023-1 22.25 29.25 31.00
2024-1 23.50 29.00 30.00
2025-1 23.50 N/A 30.00
(i)As of March 2025, for United Auto Credit Securitization Trust
2022-1 and 2023-1; as of September 2025, for United Auto Credit
Securitization Trust 2022-2 and 2024-1.
(ii)As of March 2026.
CNL exp.--Cumulative net loss expectations.
N/A—not applicable.
As of the March 2026 distribution date, the UACST 2024-1 and 2025-1
transactions are at their specified reserve and
overcollateralization required levels. Both UACST 2022-1 and 2023-1
transactions are at their specified reserve targets, but below
their respective overcollateralization required levels. The UACST
2022-2 transaction is undercollateralized by $16,981,723,
approximately 67% of the current pool balance. The
overcollateralization and reserve account were depleted as of May
2024 and August 2024 performance months, respectively.
Each transaction has a sequential principal payment structure in
which the notes are paid principal by seniority, which will
increase the credit enhancement for the senior notes as the pool
amortizes. Credit enhancement for each transaction, where
available, includes a nonamortizing reserve account,
overcollateralization, subordination for the more senior tranches,
and excess spread. Generally, the transactions' sequential
principal payment structures have led to an increase in components
of hard credit enhancement--as a percentage of the current
collateral balance--since issuance, with the exception for the most
subordinated class E for UACST 2022-2, where both reserve and
overcollateralization amounts are depleted.
Table 3
Hard credit support (%)(i)
Current total
Total hard credit hard credit support
Series Class support at issuance (ii) (% of current)(i)
2022-1 E 8.50 55.13
2022-2 D 24.35 71.81
2022-2 E 12.00 (66.94)
2023-1 D 24.50 81.54
2023-1 E 17.00 28.48
2024-1 C 43.25 99.04
2024-1 D 28.80 59.81
2024-1 E 18.40 31.57
2025-1 A 63.40 98.41
2025-1 B 49.50 76.23
2025-1 C 40.50 61.87
2025-1 D 26.50 39.53
2025-1 E 16.70 23.89
(i)As of the March 2026 distribution date.
(ii)Calculated as a percentage of the total pool balance, which
consists of a reserve account, overcollateralization, and, if
applicable, subordination. Excludes excess spread, which can also
provide additional enhancement.
S&P said, "For each series, we incorporated a cash flow analysis to
assess the loss coverage level, giving credit to stressed excess
spread. Our various cash flow scenarios included forward-looking
assumptions on recoveries, timing of losses, and voluntary absolute
prepayment speeds that we believe are appropriate, given each
transaction's performance to date and our current economic
outlook.
"We also conducted sensitivity analyses to determine the impact
that a moderate ('BBB') stress scenario would have on our ratings
if losses began to trend higher than our revised base-case loss
expectation.
"In our view, the results demonstrated that all the classes have
adequate credit enhancement at their respective raised and affirmed
rating levels. This is based on our analysis based on the
collection period ending February 2026 (the March 2026 distribution
date).
"For UACST 2022-2, the 'CC (sf)' rating on class E reflects the
under-collateralization status of the series. As per "S&P Global
Ratings Definitions," published Dec. 16, 2025, an obligation rated
'CC' is currently highly vulnerable to nonpayment, and we expect a
default to be a virtual certainty.
"We will continue to monitor the performance of all outstanding
transactions to ensure that the credit enhancement remains
sufficient, in our view, to cover our CNL expectations under our
stress scenarios for each of the rated classes."
Ratings Raised
United Auto Credit Securitization Trust 2022-1
Class E to 'AAA (sf)' from 'BB (sf)'
United Auto Credit Securitization Trust 2022-2
Class D to 'AA+ (sf)' from 'BBB (sf)'
United Auto Credit Securitization Trust 2023-1
Class D to 'AAA (sf)' from 'A+ (sf)'
United Auto Credit Securitization Trust 2024-1
Class D to 'AA+ (sf)' from 'A (sf)'
United Auto Credit Securitization Trust 2025-1
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'AA+ (sf)' from 'A (sf)'
Ratings Affirmed
United Auto Credit Securitization Trust 2022-2
Class E: CC (sf)
United Auto Credit Securitization Trust 2023-1
Class E: BB (sf)
United Auto Credit Securitization Trust 2024-1
Class C: AAA (sf)
Class E: BB (sf)
United Auto Credit Securitization Trust 2025-1
Class A: AAA (sf)
Class D: BBB (sf)
Class E: BB (sf)
VERUS SECURITIZATION 2026-R2: Fitch Assigns Bsf Rating on B-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes issued by Verus Securitization Trust 2026-R2
(Verus 2026-R2).
Entity/Debt Rating Prior
----------- ------ -----
VERUS 2026-R2
A-1FCF LT AAAsf New Rating AAA(EXP)sf
A-1LCF LT AAAsf New Rating AAA(EXP)sf
A-1A LT AAAsf New Rating AAA(EXP)sf
A-1B LT AAAsf New Rating AAA(EXP)sf
A-1 LT AAAsf New Rating AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
M-1 LT BBBsf New Rating BBB(EXP)sf
B-1A LT BB+sf New Rating BB+(EXP)sf
B-1B LT BB-sf New Rating BB-(EXP)sf
B-2 LT Bsf New Rating B(EXP)sf
B-3 LT NRsf New Rating NR(EXP)sf
XS LT NRsf New Rating NR(EXP)sf
A-IO-S LT NRsf New Rating NR(EXP)sf
DA LT NRsf New Rating NR(EXP)sf
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The Verus 2026-R2 notes are supported by 690 loans with a balance
of $383.2 million as of March 1, 2026 (the cutoff date).
Distributions of principal and interest (P&I) and loss allocations
are based on a modified sequential-payment structure. The
transaction has a stop advance feature for first lien loans whereby
the P&I advancing party will advance delinquent P&I for up to 90
days.
All loans in the pool are seasoned more than 24 months. Primary
residence loans comprise 37.3% of the Verus 2026-R2 transaction
pool, followed by second home and investor loans at 62.7%. In terms
of documentation type, the transaction consists predominantly of
debt service coverage ratio (DSCR) loans at 54.0%, and 24.6% were
originated to a bank statement program. The remaining 21.4% of the
population was underwritten to either a CPA P&L, asset
underwriting, foreign national, full or written verification of
employment product.
Fitch applied a criteria variation for this transaction, scaling
the performance history to serve as the primary driver of the
expected default rate.
The structure was updated post-pricing on March 20, 2026. Coupons
increased approximately 18bps-19bps for the A1 classes, decreased
approximately 2bps for the A2 class, and the A3 coupon switched
from fixed to NWAC. As a result, the weighted average excess spread
decreased 14bps to 12bps. Fitch re-ran its cashflow analysis and
confirmed there were no changes to the expected ratings.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: The performance of underlying
residential mortgages or mortgage-related assets directly affects
RMBS transactions. Fitch analyzes loan-level attributes and
macroeconomic factors to assess the credit risk and expected
losses. Verus 2026-R2 has a final probability of default (PD) of
48.0% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 33.3%. The expected loss in the
'AAAsf' rating stress is 16.0%.
Structural Analysis: Verus 2026-R2 bases its mortgage cash flow and
loss allocation on a modified sequential-payment structure with
limited advancing, whereby principal is distributed pro rata among
the senior notes while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially.
