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T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, June 14, 2026, Vol. 30, No. 165
Headlines
720 EAST IV: S&P Assigns BB- (sf) Rating on Class E-R Notes
ABFC ASSET 2005-WF1: Moody's Lowers Rating on 5 Tranches to Caa1
ACCESS GROUP 2004-2: Moody's Cuts Rating on 2004-2-B Notes to Ba2
AGL CLO 30: Fitch Assigns 'BB-sf' Rating on Class E Notes
ALLO ISSUER: Fitch Rates Ser 2026-1 $144MM Class C Notes 'BB-sf'
ARINI US VII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
AVIS BUDGET 2026-3: Moody's Assigns Ba2 Rating to Class D Notes
AVIS BUDGET 2026-4: Moody's Assigns Ba2 Rating to Class D Notes
BALLYROCK CLO 22: S&P Assigns BB- (sf) Rating on Class D-R Notes
BALLYROCK CLO 22: S&P Assigns Prelim BB- (sf) Rating on D-R Notes
BANK 2019-BNK16: Fitch Lowers Rating on Two Tranches to 'Csf'
BANK 2019-BNK24: DBRS Confirms BB(low) Rating on Class G Certs
BATTALION CLO IX: Moody's Cuts Rating on $28MM E-R Notes to Caa1
BATTALION CLO XXII: Moody's Cuts Rating on $16MM Cl. E Notes to B2
BENEFIT STREET XXXV: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
BIKE 2026-BAND: Moody's Assigns (P)Ba2 Rating to 2 Tranches
BRAVO RESIDENTIAL 2026-NQM5: Fitch Rates Class B2 Notes 'B-(EXP)sf'
BREAN ASSET 2026-RM16: DBRS Finalizes Bsf Rating on Class M5 Notes
BROOKHAVEN PARK: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
BRYANT PARK 2024-22: S&P Assigns (P) BB-(sf) Rating on E-R Notes
BRYANT PARK 2024-22: S&P Assigns BB-(sf) Rating on Class E-R Notes
CANYON CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
CAPITAL ONE: Fitch Affirms 'BBsf' Rating on Class 2022-1D Notes
CARMAX SELECT 2026-B: Fitch Assigns BB(EXP)sf Rating on Cl. E Debt
CBAMR 2017-2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
CHASE HOME 2026-5: DBRS Finalizes B(low) Rating on Class B-5 Certs
CHASE HOME 2026-5: Fitch Assigns B-sf Final Rating on Cl. B5 Certs
CHASE HOME 2026-6: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs
CHASE HOME 2026-J1NV1: Fitch Assigns 'B-sf' Rating on Class B5 Debt
CHASE HOME 2026-JINV1: DBRS Finalizes B(low) Rating on B-5 Certs
CITIGROUP 2017-P8: Fitch Lowers Rating on Four Classes to Csf
COMM 2014-CCRE15: DBRS Confirms Csf Rating on 2 Tranches
CVLR TRUST 2026-R3LX: Moody's Assigns (P)B2 Rating to Cl. F Certs
DRYDEN 49 SENIOR: Moody's Cuts Rating on $27MM Class E Notes to B3
DRYDEN 53 CLO: Moody's Affirms B1 Rating on $22.5MM Class E Notes
DRYDEN 98 CLO: S&P Lowers Class E Notes Rating to 'B (sf)'
DRYDEN CLO 68: Moody's Cuts Rating on $20MM Class E-R Notes to B1
DT AUTO 2023-3: S&P Affirms BB+ (sf) Rating on Class E Notes
EATON VANCE 2019-1: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes
EFMT 2026-NQM5: DBRS Finalizes Bsf Rating on $8.6MM Cl. B-2 Notes
ELMWOOD CLO 23: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes
EXETER AUTOMOBILE 2021-4: DBRS Confirmed Bsf Rating on Cl. F Debt
EXETER AUTOMOBILE 2026-3: S&P Assigns (P) B (sf) Rating on N Notes
FIGRE TRUST 2026-FL2: Moody's Assigns (P)B3 Rating to Cl. B-2 Certs
FREDDIE MAC 2026-MN14: Fitch Rates Class M-2 Notes 'BB-(EXP)sf'
GCAT 2026-NQM3: DBRS Finalizes B(low) Rating on Class B-2 Certs
GOLDENTREE LOAN 20: Fitch Assigns 'B-sf' Rating on Class F-R Notes
GS MORTGAGE 2026-NQM4: DBRS Finalizes Bsf Rating on Class B-2 Certs
GS MORTGAGE 2026-PJ7: DBRS Finalizes B(low) Rating on B-5 Notes
GS MORTGAGE 2026-PJ7: Fitch Assigns 'B-sf' Rating on Class B5 Notes
GUGGENHEIM MM 2023-6: S&P Assigns (P) BB- (sf) Rating on E-R Notes
HERTZ VEHICLE III: DBRS Finalizes BBsf Rating on Class D Notes
HOMES 2026-NQM4: S&P Assigns Prelim B (sf) Rating to B-2 Certs
ICG US 2024-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
INVESCO U.S. 2024-3: S&P Affirms BB- (sf) Rating on Class E Notes
IVY HILL XXII: S&P Assigns BB- (sf) Rating on Class E-R Notes
JP MORGAN 2026-3: DBRS Finalizes B(low) Rating on Class B-5 Certs
JP MORGAN 2026-3: Fitch Assigns 'B-sf' Final Rating on Cl. B5 Certs
JP MORGAN 2026-4MPR: Fitch Assigns 'Bsf' Rating on Class B2 Notes
JP MORGAN 2026-NQM3: DBRS Finalizes B(low) Rating on Class B-2 Cert
JPMCC MORTGAGE 2019-BROOK: Fitch Affirms 'CCCsf' Rating on F Certs
JPMDB COMMERCIAL 2017-C7: Fitch Lowers Rating on F-RR Debt to 'Csf'
KEYCORP STUDENT 2006-A: Moody's Lowers Rating on 2 Tranches to Ba2
KRR CLO 29: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes
LENDINGCLUB RATED 2025-P1: Fitch Affirms Bsf Rating on Cl. F Notes
LONG TRUST 2026-ISL: Moody's Assigns (P)B3 Rating to Cl. F Certs
MADISON PARK LXIX: Fitch Affirms 'BB+sf' Rating on Class E Notes
MADISON PARK LXXIV: Fitch Assigns 'BB+sf' Rating on Class E Notes
MADISON PARK XXXIX: S&P Affirms B- (sf) Rating on Class E Notes
MAGNETITE XVII: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes
MLTI TRUST 2026-MLTI: S&P Assigns (P) BB(sf) Rating on HRR-10 Cert
MORGAN STANLEY 2026-NQM5: DBRS Hikes Rating on B-2 Debt to Bsf
MORGAN STANLEY 2026-NQM6: Moody's Assigns (P)Ba3 Rating to B1 Certs
NATL COMMERCIAL 2026-IND: Moody's Assigns B2 Rating to HRR Certs
NEUBERGER BERMAN 39: Fitch Affirms 'BB-sf' Rating on Cl. E-R Notes
NEUBERGER BERMAN 54: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
NYMT LOAN 2026-INV3: S&P Assign B- (sf) Rating on Class B-2 Notes
OAKTREE CLO 2024-25: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
OBX 2026-R2: S&P Assigns B- (sf) Rating on Class B-2 Notes
OCEAN TRAILS XVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
OCP CLO 2024-32: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
OCTAGON 54 LTD: Moody's Cuts Rating on $25MM Class E Notes to B3
OCTAGON INVESTMENT 26: Moody's Cuts Rating on $10MM F-R Notes to C
OCTAGON INVESTMENT 34: Moody's Cuts Rating on Cl. E-1 Notes to Caa1
OFSI BSL IX: S&P Lowers Class E Notes Rating to 'CCC+ (sf)'
OFSI BSL XIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
ONITY LOAN 2026-HB2: DBRS Finalizes Bsf Rating on Class M5 Notes
PMT LOAN 2026-J3: Moody's Assigns B3 Rating to Cl. B-5 Certs
PROVIDENT FUNDING 2026-2: Moody's Assigns (P)B2 Rating to B-5 Certs
RED VENTURES: Fitch Affirms 'B+' LongTerm IDR, Outlook Stable
ROCKFORD TOWER 2019-2: Moody's Affirms Ba3 Rating on Class E Notes
RR 5: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes, Outlook Stable
SEQUOIA MORTGAGE 2026-6: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs
SEQUOIA MORTGAGE 2026-7: Fitch Assigns B(EXP)sf Rating on B5 Certs
SEQUOIA MORTGAGE 2026-HYB2: Fitch Rates Class B2 Certs 'B-(EXP)'
SG RESIDENTIAL 2026-4: S&P Assigns (P) B- (sf) Rating on B-2 Certs
SOUND POINT XX: Moody's Cuts Rating on $40MM Class E Notes to Caa1
SPLITERO TRUST 2026-1: DBRS Finalizes Bsf Rating on 2 Tranches
SYMPHONY CLO 43: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
TRIMARAN CAVU 2026-1: S&P Assigns BB- (sf) Rating on Class E Notes
VENTURE XXIII CLO: Moody's Cuts Rating on Class E-R2 Notes to Caa1
VERDE CLO: Moody's Affirms B1 Rating on $23.7MM Class E-R Notes
VERUS SECURITIZATION 2026-5: DBRS Gives (P)Bsf Rating on B-2 Notes
VERUS SECURITIZATION 2026-R5: Fitch Rates Class B-2 Notes 'B-sf'
VIBRANT CLO XVI: Fitch Assigns 'BB-sf' Rating on Class D-R Notes
VOYA CLO 2017-1: Moody's Affirms Ba3 Rating on $20MM Class D Notes
WARWICK CAPITAL 3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
WELLS FARGO 2017-RB1: Fitch Lowers Rating on Five Tranches to 'Csf'
WESTLAKE AUTOMOBILE 2022-2: DBRS Confirms B(high) on Class F Notes
[] DBRS Confirms Ratings on 6 Single-Asset/Single-Borrower Deals
[] DBRS Cuts & Discontinues Ratings on 4 Classes on 3 CBMS Deals
[] DBRS Reviews 51 Classes Across 10 US RMBS Deals
[] Moody's Upgrades Ratings on 4 Bonds from 4 US RMBS Deals
[] Moody's Upgrades Ratings on 49 Bonds from 10 US RMBS Deals
[] S&P Takes Various Actions on 31 Classes From 25 US RMBS Deals
*********
720 EAST IV: 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-1-R, D-2-R, and E-R debt from 720 East
CLO IV Ltd./720 East CLO IV LLC, a CLO managed by Northwestern
Mutual Investment Management Company LLC that was originally issued
in March 2024. At the same time, S&P withdrew its ratings on the
previous class A-1, A-2, B, C, D, and E debt following payment in
full on the June 9, 2026, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-R, C-R, and E-R debt was
issued at a lower spread over three-month CME term SOFR than the
existing debt.
-- The replacement class D-1-R and D-2-R debt replaced the
previous class D debt, with the class D-1-R debt being senior to
class D-2-R debt.
-- The non-call period was extended to June 9,2028.
-- The reinvestment period was extended to July 15,2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to July 15, 2039.
-- No additional assets were purchased on the June 9,2026,
refinancing date, and the target initial par amount remains at $450
million. There was no additional effective date or ramp-up period,
and the first payment date following the refinancing is Oct. 15,
2026.
-- No additional subordinated notes were issued on the refinancing
date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each 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."
Ratings Assigned
720 East CLO IV Ltd./720 East CLO IV LLC
Class A-1-R, $288.00 million: AAA (sf)
Class A-2-R, $18.00 million: AAA (sf)
Class B-R, $36.00 million: AA (sf)
Class C-R (deferrable), $27.00 million: A (sf)
Class D-1-R (deferrable), $27.00 million: BBB- (sf)
Class D-2-R (deferrable), $4.50 million: BBB- (sf)
Class E-R (deferrable), $13.50 million: BB- (sf)
Ratings Withdrawn
720 East CLO IV Ltd./720 East CLO IV LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
720 East CLO IV Ltd./720 East CLO IV LLC
Subordinated notes, $44.65 million: NR
NR--Not rated.
ABFC ASSET 2005-WF1: Moody's Lowers Rating on 5 Tranches to Caa1
----------------------------------------------------------------
Moody's Ratings has downgraded the ratings of five bonds issued by
ABFC Asset Backed Certificates, Series 2005-WF1. The collateral
backing this deal consists of subprime mortgages.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: ABFC Asset Backed Certificates, Series 2005-WF1
Cl. M-5, Downgraded to Caa1 (sf); previously on Jun 9, 2020
Downgraded to Ba2 (sf)
Cl. M-6, Downgraded to Caa1 (sf); previously on Oct 24, 2019
Downgraded to B1 (sf)
Cl. M-7, Downgraded to Caa1 (sf); previously on Oct 24, 2019
Downgraded to B1 (sf)
Cl. M-8, Downgraded to Caa1 (sf); previously on Oct 16, 2018
Upgraded to B1 (sf)
Cl. M-9, Downgraded to Caa1 (sf); previously on Oct 21, 2024
Upgraded to B2 (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Each of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
The rating downgrades are the result of outstanding credit interest
shortfalls that are unlikely to be recouped. Each of the downgraded
bonds has a weak interest recoupment mechanism where missed
interest payments will likely result in a permanent interest loss.
Unpaid interest owed to bonds with weak interest recoupment
mechanisms are reimbursed sequentially based on bond priority, from
excess interest, if available, and often only after the
overcollateralization has built to a pre-specified target amount.
In transactions where overcollateralization has already been
reduced or depleted due to poor performance, any such missed
interest payments to these bonds is unlikely to be repaid. The size
and length of the outstanding interest shortfalls were considered
in Moody's analysis.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
ACCESS GROUP 2004-2: Moody's Cuts Rating on 2004-2-B Notes to Ba2
-----------------------------------------------------------------
Moody's Ratings has downgraded two tranches of notes issued by
Access Group, Inc. Series 2004-2. The securitizations are backed by
student loans originated under the Federal Family Education Loan
Program (FFELP) that are guaranteed by the US government for a
minimum of 97% of defaulted principal and accrued interest.
Issuer: Access Group, Inc. Series 2004-2
2004-2-A-5, Downgraded to A2; previously on Aug 12, 2025 Upgraded
to A1
2004-2-B, Downgraded to Ba2; previously on Dec 19, 2023 Downgraded
to Ba1
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 driven by the updated performance
of the transaction and updated expected loss on the tranches across
Moody's scenarios. Moody's quantitative analysis derives the
expected loss of the tranche using 28 cash flow scenarios with
weights accorded to each scenario.
The downgrade actions are a result of Moody's analysis indicating
that the notes will not pay off by the final maturity date in some
of Moody's 28 cash flow scenarios, thus causing the note to incur
an expected loss that is higher than the expected loss benchmarks
set in Moody's idealized loss tables for the current rating.
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 and credit enhancement.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "FFELP Student
Loan Securitizations" published in June 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Because the DOE guarantees at least 97% of principal and accrued
interest on defaulted loans, Moody's could upgrade the rating of
the bonds if Moody's were to upgrade the rating on the United
States government. Moody's could upgrade the ratings if the paydown
speed of the loan pool increases as a result of declining borrower
usage of deferment, forbearance and IBR, increasing voluntary
prepayment rates, or prepayments with proceeds from sponsor
repurchases of student loan collateral. Moody's could also upgrade
the ratings owing to a build-up in credit enhancement.
Down
Moody's could downgrade the rating of the bonds if Moody's were to
downgrade the rating on the United States government. Further,
Moody's could downgrade the ratings if the paydown speed of the
loan pool declines as a result of lower than expected voluntary
prepayments, and higher than expected deferment, forbearance and
IBR rates, which would threaten full repayment of the class by its
final maturity date. Moody's could also downgrade the ratings owing
to a reduction in credit enhancement.
AGL CLO 30: Fitch Assigns 'BB-sf' Rating on Class E Notes
---------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO
30 Ltd. refinancing notes. Fitch has also affirmed the class E note
with a Stable Rating Outlook.
Entity/Debt Rating Prior
----------- ------ -----
AGL CLO 30 Ltd.
A-1R LT NRsf New Rating
A-2 00120VAC0 LT PIFsf Paid In Full AAAsf
A-2R LT AAAsf New Rating
B 00120VAE6 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 00120VAG1 LT PIFsf Paid In Full Asf
C-R LT A+sf New Rating
D 00120VAJ5 LT PIFsf Paid In Full BBB-sf
D-1R LT BBB+sf New Rating
D-2R LT BBB+sf New Rating
E 00120YAA8 LT BB-sf Affirmed BB-sf
Transaction Summary
AGL CLO 30 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by AGL CLO Credit
Management LLC. The original CLO, which closed in March 2024, was
rated by Fitch. On June 4, 2026, the class A through D notes will
be redeemed in full from refinancing proceeds. The secured and
subordinated notes will provide financing on a portfolio of
approximately $400 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B+'/'B', which is in line with that of
recent CLOs. The weighted average rating factor (WARF) of the
indicative portfolio is 22.98, versus a maximum covenant, in
accordance with the initial expected matrix point of 26. Issuers
rated in the 'B' rating category denote a highly speculative credit
quality; however, the notes benefit from appropriate credit
enhancement and standard U.S. CLO structural features.
Asset Security (Positive): The indicative portfolio consists of
99.82% first lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 73.6% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.1%.
Portfolio Composition (Neutral): 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 (Positive): 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 (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio and matrices analysis is up to 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.
FITCH ANALYSIS
The portfolio includes 478 assets from 408 primarily high yield
obligors. In Fitch's view, 0.4% of the portfolio consists of assets
that are rated 'CC' or below. The portfolio balance (excluding
defaults and including principal cash) is approximately -$1.4
million. As of the latest trustee report prior to the refinance
date, the transaction was not passing its Minimum Floating Spread
and Weighted Average Rating Factor tests. All other collateral
quality tests, coverage tests, and concentration limitations were
passing. The weighted average rating of the current portfolio is
'B+'/'B'.
Fitch has an explicit rating, credit opinion or private rating for
41.7% of the current portfolio par balance; ratings for 57.9% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map and 0.5% were unrated. As per Fitch's criteria, the
analysis focused on the Fitch stressed portfolio (FSP) for the
refinancing notes and on the indicative portfolio for the
non-refinanced notes, if any.
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: 17.5%, 15.0% and 12.0%, respectively;
- Assumed risk horizon: Six years;
- Minimum weighted average spread of 3.00%;
- Minimum weighted average recovery rate of 63.30%;
- Maximum weighted average rating factor of 24.00;
- Fixed-rate assets: 5.00%;
- Minimum weighted average coupon of 7.00%.
The transaction will exit its reinvestment period on April 21,
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 A-2R: 'AAAsf' / Default 41.10% / Recovery 39.42% / Cushion
15.00%;
- Class B-R: 'AAsf' / Default 38.50% / Recovery 48.83% / Cushion
14.10%;
- Class C-R: 'A+sf' / Default 35.40% / Recovery 58.76% / Cushion
16.50%;
- Class D1-R: 'BBB+sf' / Default 29.70% / Recovery 68.69% / Cushion
20.20%;
- Class D2-R: 'BBB+sf' / Default 29.70% / Recovery 68.69% / Cushion
16.70%;
- Class E: 'BB-sf' / Default 22.00% / Recovery 73.64% / Cushion
13.70%;
FSP Model Outputs:
- Class A-2R: 'AAAsf' / Default 48.40% / Recovery 33.30% / Cushion
2.20%;
- Class B-R: 'AAsf' / Default 45.20% / Recovery 38.30% / Cushion
0.00%;
- Class C-R: 'A+sf' / Default 41.60% / Recovery 48.30% / Cushion
2.40%;
- Class D1-R: 'BBB+sf' / Default 35.30% / Recovery 58.30% / Cushion
7.00%;
- Class D2-R: 'BBB+sf' / Default 35.30% / Recovery 58.30% / Cushion
4.20%;
- Class E: 'BB-sf' / Default 26.30% / Recovery 63.30% / Cushion
3.90%;
The initial matrix has been updated to conform with Fitch's current
criteria.
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 'BBBsf' 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, 'AA+sf' 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 AGL CLO 30 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.
ALLO ISSUER: Fitch Rates Ser 2026-1 $144MM Class C Notes 'BB-sf'
----------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
ALLO Issuer, LLC, Secured Fiber Network Revenue Notes, Series
2026-1 as follows;
- $613.7 million 2026-1 class A-2 'Asf'; Outlook Stable;
- $66.7 million(a) 2026-1 class B 'BBBsf'; Outlook Stable;
- $144.0 million(a) 2026-1 class C 'BB-sf'; Outlook Stable.
Fitch does not rate the following class:
- $43.4 million(b) 2026-1 class R 'NRsf'.
(a) The class B and C notes include $20.0 million of prefunding.
Fitch's expected ratings consider the range of prefunding amounts
that may be issued in connection with the transaction.
(b) Horizontal credit risk retention interest representing 5% of
the 2026-1 notes.
Fitch has also affirmed the ratings for ALLO Issuer, LLC, Series
2023-1, 2024-1, and 2025-1.
Entity/Debt Rating Prior
----------- ------ -----
ALLO Issuer, LLC Secured
Fiber Network Revenue
Notes, Series 2025-1
Class A-2 01983KAN4 LT Asf Affirmed Asf
Class B 01983KAQ7 LT BBBsf Affirmed BBBsf
Class C 01983KAS3 LT BB-sf Affirmed BB-sf
ALLO Issuer, LLC Secured
Fiber Network Revenue
Notes, Series 2024-1
Class A-2 01983KAG9 LT Asf Affirmed Asf
Class B 01983KAH7 LT BBBsf Affirmed BBBsf
Class C 01983KAJ3 LT BB-sf Affirmed BB-sf
ALLO Issuer, LLC,
Secured Fiber Network
Revenue Notes,
Series 2026-1
Class A-2 01983KAU8 LT Asf New Rating A(EXP)sf
Class B 01983KAW4 LT BBBsf New Rating BBB(EXP)sf
Class C 01983KAY0 LT BB-sf New Rating BB-(EXP)sf
Class R LT NRsf New Rating NR(EXP)sf
ALLO Issuer, LLC
Secured Fiber Network
Revenue Notes,
Series 2023-1
Class A-1-L LT Asf Affirmed Asf
Class A-1-V LT Asf Affirmed Asf
Transaction Summary
The Series 2026-1 transaction is a securitization of the contract
payments derived from an existing fiber to the home (FTTH) network.
Debt is secured by the net revenue of operations and benefits from
a perfected security interest in the underlying assets, which
include conduits, cables, network-level equipment, access rights,
customer contracts, transaction accounts and an equity pledge from
the asset entities.
The collateral includes high-quality fiber lines providing
internet, cable and telephone services to a network of
approximately 210,120 retail customers located across 39 markets in
Nebraska, Arizona and Colorado. Approximately 45.2% of annualized
run rate revenue (ARRR) is located in Lincoln, NE, with 87.6% of
ARRR attributable to markets in the state of Nebraska.
Since the 2025-1 issuance of notes, 12 additional issuer-defined
markets have been included in the trust. The additional collateral
comprises 8.1% of transaction revenue and passes over 91,358
locations with a weighted average (WA) penetration rate of
approximately 17.6%, compared to the WA penetration of 40% for all
contributed markets.
Transaction proceeds will be utilized to pay down the outstanding
balance of the series 2023-1 A-1-V and fund the series 2025-1
prefunding account and applicable securitization transaction
reserves. The proceeds will also be used to pay transaction fees
and for general corporate purposes, which may include a
distribution to the parent for growth capital expenditures. A
cashout dividend is not expected.
The ratings reflect a structured finance analysis of the cash flows
from the ownership interest in the underlying fiber optic network,
not an assessment of the corporate default risk of the ultimate
parent, ALLO Communications LLC.
KEY RATING DRIVERS
Net Cash Flow and Trust Leverage: Fitch's net cash flow (NCF) on
the pool is $117.8 million in the base case, implying a 13.9%
haircut to issuer base case NCF as of March 2026. The debt multiple
relative to Fitch's NCF on the rated classes is 10.2x in this
scenario, versus the debt/issuer NCF leverage of 8.8x.
Including the prefunding and the cash flow required to draw on the
maximum variable funding note (VFN) commitment of $150 million, the
Fitch NCF on the pool is $138.2 million, implying a 14.2% haircut
to issuer NCF. The debt multiple relative to Fitch's NCF on the
rated classes is 10.0x, compared with the debt/issuer NCF leverage
of 8.5x.
Credit Risk Factors: The major factors affecting Fitch's
determination of cash flow and maximum potential leverage (MPL)
include the high quality of the underlying collateral networks,
scale of the network, market concentration, the market position of
the sponsor, capability of the operator, higher barriers to entry
and strength of the transaction structure.
Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for digital infrastructure, the senior classes of
this transaction do not achieve ratings above 'Asf'. The securities
have a rated final payment date 30 years after closing, and the
long-term tenor of the securities increases the risk that an
alternative technology will be developed that renders obsolete the
current transmission of data through fiber optic cables. Fiber
optic cable networks are currently the fastest and most reliable
means to transmit information, and data providers continue to
invest in and utilize this technology.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Declining cash flow as a result of higher expenses, contract
churn, contract amendments or the development of an alternative
technology for the transmission of data could lead to downgrades;
- Fitch's base case NCF is 13.9% below the issuer's underwritten
cash flow. A further 10% decline in Fitch's NCF indicates the
following ratings based on Fitch's determination of MPL: class A-2
to 'BBBsf' from 'Asf', class B to 'BB+sf' from 'BBBsf', and class C
to 'Bsf from 'BB-sf''.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Increasing cash flow without an increase in corresponding debt
from rate increases, additional contracts, contract amendments, or
expense reductions could lead to upgrades;
- A 10% increase in Fitch's base case NCF indicates the following
ratings based on Fitch's determination of MPL: class A-2 to 'Asf'
from 'Asf', class B to 'Asf' from 'BBBsf', and class C to 'BB+sf'
from 'BB-sf';
- Upgrades are unlikely for these transactions given the provision
for the issuer to issue additional notes, which rank pari passu or
subordinate to existing notes, without the benefit of additional
collateral. In addition, the transaction is capped in the 'Asf'
category, given the risk of technological obsolescence.
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.
ARINI US VII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Arini US CLO
VII Ltd./Arini US CLO VII LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Arini Loan Management US LLC.
The preliminary ratings are based on information as of June 8,
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 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."
Preliminary Ratings Assigned
Arini US CLO VII Ltd./Arini US CLO VII LLC
Class A, $256.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D (deferrable), $24.00 million: BBB- (sf)
Class E (deferrable), $16.00 million: BB- (sf)
Subordinated notes, $34.50 million: NR
NR--Not rated.
AVIS BUDGET 2026-3: Moody's Assigns Ba2 Rating to Class D Notes
---------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to the 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 2026-3
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 2026-3
Series 2026-3 Rental Car Asset Backed Notes, Class A, Definitive
Rating Assigned Aaa (sf)
Series 2026-3 Rental Car Asset Backed Notes, Class B, Definitive
Rating Assigned A2 (sf)
Series 2026-3 Rental Car Asset Backed Notes, Class C, Definitive
Rating Assigned Baa3 (sf)
Series 2026-3 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The definitive ratings on the series 2026-3 notes are 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.
In addition, the assumptions Moody's applied in the analysis of
this transaction are the same as those applied in the analysis of
the series 2026-1 transaction. Some of the key assumptions Moody's
applied in its quantitative analysis of these transactions are
provided in the Avis Budget Rental Car Funding (AESOP) LLC, Series
2026-3 pre-sale report. Detailed application of the assumptions is
provided in the methodology.
The total credit enhancement requirement for the series 2026-3
notes will be dynamic and 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 Moody's, (2) 8.50% for all other program vehicles, (3) 13.80%
minimum for non-program (risk) vehicles and (4) 35.70% for medium
and heavy duty trucks, in each case, as a percentage of the
outstanding note balance. The actual required amount of credit
enhancement will fluctuate based on the mix of vehicles in the
securitized fleet. 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. The class A, B, and C notes will also
benefit from subordination of 27.0%, 17.5% and 11.0% of the
outstanding balance of the series 2026-3 notes, respectively. The
series 2026-3 notes will have an expected final maturity of
approximately 46 months, longer than the 36 months for prior series
of notes issued by the issuer.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings of the series 2026-3 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 2026-3 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.
AVIS BUDGET 2026-4: Moody's Assigns Ba2 Rating to Class D Notes
---------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to the 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 2026-4
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 2026-4
Series 2026-4 Rental Car Asset Backed Notes, Class A, Definitive
Rating Assigned Aaa (sf)
Series 2026-4 Rental Car Asset Backed Notes, Class B, Definitive
Rating Assigned A2 (sf)
Series 2026-4 Rental Car Asset Backed Notes, Class C, Definitive
Rating Assigned Baa3 (sf)
Series 2026-4 Rental Car Asset Backed Notes, Class D, Definitive
Rating Assigned Ba2 (sf)
RATINGS RATIONALE
The definitive ratings on the series 2026-4 notes are 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.
In addition, the assumptions Moody's applied in the analysis of
this transaction are the same as those applied in the analysis of
the series 2026-2 transaction. Some of the key assumptions Moody's
applied in its quantitative analysis of these transactions are
provided in the Avis Budget Rental Car Funding (AESOP) LLC, Series
2026-4 pre-sale report. Detailed application of the assumptions is
provided in the methodology.
The total credit enhancement requirement for the series 2026-4
notes will be dynamic and 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 Moody's, (2) 8.50% for all other program vehicles, (3) 14.00%
minimum for non-program (risk) vehicles and (4) 35.70% for medium
and heavy duty trucks, in each case, as a percentage of the
outstanding note balance. The actual required amount of credit
enhancement will fluctuate based on the mix of vehicles in the
securitized fleet. 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. The class A, B, and C notes will also
benefit from subordination of 27.0%, 17.5% and 11.0% of the
outstanding balance of the series 2026-4 notes, respectively. The
series 2026-4 notes will have an expected final maturity of
approximately 66 months, longer than the 60 months for prior series
of notes issued by the issuer.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Rental Vehicle
Securitizations" published in June 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings of the series 2026-4 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 2026-4 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 22: S&P Assigns BB- (sf) Rating on Class D-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt from Ballyrock CLO 22
Ltd./Ballyrock CLO 22 LLC, a CLO managed by Ballyrock Investment
Advisors LLC, a subsidiary of Fidelity Management & Research Co.
LLC, that was originally issued in May 2024. At the same time, S&P
withdrew its ratings on the previous class A-1a, A-1b, A-2, B, C,
and D debt following payment in full on the June 11, 2026,
refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-2-R, B-R, and D-R were issued at a
lower spread over three-month CME term SOFR than the existing
debt.
-- The replacement class A-1-R debt replaced the previous class
A-1a and A-1b debt.
-- The replacement class C-1-R and C-2-R debt replaced the
previous class C debt, with the class C-1-R debt being senior to
the class C-2-R debt.
-- The non-call period was extended to July 15, 2028.
-- The reinvestment period was extended to July 15, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to July 15, 2039.
-- An additional $10.93 million in subordinated notes was 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."
Ratings Assigned
Ballyrock CLO 22 Ltd./Ballyrock CLO 22 LLC
Class A-1-R, $304.00 million: AAA (sf)
Class A-2-R, $57.00 million: AA (sf)
Class B-R (deferrable), $28.50 million: A (sf)
Class C-1-R (deferrable), $28.50 million: BBB- (sf)
Class C-2-R (deferrable), $4.75 million: BBB- (sf)
Class D-R (deferrable), $14.25 million: BB- (sf)
Ratings Withdrawn
Ballyrock CLO 22 Ltd./Ballyrock CLO 22 LLC
Class A-1a to NR from 'AAA (sf)'
Class A-1b to NR from 'AAA (sf)'
Class A-2 to NR from 'AA (sf)'
Class B to NR from 'A (sf)'
Class C (deferrable) to NR from 'BBB- (sf)'
Class D (deferrable) to NR from 'BB- (sf)'
Other Debt
Ballyrock CLO 22 Ltd./Ballyrock CLO 22 LLC
Subordinated notes, $57.45 million: NR
NR--Not rated.
BALLYROCK CLO 22: S&P Assigns Prelim BB- (sf) Rating on D-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt
from Ballyrock CLO 22 Ltd./Ballyrock CLO 22 LLC, a CLO managed by
Ballyrock Investment Advisors LLC, a subsidiary of Fidelity
Management & Research Co. LLC, that was originally issued in May
2024.
The preliminary ratings are based on information as of June 5,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the June 11, 2026, refinancing date, the proceeds from the
replacement debt will be used to redeem the existing debt. S&P
said, "At that time, we expect to withdraw our ratings on the
existing class A-1a, A-1b, A-2, B, C, and D debt and assign ratings
to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R
debt. However, if the refinancing doesn't occur, we may affirm our
ratings on the existing debt and withdraw our preliminary ratings
on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-2-R, B-R, and D-R are expected to be
issued at a lower spread over three-month CME term SOFR than the
existing debt.
-- The replacement class A-1-R debt is replacing the existing
class A-1a and A-1b debt.
-- The replacement class C-1-R and C-2-R debt is replacing the
existing class C debt, with the class C-1-R debt being senior to
the class C-2-R debt.
-- The non-call period will be extended to July 15, 2028.
-- The reinvestment period will be extended to July 15, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to July 15, 2039.
-- 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
Ballyrock CLO 22 Ltd./Ballyrock CLO 22 LLC
Class A-1-R, $304.00 million: AAA (sf)
Class A-2-R, $57.00 million: AA (sf)
Class B-R (deferrable), $28.50 million: A (sf)
Class C-1-R (deferrable), $28.50 million: BBB- (sf)
Class C-2-R (deferrable), $4.75 million: BBB- (sf)
Class D-R, $14.25 million: BB- (sf)
Other Debt
Ballyrock CLO 22 Ltd./Ballyrock CLO 22 LLC
Subordinated notes, $57.45 million: NR
NR--Not rated.
BANK 2019-BNK16: Fitch Lowers Rating on Two Tranches to 'Csf'
-------------------------------------------------------------
Fitch Ratings has downgraded 10 and affirmed six classes of BANK
2019-BNK16 Commercial Mortgage Pass-Through Certificates Series
2019-BNK16. Classes B, C, D, E, X-B, and X-D were assigned Negative
Rating Outlooks following their downgrades. The Outlook on class
A-S remains Negative.
Fitch has also affirmed 17 classes of Benchmark 2020-B19 Mortgage
Trust (BMARK 2020-B19). The Outlooks for classes A-S, B, C, X-A,
and X-B were revised to Stable from Negative. The Outlooks for
classes D, E, F, X-D, and X-F remain Negative.
Entity/Debt Rating Prior
----------- ------ -----
BANK 2019-BNK16
A-2 065405AB8 LT AAAsf Affirmed AAAsf
A-3 065405AD4 LT AAAsf Affirmed AAAsf
A-4 065405AE2 LT AAAsf Affirmed AAAsf
A-S 065405AF9 LT AAAsf Affirmed AAAsf
A-SB 065405AC6 LT AAAsf Affirmed AAAsf
B 065405AG7 LT A-sf Downgrade AA-sf
C 065405AH5 LT BBB-sf Downgrade A-sf
D 065405AL6 LT BB-sf Downgrade BBBsf
E 065405AN2 LT B-sf Downgrade BB-sf
F 065405AQ5 LT CCsf Downgrade CCCsf
G 065405AS1 LT Csf Downgrade CCsf
X-A 065405AJ1 LT AAAsf Affirmed AAAsf
X-B 065405AK8 LT BBB-sf Downgrade A-sf
X-D 065405AY8 LT B-sf Downgrade BB-sf
X-F 065405BA9 LT CCsf Downgrade CCCsf
X-G 065405BC5 LT Csf Downgrade CCsf
BMARK 2020-B19
A-2 08162WAZ9 LT AAAsf Affirmed AAAsf
A-3 08162WBA3 LT AAAsf Affirmed AAAsf
A-4 08162WBB1 LT AAAsf Affirmed AAAsf
A-5 08162WBC9 LT AAAsf Affirmed AAAsf
A-AB 08162WBD7 LT AAAsf Affirmed AAAsf
A-S 08162WBE5 LT AAAsf Affirmed AAAsf
B 08162WBG0 LT AA-sf Affirmed AA-sf
C 08162WBH8 LT A-sf Affirmed A-sf
D 08162WBJ4 LT BBBsf Affirmed BBBsf
E 08162WAA4 LT BBB-sf Affirmed BBB-sf
F 08162WAC0 LT Bsf Affirmed Bsf
G 08162WAE6 LT CCCsf Affirmed CCCsf
X-A 08162WBF2 LT AAAsf Affirmed AAAsf
X-B 08162WAJ5 LT A-sf Affirmed A-sf
X-D 08162WAL0 LT BBB-sf Affirmed BBB-sf
X-F 08162WAN6 LT Bsf Affirmed Bsf
X-G 08162WAQ9 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses for
BANK 2019-BNK16 have increased significantly since Fitch's prior
rating action to 9.5% compared to 6.2% at the prior rating action.