Fitch analyses the capital structure to determine the adequacy of
the transaction's credit enhancement (CE) to support payments on
the securities under multiple scenarios incorporating Fitch's loss
projections derived from the asset analysis. Fitch applies its
assumptions for defaults, prepayments, delinquencies and interest
rate scenarios. The CE for all ratings was sufficient for the given
rating levels.
Operational Risk Analysis: Fitch considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on all loans in the transaction. Fitch applies a 5-bps
z-score reduction for loans fully reviewed by a third-party review
(TPR) firm, which have a final grade of either A or B.
Counterparty and Legal Analysis: Fitch confirms all relevant
transaction parties conform with the requirements described in its
"Global Structured Finance Rating Criteria." Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. In addition, all legal requirements
are satisfied to fully de-link the transaction from any other
entities. Fitch confirms Verus 2026-R2 is fully de-linked and a
bankruptcy remote special purpose vehicle (SPV). All transaction
parties and triggers align with Fitch's expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to Verus 2026-R2; therefore, Fitch is comfortable assigning the
highest possible rating of 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0% in addition to the model projected 37.2% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those assigned 'AAAsf' ratings.
CRITERIA VARIATION
Fitch used a custom model and applied a variation to Fitch's U.S.
RMBS Ratings Model to scale down the Z-score adjustment 33%
starting after year 2 and 100% removal by end of year five.
Currently, additional PD adjustments are applied to the final PD
using a z-score adjustment that is static in both weight and
application over time, regardless of seasoning. Many of these
adjustments are designed to capture risk factors not present in the
historical dataset and not included in the origination PD
regression. While these risk factors were present at origination,
their relevance diminishes as the loans seasoned and more
performance data becomes available.
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 TPR firms. The due diligence was performed at
the respective prior issuance and was not updated with the
exception of updated property valuations. The third-party due
diligence described in Form 15E focused on credit, compliance, and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustment to
its analysis: a 5% credit at the loan level for each loan where
satisfactory due diligence was completed.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
WELLS FARGO 2018-C44: DBRS Cuts Rating on 2 Tranches to Csf
-----------------------------------------------------------
DBRS Limited (Morningstar DBRS) downgraded the credit ratings on
three classes of Commercial Mortgage Pass-Through Certificates,
Series 2018-C44 issued by Wells Fargo Commercial Mortgage Trust
2018-C44 as follows:
-- Class E-RR to CCC (sf) from B (high) (sf)
-- Class F-RR to C (sf) from CCC (sf)
-- Class G-RR to C (sf) from CCC (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-S at AA (sf)
-- Class B at A (sf)
-- Class C at BBB (sf)
-- Class D at BB (sf)
-- Class X-A at AAA (sf)
-- Class X-B at A (high) (sf)
-- Class X-D at BB (high) (sf)
The trends on Classes C, D, and X-D were changed to Negative from
Stable. All remaining classes have Stable trends with the exception
of Classes E-RR, F-RR, and G-RR, which have credit ratings that do
not carry trends in commercial mortgage-backed securities (CMBS)
credit ratings.
The credit rating downgrades reflect an increase in Morningstar
DBRS' projected losses for the four loans in special servicing,
representing 14.4% of the pool, and a deterioration in credit
enhancement for the junior bonds. Morningstar DBRS' liquidation
scenarios for these loans resulted in combined projected losses of
$55.2 million, eroding more than half of the balance of Class F-RR
and the entirety of the balances of Class G-RR and the unrated
Class H-RR. In addition, the projected losses result in
significantly reduced credit support for Class E-RR, supporting the
credit rating downgrade.
As of the February 2026 remittance, interest shortfalls total $4.6
million, with interest having been shorted up to Class G-RR
compared with the total interest shortfalls of $3.0 million at the
last credit rating action. The propensity for interest shortfalls
has increased, given the decline in value decline expected for the
collateral behind the largest specially serviced loan, Dulaney
Center (Prospectus ID#4; 6.4% of the pool balance), which is
secured by two suburban office buildings and appears headed for a
deed-in-lieu based on the servicer's commentary. In the event the
servicer starts reducing its advances and/or deems the loan
unrecoverable, interest shortfalls are expected to affect Classes C
and D, therefore supporting the Negative trends.
As of the February 2026 remittance, 40 of the original 44 loans
remain in the pool, representing a collateral reduction of 11.1%
since issuance. Five loans, representing 7.3% of the pool balance,
are defeased. Seven loans, representing 23.5% of the pool balance,
are on the servicer's watchlist for performance-related concerns.
The pool is most concentrated by loans backed by office and retail
properties, representing 31.8% and 24.1% of the pool balance,
respectively. Given the general challenges facing the office
sector, select office loans that have exhibited performance
declines, along with other loans of concern, were analyzed with an
elevated probability of default (POD) and/or stressed loan-to-value
ratios to increase the loan-level expected losses (ELs) for this
review.
The Dulaney Center loan is secured by two suburban Class A office
buildings in Towson, Maryland, located about 7.5 miles north of the
Baltimore central business district. The loan was most recently
transferred back to the special servicer in November 2025 for
imminent monetary default. The resolution strategy has yet to be
finalized but the servicer has reported that the borrower is
interested in transferring the title to the trust or negotiating a
discounted payoff. The loan remains current but performance has
declined since 2021 following a drop in occupancy. The debt service
coverage ratio (DSCR) for the trailing nine months (T-9) ended
September 30, 2025, was reported at 0.96 times (x) with an
occupancy rate of 66%. In addition, there is moderate tenant
rollover risk as leases representing nearly 15.0% of net rentable
area (NRA) expire in the next two years. According to Reis, office
properties in the Towson/Trimonium/Huntvalley submarket reported a
Q4 2025 vacancy rate of 19.2% and the vacancy rate is projected to
decrease to 12.4% in the next five years. Morningstar DBRS analyzed
this loan with a liquidation scenario based on a 65% haircut to the
issuance value of $67.3 million, resulting in a loss of $24.5
million and a loss severity of 56.4%. The remaining three loans in
special servicing were analyzed with haircuts to the most recent
value ranging from 25% to 65%, resulting in a cumulative loss of
$30.7 million and individual loan loss severities ranging from
40.9% to 102.1%.
The largest loan in the pool is Village at Leesburg (Prospectus
ID#1; 9.3% of the pool balance), secured by a 549,107 square foot
(sf) open-air retail center in Leesburg, Virginia. The loan is
currently on the servicer's watchlist due to a bankruptcy filing in
June 2024 for the tenant Cobb Theaters (11.7% of NRA), which
triggered a cash flow sweep. The balance of the cash management
account was requested from the servicer but based on the February
2026 loan level reserve report, $5.4 million is held in other
reserves and $4.9 million is held in tenant reserves. The
third-largest tenant, LA Fitness (8.2% of NRA), will not be
renewing its lease at expiry in March 2026. Based on the September
2025 rent roll, the occupancy rate was reported at 96.8%; when
accounting for the departure of Cobb Theaters and LA Fitness, the
occupancy rate is expected to drop to 77.0%. Outside of LA Fitness,
tenants representing an additional 15.0% of NRA have leases
expiring within 24 months. The financials for the T-9 ended
September 30, 2025. reported an annualized DSCR of 1.19x, which is
expected to decline to about 1.0x if the borrower is unsuccessful
in backfilling the departing tenants. Given the decline in
occupancy and tenant rollover risk, the loan was analyzed with a
stressed POD, resulting in an EL that was nearly twice the pool
average.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
WELLS FARGO 2019-C50: Fitch Affirms 'BB-sf' Rating on 2 Tranches
----------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial
Mortgage Trust 2019-C50 (WFCM 2019-C50). The Rating Outlooks for
classes X-B, C, X-D, D, and E remain Negative. The Outlooks for all
other classes rated 'AA-sf' and above remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
WFCM 2019-C50
A-4 95001XBA3 LT AAAsf Affirmed AAAsf
A-5 95001XBB1 LT AAAsf Affirmed AAAsf
A-S 95001XBC9 LT AAAsf Affirmed AAAsf
A-SB 95001XAZ9 LT AAAsf Affirmed AAAsf
B 95001XBD7 LT AA-sf Affirmed AA-sf
C 95001XBE5 LT A-sf Affirmed A-sf
D 95001XAJ5 LT BBB-sf Affirmed BBB-sf
E 95001XAL0 LT BB-sf Affirmed BB-sf
F 95001XAN6 LT CCCsf Affirmed CCCsf
G 95001XAQ9 LT CCsf Affirmed CCsf
X-A 95001XBF2 LT AAAsf Affirmed AAAsf
X-B 95001XBG0 LT A-sf Affirmed A-sf
X-D 95001XAA4 LT BB-sf Affirmed BB-sf
X-F 95001XAC0 LT CCCsf Affirmed CCCsf
X-G 95001XAE6 LT CCsf Affirmed CCsf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations: The deal-level 'Bsf' rating
case loss is 8.01% which compares with the rating case loss of
7.68% at the prior rating action. Fitch Loans of Concerns (FLOCs)
comprise 14 loans (34.1% of the pool) including six loans (13.4%)
in special servicing.
The affirmations reflect overall pool performance in-line with
Fitch's prior rating action. The Negative Outlooks reflect the
potential for downgrade should performance of the FLOCs, which
include InnVite Hospitality Portfolio (2.3%), 24 Commerce Street
(1.8%), Crown Center Office Park (5.0%), The Colonnade Office
Complex (3.4%) and 7240 Parkway Drive (1%) deteriorate beyond
current expectations. This could include worsened recovery and/or
prolonged workout on the specially serviced loans/assets, and/or
more loans than anticipated fail to refinance.
Largest Contributors to Loss: The largest contributor to overall
loss expectations and the largest increase since Fitch's prior
rating action is 24 Commerce Street (1.8% of pool balance). The
subject is a 171,892-sf, landmarked historic office building in
downtown Newark, NJ. The loan transferred to special servicing in
May 2020 for imminent monetary default and the property is REO
following a foreclosure sale that was completed in November 2024.
As of June 2025, occupancy declined to 42% from 52% at YE 2024 and
remains below occupancy of 84% at issuance. Several tenants have
vacated at or prior to their respective lease expirations including
ACBB - Bits, LLC (8.7% NRA), FDF Holdings LLC (7.7% NRA) and
Pennoni Associates (4.6% NRA).
According to CoStar, the Newark submarket reported vacancy and
availability rates of 12.5% and 15.6%, respectively, which compares
with vacancy and availability of 10.2% and 13.1% at Fitch's prior
review. Costar reported a market asking rent of $32.50 which
compares to $33.54 at Fitch's prior review.
Fitch's 'Bsf' rating case loss of 99% (prior to concentration
add-ons) incorporates a stress to the most recently reported
appraisal reflecting a stressed value of $33/sf.
The second largest contributor to overall loss expectations is the
The InnVite Hospitality Portfolio loan (2.3%), secured by five
limited service hotels in Ohio. The loan transferred to special
servicing in May 2020 due to payment default and has remained
delinquent since May 2021. The borrower has placed four of five
hotels into Chapter 11 bankruptcy protection, while the last
remaining hotel, The Quality Inn & Suites South/Obetz, is excluded
due to a pending receiver sale. The former Best Western Plus Dayton
Northwest has been rebranded as a Days Inn. Additionally, the court
has granted limited receivership rights for the Hampton Inn Sidney
to supervise contractor work.
Fitch's 'Bsf' rating case loss of 61% (prior to concentration
add-ons) reflects stresses to the most recently reported appraisals
of four hotels and the estimated net purchase price of the fifth
hotel, reflecting a stressed value of approximately $33,900/key.
The third largest contributor to overall loss expectations is the
839 Broadway loan, secured by a 46,228-sf mixed-use property
Brooklyn, NY. The loan is identified as a FLOC due to the low DSCR
and continued underperformance since issuance. The subject NOI
remains below levels at underwriting due to the largest tenant,
Bond Collective, a shared office space provider representing 83% of
the NRA, continuing to struggle and failing to pay full rent.
The loan, initially transferred to the special servicer in March
2021 due to imminent monetary default and returned to the master
servicer as a corrected mortgage in June 2023 after a settlement
agreement was negotiated and closed in January 2023. As of
September 2025, occupancy and NOI DSCR were reported to be 100% and
0.97x, respectively.
Fitch's 'Bsf' rating case loss of 43% (prior to concentration
add-ons) reflects the year-end 2024 NOI and a 9% cap rate as well
as an elevated probability of default due to the loan's
underperformance.
Office Loans of Concern: The Crown Center Office Park loan, secured
by a 341,965-sf office park in Fort Lauderdale, FL, is identified
as a FLOC due to anticipated occupancy declines and high
availability. As of December 2025, occupancy was 85%, an
improvement from 76% as of YE 2024, but remains below YE 2023
occupancy of 88%. Occupancy declined in 2024 due to the third
largest tenant, State of Florida Department of Children and
Families (9.5%), terminating its lease.
Fitch's 'Bsf' rating case loss of 5.3% (prior to concentration
add-ons) reflects a 40% stress to the YE 2025 NOI to account for
availability and a 10% cap rate, which represents a Fitch stressed
value of $99/sf.
The Colonnade Office Complex loan transferred to special servicing
in September 2023 due to imminent monetary default ahead of its
February 2024 maturity date. A UCC foreclosure by the mezzanine
lender was completed in May 2024. The special servicer received
consent to market the property for sale with a potential loan
modification and assumption pending.
The loan is secured by a 1,080,180-sf suburban office complex in
Addison, TX, built in 1983 and renovated in 2017. As of the January
2026 rent roll, the property was 57% occupied, down from 77% as of
February 2025.
Fitch's 'Bsf' rating case loss of 1% (prior to concentration
add-ons) represents a minimal loss to account for special servicing
fees and expenses.
Credit Enhancement (CE): As of the March remittance report, the
aggregate transaction balance has been reduced by 14.2% since
issuance. Cumulative interest shortfalls of $7.54 million are
affecting rated classes E, F, and G as well as non-rated classes H
and VRR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The Negative Outlooks reflect possible future downgrades stemming
from further potential declines in performance that could result in
higher expected losses on FLOCs. If expected losses do increase,
downgrades to these classes are likely.
Downgrades to the 'AAAsf' rated classes are not expected due to the
position in the capital structure and expected continued
amortization and loan repayments but may occur if deal-level losses
increase significantly and/or interest shortfalls occur or are
expected to occur.