For BMARK 2020-B19, losses have increased moderately to 4.9% from
4.5% at the prior rating action. The BANK 2019-BNK16 transaction
includes seven Fitch Loans of Concern (FLOCs; 21.7% of the pool),
including four specially serviced loans (9.7%). The BMARK 2020-B19
transaction has seven FLOCs (17.3%), including three loans (6.8%)
in special servicing.
BANK 2019-BNK16: The downgrades on classes B, C, D, E, F, G, X-B,
X-D, X-F, and X-G reflect increased pool loss expectations since
Fitch's prior rating action, primarily driven by higher expected
losses on the largest loan in the transaction, One AT&T Center
(FLOC; 8.2%). The increased loss expectations reflect the single
tenant's planned headquarters relocation and that it may vacate the
property. In addition, pool loss expectations reflect elevated
losses and increasing total loan exposure for the two specially
serviced Regions Tower (FLOC; 4.9%) and US Bank Centre (FLOC; 3.5%)
office loans.
The Negative Outlooks in BANK 2019-BNK16 reflect the potential for
further downgrades without performance stabilization or with
additional valuation declines of the aforementioned FLOCs, most
notably for the One AT&T Center loan. Although the loan remains
current, downgrades are possible due to potential valuation
declines due to the pending vacancy, challenges to stabilization
and increasing headwinds in the downtown Dallas office market.
BMARK 2020-B19: The affirmations and Outlook revisions for classes
A-S, B, C, X-A and X-B in BMARK 2020-B19 reflect generally stable
performance since Fitch's prior rating action and increased credit
enhancement. The Negative Outlooks reflect continued performance
deterioration and lack of stabilization of the FLOCs, particularly
three specially serviced office loans, Bridgewater Place (3.9%),
Peninsula Town Center (1.7%), and Brass Professional Center
(1.2%).
Largest Loss Contributors: The largest contributor to overall loss
expectations in BANK 2019-BNK16 is the One AT&T Center (8.2%) loan,
which is secured by a 965,800-sf office building located in Dallas,
TX. The loan is designated as a FLOC due to heightened refinance
risk stemming from reports that AT&T will vacate the subject
property. Media reports indicate construction is underway on a new
AT&T headquarters campus in Plano, TX and employee relocations
could begin as early as 2028. AT&T's lease runs through December
2031, which is three years beyond loan maturity in January 2029.
The lease is guaranteed by AT&T Inc, which is rated 'BBB+'/Rating
Watch Negative as of January 2026.
Fitch's 'Bsf' rating case loss of 30.8% (prior to a concentration
adjustment) reflects a 10% cap rate and a 25% stress to the YE 2024
NOI. Fitch also applied an increased probability of default due to
the heightened maturity default risk. This results in a Fitch
stressed value of $122 psf which is in line with Fitch's dark value
of $117 psf at issuance and with comparable recent appraised values
in the submarket. The Negative Outlooks reflect the potential for
further valuation declines.
The second-largest contributor to overall loss expectations in BANK
2019-BNK16 is the US Bank Centre loan (3.5%), which is secured by a
255,927-sf office building located in the CBD of Cleveland, OH. The
loan transferred to special servicing in June 2024 due to imminent
monetary default. A receiver was appointed in March 2025, and sale
of the property is expected in the 4Q26 or 1Q27. Major tenants
include Cohen & Company, Ltd (14.5% of NRA, leased through July
2034), Transdigm (10.1%, July 2034), and Barnes Wendling CPAs, Inc
(5.6%, September 2028).
Property occupancy was 63.7% as of the March 2026 rent roll,
compared with 64.3% as of YE 2025, 74.0% at March 2024, unchanged
from YE 2023, 89.4% at YE 2022 and 89.6% at YE 2021. Occupancy
declined due to former major tenant U.S. Bank (previously 11.0% of
NRA) and Bricker Graydon LLP (previously 2.0% of NRA) vacating upon
lease expiry in July 2024. GCA Services Group (previously 12.7% of
NRA) also vacated the property upon lease expiry in January 2024;
however, a significant portion of that space was backfilled by
Transdigm (10.1% of NRA) on a lease through July 2034. Near-term
lease rollover includes 4.4% of NRA in 2026 across two leases and
7.6% in 2027 across three leases.
Per CoStar, the property lies within the Cleveland CBD office
submarket. As of 1Q26, submarket asking rents averaged $22.18 psf
and the submarket vacancy rate was 15.6%. Fitch's 'Bsf' rating case
loss of 68.8% (prior to a concentration adjustment) is based on a
stress to the most recent (November 2024) appraisal valuation,
reflecting a stressed value of approximately $56 psf.
The third-largest contributor to overall loss expectations in BANK
2019-BNK16 is the Regions Tower loan (4.9%), which is secured by a
687,237-sf office building located in the CBD of Indianapolis, IN.
The loan transferred to special servicing in August 2023 due to
imminent monetary default ahead of the loan's October 2023
scheduled maturity. According to the special servicer, a receiver
is leasing up the property with two leasing opportunities in the
near term, after which, there will be a planned liquidation through
the receiver.
Property occupancy was 70.3% as of the September 2025 rent roll,
compared with 71.9% as of June 2024, compared with 76.9% at June
2023, unchanged from YE 2022. Near-term lease rollover in 2026
includes 4.3% of NRA across five leases and 7.7% in 2027 across six
leases. Per CoStar, the property lies within the CBD office
submarket of Indianapolis, IN. As of 1Q26 submarket asking rents
averaged $24.69 psf and the submarket vacancy rate was 12.4%.
Fitch's 'Bsf' rating case loss of 43.7% (prior to a concentration
adjustment) is based on a stress to the most recent (January 2026)
appraisal valuation, reflecting a stressed value of approximately
$61 psf.
The largest contributor to overall loss expectations in BMARK
2020-B19 is the Bridgewater Place (3.9%) loan, which is secured by
a 353,356-sf office located in Grand Rapids, MI. The loan
transferred to special servicing in September 2024, and a receiver
was appointed in May 2025 to manage the property. Occupancy has
continued to decline to 69% as of YE 2025, from 71% at YE 2024, and
down from 91% at YE 2023. The decline is primarily due to the
departure of former major tenant, Spectrum Health (19.8% of the
NRA) at lease expiration in February 2024 and downsizing of New
York Life (3.3%), which downsized by 7,782 sf (2.2%) and extended
its lease to October 2034.
The NOI DSCR was 0.66x as of December 2025, and the loan reported
total reserves of $2.0 million ($5.6 psf) as of the April 2026 loan
level reserve report.
Fitch's 'Bsf' rating case loss of 19.1% (prior to a concentration
adjustment) is based on a stress to the most recent (August 2025)
appraisal valuation, reflecting a stressed value of approximately
$89 psf.
The second-largest contributor to overall loss expectations in
BMARK 2020-B19 is the Peninsula Town Center (1.6%) loan, which is
secured by two office condominiums totaling 130,573-sf located in
Hampton, VA. The loan transferred to special servicing in March
2025 for imminent monetary default and is currently in
foreclosure.
Property occupancy declined to 69% as of YE 2025, from 93% at YE
2024 due to former largest tenant, Faneuil (previously 25.8%)
vacating ahead of the tenants scheduled lease expiration in June
2026. In addition, the second-largest tenant, Bryant & Stratton
College, downsized by 10,502 sf (8.0%) from 42,558 sf (32.6%) since
issuance and extended its lease to August 2032. The NOI DSCR was
0.61x as of YE 2025, down from 1.54x at YE 2024 and 1.38x at YE
2023. The loan reported $3.2 million ($23.9 psf) in total reserves
as of the April 2026 loan level reserve report.
Fitch's 'Bsf' rating case loss of 38.5% (prior to a concentration
adjustment) is based on a 10.0% cap rate and a 20.0% stress to the
YE 2025 NOI, and factors in an increased probability of default due
to the loans' deterioration in performance and specially serviced
status.
The third-largest contributor to overall loss expectations in BMARK
2020-B19 is the Brass Professional Center (1.2%) loan, which is
secured by an 11-building, 575,771-sf, multi-tenant office park
located in NW San Antonio, TX. The asset transferred to special
servicing in May 2023 for a payment default after the borrower
stopped paying debt service in March 2023 and it became REO in
October 2023.
Property performance has declined since issuance, with December
2025 occupancy declining to 55% from 85% at issuance. The most
recently reported NOI as of YE 2024 reflected a 70% decline from YE
2020 NOI and 66% decline from the originator's underwritten NOI at
issuance.
Fitch's 'Bsf' rating case loss of 50.8% (prior to a concentration
adjustment) reflects a discount to the most recent December 2024
appraisal value reflecting a stressed value of $64 psf.
Increase in Credit Enhancement (CE): As of the May 2026
distribution date, the aggregate pool balances of the BANK
2019-BNK16 and BMARK 2020-B19 transactions have been reduced by
10.2% and 14.1%, respectively, since issuance. The BANK 2019-BNK16
transaction includes four loans (2.2% of the pool) that have been
fully defeased. Three loans (2.4%) are fully defeased in BMARK
2020-B19.
Interest Shortfalls: To date, the BANK 2019-BNK16 and BMARK
2020-B19 transactions have not incurred any realized principal
losses. Interest shortfalls totaling $1.5 million are impacting the
non-rated classes H, J, and risk retention class RRI in the BANK
2019-BNK16 transaction, and interest shortfalls totaling $82,961
are impacting the non-rated class H, G, and F in the BMARK 2020-B19
transaction.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to senior 'AAAsf' rated classes are not expected due to
the senior position in the capital structure, high CE and expected
continued amortization and loan repayments but may occur if
deal-level losses increase significantly and/or interest shortfalls
occur.
A downgrade to the junior 'AAAsf' rated class with a Negative
Outlook in BANK 2019-BNK16 could occur with continued downward
pressure on the valuation of One AT&T Center given the outsized
expected losses on the larger FLOCs, or if additional loans are
expected to default at or prior to maturity.
Downgrades to classes rated in the 'Asf' and 'BBBsf' categories
could occur in BANK 2019-BNK16 if losses exceed expectations due to
continued underperformance of the FLOCs — particularly One AT&T
Center and if there are lower-than-expected recovery prospects upon
liquidation of the specially serviced Regions Tower and US Bank
Centre loans. Downgrades are possible for BMARK 2020-B19, if FLOC
performance deteriorates further, particularly the specially
serviced Bridgewater Place, Peninsula Town Center, and Brass
Professional Center loans.
Downgrades to classes rated in the 'BBsf' and Bsf' categories would
occur with greater certainty of losses on the specially serviced
loans or FLOCs, should additional loans transfer to special
servicing or default and as losses are realized or become more
certain.
Downgrades to distressed ratings would occur as losses are realized
and/or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated 'AAsf' and 'Asf' may be possible with
significantly increased CE, coupled with stable-to-improved
pool-level loss expectations and improved performance on the
FLOCs.
Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'AA+sf' if there
is likelihood for interest shortfalls.
Upgrades to 'BBsf' and 'Bsf' category rated classes could occur
only if the performance of the remaining pool is stable, recoveries
on the FLOCs are better than expected, and there is sufficient CE
to the classes.
Upgrades to distressed classes are not likely but may be possible
with better-than-expected recoveries on specially serviced loans
and/or significantly higher values on FLOCs.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
BANK 2019-BNK24: DBRS Confirms BB(low) Rating on Class G Certs
--------------------------------------------------------------
DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the
Commercial Mortgage Pass-Through Certificates, Series 2019-BNK24
issued by BANK 2019-BNK24 as follows:
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-S at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class B at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class C at AA (low) (sf)
-- Class D at A (low) (sf)
-- Class X-D at A (low) (sf)
-- Class E at BBB (high) (sf)
-- Class X-F at BBB (low) (sf)
-- Class F at BB (high) (sf)
-- Class X-G at BB (sf)
-- Class G at BB (low) (sf)
All trends are Stable.
CREDIT RATING ACTION RATIONALE
-- The credit ratings confirmations and Stable trends reflect the
overall stable pool performance, which remains in line with
Morningstar DBRS' expectations since the previous credit rating
action in June 2025. This is evidenced by a weighted-average (WA)
debt service coverage ratio (DSCR) of 2.23 times (x) and a
loan-to-value (LTV) ratio of 51.6% as of YE2025.
POOL/COLLATERAL OVERVIEW
-- As of the June 2025 remittance, 70 of the original 71 loans
remained in the pool with a trust balance of $1.2 billion,
reflecting a collateral reduction of 2.4% since issuance.
-- There are currently no loans in special servicing.
-- 17 loans, representing 26.6% of the pool, including Bronx
Multifamily Portfolio II (Prospectus ID #4; 6.4% of the pool), are
on the servicer's watchlist. These loans are primarily being
monitored for occupancy declines, low DSCRs, and/or deferred
maintenance.
ANALYTICAL CONSIDERATIONS
-- For this review, Morningstar DBRS calculated updated LTVs using
in-place net cash flows (NCFs) and market capitalization (cap)
rates and, where applicable, applied elevated probabilities of
default (PODs).
-- The resulting WA expected loss (EL) for the analyzed loans was
approximately 1.1x higher than the pool-average EL.
KEY LOANS
1412 Broadway (Prospectus ID #3; 8.3% of the pool)
-- The loan is secured by a 24-story Class B office building in
Manhattan's Fashion District.
-- The loan was previously on the servicer's watchlist for a low
DSCR and was removed in September 2024.
-- As of the trailing 12-month period ended September 31,2025, the
property reported an annualized NCF of $13.6 million (DSCR of
1.76x), which was above the YE2024 NCF of $12.7 million but remains
below issuance expectations.
-- According to the October 2025 rent roll, the property was 97.0%
occupied, up slightly over the YE2024 occupancy rate of 96.1%.
-- Tenant rollover risk remains elevated, with 21.4% of net
rentable area (NRA) scheduled to expire within the next 12 months,
including the largest tenant, Kasper Group LLC (16.9% of NRA),
whose lease expires in August 2026. The servicer indicated that
discussions regarding a lease extension are ongoing.
-- Given limited changes since the last review, Morningstar DBRS
maintained the LTV and POD penalties from the prior analysis,
resulting in an EL more than 2.5x the pool average.
Bronx Multifamily Portfolio II (Prospectus ID #4; 6.4% of the
pool)
-- The loan is secured by nine rent-stabilized multifamily
properties totaling 526 units in the Bronx, New York.
-- The loan is being monitored on the servicer's watchlist for cash
flow concerns.
-- According to YE2025 financial reporting, the property generated
an NCF of $3.1 million (DSCR of 1.06x), which was down 7.5% from
the YE2024 NCF of $3.4 million. The decline was primarily driven by
increases in operating expenses, including real estate taxes and
repairs and maintenance.
-- Morningstar DBRS analyzed the loan with an updated LTV of 171.6%
based on a value of $44.9 million. Morningstar DBRS derived the
stressed value based on a 7.0% cap rate to the YE2025 NCF.
Morningstar DBRS also stressed the loan with an elevated POD,
resulting in an EL more than 2.5x the pool average.
DoubleTree New Orleans (Prospectus ID#5; 6.2% of the pool)
-- This loan is secured by a 367-room full-service hotel in New
Orleans, Louisiana.
-- The loan is being monitored on the servicer's watchlist for cash
flow concerns.
-- The property has experienced a decline in occupancy as a number
of rooms were taken offline to complete a property improvement plan
(PIP).
-- According to YE2025 financial reporting, the property reported
an NCF of $2.7 million ((DSCR of 0.94x), which was down from the
YE2024 NCF of $5.1 million.
-- The decline in cash flow is primarily attributed to the ongoing
PIP, which temporarily reduced available room inventory. The
property reportedly completed approximately $5.0 million in
renovations, including upgrades to guest rooms, the lobby, the
pool, and the meeting space, according to a January 2026 New
Orleans CityBusiness article.
-- According to the December 2024 STR, Inc. report, the property
reported an average daily rate (ADR) of $184.78, occupancy of
68.7%, and revenue per available room (RevPAR) of $126.88, which
are generally in line with the competitive set ADR of $194.48,
occupancy of 66.8%, and RevPAR of $129.68.
-- Morningstar DBRS believes that, given the recent upgrades and
historically stable cash flow performance prior to the renovations,
the property's performance should begin to stabilize in the near
term; however, performance will continue to be monitored.
-- As a result, Morningstar DBRS maintained the POD from the prior
analysis, resulting in an EL in excess of 1.8x.
Galleria 57 (Prospectus ID #8; 4.3% of the pool)
-- The loan is secured by a 180,000-square-foot office property in
Midtown Manhattan.
-- The loan has been on the servicer's watchlist since November
2023 following the departure of the former largest tenant, Spa
Castle (previously 22.4% of NRA), which vacated prior to its
October 2034 lease expiration.
-- As of the December 2025 rent roll, occupancy declined to 55.7%
from 57.0% at YE2024. Tenant rollover risk over the next 12 months
is limited.
-- According to YE2025 financial reporting, the property reported
an NCF of $553,646 (DSCR of 0.30x), significantly below the YE2024
NCF of $4.1 million.
-- The decline appears to be primarily driven by reduced expense
reimbursements. Morningstar DBRS requested additional detail from
the servicer, but has not received a response as of this review.
-- Given the performance deterioration, Morningstar DBRS maintained
an elevated POD and an LTV of 100.0% from the prior review, based
on a 7.5% cap rate applied to YE2024 NCF, implying an as-is value
of $54.5 million.
SHADOW-RATED LOANS
-- At issuance, Morningstar DBRS assigned shadow ratings to four
loans, representing 23.1% of the current trust balance, at the
investment-grade level.
-- These loans include 55 Hudson Yards, Jackson Park (Prospectus ID
#2; 8.4% of the pool), Park Tower at Transbay, and Industrial
Logistics Properties Trust Industrial Portfolio (Prospectus ID #15;
2.1% of the pool).
-- Morningstar DBRS confirms that the performance of these loans
remains consistent with the shadow ratings assigned at issuance.
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-F, and X-G 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.
BATTALION CLO IX: Moody's Cuts Rating on $28MM E-R Notes to Caa1
----------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by Battalion CLO IX Ltd.:
US$27.5M Class C-RR Senior Secured Deferrable Floating Rate Notes,
Upgraded to Aaa (sf); previously on Aug 3, 2025 Assigned Aa1 (sf)
US$28.0M Class E-R Secured Deferrable Floating Rate Notes,
Downgraded to Caa1 (sf); previously on Jul 16, 2018 Assigned Ba3
(sf)
Moody's have also affirmed the ratings on the following notes:
US$179.2M (Current outstanding amount US$44.2M) Class A-RR Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug
3, 2025 Assigned Aaa (sf)
US$47.0M Class B-RR Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Aug 3, 2025 Assigned Aaa (sf)
US$32.5M Class D-RR Senior Secured Deferrable Floating Rate Notes,
Affirmed Baa1 (sf); previously on Aug 3, 2025 Assigned Baa1 (sf)
Battalion CLO IX Ltd., originally issued in July 2015 and
refinanced in July 2018 and August 2025 is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured US loans. The portfolio is managed by Brigade Capital
Management, LP. The transaction's reinvestment period ended in July
2023.
RATINGS RATIONALE
The upgrade on the rating on the Class C-RR notes is primarily a
result of the deleveraging of the senior notes following
amortisation of the underlying portfolio since the last rating
action in August 2025.
The downgrade to the rating on the Class E-R notes is due to
deterioration in over-collateralisation ratios since the payment
date in August 2025.
The affirmations on the ratings on the Class A-RR, Class B-RR and
Class D-RR notes are primarily a result of the expected losses on
the notes remaining consistent with their current rating levels,
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The 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 a
increase in the proportion of securities from issuers with ratings
of Caa1 or lower. According to the trustee report dated May
2026[1], the WARF was 3495, compared with 3153 as of the August
2025[2]. Securities with ratings of Caa1 or lower currently make up
approximately 16.3% of the underlying portfolio, versus 8.9% in
August 2025[2].
The over-collateralisation ratios of the Class E-R rated notes have
deteriorated since the payment date in August 2025. According to
the trustee report dated May 2026[1] the Class E OC ratios are
reported at 97.4% compared to August 2025[2] levels of 103.7%.
The Class A-RR notes have paid down by approximately USD135.0
million (75.3%) since the last rating action in August 2025. As a
result of the deleveraging, over-collateralisation (OC) has
increased. According to the trustee report dated May 2026[1] the
Class A/B, Class C and Class D OC ratios are reported at 191.5%,
147.1%, and 115.5% compared to August 2025[2] levels of 141.1%,
128.5% and 113.9%, 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: USD184,318,612
Defaulted Securities: USD1,526,426
Diversity Score: 32
Weighted Average Rating Factor (WARF): 3546
Weighted Average Life (WAL): 2.5years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.87%
Weighted Average Recovery Rate (WARR): 45.99%
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 April 2026.
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.
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.
BATTALION CLO XXII: Moody's Cuts Rating on $16MM Cl. E Notes to B2
------------------------------------------------------------------
Moody's Ratings has downgraded the ratings on the following notes
issued by Battalion CLO XXII Ltd.:
US$16M Class E Junior Secured Deferrable Floating Rate Notes,
Downgraded to B2 (sf); previously on Dec 12, 2025 Downgraded to B1
(sf)
US$5.25M Class F Junior Secured Deferrable Floating Rate Notes,
Downgraded to Caa3 (sf); previously on Dec 12, 2025 Downgraded to
Caa2 (sf)
Moody's have also affirmed the ratings on the following debt:
US$177M (Current outstanding amount US$176,739,683) Class A-L
Loans, Affirmed Aaa (sf); previously on Oct 29, 2021 Assigned Aaa
(sf)
US$0M Class A-N-R Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Mar 28, 2025 Assigned Aaa (sf)*
US$75M (Current outstanding amount US$74,889,696) Class A-R Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar
28, 2025 Assigned Aaa (sf)
US$52M Class B-R Senior Secured Floating Rate Notes, Affirmed Aa2
(sf); previously on Mar 28, 2025 Assigned Aa2 (sf)
US$24M Class C Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed A2 (sf); previously on Oct 29, 2021 Assigned A2 (sf)
US$24M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Baa3 (sf); previously on Oct 29, 2021 Assigned Baa3 (sf)
*(The outstanding principal amount of the Class A-N-R was US$0M at
issue and may be increased up to US$177M upon the exercise of the
conversion option).
Battalion CLO XXII Ltd., issued in October 2021 and partially
refinanced in March 2025, is a collateralised loan obligation (CLO)
backed by a portfolio of mostly high-yield senior secured USD US
loans. The portfolio is managed by Brigade Capital Management, LP.
The transaction's reinvestment period will end in January 2027.
RATINGS RATIONALE
The rating downgrades on the Class E and Class F notes are
primarily a result of the deterioration in over-collateralisation
ratios since the last rating action in December 2025.
The affirmations on the ratings on the Class A-R notes, Class A-L
loans, Class A-N-R notes, Class B-R notes, Class C notes and Class
D notes are primarily a result of the expected losses on the debt
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 rated debt have
deteriorated since the rating action in December 2025. According to
the trustee report dated May 2026[1] the Class E OC ratios are
reported at 103.4% compared to November 2025[2] levels of 104.5%,
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: USD378,808,283
Defaulted Securities: USD4,841,601
Diversity Score: 82
Weighted Average Rating Factor (WARF): 2742
Weighted Average Life (WAL): 4.7 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.45%
Weighted Average Coupon (WAC): 2.74%
Weighted Average Recovery Rate (WARR): 45.4%
Par haircut in OC tests and interest diversion test: 0%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in April 2026.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated debt's performance is subject to uncertainty. The debt's
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the debt's
performance.
Additional uncertainty about performance is due to the following:
-- Weighted average life: The debt's 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.
-- 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.
-- Other collateral quality metrics: Because the deal can
reinvest, the manager can erode the collateral quality metrics'
buffers against the covenant levels. However, as part of the base
case, Moody's considered spread and coupon levels higher than the
covenant levels because of the large difference between the
reported and covenant levels.
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.
BENEFIT STREET XXXV: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, B-R, C-R, D-1R, D-2R, and E-R debt from Benefit Street
Partners CLO XXXV Ltd./Benefit Street Partners CLO XXXV LLC, a CLO
managed by BSP CLO Management LLC, a subsidiary of Franklin
Templeton, that was originally issued in June 2024. At the same
time, S&P withdrew its ratings on the previous class A, B, C, D,
and E debt following payment in full on the June 8, 2026,
refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt
was issued at a lower spread over three-month SOFR than the
existing debt.
-- The existing class D debt was split into sequential replacement
class D-1R and D-2R debt.
-- The non-call period was extended to June 8, 2028.
-- The reinvestment period was extended to July 25, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to July 25, 2039.
-- The target initial par amount remains at $550 million. There is
no additional effective date or ramp-up period, and the first
payment date following the refinancing is Oct. 25, 2026.
-- An additional $14.04 million in subordinated notes was 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."
Ratings Assigned
Benefit Street Partners CLO XXXV Ltd./
Benefit Street Partners CLO XXXV LLC
Class A-R, $346.50 million: AAA (sf)
Class B-R, $71.50 million: AA (sf)
Class C-R (deferrable), $33.00 million: A (sf)
Class D-1R (deferrable), $33.00 million: BBB- (sf)
Class D-2R (deferrable), $5.50 million: BBB- (sf)
Class E-R (deferrable), $16.50 million: BB- (sf)
Ratings Withdrawn
Benefit Street Partners CLO XXXV Ltd./
Benefit Street Partners CLO XXXV LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Benefit Street Partners CLO XXXV Ltd./
Benefit Street Partners CLO XXXV LLC
Subordinated notes, $61.79 million: NR
NR--Not rated.
BIKE 2026-BAND: Moody's Assigns (P)Ba2 Rating to 2 Tranches
-----------------------------------------------------------
Moody's Ratings has assigned provisional ratings to five classes of
CMBS securities, to be issued by BIKE 2026-BAND Pass Through Trust,
Commercial Mortgage Pass-Through Certificates, Series 2026-BAND:
Cl. A, Assigned (P)A2 (sf)
Cl. B, Assigned (P)Baa3 (sf)
Cl. C, Assigned (P)Ba2 (sf)
Cl. HRR, Assigned (P)Ba2 (sf)
Cl. X-IO*, Assigned (P)Baa2 (sf)
* Reflects Interest-Only Classes
RATINGS RATIONALE
The certificates are collateralized by a first lien mortgage on the
borrower's fee simple interest in a 533,889 SF Class A office
campus located in downtown Raleigh, NC (the "Property"). The
Property is 100% leased to Bandwidth, Inc. ("Bandwidth") and serves
as the company's global headquarters. Moody's ratings are based on
the credit quality of the loans and the strength of the
securitization structure.
The Property is a newly delivered (2023), 534K SF Class A office
campus with approximately 460K SF of office space, a 31K SF
Montessori-based childcare center, a 29K SF fitness center, and
more than 13K SF of meeting and event space across two buildings.
Designed by Gensler, the 22-acre campus includes a five-story
office building with an open layout and large floor plates
averaging about 92K SF. The Property is 100% leased to Bandwidth,
Inc. on a NNN lease expiring in July 2043, with no early
termination options. The lease has a remaining lease term of
approximately 17.2 years or 12.2 years beyond the full extended
loan term. The Property was built to consolidate Bandwidth's
existing operations into a single, integrated campus designed to
encourage collaboration and in-person work, where employees are in
office five days a week.
Moody's approach to rating this transaction involved the
application of both Moody's Large Loan and Single Asset/Single
Borrower Commercial Mortgage-backed Securitizations methodology and
Moody's Approach to Rating Structured Finance Interest- Only (IO)
Securities. The rating approach for securities backed by single
loans compares the credit risk inherent in the underlying
collateral with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors: 1)
Moody's assessments of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessments of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this
transaction, Moody's makes various adjustments to the MLTV. Moody's
adjust the MLTV for each loan using a value that reflects
capitalization (cap) rates that are between Moody's 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 1.47X and Moody's first
mortgage stressed DSCR is 1.24X. Moody's DSCR is based on Moody's
stabilized net cash flow.
The loan first mortgage balance of $140,839,695 represents a
Moody's LTV ratio of 95.7% based on Moody's value. Adjusted Moody's
LTV ratio for the first mortgage balance is also 95.7% based on
Moody's Value using a cap rate adjusted for the current interest
rate environment.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property quality
grade is 2.00.
Notable strengths of the transaction include: new construction /
superior asset quality, long-term NNN lease with no rollover,
purpose-built tenant headquarters, and location/accessibility.
Notable concerns of the transaction include: single tenant
concentration, re-tenanting risk, soft office market fundamentals,
floating-rate, interest-only loan profile, single asset
transaction, and credit negative legal features.
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
May 2026.
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.
Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
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. With respect to classes with ratings above the
applicable sovereign rating, significant exposure to defeasance may
also lead to a downgrade.
BRAVO RESIDENTIAL 2026-NQM5: Fitch Rates Class B2 Notes 'B-(EXP)sf'
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to BRAVO Residential
Funding Trust 2026-NQM5 (BRAVO 2026-NQM5):
Entity/Debt Rating
----------- ------
BRAVO 2026-NQM5
A1FCF LT AAA(EXP)sf Expected Rating
A1LCF LT AAA(EXP)sf Expected Rating
A1PT LT AAA(EXP)sf Expected Rating
A1F LT AAA(EXP)sf Expected Rating
A1IO LT AAA(EXP)sf Expected Rating
A1A LT AAA(EXP)sf Expected Rating
A1B LT AAA(EXP)sf Expected Rating
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
B1 LT BB-(EXP)sf Expected Rating
B2 LT B-(EXP)sf Expected Rating
B3 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
XS LT NR(EXP)sf Expected Rating
Transaction Summary
The notes are supported by 950 loans with a total balance of
approximately $494 million as of the cutoff date.
Citadel Servicing Corporation (Citadel), d/b/a Acra Lending (Acra),
Guaranteed Rate, Inc. and Change Lending, LLC originated
approximately 43.9%, 14.8% and 12.1% of the pool, respectively, and
all are considered 'Acceptable' originators by Fitch. No other
originator contributed more than 10% of the pool. Following
servicing transfers after the closing date, Citadel and Rocket
Mortgage LLC, d/b/a Rushmore Servicing (Rushmore) will service
57.7% and 42.3% of the loans, respectively
KEY RATING DRIVERS
Credit Risk of Mortgage Assets (Mixed): 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. BRAVO 2026-NQM5 has a final probability of default
(PD) of 43.6% in the 'AAAsf' rating stress. Fitch's final loss
severity in the 'AAAsf' rating stress is 40.4%. The expected loss
in the 'AAAsf' rating stress is 17.6%.
The pool consists of 950 primarily newly originated non-qualified
mortgage (non-QM or NQM) loans with a Fitch FICO of 743 and a
weighted average (WA) original combined loan-to-value ratio (CLTV)
of 69.0%. Fitch considers approximately 87.3% of the pool to be
non-prime. About 13.9% of the loans in the pool are full
documentation; the remaining loans are non-full documentation,
including debt service coverage ratio (DSCR; 41.3%), bank statement
(36.6%) and other program (8.2%) loans. DSCR loans receive a slight
reduction in the non-full documentation PD penalty; however, the
DSCR all-in treatment remains more punitive than for fully
documented, borrower-underwritten loans. Roughly 43.1% of borrowers
are self-employed or have unknown employment status. In addition,
approximately 4.9% of the loans were originated to foreign
nationals (including individual taxpayer identification number
[ITIN] borrowers) and are therefore subject to a PD penalty due to
the perceived weaker connection to the property.
Structural Analysis (Positive): The mortgage cash flow and loss
allocation in BRAVO 2026-NQM5 are based on a modified sequential
structure, whereby the principal is distributed pro rata among the
senior notes while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
the senior notes until they are reduced to zero. Principal on the
collective class A-1 designated notes (specifically, the A-1FCF,
A-1LCF, A-1F, A1-IO, A-1A and A-1B Notes) will be allocated either
pro rata or sequentially among themselves, as set out in the
priority of payments.
The structure includes a step-up coupon feature where the fixed
interest rate for class A-1, A-2 and A-3 will increase by 100bps,
subject to the net WA coupon (WAC), starting on the June 2030
payment date. This reduces the modest excess spread available to
repay losses. Starting on the June 2030 payment date, interest
distribution amounts otherwise allocable to the unrated class B-3,
to the extent available, may be used to reimburse any unpaid cap
carryover amount for class A-1FCF, A-1LCF, A-1F, A-1IO, A-1A, A-1B,
A-2 and A-3 notes.
Furthermore, the provision for principal amounts to pay any unpaid
interest prior to principal distribution is highly supportive of
timely interest payments to the notes in the absence of principal
and interest (P&I) advancing.
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 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 (Positive): Fitch considers aggregator,
originator and servicer capability, and the transaction-specific
representation, warranty and enforcement (RW&E) framework as
qualitative inputs to its RMBS ratings framework. These
counterparty assessments are conducted and updated on a regular
cadence independent of any specific RMBS rating, and Fitch uses a
risk-based framework — considering contribution share and
collateral profile — to determine which parties warrant review.
The only consideration that has a direct impact on Fitch's loss
expectations is the third-party due diligence results. Third-party
due diligence was performed on 100% of the loans in the
transaction. Fitch applies a 5bp z-score reduction for loans fully
reviewed by a third-party review (TPR) firm deemed 'Acceptable' by
Fitch and 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.
Additionally, all legal requirements should be satisfied to fully
de-link the transaction from any other entities. Fitch expects
BRAVO 2026-NQM5 to be fully de-linked and bankruptcy remote special
purpose vehicle (SPV). All transaction parties and triggers align
with Fitch expectations.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0%, in addition to the model projected 37.5% 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 multiple third-party review firms. The third-party due
diligence described in Form 15E focused on credit, compliance, and
property valuation review. Fitch considered this information in its
analysis and, as a result, Fitch made the following adjustments to
its analysis: A 5% probability of default credit was applied at the
loan level for all loans graded either "A" or "B."
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
covering 100% of the pool. The scope was generally consistent with
Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this
engagement received compliance, credit, and valuation grades, with
initial and final grades assigned for each subcategory. Exceptions
and waivers were documented in the due diligence reports and
incorporated into Fitch's analysis.
Fitch also used data files provided by the issuer on its SEC Rule
17g-5 designated website. Fitch received loan-level information in
ASF data layout format, which was considered comprehensive. The due
diligence firms reviewed the ASF data tape, 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.
BREAN ASSET 2026-RM16: DBRS Finalizes Bsf Rating on Class M5 Notes
------------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the Mortgage-Backed Notes, Series 2026-RM16 (the Notes)
issued by Brean Asset Backed Securities Trust 2026-RM16 (the
Issuer) as follows:
-- $154.0 million Class A1 at AAA (sf)
-- $22.9 million Class A2 at AAA (sf)
-- $176.9 million Class AM at AAA (sf)
-- $3.9 million Class M1 at AA (sf)
-- $3.9 million Class M2 at A (sf)
-- $7.4 million Class M3 at BBB (sf)
-- $3.0 million Class M4 at BB (sf)
-- $4.5 million Class M5 at B (sf)
Class AM is an exchangeable note. This class can be exchanged for
combinations of exchange notes as specified in the offering
documents.