Downgrades to classes rated in the 'AAsf' and 'Asf' categories,
especially those with Negative Outlooks, may occur should
performance of the FLOCs deteriorate further or if more loans than
expected default during the term and/or at or prior to maturity.
These FLOCs include 839 Broadway, InnVite Hospitality Portfolio, 24
Commerce Street, Crown Center Office Park and The Colonnade Office
Complex.
Downgrades to classes rated in the 'BBBsf' and 'BBsf' categories,
particularly those with Negative Outlooks, could occur with
higher-than-expected losses from continued underperformance of the
aforementioned FLOCs and with greater certainty of losses on the
specially serviced loans or other FLOCs.
Downgrades to distressed ratings of 'CCCsf' or 'CCsf' 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 'AAsf' and 'Asf' category rated classes are possible
with significantly increased CE from paydowns, coupled with
stable-to-improved pool-level loss expectations and performance
stabilization of FLOCs, including 839 Broadway, InnVite Hospitality
Portfolio, 24 Commerce Street, Crown Center Office Park and The
Colonnade Office Complex. Upgrades of these classes to 'AAAsf' will
also consider the concentration of defeased loans in the
transaction.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration and would only occur with sustained improved
performance of the FLOCs.
Upgrades to the 'BBsf' category rated classes are not likely until
the later years in a transaction and only if the performance of the
remaining pool is stable and there is sufficient CE to the
classes.
Upgrades to distressed ratings are not expected but possible with
better-than-expected recoveries on specially serviced loans or
significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
WESTGATE RESORTS 2026-1: DBRS Gives (P)BB(low) Rating on D Notes
----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the following classes of notes to be issued by Westgate Resorts
2026-1 LLC (Westgate 2026-1 or the Issuer):
-- $80,400,000 Timeshare Collateralized Notes, Series 2026-1,
Class A rated (P) AAA (sf)
-- $63,300,000 Timeshare Collateralized Notes, Series 2026-1,
Class B rated (P) A (low) (sf)
-- $44,700,000 Timeshare Collateralized Notes, Series 2026-1,
Class C rated (P) BBB (low) (sf)
-- $18,600,000 Timeshare Collateralized Notes, Series 2026-1,
Class D rated (P) BB (low) (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The provisional credit ratings are based on a review by Morningstar
DBRS of the following analytical considerations:
(1) The transaction's form and sufficiency of available credit
enhancement.
-- Credit enhancement will be in the form of subordination, OC,
amounts held in the reserve account, and excess spread, which
create credit enhancement levels that are commensurate with the
proposed credit ratings.
(2) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the credit rating on the
A class of notes addresses the timely payment of interest and the
ultimate payment of principal on or before the legal final
maturity. The credit ratings on the B, C, and D class notes address
the ultimate payment of interest and the ultimate payment of
principal on or before the final legal maturity.
(3) Westgate 2026-1 employs a full turbo structure where all excess
cashflow is used to repay note holders with no excess spread going
back to issuer until the notes are paid in full.
(4) The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary Baseline Macroeconomic Scenarios for Rated
Sovereigns December 2025 Update, published on December 19, 2025.
These baseline macroeconomic scenarios replace Morningstar DBRS'
moderate and adverse coronavirus pandemic scenarios, which were
first published in April 2020.
(5) Westgate's 40+ year operating history and its capabilities with
regard to developing and managing timeshare resorts, as well as the
origination, underwriting, and servicing of Timeshare Loans.
-- Morningstar DBRS has performed an operational review of Westgate
and considers the entity to be an acceptable originator and
servicer of Timeshare Loans.
-- The Westgate senior management team averages 40 plus years of
experience in timeshare development, marketing, and management.
(6) The credit quality of the collateral and the consistent
performance of Westgate's timeshare loans portfolio.
-- Average availability of historical performance data and a
history of consistent performance on the Westgate portfolio.
-- As of Statistical Calculation Date, the timeshare loans are
seasoned approximately 34 months and contain Westgate originations
from 2016 through 2026. The weighted-average (WA) remaining life of
the initial timeshare loans is approximately 83 months. The WA FICO
score of the initial timeshare loans is 737 (excludes foreign
borrowers) and contains no FICO scores below 605.
(7) The legal structure and expected legal opinions that will
address the true sale of the assets to the Issuer, the
non-consolidation of each of the depositor and the Issuer with
Westgate, and ensure that the Issuer has a valid first-priority
security interest in the assets, and consistency with the
Morningstar DBRS Legal Criteria for U.S. Structured Finance.
Morningstar DBRS' credit rating on the Notes addresses the credit
risk associated with the identified financial obligations in
accordance with the relevant transaction documents. The associated
financial obligations for the rated notes are Accrued Interest,
Deferred Interest, and Outstanding Principal Balance.
Morningstar DBRS' credit rating does not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. The associated contractual payment obligation that is
not a financial obligation is Interest on Accrued Interest at the
Note Rate on Class A Notes for the related Accrual Period.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued.
Notes: All figures are in U.S. dollars unless otherwise noted.
[] DBRS Reviews 128 Classes in 10 US RMBS Deals
-----------------------------------------------
DBRS, Inc. (Morningstar DBRS) reviewed 128 classes in 10 U.S.
residential mortgage-backed securities (RMBS) transactions. Of the
10 transactions reviewed, eight are classified as closed end
second-lien and two are home equity lines of credit. Of the 128
classes reviewed, Morningstar DBRS upgraded its credit ratings on
65 classes and confirmed its credit ratings on the remaining 63
classes.
The Affected Ratings are available at https://tinyurl.com/ydt76wpw
The Issuers are:
FIGRE Trust 2025-HE2
FIGRE Trust 2024-HE1
Vista Point Securitization Trust 2025-CES1
SAIF Securitization Trust 2024-CES1
Towd Point Mortgage Trust 2024-CES3
Towd Point Mortgage Trust 2024-CES4
Towd Point Mortgage Trust 2024-CES6
Vista Point Securitization Trust 2024-CES2
Vista Point Securitization Trust 2024-CES3
Vista Point Securitization Trust 2024-CES1
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new credit rating levels. The credit rating confirmations
reflect asset-performance and credit-support levels that are
consistent with the current credit ratings.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns December 2025 Update" published on December 19, 2025
(https://dbrs.morningstar.com/research/470251). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Notes:
All figures are in US Dollars unless otherwise noted.
[] DBRS Reviews 198 Classes in 30 U.S. RMBS Deals
-------------------------------------------------
DBRS, Inc. (Morningstar DBRS) reviewed 198 classes in 30 U.S.
residential mortgage-backed securities (RMBS) transactions. Of the
30 transactions reviewed, 21 are classified as reperforming
mortgages and nine are classified as legacy RMBS. Of the 198
classes reviewed, Morningstar DBRS upgraded its credit ratings on
46 classes and confirmed its credit ratings on the remaining 152
classes.