The AAA (sf) credit ratings reflect 109.4% of cumulative advance
rate. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit
ratings reflect 111.8%, 114.2%, 118.8%, 120.6%, and 123.4% of
cumulative advance rates, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
Reverse mortgage loans are typically offered to people who are at
least 62 years old. Through reverse mortgage loans, borrowers are
able to access home equity through a lump sum amount or a stream of
payments without periodic repayment of principal or interest,
allowing the loan balance to negatively amortize 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) or if it is no longer the
primary residence, (4) upon the occurrence of a tax or insurance
default, or (5) if the borrower fails to properly maintain the
related residence. In addition, borrowers are required to be
current on any homeowner's association dues if applicable. Reverse
mortgages are typically nonrecourse: Borrowers are not required to
provide additional assets in cases where the outstanding loan
amount exceeds property value (the crossover point). As a result,
liquidation proceeds will fall below the loan amount in cases where
the crossover point is reached, contributing to higher loss
severities for these loans.
As of the May 5, 2026, cut-off date, the collateral has
approximately $161.74 million in current unpaid principal balance
(UPB) from 465 performing, fixed- and adjustable-rate jumbo reverse
mortgage loans secured by first liens on single-family residential
properties, condominiums, multifamily (two- to four-family)
properties, townhomes, and a co-operative. All loans in this pool
were originated in 2026, with loan ages ranging from one month to
three months. Of the 465 loans, 396 (84.74% of the UPB) are
fixed-rate loans with a weighted-average (WA) mortgage interest
rate of 8.841%, and 69 (15.26%) are adjustable-rate mortgages with
a WA mortgage interest rate of 9.745%, bringing the total pool WA
mortgage interest rate to 8.979%.
The transaction uses a structure in which cash distributions are
made sequentially to each rated note until the rated amounts with
respect to such notes are paid off. The Class A2, M1, M2, M3, and
M4 notes have principal lockout insofar as they are not entitled to
principal payments prior to the occurrence of an acceleration event
or an auction failure event. Classes A1 and A2 (collectively, the
Class A notes; and Class AM, if exchanged for all or a portion of
the Class A notes as described in the offering documents) and,
prior to the earlier occurrence of an auction failure event or an
acceleration event, Classes M1, M2, M3, and M4 receive current
interest payments on a pro rata basis. The Class M5 notes are
accrual notes, and the interest accrual amount will be capitalized
to the Class M5 note amount each payment period.
The note rate for the Class A notes will reduce to 0.25% if the
home price percentage (as measured using the S&P Cotality
Case-Shiller U.S. National Home Price NSA Index) declines by 30% or
more compared with the value on the cut-off date.
If the Notes are not paid in full or redeemed by the Issuer on the
Expected Repayment Date in May 2031, the Issuer will be required to
conduct an auction within 180 calendar days of the Expected
Repayment Date to offer all the mortgage assets and use the
proceeds, net of fees and expenses from the auction, to be applied
to payments to all amounts owed. If the proceeds from the auction
are not sufficient to cover all the amounts owed, the Issuer will
be required to conduct an auction within six months of the previous
auction.
If any of the Notes have not been redeemed or paid in full on or
prior to the Expected Repayment Date, these notes will accrue
additional accrued amounts. Morningstar DBRS does not rate these
additional accrued amounts.
If, on any payment date, the average one-month conditional
prepayment rate over the immediately preceding six-month period is
equal to or greater than 25%, 50% of available funds remaining
after payment of fees and expenses and interest to the Class A
notes will be deposited into the Refunding Account, which may be
used to purchase additional mortgage loans.
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 Accrual Amounts 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.
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.
BROOKHAVEN PARK: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to
Brookhaven Park CLO, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Brookhaven Park
CLO, Ltd.
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1-R LT BBB+sf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Brookhaven Park CLO, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) be managed by Blackstone CLO
Management LLC that originally closed in April 2024.This is the
first refinancing in which will refinance the existing secured
notes in whole on June 3, 2026. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+'/'B', which is in line with that of recent CLOs.
The weighted average rating factor (WARF) of the indicative
portfolio is 22.92, and will be managed to a WARF covenant from a
Fitch test matrix. Issuers rated in the 'B' rating category denote
a highly speculative credit quality; however, the notes benefit
from appropriate credit enhancement and standard U.S. CLO
structural features.
Asset Security: The indicative portfolio consists of 95.1%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.12% 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 concentrations is in line with other recent
CLOs.
Portfolio Management: The transaction has a 4.9-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for WAL covenants 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-R, between
'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf'
for class B-R, between 'B+sf' and 'A-sf' for class C-R, between
less than 'B-sf' and 'BBB+sf' for class D-1-R, between less than
'B-sf' and 'BBBsf' for class D-2-R and between less than 'B-sf' and
'BB-sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R and class
A-2-R notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1-R, 'A+sf' for class D-2-R and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Brookhaven 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 any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
BRYANT PARK 2024-22: S&P Assigns (P) BB-(sf) Rating on E-R Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, B-R, C-R, D-R, and E-R debt and proposed new
class X debt from Bryant Park Funding 2024-22 Ltd./Bryant Park
Funding 2024-22 LLC, a CLO managed by Marathon Asset Management
L.P. This is a proposed refinancing of its March 2024 transaction.
The preliminary ratings are based on information as of June 9,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the June 11, 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-1, A-2, B, C-1, C-2, D, and E debt
and assign ratings to the replacement class A-R, B-R, C-R, D-R, and
E-R and proposed new class X debt. However, if the refinancing
doesn't occur, we may affirm our ratings on the existing debt and
withdraw our preliminary ratings on the replacement and proposed
new debt."
The replacement and proposed new debt will be issued via a proposed
supplemental indenture, which outlines the terms of the replacement
debt. According to the proposed supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-R, and E-R debt is
expected to be issued at lower spreads than the existing debt.
-- The non-call period will be extended to April 27, 2028.
-- The reinvestment period will be extended to April 27, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to March 31, 2039.
-- New class X debt will be issued in connection with this
refinancing. This debt is expected to be paid down using interest
proceeds during the first 20 payment dates, beginning with the
second payment date.
-- The required minimum overcollateralization coverage ratios will
be amended.
-- No additional subordinated notes will be issued on the
refinancing date.
-- The target initial par amount will remain at $400.0 million.
There will be no additional effective date or ramp-up period, and
the first payment date following the refinancing is July 27, 2026.
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
Bryant Park Funding 2024-22 Ltd./Bryant Park Funding 2024-22 LLC
Class X, $4.50 million: AAA (sf)
Class A-R, $248.00 million: AAA (sf)
Class B-R, $56.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-R (deferrable), $24.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Other Debt
Bryant Park Funding 2024-22 Ltd./Bryant Park Funding 2024-22 LLC
Subordinated notes, $37.25 million: Not rated
BRYANT PARK 2024-22: S&P Assigns BB-(sf) Rating on Class E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, B-R, C-R, D-R, and E-R debt and new class X debt from Bryant
Park Funding 2024-22 Ltd./Bryant Park Funding 2024-22 LLC, a CLO
managed by Marathon Asset Management L.P. This is a refinancing of
its March 2024 transaction. At the same time, S&P withdrew its
ratings on the previous class A-1, A-2, B, C-1, C-2, D, and E debt
following payment in full on the June 11, 2026, refinancing date.
The replacement and new debt was issued via a supplemental
indenture, which outlines the terms of the replacement debt.
According to the supplemental indenture:
-- The replacement class A-R, B-R, C-R, D-R, and E-R debt was
issued at lower spreads than the existing debt.
-- The non-call period was extended to April 27, 2028.
-- The reinvestment period was extended to April 27, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to March 31, 2039.
-- New class X debt was issued in connection with this
refinancing. This debt is expected to be paid down using interest
proceeds during the first 20 payment dates, beginning with the
second payment date.
-- The required minimum overcollateralization coverage ratios were
amended.
-- No additional subordinated notes were issued on the refinancing
date.
-- The target initial par amount remains at $400.0 million. There
is no additional effective date or ramp-up period, and the first
payment date following the refinancing is July 27, 2026.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each rated tranche. The results of the cash flow
analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"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."
Ratings Assigned
Bryant Park Funding 2024-22 Ltd./Bryant Park Funding 2024-22 LLC
Class X, $4.50 million: AAA (sf)
Class A-R, $248.00 million: AAA (sf)
Class B-R, $56.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-R (deferrable), $24.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Ratings Withdrawn
Bryant Park Funding 2024-22 Ltd./Bryant Park Funding 2024-22 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C-1 to NR from 'A+ (sf)'
Class C-1 to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Bryant Park Funding 2024-22 Ltd./Bryant Park Funding 2024-22 LLC
Subordinated notes, $37.25 million: NR
NR--Not rated.
CANYON CLO 2023-2: S&P Assigns BB- (sf) Rating on Class E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt and new class X-R
debt from Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC, a CLO
managed by Canyon CLO Advisors L.P. that was originally issued in
May 2024. At the same time, S&P withdrew its ratings on the
previous class A-1, A-2, B, C, D, and E debt following payment in
full.
The replacement and new debt was issued via a supplemental
indenture, which outlines the terms of the replacement debt.
According to the supplemental indenture:
-- The replacement class A-1R, A-2R, B-R, C-R, D-1R, and E-R debt
was issued at a lower spread over three-month CME term SOFR than
the existing debt.
-- The replacement class A-1R, A-2R, B-R, C-R, D-1R, and E-R debt
was issued at a floating spread, replacing the current floating
spread.
-- An additional 'BBB-(sf)' rated class, class D-2R, was issued at
an 11% par subordination level.
-- The non-call period was extended to July 15, 2028.
-- The reinvestment period was extended to July 15, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to July 15, 2039.
-- No additional assets were purchased on the June 3, 2026,
refinancing date, and the target initial par amount remains at $500
million. There was no additional effective date or ramp-up period,
and the first payment date following the refinancing is Oct. 15,
2026.
-- New class X-R debt was issued on the refinancing date. This
debt is expected to be paid down using interest proceeds during the
first 10 payment dates in equal installments of $200,000.
-- No additional subordinated notes were issued on the refinancing
date.
-- The transaction has adopted benchmark replacement language and
was updated to conform to current rating agency methodology.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.
"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."
Ratings Assigned
Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC
Class X-R, $2.00 million: AAA (sf)
Class A-1R, $315.00 million: AAA (sf)
Class A-2R, $10.00 million: AAA (sf)
Class B-R, $55.00 million: AA (sf)
Class C-R (deferrable), $30.00 million: A (sf)
Class D-1R (deferrable), $30.00 million: BBB- (sf)
Class D-2R (deferrable), $5.00 million: BBB- (sf)
Class E-R (deferrable), $15.00 million: BB- (sf)
Ratings Withdrawn
Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC
Class A-1 to NR from 'AAA (sf)'
Class A-2 to NR from 'AAA ( sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Class E to NR from 'BB- (sf)'
Other Debt
Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC
Subordinated notes, $40.35 million: NR
NR--Not rated.
CAPITAL ONE: Fitch Affirms 'BBsf' Rating on Class 2022-1D Notes
---------------------------------------------------------------
Fitch Ratings has affirmed the long-term ratings assigned to the
Capital One Multi-Asset Execution Trust (COMET) notes. The Rating
Outlook remains Stable for all rated notes. Available credit
enhancement (CE) and performance to date support the affirmation of
the rated notes. The Stable Outlook reflects Fitch's expectation
that performance and loss multiples will remain supportive of the
rating.
Entity/Debt Rating Prior
----------- ------ -----
Capital One Multi-Asset
Execution Trust
Card Series
2019-3A 14041NFV8 LT AAAsf Affirmed AAAsf
2021-2A 14041NFX4 LT AAAsf Affirmed AAAsf
2024-1A 14041NGE5 LT AAAsf Affirmed AAAsf
2025-1A 14041NGF2 LT AAAsf Affirmed AAAsf
2025-2A 14041NGG0 LT AAAsf Affirmed AAAsf
2025-3A 14041NGH8 LT AAAsf Affirmed AAAsf
2009-C B LT Asf Affirmed Asf
2009-A C LT BBBsf Affirmed BBBsf
2002-1D LT BBsf Affirmed BBsf
KEY RATING DRIVERS
Receivables' Performance and Collateral Characteristics: Chargeoff
performance has improved over the past year. As of the May 2026
distribution date, the 12-month average gross chargeoff rate was
3.38%, down from 3.59% a year earlier.
This improvement reflects a gradual normalization in chargeoff
performance from peak levels observed in early 2025, though
macroeconomic headwinds, including the potential consumer impact of
ongoing tariffs, may present residual risks, particularly for
lower-income and lower-FICO borrowers. The trust performance has
demonstrated resilience, as chargeoffs remain within Fitch's steady
state assumption. Fitch's steady-state chargeoff assumption remains
at a conservative 6.00%.
Monthly payment rate (MPR) includes principal and finance charge
collections and measures how quickly credit card holders repay
credit card debts. It has improved in the past year. The 12-month
average MPR as of the May 2026 distribution date was 47.69%, up
from 47.15% in May 2025. The rise in MPR reflects continued
consumer resilience and a more favorable interest rate environment
than in prior periods. However, Fitch maintains its conservative
MPR steady-state assumption at 29.00% to account for expected
long-term normalization of elevated payment rates, leading to
potential decreases in MPR.
The 12-month average gross yield, which is comprised of finance
charges, fees, and interchange, as of the May 2026 distribution
date was 27.34%. This is a slight decline compared with the
12-month average of 27.70% as of the May 2025 distribution date. As
part of its gross yield steady state analysis, Fitch applies a
haircut to interchange and fees to account for potential future
regulatory or competitive factors that can affect yields, like the
Consumer Financial Protection Bureau's Credit Card Penalty Fees
Final Rule. Fitch has maintained its steady state at 20.5%.
CE remains sufficient, with loss multiples in line with the current
ratings under each rating category. The Stable Outlook on the notes
reflects Fitch's expectation that performance and loss multiples
will remain supportive of these ratings.
Originator and Servicer Quality: Fitch considers Capital One,
National Association (A/F1/Stable) an effective and capable
originator and servicer given its extensive track record. Any
deterioration in the financial condition of Capital One, National
Association may affect the performance of the pool of receivables
backing the COMET notes
Counterparty Risk: The notes' ratings are dependent on the
financial strength of certain counterparties. Fitch believes this
risk is currently mitigated as evidenced by the ratings of the
applicable counterparties to the transactions.
Interest Rate Risk: Interest rate risk is currently mitigated by
the available CE. For the class A notes, total credit enhancement
of 21.00% is provided by 9.00% subordination of class B notes,
9.00% subordination of class C notes and 3.00% subordination of
class D notes. The class B benefits from 12.00% credit enhancement
achieved through 9.00% subordination of class C and 3.00%
subordination of class D. The class C benefits from 4.00% credit
enhancement achieved through 3.00% subordination of class D and a
reserve account. The class D benefits from a reserve account.
Fitch analyzed characteristics of the underlying collateral to
better assess overall asset performance. This supplements Fitch's
analysis of the originator's historical data when determining the
following steady state performance assumptions and stresses:
Steady State:
Annualized Gross Chargeoffs - 6.00%;
Monthly Payment Rate (MPR) - 29.00%;
Annualized Gross Yield - 20.50%;
Purchase Rate - 100.00%.
Rating Case Assumption (for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf'):
Chargeoffs (multiple) - 4.50x/3.00x/2.25x/1.75x
Payment Rate (haircut) - 55.00/46.20/39.60/30.80;
Gross Yield (haircut) - 35.00/25.00/20.00/15.00;
Purchase Rate (haircut) - 50.00/40.00/35.00/30.00.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Rating sensitivity to increased chargeoff rate:
Current ratings for class A, B, C and D notes (Steady State:
6.00%): 'AAAsf'/'Asf'/'BBBsf'/'BBsf', respectively;
- Increase Steady State by 25%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Increase Steady State by 50%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Increase Steady State by 75%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'.
Rating sensitivity to reduced MPR:
Current ratings for class A, B, C and D notes (Steady State:
29.00%): 'AAAsf'/'Asf'/BBBsf'/'BBsf', respectively;
- Reduce Steady State by 15%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Reduce Steady State by 25%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Reduce Steady State by 35%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'.
Rating sensitivity to reduced purchase rate:
Current ratings for class A, B, C and D notes (Steady State: 100%):
'AAAsf'/'Asf'/'BBBsf'/'BBsf', respectively;
- Reduce Steady State by 50%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Reduce Steady State by 75%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Reduce Steady State by 100%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'.
Rating sensitivity to reduced yield:
Current ratings for class A, B, C and D notes (Steady State:
20.50%): 'AAAsf'/'Asf'/'BBBsf'/'BBsf', respectively;
- Reduce Steady State by 15%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Reduce Steady State by 25%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Reduce Steady State by 35%: 'AAAsf'/'Asf'/'BBBsf'/'BBsf'.
Rating sensitivity to increased chargeoff rate and reduced MPR:
Current ratings for class A, B, C and D notes (chargeoff Steady
State: 6.00%; MPR Steady State: 29.00%):
'AAAsf'/'Asf'/'BBBsf'/'BBsf', respectively;
- Increase chargeoff rate by 25% and reduce MPR by 15%:
'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Increase chargeoff rate by 50% and reduce MPR by 25%:
'AAAsf'/'Asf'/'BBBsf'/'BBsf';
- Increase chargeoff rate by 75% and reduce MPR by 35%:
'AAAsf'/'Asf'/'BBBsf'/'BB-sf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Rating sensitivity to decreased chargeoff rate:
- Current ratings for class A, B, C and D notes (Steady State:
6.00%): 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively;
- Decrease Steady State by 50%: 'AAAsf' for all classes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CARMAX SELECT 2026-B: Fitch Assigns BB(EXP)sf Rating on Cl. E Debt
------------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to
CarMax Select Receivables Trust 2026-B (CMXS2026-B).
Entity/Debt Rating
----------- ------
CarMax Select
Receivables
Trust 2026-B
A-1 ST F1+(EXP)sf Expected Rating
A-2 LT AAA(EXP)sf Expected Rating
A-3 LT AAA(EXP)sf Expected Rating
B LT AA(EXP)sf Expected Rating
C LT A(EXP)sf Expected Rating
D LT BBB(EXP)sf Expected Rating
E LT BB(EXP)sf Expected Rating
KEY RATING DRIVERS
Collateral — Subprime Credit Quality: CMXS 2026-B has stronger
credit quality than subprime peers, with a weighted-average (WA)
FICO score of 613, slightly up from 612 in 2026-A. Loans with
original terms greater than 60 months total 88.2% of the collateral
pool, slightly lower than 89.4% for 2026-A. Similar to the prior
CMXS transactions, the pool is primarily backed by used vehicles,
with ValuMax collateral making up 39.0% of the pool. The WA
loan-to-value ratio (LTV) is 97.7%, down from 98.4% in 2026-A. The
pool is diverse by geography and model. SUVs account for the
largest vehicle segment in the pool at 52.2%, in line with the
shift in consumer preference toward SUVs over cars in recent years.