The Affected Ratings are available at https://tinyurl.com/2c37emzc
The Issuers are:
- MASTR Specialized Loan Trust 2007-1
- C-BASS 2006-MH1 Trust
- Terwin Mortgage Trust 2005-5SL
- Terwin Mortgage Trust 2004-16SL
- Terwin Mortgage Trust 2004-18SL
- Terwin Mortgage Trust 2005-13SL
- CIM Trust 2023-R4
- PRPM 2024-RCF2, LLC
- CSMC 2018-RPL9 Trust
- CSMC 2019-RPL1 Trust
- Towd Point Mortgage Trust 2024-1
- CSMC Trust 2017-RPL1
- Citigroup Mortgage Loan Trust 2015-RP2
- Citigroup Mortgage Loan Trust 2024-RP1
- Citigroup Mortgage Loan Trust 2018-RP2
- Citigroup Mortgage Loan Trust 2019-RP1
- Citigroup Mortgage Loan Trust 2022-RP1
- Citigroup Mortgage Loan Trust 2021-RP3
- Citigroup Mortgage Loan Trust 2021-RP2
- Citigroup Mortgage Loan Trust 2018-RP1
- NRPL 2023-RPL1 Trust
- New Residential Mortgage Loan Trust 2019-RPL3
- New Residential Mortgage Loan Trust 2020-RPL1
- New Residential Mortgage Loan Trust 2018-RPL1
- GS Mortgage-Backed Securities Trust 2023-RPL1
- New Residential Mortgage Loan Trust 2019-RPL2
- Citigroup Mortgage Loan Trust 2018-RP3
- Structured Asset Securities Corporation Mortgage Loan Trust
2006-ARS1
- Greenpoint Mortgage Funding Trust 2005-HE4
- SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new credit rating levels. The credit rating confirmations
reflect asset-performance and credit-support levels that are
consistent with the current credit ratings.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns December 2025 Update" published on December 19, 2025
(https://dbrs.morningstar.com/research/470251). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Notes: All figures are in US Dollars unless otherwise noted.
[] DBRS Takes Rating Actions on 8 US RMBS Deals
-----------------------------------------------
DBRS, Inc. (Morningstar DBRS) reviewed 49 classes across eight U.S.
residential mortgage-backed securities (RMBS) transactions. Of the
eight transactions reviewed, seven are classified as reverse
mortgage transactions and one is classified as a home equity
investment transaction. Of the 49 classes reviewed, Morningstar
DBRS upgraded its credit ratings on four classes, confirmed its
credit ratings on 35 classes, and discontinued its credit ratings
on 10 classes.
The Affected Ratings are available at https://tinyurl.com/yuccc6kx
The Issuers are:
- Point Securitization Trust 2024-1
- Finance of America Structured Securities Trust 2023-S1
- Finance of America Structured Securities Trust 2022-S6
- Finance of America Structured Securities Trust 2023-S2
- Brean Asset-Backed Securities Trust 2024-RM8
- Finance of America Structured Securities Trust 2024-S2
- Finance of America Structured Securities, Series 2018-JR1
- Finance of America Structured Securities RMF Trust, Series
2023-RMF1
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new credit rating levels. The credit rating confirmations
reflect asset-performance and credit-support levels that are
consistent with the current credit ratings. The discontinued credit
ratings reflect the full repayment of principal to the
bondholders.
The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary "Baseline Macroeconomic Scenarios for Rated
Sovereigns March 2026 Update" published on March 27, 2026
(https://dbrs.morningstar.com/research/477332). These baseline
macroeconomic scenarios replace Morningstar DBRS' moderate and
adverse coronavirus pandemic scenarios, which were first published
in April 2020.
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.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
[] Fitch Takes Actions on 27 Classes in 16 RMBS Deals
-----------------------------------------------------
Fitch Ratings has taken various rating actions on 27 classes in 16
U.S. RMBS Legacy Re-REMIC transactions issued between 2004 and
2015. Reviewed Re-REMIC transactions are backed by legacy
transactions. All classes in this portfolio placed Under Criteria
Observation (UCO) after Fitch updated the "U.S. RMBS Rating
Criteria" in October 2025 were removed from UCO in this review.
Entity/Debt Rating Prior
----------- ------ -----
Banc of America
Funding Corp. 2007-R1
A-1 05953BAA9 LT Asf Affirmed Asf
A-2 05953BAB7 LT Dsf Affirmed Dsf
Financial Asset
Securities Corp. 2005-1
II-A2 31738PAY4 LT AAsf Downgrade AAAsf
II-X 31738PAZ1 LT AAsf Downgrade AAAsf
GS Mortgage Securities
Corp. 2009-1R
1A2 LT CCCsf Affirmed CCCsf
Deutsche Mortgage Securities,
Inc. 2007-WM1
A-1 25157TAA2 LT Asf Affirmed Asf
A-2 25157TAB0 LT Asf Affirmed Asf
J.P. Morgan Alternative
Loan Trust, Series 2008-R4
2-A-1 466309AC5 LT CCsf Downgrade Bsf
Morgan Stanley
Resecuritization
Trust 2015-R4
2-B1 61690WAF3 LT AAsf Affirmed AAsf
2-B2 61690WAG1 LT Asf Affirmed Asf
2-B4 61690WAJ5 LT Asf Affirmed Asf
3-B1 61690WAN6 LT AAsf Affirmed AAsf
3-B2 61690WAP1 LT Asf Affirmed Asf
3-B4 61690WAR7 LT Asf Affirmed Asf
CB-1 61690WAY2 LT BBBsf Affirmed BBBsf
CB-2 61690WAZ9 LT BBBsf Affirmed BBBsf
CB-4 61690WBB1 LT BBBsf Affirmed BBBsf
Deutsche Mortgage Securities,
Inc. 2007-RS8
2-A-1 25156WAD0 LT AAAsf Affirmed AAAsf
2-A-2 25156WAE8 LT Dsf Affirmed Dsf
JP Morgan Mortgage
Trust, Series 2008-R2
1-A-1 46632TAA3 LT Asf Affirmed Asf
Wells Fargo Home
Equity Asset-Backed
Securities 2004-2
AI8 Resecuritization
AI-8 94980GBB6 LT AAsf Downgrade AAAsf
Jefferies
Resecuritization
Trust 2009-R3
1A-2 47232TAB3 LT Asf Affirmed Asf
1A-2 47232TAB3 LT WDsf Withdrawn
1A-6 47232TAF4 LT Asf Affirmed Asf
1A-6 47232TAF4 LT WDsf Withdrawn
Citigroup Mortgage
Loan Trust 2009-3
4A3 17315CAM9 LT Bsf Affirmed Bsf
Citigroup Mortgage
Loan Trust 2008-3
A7 17314TAH4 LT CCsf Downgrade CCCsf
Nomura Resecuritization
Trust 2015-11R
3A2 65541HAQ4 LT AAAsf Affirmed AAAsf
4A2 65541HAS0 LT AAAsf Affirmed AAAsf
Transaction Summary
Rating Action Summary:
- Twenty-two classes affirmed;
- Five classes downgraded.
Twenty-two classes have a Stable Rating Outlook, while five classes
are at distressed ratings and do not have outlooks assigned.
Included in the actions listed above, two classes are being
withdrawn due to their underlying securities backed by pools with
incorrect or insufficient information due to low loan counts.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets (Mixed)
Collateral performance of the Re-REMIC's underlying deals' pools
has largely been positive. 'AAAsf' expected losses for the
underlying portfolios are 4.7% (down 7.0% since July 2025).
Delinquencies across the underlying collateral pool have decreased,
with current 30+DQ% declining to 10.5% (-3.0%).
Performance for Re-REMIC structures, however, is largely dependent
on the actual performance of the underlying securities. The 16
Re-REMICs in this review are backed by 23 distinct REMIC tranches.
Twelve Re-REMIC transactions are backed by a single REMIC tranche
each. Of the underlying classes, only six are currently rated while
the remainder generally have defaulted or were unrated at the time
of issuance.
Modeled performance of Re-REMIC structures is dependent on the
asset analysis of the underlying collateral pools, which was
heavily impacted by the "U.S. RMBS Rating Criteria" being updated
in October 2025, driving expected losses down. The criteria update
introduced a new probability of default (PD) regression framework
which bifurcates origination loan PD and seasoned loan PD. For
loans that are more seasoned, such as legacy loans, heavier weight
is shifted to the seasoned loan PD and observed performance such as
payment history and equity. The criteria update also introduced a
revised approach to loss severity (LS). Cure and modification rate
expectations are now incorporated in the loss severity
calculations.
Structural Analysis (Positive)
Re-REMIC structures in this review utilize a sequential structure
in which all principal is distributed to the senior class until it
is reduced to zero, locking out distributions to the subordinate
bonds and maintaining hard subordination. On average, the credit
enhancement (CE) for the tranches in this Re-REMIC portfolio is
currently 32.9%, up 1.4% from July 2025.
Six tranches are structured as a pass-through where the applicable
Re-REMIC tranche's rating is directly dependent on the underlying
tranche's rating. These classes had loss and cash flow analysis
conducted; however, due to their pass-through structures, their
rating was adjusted or affirmed to match the rating of the
underlying tranche.
Within this review five classes are being downgraded. Three of
these classes are pass-through tranches and are being downgraded
due to their respective underlying securities being downgraded by
Fitch in the U.S. RMBS Legacy REMIC Surveillance review in March
2026. The other two classes are being downgraded due to actual
observed credit deterioration resulting in principal write-down
expectations in Fitch's base-case scenario.
Operational Risk Analysis (Neutral)
Fitch considers originator and servicer capability, third-party due
diligence results, and the transaction-specific representation,
warranty, and enforcement (RW&E) framework to derive a potential
operational risk adjustment. However, no operational risk
adjustments were made in this review.
Counterparty Risk and Credit Linkages (Positive)
All transaction parties conform with the requirements described in
the "Global Structured Finance Rating Criteria." In addition, all
legal requirements satisfied to fully de-link the transaction from
any other entities.
Rating Cap Analysis (Negative)
The rating cap analysis for the legacy and legacy Re-REMIC review
sectors were not materially impacted by the changes to the "U.S.
RMBS Rating Criteria" in October 2025, unlike RMBS 2.0 sectors and
rating actions. Re-REMIC structures, specifically ones backed by
subordinate, non-investment grade, poor performing, defaulted,
unrated or undercollateralized tranches, are typically capped at
'Asf' as noted in the "U.S. RMBS Rating Criteria."
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. The 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 sMVD. The analysis
indicates some potential rating migration lower, for example, 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. The analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated class excluding those being assigned ratings of
'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
[] Moody's Upgrades Ratings on 57 Bonds from 10 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 57 bonds from 10 US
residential mortgage-backed transactions (RMBS), backed by prime
jumbo and agency eligible mortgage loans.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2021-INV1
Cl. B-1, Upgraded to Aaa (sf); previously on Aug 2, 2024 Upgraded
to Aa1 (sf)
Cl. B-1-IO*, Upgraded to Aaa (sf); previously on Aug 2, 2024
Upgraded to Aa1 (sf)
Cl. B-1-IOW*, Upgraded to Aaa (sf); previously on Aug 2, 2024
Upgraded to Aa1 (sf)
Cl. B-1-IOX*, Upgraded to Aaa (sf); previously on Aug 2, 2024
Upgraded to Aa1 (sf)
Cl. B-1W, Upgraded to Aaa (sf); previously on Aug 2, 2024 Upgraded
to Aa1 (sf)
Cl. B-3, Upgraded to A2 (sf); previously on May 30, 2025 Upgraded
to A3 (sf)
Cl. B-3-IO*, Upgraded to A2 (sf); previously on May 30, 2025
Upgraded to A3 (sf)
Cl. B-3-IOW*, Upgraded to A2 (sf); previously on May 30, 2025
Upgraded to A3 (sf)
Cl. B-3-IOX*, Upgraded to A2 (sf); previously on May 30, 2025
Upgraded to A3 (sf)
Cl. B-3W, Upgraded to A2 (sf); previously on May 30, 2025 Upgraded
to A3 (sf)
Cl. B-4, Upgraded to Baa2 (sf); previously on May 30, 2025 Upgraded
to Baa3 (sf)
Cl. B-5, Upgraded to Ba1 (sf); previously on May 30, 2025 Upgraded
to Ba2 (sf)
Issuer: GCAT 2022-INV2 Trust
Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 20, 2024 Upgraded
to Aa3 (sf)
Cl. B-2A, Upgraded to Aa2 (sf); previously on Aug 20, 2024 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on Jun 12, 2025 Upgraded
to A2 (sf)
Cl. B-4, Upgraded to Baa1 (sf); previously on Jun 12, 2025 Upgraded
to Baa2 (sf)
Cl. B-5, Upgraded to Baa3 (sf); previously on Jun 12, 2025 Upgraded
to Ba1 (sf)
Cl. B-X-2*, Upgraded to Aa2 (sf); previously on Aug 20, 2024
Upgraded to Aa3 (sf)
Issuer: GCAT 2025-INV2 Trust
Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 12, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Jun 12, 2025 Definitive
Rating Assigned A2 (sf)
Cl. B-3, Upgraded to Baa2 (sf); previously on Jun 12, 2025
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba2 (sf); previously on Jun 12, 2025
Definitive Rating Assigned Ba3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2025-4
Cl. B-1, Upgraded to Aa2 (sf); previously on May 30, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aa2 (sf); previously on May 30, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-X*, Upgraded to Aa2 (sf); previously on May 30, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on May 30, 2025
Definitive Rating Assigned Baa2 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on May 30, 2025
Definitive Rating Assigned B1 (sf)
Issuer: Mello Mortgage Capital Acceptance 2021-INV1
Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 19, 2024 Upgraded
to A1 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Aug 19, 2024 Upgraded
to Baa1 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 12, 2025 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 19, 2024 Upgraded
to B2 (sf)
Issuer: OBX 2022-INV3 Trust
Cl. B-1, Upgraded to Aaa (sf); previously on May 28, 2025 Upgraded
to Aa1 (sf)
Cl. B-1A, Upgraded to Aaa (sf); previously on May 28, 2025 Upgraded
to Aa1 (sf)
Cl. B-2, Upgraded to Aa1 (sf); previously on May 28, 2025 Upgraded
to Aa3 (sf)
Cl. B-2A, Upgraded to Aa1 (sf); previously on May 28, 2025 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on May 28, 2025 Upgraded
to A2 (sf)
Cl. B-3A, Upgraded to A1 (sf); previously on May 28, 2025 Upgraded
to A2 (sf)
Cl. B-4, Upgraded to Baa1 (sf); previously on May 28, 2025 Upgraded
to Baa2 (sf)
Cl. B-5, Upgraded to Baa3 (sf); previously on May 28, 2025 Upgraded
to Ba2 (sf)
Cl. B-IO1*, Upgraded to Aaa (sf); previously on May 28, 2025
Upgraded to Aa1 (sf)
Cl. B-IO2*, Upgraded to Aa1 (sf); previously on May 28, 2025
Upgraded to Aa3 (sf)