Electric vehicles (EVs) make up approximately 2.3% of the pool.
Forward-Looking Approach to Derive Rating-Case Loss Proxy: Fitch
considered economic conditions and future expectations by assessing
key macroeconomic and wholesale market conditions when deriving the
series rating case loss proxy. Loss performance for the non-prime
portfolio peaked in 2016 after beginning originations in 2014 and
experienced subsequent improvement in 2018. While the 2019 and 2020
vintages of CBS's managed portfolio benefited from government
stimulus, net losses on the 2021 through 2023 vintages are
currently tracking higher than all prior vintages due to impacts
from continuing economic headwinds and decline in used vehicle
values off peak pandemic levels. The 2024 and 2025 vintage
performance is tracking better than the weaker 2022 and 2023
vintages, though still higher than pre-pandemic vintages.
Fitch utilized 2007-2009 peer proxy data, together with the
2006-2008 data from the lower credit quality segment of CAF's core
portfolio as proxy recessionary managed portfolio data. To reflect
recent performance, Fitch utilized 2022-2024 vintage data from CAF
to arrive at a forward-looking rating-case cumulative net loss
(CNL) proxy of 10.00%, consistent with 2026-A but up from 9.25% in
2025-B, and 9.00% in 2025-A and 2024-A.
Payment Structure — Adequate Credit Enhancement (CE): Initial
hard CE totals 31.75%, 25.25%, 16.25%, 8.50%, and 4.50% for classes
A, B, C, D and E, respectively. This is up significantly to all
classes in 2026-A. Initial expected excess spread is 8.42%, which
is slightly lower than the 9.85% in 2026-A. Initial CE is
sufficient to withstand Fitch's rating-case CNL proxy of 10.00% at
the applicable rating loss multiples.
Operational and Servicer Risk — Adequate
Origination/Underwriting/Servicing: CBS demonstrates adequate
abilities as underwriter and servicer, as evidenced by historical
portfolio delinquency, loss experience and securitization
performance. Fitch deems CBS as capable to service this series.
Fitch's base case loss expectation, which does not include a margin
of safety and is not used in Fitch's quantitative analysis to
assign ratings, is 9.00% based on Fitch's "Global Economic Outlook
- March 2026" report, historical performance and projections.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Unanticipated increases in the frequency of defaults could produce
CNL levels that are higher than the rating case and would likely
result in declines of CE and remaining net loss coverage levels
available to the notes. Weakening asset performance is strongly
correlated to increasing levels of delinquencies and defaults that
could negatively affect CE levels. Additionally, unanticipated
declines in recoveries could also result in lower net loss
coverage, which may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.
Fitch conducts sensitivity analyses by stressing both a
transaction's initial rating case CNL and recovery rate assumptions
and examining the rating implications on all classes of issued
notes. The CNL sensitivity stresses the rating case CNL 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
loss coverage provided by the CE structure.
Additionally, Fitch conducts a 1.5x and 2.0x increase to the rating
case CNL proxy, representing both moderate and severe stresses,
respectively. Fitch also evaluates the impact of stressed recovery
rates on an auto loan ABS structure and rating impact with a 50%
haircut. These analyses are intended to provide an indication of
the rating sensitivity of notes to unexpected deterioration of a
trust's performance.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Conversely, stable to improved asset performance, driven by stable
delinquencies and defaults, would lead to increasing CE levels and
consideration for potential upgrades. If the CNL is 20% less than
the projected rating case proxy, the expected ratings for the
subordinate notes could be upgraded by up to five notches.
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 comparing or recomputing certain information
with respect to 125 loans from the statistical data file. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.
ESG Considerations
The concentration of approximately 2.3% of electric vehicles in the
pool did not have an impact on Fitch's ratings, rating analysis or
conclusions for this transaction. Therefore, it has no impact on
Fitch's ESG Relevance Score.
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.
CBAMR 2017-2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes
--------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to CBAMR
2017-2, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
CBAMR 2017-2, Ltd.
X-R LT NRsf New Rating
A-1-R2 LT NRsf New Rating
A-2-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
CBAMR 2017-2, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by CBAM
CLO Management, LLC. Net proceeds from the issuance of the secured
and subordinated notes will provide financing on a portfolio of
approximately $1560 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 95.75%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.29% 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 10% of the portfolio balance in
aggregate based on the expected matrix at closing. The level of
diversity resulting from the industry, obligor and geographic
concentrations is in line with other recent CLOs.
Portfolio Management: The transaction has a 4.9-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The WAL used for the transaction stress portfolio and matrices
analysis is reduced by 12 months less for the WAL covenants 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 'B+sf' and 'A-sf' for
class C-R2, between less than 'B-sf' and 'BBB-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, 'A+sf'
for class D-1-R2, and 'A-sf' for class D-2-R2 and 'BBB+sf' for
class E-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for CBAMR 2017-2, 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.
CHASE HOME 2026-5: DBRS Finalizes B(low) Rating on Class B-5 Certs
------------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized the following provisional
credit ratings on the Mortgage Pass-Through Certificates, Series
2026-5 (the Certificates) issued by Chase Home Lending Mortgage
Trust 2026-5:
-- $448.7 million Class A-1 at AAA (sf)
-- $404.2 million Class A-2 at AAA (sf)
-- $323.4 million Class A-3 at AAA (sf)
-- $323.4 million Class A-3-A at AAA (sf)
-- $323.4 million Class A-3-B at AAA (sf)
-- $323.4 million Class A-3-X1 at AAA (sf)
-- $323.4 million Class A-3-X2 at AAA (sf)
-- $323.4 million Class A-3-X3 at AAA (sf)
-- $242.5 million Class A-4 at AAA (sf)
-- $242.5 million Class A-4-A at AAA (sf)
-- $242.5 million Class A-4-B at AAA (sf)
-- $242.5 million Class A-4-X1 at AAA (sf)
-- $242.5 million Class A-4-X2 at AAA (sf)
-- $242.5 million Class A-4-X3 at AAA (sf)
-- $80.8 million Class A-5 at AAA (sf)
-- $80.8 million Class A-5-A at AAA (sf)
-- $80.8 million Class A-5-B at AAA (sf)
-- $80.8 million Class A-5-X1 at AAA (sf)
-- $80.8 million Class A-5-X2 at AAA (sf)
-- $80.8 million Class A-5-X3 at AAA (sf)
-- $194.0 million Class A-6 at AAA (sf)
-- $194.0 million Class A-6-A at AAA (sf)
-- $194.0 million Class A-6-B at AAA (sf)
-- $194.0 million Class A-6-X1 at AAA (sf)
-- $194.0 million Class A-6-X2 at AAA (sf)
-- $194.0 million Class A-6-X3 at AAA (sf)
-- $129.3 million Class A-7 at AAA (sf)
-- $129.3 million Class A-7-A at AAA (sf)
-- $129.3 million Class A-7-B at AAA (sf)
-- $129.3 million Class A-7-X1 at AAA (sf)
-- $129.3 million Class A-7-X2 at AAA (sf)
-- $129.3 million Class A-7-X3 at AAA (sf)
-- $48.5 million Class A-8 at AAA (sf)
-- $48.5 million Class A-8-A at AAA (sf)
-- $48.5 million Class A-8-B at AAA (sf)
-- $48.5 million Class A-8-X1 at AAA (sf)
-- $48.5 million Class A-8-X2 at AAA (sf)
-- $48.5 million Class A-8-X3 at AAA (sf)
-- $44.5 million Class A-9 at AAA (sf)
-- $44.5 million Class A-9-A at AAA (sf)
-- $44.5 million Class A-9-B at AAA (sf)
-- $44.5 million Class A-9-X1 at AAA (sf)
-- $44.5 million Class A-9-X2 at AAA (sf)
-- $44.5 million Class A-9-X3 at AAA (sf)
-- $129.3 million Class A-10 at AAA (sf)
-- $129.3 million Class A-10-A at AAA (sf)
-- $129.3 million Class A-10-B at AAA (sf)
-- $129.3 million Class A-10-X1 at AAA (sf)
-- $129.3 million Class A-10-X2 at AAA (sf)
-- $129.3 million Class A-10-X3 at AAA (sf)
-- $80.8 million Class A-11 at AAA (sf)
-- $80.8 million Class A-11-X at AAA (sf)
-- $80.8 million Class A-12 at AAA (sf)
-- $80.8 million Class A-13 at AAA (sf)
-- $80.8 million Class A-13-X at AAA (sf)
-- $80.8 million Class A-14 at AAA (sf)
-- $80.8 million Class A-14-X at AAA (sf)
-- $80.8 million Class A-14-X2 at AAA (sf)
-- $80.8 million Class A-14-X3 at AAA (sf)
-- $80.8 million Class A-14-X4 at AAA (sf)
-- $64.7 million Class A-15 at AAA (sf)
-- $64.7 million Class A-15-A at AAA (sf)
-- $64.7 million Class A-15-B at AAA (sf)
-- $64.7 million Class A-15-X1 at AAA (sf)
-- $64.7 million Class A-15-X2 at AAA (sf)
-- $64.7 million Class A-15-X3 at AAA (sf)
-- $64.7 million Class A-16 at AAA (sf)
-- $64.7 million Class A-16-A at AAA (sf)
-- $64.7 million Class A-16-B at AAA (sf)
-- $64.7 million Class A-16-X1 at AAA (sf)
-- $64.7 million Class A-16-X2 at AAA (sf)
-- $64.7 million Class A-16-X3 at AAA (sf)
-- $64.7 million Class A-17 at AAA (sf)
-- $64.7 million Class A-17-A at AAA (sf)
-- $64.7 million Class A-17-B at AAA (sf)
-- $64.7 million Class A-17-X1 at AAA (sf)
-- $64.7 million Class A-17-X2 at AAA (sf)
-- $64.7 million Class A-17-X3 at AAA (sf)
-- $113.2 million Class A-18 at AAA (sf)
-- $113.2 million Class A-18-A at AAA (sf)
-- $113.2 million Class A-18-B at AAA (sf)
-- $113.2 million Class A-18-X1 at AAA (sf)
-- $113.2 million Class A-18-X2 at AAA (sf)
-- $113.2 million Class A-18-X3 at AAA (sf)
-- $448.7 million Class A-X-1 at AAA (sf)
-- $11.9 million Class B-1 at AA (low) (sf)
-- $11.9 million Class B-1-A at AA (low) (sf)
-- $11.9 million Class B-1-X at AA (low) (sf)
-- $6.7 million Class B-2 at A (low) (sf)
-- $6.7 million Class B-2-A at A (low) (sf)
-- $6.7 million Class B-2-X at A (low) (sf)
-- $4.0 million Class B-3 at BBB (sf)
-- $1.9 million Class B-4 at BB (sf)
-- $951.1 thousand Class B-5 at B (low) (sf)
Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1,
A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3,
A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2,
A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4,
A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1,
A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and
B-2-X are interest-only (IO) certificates. The class balances
represent notional amounts.
Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4,
A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6,
A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1,
A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10,
A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12,
A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17,
A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3,
A-X-1, B-1, and B-2 are exchangeable certificates. These classes
can be exchanged for combinations of depositable certificates as
specified in the offering documents.
Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A,
A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B,
A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B,
A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B
are super-senior certificates. These classes benefit from
additional protection from the senior support certificate (Classes
A-9, A-9-A, A-9-B) regarding loss allocation.
The AAA (sf) credit ratings on the Certificates reflect 5.65% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (sf), BB (sf), and B (low) (sf)
credit ratings reflect 3.15%, 1.75%, 0.90%, 0.50%, and 0.30% of
credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien,
fixed-rate prime residential mortgages funded by the issuance of
the Mortgage Pass-Through Certificates. The Certificates are backed
by 408 loans with a total principal balance of $500,567,347 as of
the Cut-Off Date (May 1, 2026).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity from 10 to 30 years and a
weighted-average (WA) loan age of three months. They are
traditional, prime jumbo mortgage loans. Approximately 43.8% of the
loans were underwritten using an automated underwriting system
(AUS) designated by Fannie Mae or Freddie Mac. In addition, all the
loans in the pool were originated in accordance with the new
general Qualified Mortgage (QM) rule.
JPMorgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of
100.0% of the pool.
For this transaction, generally, the servicing fee payable for
mortgage loans is composed of three separate components: the base
servicing fee, the delinquent servicing fee, and the additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.
U.S. Bank Trust Company, National Association, rated AA with a
Stable trend by Morningstar DBRS, will act as the Securities
Administrator. U.S. Bank Trust National Association will act as the
Delaware Trustee. JPMCB will act as the Custodian. Pentalpha
Surveillance LLC (Pentalpha) will serve as the Representations and
Warranties (R&W) Reviewer.
The Sponsor (JPMCB) will retain an eligible vertical interest in
the transaction consisting of an uncertificated interest (the
Retained Interest) in the Trust representing not less than 5.0% of
the initial Class Principal Amount of each class of Certificates
(other than the Class A-R Certificates) to satisfy the EU/UK Risk
Retention requirements under Article 6(3) of PRASR and Chapter 4 of
SECN 5 of the UK Securitization Framework and Article 6(4) of the
EU Securitization Regulation.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
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 Interest Distribution
Amounts, the related Interest Shortfalls, and the related Class
Principal Amounts (for non-IO 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. 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.
CHASE HOME 2026-5: Fitch Assigns B-sf Final Rating on Cl. B5 Certs
------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Chase Home Lending
Mortgage Trust 2026-5 (Chase 2026-5).
Entity/Debt Rating Prior
----------- ------ -----
Chase 2026-5
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
Transaction Summary
The certificates are supported by 408 loans with a scheduled
balance of $500.57 million as of the cutoff date.
The pool consists of prime-quality, fixed-rate mortgages solely
originated by JPMorgan Chase Bank, National Association (JPMCB).
The loan-level representations and warranties 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
average prime offer rate 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 408 loans with a total unpaid balance of
$500.57 million and an average size of $1.2 million. The pool 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 770, a WA combined loan-to-value ratio (cLTV) of
74.45% (83.05% sustained LTV) and a WA debt-to-income ratio of
33.94%. The WA liquid reserves amount to $1,068,182.36. These
strong collateral attributes are reflected in Fitch's loss
analysis.
Chase 2026-5 has a final probability of default (PD) of 9.67% in
the 'AAA' rating stress. Fitch's final loss severity (LS) in the
'AAAsf' rating stress is 36.52%. The expected loss in the 'AAAsf'
rating stress is 3.53%.
Structural Analysis (Mixed): The mortgage cash flow and loss
allocation in Chase 2026-5 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 0.80% CE
floor, or senior subordination floor, should 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 concentration in a small loan pool. In addition,
the 0.55% junior subordination floor should mitigate potential
tail-end risk and loss exposure for subordinate tranches as the
pool size declines and performance volatility increases due to
adverse loan selection and small loan count concentration.
Losses on the non-retained portion of the loans will be allocated
first to the subordinate bonds (starting with class B-6). Once
class B-1-A is written off, losses will be allocated to class A-9-B
and then to the super-senior classes pro rata once class A-9-B is
written off.
This transaction has full advancing of delinquent principal and
interest 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 analyses 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
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 58.56% of the loans by balance based on Fitch's review of the
due diligence. Fitch applies a 5-bp z-score reduction for loans
fully reviewed by the third-party review 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. In addition,
all legal requirements should be satisfied to fully de-link the
transaction from any other entities. Fitch expects Chase 2026-5 to
be a fully de-linked and 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 Chase 2026-5 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
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 11.3%, at base case. The analysis indicates some
potential rating migration, with higher MVDs for all rated classes
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all the rated classes. Specifically,
a 10% gain in home prices would result in a full category upgrade
for the rated classes excluding those being assigned ratings of
'AAAsf'.
This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified while holding
others equal. The modeling process uses the modification of these
variables to reflect asset performance in up environments and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. They should not be used as indicators of
possible future performance.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC. The third-party due diligence described in Form
15E focused on credit, compliance, and property value reviews.
Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustment to its analysis: Fitch gives a
5-bps z-score reduction to the origination PD for each loan that
has a due diligence grade of A or B. In this transaction, 58.56% of
the loans had a due diligence review and all the loans reviewed
received a final grade of A or B. As a result, losses were lowered
based on the due diligence results.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 58.56% of the pool by balance. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria." AMC was engaged to perform the review. Loans reviewed
under this engagement were given compliance, credit and valuation
grades and assigned initial grades for each subcategory. Minimal
exceptions and waivers were noted in the due diligence reports.
Refer to the Third-Party Due Diligence section for more details.
Fitch also used data files that were made available by the issuer
on its SEC Rule 17g-5 designated website. Fitch received loan-level
information based on the ResiPLS data layout format, and the data
are considered to be comprehensive.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CHASE HOME 2026-6: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Chase Home Lending
Mortgage Trust 2026-6.