Cl. B-IO3*, Upgraded to A1 (sf); previously on May 28, 2025
Upgraded to A2 (sf)
Issuer: OBX 2022-J1 Trust
Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 31, 2024 Upgraded
to A1 (sf)
Cl. B-2A, Upgraded to Aa3 (sf); previously on Jul 31, 2024 Upgraded
to A1 (sf)
Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Jul 31, 2024
Upgraded to A1 (sf)
Issuer: OBX 2023-J1 Trust
Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 31, 2024 Upgraded
to Aa3 (sf)
Cl. B-2A, Upgraded to Aa2 (sf); previously on Jul 31, 2024 Upgraded
to Aa3 (sf)
Cl. B-3, Upgraded to A1 (sf); previously on May 28, 2025 Upgraded
to A2 (sf)
Cl. B-4, Upgraded to Baa1 (sf); previously on May 28, 2025 Upgraded
to Baa2 (sf)
Cl. B-5, Upgraded to Baa3 (sf); previously on May 28, 2025 Upgraded
to Ba1 (sf)
Cl. B-X-2*, Upgraded to Aa2 (sf); previously on Jul 31, 2024
Upgraded to Aa3 (sf)
Issuer: Provident Funding Mortgage Trust 2021-1
Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 2, 2024 Upgraded
to A1 (sf)
Cl. B-4, Upgraded to Baa1 (sf); previously on May 30, 2025 Upgraded
to Baa2 (sf)
Cl. B-5, Upgraded to Baa3 (sf); previously on May 30, 2025 Upgraded
to Ba1 (sf)
Issuer: RATE Mortgage Trust 2021-J1
Cl. B-1, Upgraded to Aaa (sf); previously on Aug 12, 2024 Upgraded
to Aa1 (sf)
Cl. B-1A, Upgraded to Aaa (sf); previously on Aug 12, 2024 Upgraded
to Aa1 (sf)
Cl. B-X-1*, Upgraded to Aaa (sf); previously on Aug 12, 2024
Upgraded to Aa1 (sf)
*Reflects Interest-Only Classes.
RATINGS RATIONALE
The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pools.
Each of the transactions Moody's reviewed continues to display
strong collateral performance, with cumulative losses for each
transaction under .01% and a small percentage of loans in
delinquency. In addition, enhancement levels for most tranches have
grown significantly, as the pools amortize relatively quickly. The
credit enhancement since closing has grown, on average, 1.23x for
the non-exchangeable tranches upgraded.
In addition, while Moody's analysis applied a greater probability
of default stress on loans that have experienced modifications,
Moody's decreased that stress to the extent the modifications were
in the form of temporary payment relief.
No actions were taken on the other rated classes in these deals
because the expected losses on these bonds remain commensurate with
their current ratings, after taking into account the updated
performance information, structural features, credit enhancement
and other qualitative considerations.
Principal Methodologies
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations" published in August 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.
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 Lowers Ratings on 12 Classes From Five US CMBS to 'D (sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its ratings on 12 classes of commercial
mortgage pass-through certificates from five U.S. CMBS
transactions.
S&P said, "The downgrades on the 10 principal- and interest-paying
classes from the five transactions reflect our expectation that the
accumulated interest shortfalls will remain outstanding for the
foreseeable future. Our assessment also indicates that some of
these classes may also incur principal losses upon the eventual
liquidation of the specially serviced assets in the respective
transactions.
"The downgrade on the two interest-only (IO) certificates reflect
our criteria for rating IO securities, which state that the rating
on the IO security would not be higher than that of the
lowest-rated reference class."
The interest shortfalls are primarily due to one or more factors:
-- A nonrecoverable determination, made by the master servicer,
because of a new lower appraisal value received;
-- The appraisal subordinate entitlement reduction (ASER) amounts
in effect for specially serviced assets;
-- Special servicing fees;
-- Loan rate modifications resulting in lower interest proceeds;
and
-- Interest due on prior advances.
S&P said, "Our analysis primarily considered ASER amounts based on
appraisal reduction amounts (ARAs) calculated using recent Member
of the Appraisal Institute (MAI) appraisals. We also considered
servicer-nonrecoverable advance determinations and special
servicing fees, which in our view are likely to cause recurring
interest shortfalls."
The servicer implements ARAs and resulting ASER amounts according
to each transaction's terms. Typically, these terms call for an ARA
equal to 25% of the loan's stated principal balance to be
implemented when it is 60 days past due and an appraisal or other
valuation is not available within a specified time frame. S&P
primarily considered ASER amounts based on ARAs calculated from MAI
appraisals when deciding which classes from the affected
transactions to downgrade to 'D (sf)'. This is because ARAs based
on a principal balance haircut are highly subject to change or even
reversal once the special servicer obtains the MAI appraisals.
Servicer-nonrecoverable advance determinations can prompt
shortfalls due to a lack of debt service advancing, the recovery of
previously made advances after an asset was deemed nonrecoverable,
or the failure to advance trust expenses when non-recoverability
has been determined. Trust expenses may include, but are not
limited to, property operating expenses, property taxes, insurance
payments, and legal expenses.
WP Glimcher Mall Trust 2015-WPG
S&P said, "We lowered our ratings to 'D (sf)' on the class C
certificates and PR-1 and PR-2 loan-specific certificates from WP
Glimcher Mall Trust 2015-WPG due to accumulated interest shortfalls
that we expect will remain outstanding for the foreseeable future
as well as our assessment of the likelihood of principal losses
upon the eventual resolution of the specially serviced Pearlridge
Center loan.
"We also lowered our rating to 'D (sf)' on the class X IO
certificates based on our criteria for rating IO securities. Class
X references classes A, B, and C."
According to the March 2026 trustee remittance report, the trust
experienced current monthly interest shortfalls totaling $174,730
due primarily to an ASER amount of $174,730 after the servicer
implemented an ARA of $63.7 million on the loan. The accumulated
interest shortfalls on classes C (totaling $209,722), PR-1
($325,816), and PR-2 ($213,304) have been outstanding for four
consecutive months.
J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
S&P lowered its rating to 'D (sf)' on the class B certificates from
J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
due to accumulated interest shortfalls that we expect will remain
outstanding for the foreseeable future until the eventual
resolution of the sole remaining asset in the pool, Pecanland Mall,
which is in special servicing and is real estate owned (REO).
In July 2025, the servicer deemed the Pecanland Mall loan
nonrecoverable. As a result, according to the March 2026 trustee
remittance report, none of the certificates receives its monthly
interest distribution. The accumulated interest shortfall on class
B (totaling $48,665) has been outstanding for two consecutive
months.
GS Mortgage Securities Trust 2018-GS10
S&P said, "We lowered our ratings to 'D (sf)' on the class WLS-A,
WLS-B, WLS-C, and WLS-D loan-specific certificates from GS Mortgage
Securities Trust 2018-GS10 due to accumulated interest shortfalls
that we expect will remain outstanding for the foreseeable future
as well as our assessment of the likelihood of principal losses on
these certificates upon the eventual resolution of the specially
serviced 1000 Wilshire loan."
According to the March 2026 trustee remittance report, the trust
experienced current monthly interest shortfalls totaling $287,733
due primarily to ASERs and special servicing fees for the two loans
in special servicing. The larger of the two specially serviced
loans, 1000 Wilshire, incurred $241,313 of ASERs and $24,962 in
special servicing fees. The majority of these ASERs impacted the
loan-specific certificates that S&P lowered to 'D (sf)' for
interest shortfalls.
The accumulated interest shortfalls on classes WLS-A (totaling $
41,794), WLS-B ($82,953), WLS-C ($112,708), and WLS-D ($109,093)
have been outstanding for two consecutive months.
BFLD Trust 2020-EYP
S&P said, "We lowered our rating on the class A certificates from
BFLD Trust 2020-EYP to 'D (sf)' due to accumulated interest
shortfalls that we expect will remain outstanding for the
foreseeable future as well as our assessment of the likelihood of
principal losses upon the eventual resolution of the specially
serviced EY Plaza loan.
"We also lowered our rating on the class X-EXT IO certificates
based on our criteria for rating IO securities. Class X-EXT
references class A."
According to the March 2026 trustee remittance report, the trust
experienced current monthly interest shortfalls totaling $1,394,470
due to interest not advanced because of a nonrecoverable
determination made on the specially serviced loan. This resulted in
the non-distribution of interest to any of the certificate classes.
The accumulated interest shortfalls on class A totaled $1,748,964
and have been outstanding for four consecutive months.
BBCCRE Trust 2015-GTP
S&P said, "We lowered our rating on the class F certificates from
BBCCRE Trust 2015-GTP to 'D (sf)' due to accumulated interest
shortfalls that we expect will remain outstanding for the
foreseeable future."
According to the March 2026 trustee remittance report, class F had
accumulated interest shortfalls outstanding totaling $13,091 for 11
consecutive months. Most of the interest shortfalls occurred during
the period mentioned in the December 2025 trustee remittance
report. According to responses from the special servicer, the loan,
which transferred to special servicing on April 18, 2025, due to
maturity default, has been modified and extended to Aug. 6, 2027.
The loan returned to the master servicer on Dec. 29, 2025. The
special servicer indicated that these shortfalls were due to fees
passed to the trust by the master servicer subsequent to the loan
modification, and it is uncertain if the borrower will repay the
trust this outstanding expense. Additionally, based on S&P Global
Ratings' value of $553.2 million on the properties, class F may
incur principal loss if the borrower is unable to refinance the
loan at the modified maturity date on Aug. 6, 2027.
Ratings list
Rating
Issuer
Series Class CUSIP To From
BBCCRE Trust 2015-GTP
2015-GTP F 05490TAL6 D (sf) CCC (sf)
BFLD Trust 2020-EYP
2020-EYP A 05493AAA8 D (sf) CCC (sf)
BFLD Trust 2020-EYP
2020-EYP X-EXT 05493AAE0 D (sf) CCC (sf)
GS Mortgage Securities Trust 2018-GS10
2018-GS10 WLS-A 36250SBD0 D (sf) CCC (sf)
GS Mortgage Securities Trust 2018-GS10
2018-GS10 WLS-B 36250SBF5 D (sf) CCC (sf)
GS Mortgage Securities Trust 2018-GS10
2018-GS10 WLS-C 36250SBH1 D (sf) CCC (sf)
GS Mortgage Securities Trust 2018-GS10
2018-GS10 WLS-D 36250SBK4 D (sf) CCC (sf)
J.P. Morgan Chase Commercial Mortgage Securities Trust
2013-LC11
2013-LC11 B 46639YAV9 D (sf) CCC- (sf)
WP Glimcher Mall Trust 2015-WPG
2015-WPG C 92939VAG9 D (sf) CCC (sf)
WP Glimcher Mall Trust 2015-WPG
2015-WPG PR-1 92939VAL8 D (sf) CCC (sf)
WP Glimcher Mall Trust 2015-WPG
2015-WPG PR-2 92939VAN4 D (sf) CCC (sf)
WP Glimcher Mall Trust 2015-WPG
2015-WPG X 92939VAC8 D (sf) CCC (sf)
[] S&P Takes Various Actions on 37 Classes From 29 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 37 classes from 29 U.S.
RMBS transactions issued between 2003 and 2007. The review yielded
22 downgrades and 15 discontinuances.
A list of Affected Ratings can be viewed at:
https://tinyurl.com/mry7knyk
https://www.spglobal.com/ratings/en/regulatory/article/-/view/type/HTML/id/3539959
S&P said, "The rating actions reflect our analysis of the
transactions' interest shortfalls and/or missed interest payments
on the affected classes. We lowered our ratings in accordance with
our "S&P Global Ratings Definitions," published Dec. 16, 2025,
which imposes a maximum rating threshold on classes that have
incurred missed interest payments resulting from credit or
liquidity erosion. In applying our ratings definitions, we looked
to see if the applicable class received additional compensation
beyond the imputed interest due as direct economic compensation for
the delay in interest payments (e.g., interest on interest) and if
the missed interest payments will be repaid by the maturity date.
"In instances where the class does receive additional compensation
for outstanding interest shortfalls, our analysis considers the
likelihood that the missed interest payments, including the
capitalized interest, would be reimbursed under our various rating
scenarios. In this review, 19 classes from 15 transactions were
affected.
"In instances where the class does not receive additional
compensation for outstanding interest shortfalls, our analysis
focuses on our expectations regarding the length of the interest
payment interruptions. We lowered our ratings on three classes from
three transactions due to the interest shortfall.
"In accordance with our surveillance and withdrawal policies, we
discontinued ratings on 15 classes from 12 transactions that had
observed interest shortfalls or missed interest payments during
recent remittance periods. We had previously lowered our ratings on
these classes to 'D (sf)' because of principal losses, accumulated
interest shortfalls, missed interest payment, and/or credit related
reductions in interest due to loan modification. We view a
subsequent upgrade to a rating higher than 'D (sf)' is unlikely
under the relevant criteria within this review.
"We will continue to monitor our ratings on securities that
experience interest shortfalls and/or missed interest payments, and
we will further adjust our ratings as we consider appropriate."
[] S&P Takes Various Actions on 71 Classes From 14 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 71 classes from 14 U.S.
RMBS issued between 2021 and 2024. The review yielded 30 upgrades
and 41 affirmations.
A list of Affected Ratings Can be viewed at:
https://tinyurl.com/2ak8y9t3
https://www.spglobal.com/ratings/en/regulatory/article/-/view/type/HTML/id/3540097
Analytical Considerations
S&P said, "For each transaction, we performed a credit analysis
using updated loan-level information from which we determined
foreclosure frequency, loss severity, and loss coverage amounts
commensurate with each rating level. In addition, we used the same
mortgage operational assessment, representation and warranty, and
due diligence factors that were applied at the prior review. Our
geographic concentration factors were based on the transactions'
current pool composition.
"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." Some of these considerations may 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
The upgrades primarily reflect 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 its projected credit support on these
classes, which S&P believes are sufficient to cover our projected
losses for those rating scenarios.
*********
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liabilities delivered to nation's bankruptcy courts. The list
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The Sunday TCR delivers securitization rating news from the week
then-ending.
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the e-mail address to which your TCR is delivered to login.
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S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon,
Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.
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