Entity/Debt Rating
----------- ------
Chase 2026-6
A1 LT AAA(EXP)sf Expected Rating
A10 LT AAA(EXP)sf Expected Rating
A10A LT AAA(EXP)sf Expected Rating
A10B LT AAA(EXP)sf Expected Rating
A10X1 LT AAA(EXP)sf Expected Rating
A10X2 LT AAA(EXP)sf Expected Rating
A10X3 LT AAA(EXP)sf Expected Rating
A11 LT AAA(EXP)sf Expected Rating
A11X LT AAA(EXP)sf Expected Rating
A12 LT AAA(EXP)sf Expected Rating
A13 LT AAA(EXP)sf Expected Rating
A13X LT AAA(EXP)sf Expected Rating
A14 LT AAA(EXP)sf Expected Rating
A14X LT AAA(EXP)sf Expected Rating
A14X2 LT AAA(EXP)sf Expected Rating
A14X3 LT AAA(EXP)sf Expected Rating
A14X4 LT AAA(EXP)sf Expected Rating
A15 LT AAA(EXP)sf Expected Rating
A15A LT AAA(EXP)sf Expected Rating
A15B LT AAA(EXP)sf Expected Rating
A15X1 LT AAA(EXP)sf Expected Rating
A15X2 LT AAA(EXP)sf Expected Rating
A15X3 LT AAA(EXP)sf Expected Rating
A16 LT AAA(EXP)sf Expected Rating
A16A LT AAA(EXP)sf Expected Rating
A16B LT AAA(EXP)sf Expected Rating
A16X1 LT AAA(EXP)sf Expected Rating
A16X2 LT AAA(EXP)sf Expected Rating
A16X3 LT AAA(EXP)sf Expected Rating
A17 LT AAA(EXP)sf Expected Rating
A17A LT AAA(EXP)sf Expected Rating
A17B LT AAA(EXP)sf Expected Rating
A17X1 LT AAA(EXP)sf Expected Rating
A17X2 LT AAA(EXP)sf Expected Rating
A17X3 LT AAA(EXP)sf Expected Rating
A18 LT AAA(EXP)sf Expected Rating
A18A LT AAA(EXP)sf Expected Rating
A18B LT AAA(EXP)sf Expected Rating
A18X1 LT AAA(EXP)sf Expected Rating
A18X2 LT AAA(EXP)sf Expected Rating
A18X3 LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A3A LT AAA(EXP)sf Expected Rating
A3B LT AAA(EXP)sf Expected Rating
A3X1 LT AAA(EXP)sf Expected Rating
A3X2 LT AAA(EXP)sf Expected Rating
A3X3 LT AAA(EXP)sf Expected Rating
A4 LT AAA(EXP)sf Expected Rating
A4A LT AAA(EXP)sf Expected Rating
A4B LT AAA(EXP)sf Expected Rating
A4X1 LT AAA(EXP)sf Expected Rating
A4X2 LT AAA(EXP)sf Expected Rating
A4X3 LT AAA(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A5A LT AAA(EXP)sf Expected Rating
A5B LT AAA(EXP)sf Expected Rating
A5X1 LT AAA(EXP)sf Expected Rating
A5X2 LT AAA(EXP)sf Expected Rating
A5X3 LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A6A LT AAA(EXP)sf Expected Rating
A6B LT AAA(EXP)sf Expected Rating
A6X1 LT AAA(EXP)sf Expected Rating
A6X2 LT AAA(EXP)sf Expected Rating
A6X3 LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A7A LT AAA(EXP)sf Expected Rating
A7B LT AAA(EXP)sf Expected Rating
A7X1 LT AAA(EXP)sf Expected Rating
A7X2 LT AAA(EXP)sf Expected Rating
A7X3 LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A8A LT AAA(EXP)sf Expected Rating
A8B LT AAA(EXP)sf Expected Rating
A8X1 LT AAA(EXP)sf Expected Rating
A8X2 LT AAA(EXP)sf Expected Rating
A8X3 LT AAA(EXP)sf Expected Rating
A9 LT AAA(EXP)sf Expected Rating
A9A LT AAA(EXP)sf Expected Rating
A9B LT AAA(EXP)sf Expected Rating
A9X1 LT AAA(EXP)sf Expected Rating
A9X2 LT AAA(EXP)sf Expected Rating
A9X3 LT AAA(EXP)sf Expected Rating
AX1 LT AAA(EXP)sf Expected Rating
B1 LT AA-(EXP)sf Expected Rating
B1A LT AA-(EXP)sf Expected Rating
B1X LT AA-(EXP)sf Expected Rating
B2 LT A-(EXP)sf Expected Rating
B2A LT A-(EXP)sf Expected Rating
B2X LT A-(EXP)sf Expected Rating
B3 LT BBB-(EXP)sf Expected Rating
B4 LT BB-(EXP)sf Expected Rating
B5 LT B-(EXP)sf Expected Rating
B6 LT NR(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 382 loans with a scheduled
balance of $482.55 million as of the cutoff date. The closing date
is June 29, 2026.
The pool consists of prime-quality, fixed-rate mortgages solely
originated by JPMorgan Chase Bank, National Association (JPMCB).
The loan-level representations and warranties (R&Ws) are provided
by the originator, JPMCB. All mortgage loans in the pool will be
serviced by JPMCB. The collateral quality of the pool is extremely
strong, with a large percentage of loans over $1.0 million.
Of the loans, 99.95% are safe-harbor qualified mortgage average
prime offer rate loans and 0.05% are qualified mortgage rebuttable
presumption average prime offer rate 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 382 loans with a total unpaid balance of
$482.55 million and an average size of $1.2 million. The pool 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 772, a WA combined loan-to-value ratio (cLTV) of
74.44% (83.22% sustained LTV) and a WA debt-to-income ratio (DTI)
of 33.44%. The WA liquid reserves amount to $858,428.20.
These strong collateral attributes are reflected in Fitch's loss
analysis.
Chase 2026-6 has a final probability of default (PD) of 9.36% in
the 'AAA' rating stress. Fitch's final loss severity (LS) in the
'AAAsf' rating stress is 36.53%. The expected loss in the 'AAAsf'
rating stress is 3.42%.
Structural Analysis (Mixed): The mortgage cash flow and loss
allocation in Chase 2026-6 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 0.85% 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 0.60% has been considered
to mitigate potential tail-end risk and loss exposure for
subordinate tranches as the pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.
Losses on the non-retained portion of the loans will be allocated,
first, to the subordinate bonds (starting with class B-6). Once
class B-1-A is written off, losses will be allocated to class A-9-B
first, and then to the super-senior classes pro rata once class
A-9-B is written off.
This transaction has full advancing of delinquent principal and
interest (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 analyses 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 61.3% of the loans by loan count based on Fitch's review of the
due diligence. 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. In addition,
all legal requirements should be satisfied to fully de-link the
transaction from any other entities. Fitch expects Chase 2026-6 to
be a fully de-linked and 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 Chase 2026-6 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
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 9.57%, at base case. The analysis indicates some
potential rating migration, with higher MVDs for all rated classes
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all 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) as
prepared by SitusAMC. In total 61.3% of the loans in the pool had a
third-party review conducted. The third-party due diligence
described in Form 15E focused on credit, compliance, and property
value reviews.
Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustments to its analysis: Fitch gave a
5-bps z-score reduction to the origination PD for each loan that
has a due diligence grade of A or B. In this transaction, 61.3% of
the loans had a due diligence review and all of the loans reviewed
received a final grade of A or B. As a result, losses were lowered
based on the due diligence results.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 61.3% of the pool by loan count. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria." AMC was engaged to perform the review. Loans reviewed
under this engagement were given compliance, credit and valuation
grades and assigned initial grades for each subcategory. Minimal
exceptions and waivers were noted in the due diligence reports.
Refer to the Third-Party Due Diligence section for more details.
Fitch also used data files that were made available 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
is considered to be comprehensive.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CHASE HOME 2026-J1NV1: Fitch Assigns 'B-sf' Rating on Class B5 Debt
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to Chase Home Lending
Mortgage Trust 2026-JINV1 (Chase 2026-JINV1).
Entity/Debt Rating Prior
----------- ------ -----
Chase 2026-JINV1
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 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 BB-sf New Rating BB-(EXP)sf
B5 LT B-sf New Rating B-(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
Transaction Summary
The certificates are supported by 221 loans with a scheduled
balance of $282.40 million as of the cutoff date.
The pool consists of prime-quality, fixed-rate jumbo mortgages
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.
All of the loans are fully documented loans based on the borrower's
income and credit profiles and are either investor occupied (80.6%)
or are second homes (19.4%). The average loan size is $1.28
million, and the WA liquid reserves are $1.18 million
Of the loans, 26.8% qualify as safe-harbor qualified mortgage while
the remaining 73.2% are out of scope of QM or QM does not apply
since they are investor 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 Jumbo 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 221 prime quality loans with a total
unpaid balance of $282.40 million and an average size of $1.28
million. The pool is seasoned for six months, based on Fitch's
analysis.
The pool comprises high-quality prime loans with a weighted average
(WA) FICO score of 775, a WA combined loan-to-value ratio (cLTV) of
73.4% (81.1% sustained LTV) and a WA debt-to-income ratio (DTI) of
33.6%. The WA liquid reserves amount to $1.18 million. The loans
are either investor occupied (80.6%) or are second homes (19.4%).
There are no owner-occupied loans in the pool.
These strong collateral attributes are reflected in Fitch's loss
analysis. Chase 2026-JINV1 has a final probability of default (PD)
of 11.28% in the 'AAA' rating stress. Fitch's final loss severity
(LS) in the 'AAAsf' rating stress is 38.62%. The expected loss in
the 'AAAsf' rating stress is 4.36%.
Structural Analysis (Mixed): The mortgage cash flow and loss
allocation in Chase 2026-JINV1 are based on a senior-subordinate,
shifting-interest structure, whereby the subordinate classes
receive only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years.
The lockout feature helps maintain subordination for a longer
period should losses occur later in the life of the transaction.
The applicable credit support percentage feature redirects
subordinate principal to classes of higher seniority if specified
credit enhancement (CE) levels are not maintained.
This transaction has CE or subordination floors. The CE or senior
subordination floor of 1.40% 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 1.00% has been considered
to mitigate potential tail-end risk and loss exposure for
subordinate tranches as the pool size declines and performance
volatility increases due to adverse loan selection and small loan
count concentration.
Losses on the non-retained portion of the loans will be allocated,
first, to the subordinate bonds (starting with class B-6). Once
class B-1-A is written off, losses will be allocated to class A-9-B
first, and then to the super-senior classes pro rata once class
A-9-B is written off.
This transaction has full advancing of delinquent principal and
interest (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 76.47% of the loans by balance based on Fitch's review of the
due diligence. 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 entities. Chase 2026-JINV1
is a fully de-linked and 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 Chase 2026-JINV1, 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
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 37.93%, at 'AAA'. The analysis indicates there
is some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated class excluding those being assigned ratings of 'AAAsf'.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC and Digital Risk. The third-party due diligence
described in Form 15E focused on Credit, Compliance, Valuations,
and data integrity. Fitch considered this information in its
analysis and, as a result. The pool had due diligence completed on
76.5% of the loans. All the loans reviewed in the pool had a final
grade of 'A' or 'B'. Fitch applies a 5bps z-score reduction to each
loan with diligence that has a final grade of 'A' or 'B'. Fitch
applied this credit to the 76.5% of the loans in the pool with
diligence completed and this resulted in lower losses for the
overall pool.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 76.5% of the pool by balance. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria." Digital Risk and 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 used data files that were made available by the issuer
on its SEC Rule 17g-5 designated website. Fitch received loan-level
information based on the ResiPLS data layout format, and the data
are considered to be comprehensive.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.
CHASE HOME 2026-JINV1: DBRS Finalizes B(low) Rating on B-5 Certs
----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized the following provisional
credit ratings on the Mortgage Pass-Through Certificates, Series
2026-JINV1 (the Certificates) issued by Chase Home Lending Mortgage
Trust 2026-JINV1:
-- $248.7 million Class A-1 at AAA (sf)
-- $228.0 million Class A-2 at AAA (sf)
-- $140.6 million Class A-3 at AAA (sf)
-- $140.6 million Class A-3-A at AAA (sf)
-- $140.6 million Class A-3-B at AAA (sf)
-- $140.6 million Class A-3-X1 at AAA (sf)
-- $140.6 million Class A-3-X2 at AAA (sf)
-- $140.6 million Class A-3-X3 at AAA (sf)
-- $105.5 million Class A-4 at AAA (sf)
-- $105.5 million Class A-4-A at AAA (sf)
-- $105.5 million Class A-4-B at AAA (sf)
-- $105.5 million Class A-4-X1 at AAA (sf)
-- $105.5 million Class A-4-X2 at AAA (sf)
-- $105.5 million Class A-4-X3 at AAA (sf)
-- $35.2 million Class A-5 at AAA (sf)
-- $35.2 million Class A-5-A at AAA (sf)
-- $35.2 million Class A-5-B at AAA (sf)
-- $35.2 million Class A-5-X1 at AAA (sf)
-- $35.2 million Class A-5-X2 at AAA (sf)
-- $35.2 million Class A-5-X3 at AAA (sf)
-- $84.4 million Class A-6 at AAA (sf)
-- $84.4 million Class A-6-A at AAA (sf)
-- $84.4 million Class A-6-B at AAA (sf)
-- $84.4 million Class A-6-X1 at AAA (sf)
-- $84.4 million Class A-6-X2 at AAA (sf)
-- $84.4 million Class A-6-X3 at AAA (sf)
-- $56.2 million Class A-7 at AAA (sf)
-- $56.2 million Class A-7-A at AAA (sf)
-- $56.2 million Class A-7-B at AAA (sf)
-- $56.2 million Class A-7-X1 at AAA (sf)
-- $56.2 million Class A-7-X2 at AAA (sf)
-- $56.2 million Class A-7-X3 at AAA (sf)
-- $21.1 million Class A-8 at AAA (sf)
-- $21.1 million Class A-8-A at AAA (sf)
-- $21.1 million Class A-8-B at AAA (sf)
-- $21.1 million Class A-8-X1 at AAA (sf)
-- $21.1 million Class A-8-X2 at AAA (sf)
-- $21.1 million Class A-8-X3 at AAA (sf)
-- $20.7 million Class A-9 at AAA (sf)
-- $20.7 million Class A-9-A at AAA (sf)
-- $20.7 million Class A-9-B at AAA (sf)
-- $20.7 million Class A-9-X1 at AAA (sf)
-- $20.7 million Class A-9-X2 at AAA (sf)
-- $20.7 million Class A-9-X3 at AAA (sf)
-- $56.2 million Class A-10 at AAA (sf)
-- $56.2 million Class A-10-A at AAA (sf)
-- $56.2 million Class A-10-B at AAA (sf)
-- $56.2 million Class A-10-X1 at AAA (sf)
-- $56.2 million Class A-10-X2 at AAA (sf)
-- $56.2 million Class A-10-X3 at AAA (sf)
-- $87.4 million Class A-11 at AAA (sf)
-- $87.4 million Class A-11-X at AAA (sf)
-- $87.4 million Class A-12 at AAA (sf)
-- $87.4 million Class A-13 at AAA (sf)
-- $87.4 million Class A-13-X at AAA (sf)
-- $87.4 million Class A-14 at AAA (sf)
-- $87.4 million Class A-14-X at AAA (sf)
-- $87.4 million Class A-14-X2 at AAA (sf)
-- $87.4 million Class A-14-X3 at AAA (sf)
-- $87.4 million Class A-14-X4 at AAA (sf)
-- $28.1 million Class A-15 at AAA (sf)
-- $28.1 million Class A-15-A at AAA (sf)
-- $28.1 million Class A-15-B at AAA (sf)
-- $28.1 million Class A-15-X1 at AAA (sf)
-- $28.1 million Class A-15-X2 at AAA (sf)
-- $28.1 million Class A-15-X3 at AAA (sf)
-- $28.1 million Class A-16 at AAA (sf)
-- $28.1 million Class A-16-A at AAA (sf)
-- $28.1 million Class A-16-B at AAA (sf)
-- $28.1 million Class A-16-X1 at AAA (sf)
-- $28.1 million Class A-16-X2 at AAA (sf)
-- $28.1 million Class A-16-X3 at AAA (sf)
-- $28.1 million Class A-17 at AAA (sf)
-- $28.1 million Class A-17-A at AAA (sf)
-- $28.1 million Class A-17-B at AAA (sf)
-- $28.1 million Class A-17-X1 at AAA (sf)
-- $28.1 million Class A-17-X2 at AAA (sf)
-- $28.1 million Class A-17-X3 at AAA (sf)
-- $49.2 million Class A-18 at AAA (sf)
-- $49.2 million Class A-18-A at AAA (sf)
-- $49.2 million Class A-18-B at AAA (sf)
-- $49.2 million Class A-18-X1 at AAA (sf)
-- $49.2 million Class A-18-X2 at AAA (sf)
-- $49.2 million Class A-18-X3 at AAA (sf)
-- $248.7 million Class A-X-1 at AAA (sf)
-- $6.6 million Class B-1 at AA (low) (sf)
-- $6.6 million Class B-1-A at AA (low) (sf)
-- $6.6 million Class B-1-X at AA (low) (sf)
-- $5.6 million Class B-2 at A (low) (sf)
-- $5.6 million Class B-2-A at A (low) (sf)
-- $5.6 million Class B-2-X at A (low) (sf)
-- $3.5 million Class B-3 at BBB (low) (sf)
-- $2.3 million Class B-4 at BB (low) (sf)
-- $670.7 thousand Class B-5 at B (low) (sf)
Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1,
A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3,
A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2,
A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4,
A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1,
A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and
B-2-X are interest-only (IO) certificates. The class balances
represent notional amounts.
Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4,
A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6,
A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1,
A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10,
A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12,
A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17,
A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3,
A-X-1, B-1, and B-2 are exchangeable certificates. These classes
can be exchanged for combinations of depositable certificates as
specified in the offering documents.
Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A,
A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B,
A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B,
A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B
are super-senior certificates. These classes benefit from
additional protection from the senior support certificate (Classes
A-9, A-9-A, A-9-B) regarding loss allocation.
The AAA (sf) credit ratings on the Certificates reflect 7.30% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 4.85%, 2.75%, 1.45%, 0.60%, and
0.35% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
The transaction is a securitization of a portfolio of first-lien,
fixed-rate prime jumbo non-owner-occupied second home and
residential investment-property mortgages funded by the issuance of
the Certificates. The Certificates are backed by 221 loans with a
total principal balance of $282,401,980 as of the Cut-Off Date (May
1, 2026).
This is the first securitization issued backed by prime jumbo
non-owner-occupied second homes and residential
investment-properties issued under the CHASE shelf.
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity from 20 to 30 years and a
weighted-average (WA) loan age of six months. They are traditional,
prime jumbo mortgage loans. Approximately 49.9% of the loans were
underwritten using an automated underwriting system (AUS)
designated by Fannie Mae or Freddie Mac.
In accordance with the Consumer Financial Protection Bureau (CFPB)
Qualified Mortgage (QM) rules, 26.8% of the loans in the pool are
designated QM Safe Harbor. Approximately 73.2% of the loans in the
pool were made to investors for business purposes and exempt from
the CFPB Ability-to-Repay (ATR) and QM Rules.
JPMorgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of
100.0% of the pool.
For this transaction, generally, the servicing fee payable for
mortgage loans is composed of three separate components: the base
servicing fee, the delinquent servicing fee, and the additional
servicing fee. These fees vary based on the delinquency status of
the related loan and will be paid from interest collections before
distribution to the securities.
Citibank, National Association, rated AA with a Stable trend by
Morningstar DBRS, will act as the Securities Administrator.
Citibank, National Association will act as the Delaware Trustee.
JPMCB will act as the Custodian. Pentalpha Surveillance LLC
(Pentalpha) will serve as the Representations and Warranties (R&W)
Reviewer.
The Sponsor (JPMCB) will retain an eligible vertical interest in
the transaction consisting of an uncertificated interest (the
Retained Interest) in the Trust representing not less than 5.0% of
the initial Class Principal Amount of each class of Certificates
(other than the Class A-R Certificates) to satisfy the EU/UK Risk
Retention requirements under Article 6(3) of PRASR and Chapter 4 of
SECN 5 of the UK Securitization Framework and Article 6(4) of the
EU Securitization Regulation.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
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 Interest Distribution
Amounts, the related Interest Shortfalls, and the related Class
Principal Amounts (for non-IO 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. 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.
CITIGROUP 2017-P8: Fitch Lowers Rating on Four Classes to Csf
-------------------------------------------------------------
Fitch Ratings has downgraded eight classes and affirmed 13 classes
of Citigroup Commercial Mortgage Trust 2017-P8 commercial mortgage
pass-through certificates (CGCMT 2017-P8). The Rating Outlooks on
nine of the affirmed classes are Negative.
Fitch has also affirmed 14 classes of Citigroup Commercial Mortgage
Trust 2017-C4 commercial mortgage pass-through certificates (CGCMT
2017-C4). The Outlooks on two of the affirmed classes were revised
to Stable from Negative. The Outlooks on five of the affirmed
classes are Negative.
Entity/Debt Rating Prior
----------- ------ -----
CGCMT 2017-P8
A-2 17326DAB8 LT AAAsf Affirmed AAAsf
A-3 17326DAC6 LT AAAsf Affirmed AAAsf
A-4 17326DAD4 LT AAAsf Affirmed AAAsf
A-AB 17326DAE2 LT AAAsf Affirmed AAAsf
A-S 17326DAF9 LT AA-sf Affirmed AA-sf
B 17326DAG7 LT BBBsf Affirmed BBBsf
C 17326DAH5 LT BBsf Affirmed BBsf
D 17326DAM4 LT CCCsf Downgrade B-sf
E 17326DAP7 LT Csf Downgrade CCCsf
F 17326DAR3 LT Csf Downgrade CCsf
V-2A 17326DBF8 LT AA-sf Affirmed AA-sf
V-2B 17326DBH4 LT BBBsf Affirmed BBBsf
V-2C 17326DBK7 LT BBsf Affirmed BBsf
V-2D 17326DBM3 LT CCCsf Downgrade B-sf
V-3AC 17326DBR2 LT BBsf Affirmed BBsf
V-3D 17326DBV3 LT CCCsf Downgrade B-sf
X-A 17326DAJ1 LT AA-sf Affirmed AA-sf
X-B 17326DAK8 LT BBBsf Affirmed BBBsf
X-D 17326DAV4 LT CCCsf Downgrade B-sf
X-E 17326DAX0 LT Csf Downgrade CCCsf
X-F 17326DAZ5 LT Csf Downgrade CCsf
CGCMT 2017-C4
A-3 17326FAC1 LT AAAsf Affirmed AAAsf
A-4 17326FAD9 LT AAAsf Affirmed AAAsf
A-AB 17326FAE7 LT AAAsf Affirmed AAAsf
A-S 17326FAH0 LT AAAsf Affirmed AAAsf
B 17326FAJ6 LT AA-sf Affirmed AA-sf
C 17326FAK3 LT A-sf Affirmed A-sf
D 17326FAL1 LT BBBsf Affirmed BBBsf
E-RR 17326FAN7 LT BBsf Affirmed BBsf
F-RR 17326FAQ0 LT B+sf Affirmed B+sf
G-RR 17326FAS6 LT B-sf Affirmed B-sf
H-RR 17326FAU1 LT CCCsf Affirmed CCCsf
X-A 17326FAF4 LT AAAsf Affirmed AAAsf
X-B 17326FAG2 LT A-sf Affirmed A-sf
X-D 17326FAY3 LT BBBsf Affirmed BBBsf
KEY RATING DRIVERS
'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has
increased in CGCMT 2017-P8 to 10.6% from 9.0% since Fitch's prior
rating action and decreased in CGCMT 2017-C4 to 5.8% from 7.0%. The
CGCMT 2017-P8 transaction has nine Fitch Loans of Concern (FLOCs;
33.3% of the pool), including three loans (12.9%) in special
servicing. The CGCMT 2017-C4 transaction has 10 FLOCs (33.1%),
including one loan (1.1%) in special servicing.
The downgrades in CGCMT 2017-P8 reflect higher pool loss
expectations since the prior review, driven primarily by the
increase in expected loss for 225 & 233 Park Avenue South (6.2%),
440 Mamaroneck Avenue (3.0%), and Grant Building (3.6%), along with
the continued high expected losses for Bank of America Plaza
(3.5%).
The Negative Outlooks in CGCMT 2017-P8 reflect the elevated
concentration of office loans (43.1%) and possibility for further
downgrades if performance of the aforementioned FLOCs declines
further or if workouts are prolonged on specially serviced loans.
The affirmations of CGCMT 2017-C4 reflect the generally stable
performance of the pool since the prior review. The Outlook
revision to Stable from Negative on classes C and X-B reflect the
overall improvement of the pool since the prior rating action,
indicative of stabilization and positive cash flow growth for the
larger loans in the pool.
The Negative Outlooks reflect the continued higher loss
expectations from FLOCs 50 Varick Street (4.5%), South Station
(9.6%) and Capital Centers II & III (2.3%). The Negative Outlooks
also reflect the high concentration of FLOCs, representing 33.1% of
the pool, along with the office concentration in the pool of
24.7%.
Largest Contributors to Loss: The largest increase in loss since
the prior rating action and second largest contributor to overall
loss expectations in CGCMT 2017-P8 is the 225 & 233 Park Avenue
South loan.
The loan was modified in July 2025 to include a 100% equity pledge
from the borrower to the senior lender and $150 million of new
capital from a new mezzanine group, along with funding for various
reserves. The modification also allows the conversion and release
of the 233 building for residential use or condominium ownership.
The loan is scheduled to mature in June 2027 and may be extended to
June 2029 through two 12-month extension options, subject to a
paydown and an increase in the interest rate.
The largest tenant, Facebook (39.4% of NRA; March 2024), and STV
Incorporated (19.7% of NRA; May 2024) vacated at lease expiration,
driving occupancy down to 38% as of YE 2025 compared to 99% per the
October 2023 rent roll. Facebook was required to pay a lease
termination payment. The current largest tenant, Buzzfeed (28.7% of
NRA; May 2026), which vacated in 2022, subleases all its space to
software company Monday.com and does not intend to renew its lease.
Per the YE 2025 rent roll, Monday.com is signing a direct lease for
17.1% of the NRA (former Buzzfeed space) on a lease through
December 2036.
As of the March 2026 remittance, total reserves were $90.25
million, primarily allocated to tenant reserve ($46.9 million),
debt service reserves ($15.3 million), capital improvement reserves
($18.0 million) and other reserves ($10 million). According to
CoStar, 508,551-sf (69% of NRA) was listed as available for lease.
The total submarket had 12.2% vacancy and 11.1% availability rates
and market asking rent of $76.35 compared to 13.2%, 13.3%, and
$64.30, respectively, for the New York MSA.
Fitch's 'Bsf' rating case loss of 39.3% (prior to concentration
add-ons) reflects a stressed Fitch value that equates to $211 psf,
which is approximately 76.2% below the value at issuance and is in
line with comparable valuations in the submarket.
The second largest increase in loss since the prior rating action
and largest contributor to overall loss expectations in CGCMT
2017-P8 is the Grant Building loan, which is secured by a
461,006-sf office property located in downtown Pittsburgh, PA. The
loan transferred to special servicing in September 2023 for
imminent monetary default and a receiver was appointed March 2024.
As of the May 2026 reporting, the loan was last paid in July 2024.
Major tenants at the property include Hillman Co. (5.7% of NRA
through June 2028) and Rothman Gordon (4.5%; March 2027).
As of May 2025, occupancy declined to 53% from 69.8% in April 2025
due to the departure of major tenant Huntington National Bank,
which previously occupied 11.4% of the space. The servicer-reported
NOI DSCR at YE 2024 was 1.08x, compared to 1.43x at YE 2023, 1.45x
at YE 2022, and 2.02x at YE 2021.
Fitch's 'Bsf' case loss of 75.6% (prior to concentration add-ons)
reflects a 9.0% cap rate and a discount to the most recent April
2025 appraisal value.
The third largest increase in loss since the prior rating action
and forth largest contributor to overall loss expectations in CGCMT
2017-P8 is the 440 Mamaroneck Avenue loan, secured by a 239,156-sf
office property located in Harrison, NY. Major tenants at the
property include Michael A. Werner MD (5.9% of the NRA through June
2034), Surgical Specialty Center of Westchester (5.5%; September
2033), and Sprague HP Holdings (4.7%; August 2032). Occupancy at
the subject has declined since the prior review, primarily due to
TransAmerica Life Insurance reducing its footprint from 12.0% of
NRA to 2.1% following its May 2025 lease expiration, along with
Sprague/Castle Oil downsizing from 7.1% of NRA to 4.7%.
Per the December 2025 rent roll, the property was 56.3% occupied,
compared to 68% at YE 2024. Upcoming rollover includes 3.0% in 2026
and 2.9% in 2027. The servicer-reported NOI DSCR was 0.48x as of YE
2025, compared to 0.51x at YE 2024, 0.42x at YE 2023, and 0.60x at
YE 2022. The loan has remained current despite low DSCR.
Fitch's 'Bsf' case loss of 38.6% (prior to concentration add-ons)
reflects a 10% cap rate, and a 10% stress to the YE 2025 NOI.
The largest contributor to overall loss expectations in CGCMT
2017-C4 is the 50 Varick Street loan, secured by a 155,434-sf
office property in the Tribeca neighborhood of Manhattan. 50 Varick
Street is the official host of TriBeCa Film Festival, New York
Fashion Week, and the Independent Art Fair.
The subject tenant mix consists of two office tenants, Spring
Studios New York LLC (NRA 53%) and Spring Place New York (NRA 47%).
Both tenants' leases are scheduled to expire in December 2029, two
years beyond the loan's maturity in September 2027. Both leases are
structured with rent bumps in 2020, 2023 and 2026. The loan was
structured with a 10-year ICAP Tax Abatement that expires in 2025.
The original abatement amount was $600,000 in 2015 and began to
burn off in 2020, with only $240,000 tax abatement amount remaining
for the 2022-2023 tax year.
According to the June 2024 loan commentary, Spring Place New York
received a notice of event of default for being delinquent on
approximately $5.1 million in base rent and common area
maintenance, plus $493,000 in additional charges owed to the
landlord. Due to the decrease in rental income and expense
reimbursement, the servicer-reported NOI DSCR dropped to 0.97x at
YE 2025, compared to 0.85x at YE 2024, 1.62x at YE 2023, 1.63x at
YE 2022, 1.57x at YE 2021, and 1.80x at YE 2020. According to the
servicer, both tenants are currently paying rent. Fitch has reached
out for further clarification regarding the delinquent rent
payments and current rental rates.
Fitch's 'Bsf' case loss of 20.1% (prior to concentration add-ons)
reflects a 9% cap rate and a 10% stress to the YE 2025 NOI.
The second largest contributor to overall loss expectations in
CGCMT 2017-C4 is the South Station loan, which is secured by a
200,775-sf office/retail property located in downtown Boston, MA
and accommodates the primary Boston Amtrak hub. The largest tenants
include Amtrak (25.9% of the NRA, with 14.4% through September 2028
and the remaining 9.6% on a month-to-month lease), the Commonwealth
of Massachusetts (19.9%; June 2033) and CVS (14.4%; July 2034).
The station and its surrounding area have recently been enhanced
through a series of renovations and new additions. Most notably, a
newly completed tower above the station features office space,
Ritz-Carlton residences, retail offerings, and an expansive rooftop
park. Overall, the project represents both a significant urban
revitalization effort and a modernization of the station, improving
efficiency and meaningfully increasing bus and rail capacity.
Fitch has been monitoring the loan due to the continued increase in
expenses over the past few years. Expense increases in 2025,
however, were outpaced by increasing revenues, leading to an
increase in overall loan performance. The servicer-reported NOI
DSCR was 1.97x as of Q3 2025, compared to 1.67x at YE 2024,
compared to 0.65x at YE 2023, 1.10x at YE 2022, 1.19x at YE 2021,
and 1.91x at YE 2020.
Fitch's 'Bsf' case loss of 9.0% (prior to concentration add-ons)
reflects an 8.5% cap rate, 7.5% stress to the YE 2024 NOI, and
factors an elevated probability of default given the volatility in
expenses.
The third largest contributor to overall loss expectations in CGCMT
2017-C4 is the Capital Centers II & III loan, secured by 10
buildings within an office park totaling 530,365 sf in Rancho
Cordova, CA. Capital Center II is comprised of six buildings and
Capital Center III is comprised of four buildings.
Occupancy previously fell to 64.5% from 90% at issuance after Wells
Fargo (formerly 10.1% of NRA), MCI WorldCom Verizon (7.6%), and
CoreLogic (5.3%) vacated upon their lease expirations between 2018
and 2019. As of the September 2025 rent roll, the portfolio was
75.3% occupied, compared to 78.4% in November 2024, 81.8% in
October 2023 and 85% in September 2021. The largest tenants at the
property include Prime Therapeutics (10.4%; May 2026) and Blue
Cross of California (10.2%; March 2029). There is 24.2% of the NRA
rolling in 2026 and 4.1% in 2027.
Fitch's 'Bsf' rating loss of 23.6% (prior to concentration add-ons)
reflects a 10% cap rate, 20% stress to the YE 2024 NOI, and factors
a higher probability of default to account for the heightened
maturity default risk as the loan approaches maturity in 2027.
Increased Credit Enhancement (CE): As of the May 2026 distribution
date, the aggregate principal balance for CGCMT 2017-P8 has been
reduced by 10.3% to $975.2 from $1.09 billion at issuance. Eight
loans (11.3%) are fully defeased. Twenty loans, representing 50.0%
of the pool, are full-term interest-only and the remaining 31 loans
(50.0%) are amortizing. Interest shortfalls of $1,853,611 are
currently impacting the non-rated class G.
As of the May 2026 distribution date, the aggregate principal
balance for CGCMT 2017-C4 has been reduced by 20.7% to $774.8
million from $977.1 million. Twelve loans (17.3% of the pool) have
fully defeased. There are 17 loans (49.4% of the NRA) that are
full-term, interest-only and the remaining 30 loans (50.6%) are
amortizing. Interest shortfalls of $331,986 are currently impacting
the non-rated class J-RR.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Downgrades to the 'AAAsf' rated classes are not expected due to
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' category
rated classes may occur if the performance of the FLOCs, which
include office FLOCs Starwood Capital Group Hotel Portfolio, 225 &
233 Park Avenue South, Bank of America Plaza, 440 Mamaroneck
Avenue, and Grant Building in CGCMT 2017-P8, and South Station,
Capital Center II & III, and 50 Varick in CGCMT 2017-C4,
deteriorate further or more loans than expected default at or prior
to maturity;
- Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' category rated
classes are likely with higher-than-expected losses from continued
underperformance of the FLOCs, particularly the aforementioned
loans with deteriorating performance and with greater certainty of
losses on the specially serviced loans or other FLOCs;
- Downgrades to distressed ratings would occur if additional loans
transfer to special servicing or default, as losses are realized or
become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Upgrades to classes rated in the 'AAsf' and 'Asf' category rated
classes may be possible with significantly increased CE from
paydowns and/or defeasance, coupled with stable to improved
pool-level loss expectations and improved performance on the FLOCs,
which include office FLOCs Starwood Capital Group Hotel Portfolio,
225 & 233 Park Avenue South, Bank of America Plaza, 440 Mamaroneck
Avenue, and Grant Building in CGCMT 2017-P8, and South Station,
Capital Center II & III, and 50 Varick in CGCMT 2017-C4. Classes
would not be upgraded above 'AA+sf' if there is likelihood for
interest shortfalls;
- Upgrades to the 'BBBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration;
- Upgrades to the 'BBsf' and 'Bsf' category rated classes are not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable, recoveries on the
FLOCs are better than expected and there is sufficient CE to the
classes;
- Upgrades to distressed ratings are not expected, 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.
COMM 2014-CCRE15: DBRS Confirms Csf Rating on 2 Tranches
--------------------------------------------------------
DBRS Limited (Morningstar DBRS) downgraded its credit ratings on
three classes of Commercial Mortgage Pass-Through Certificates,
Series 2014-CCRE15 issued by COMM 2014-CCRE15 Mortgage Trust as
follows:
-- Class B to BBB (high) (sf) from AA (high) (sf)
-- Class C to BBB (low) (sf) from AA (sf)
-- Class PEZ to BBB (low) (sf) from AA (sf)
In addition, Morningstar DBRS confirmed the following credit
ratings:
-- Class D at CCC (sf)
-- Class X-B at CCC (sf)
-- Class E at C (sf)
-- Class F at C (sf)
Morningstar DBRS also placed the credit ratings for Classes B, C,
and PEZ Under Review with Negative Implications.
With this credit rating action, these classes no longer carry
trends, as applicable.
CREDIT RATING ACTION RATIONALE
-- The credit rating downgrades reflect an increase in interest
shortfalls tied to the 840 Westchester loan (Prospectus ID#23, 5.7%
of the current pool balance).
-- As of the May 2026 remittance, cumulative unpaid interest
totaled $6.4 million, up from $4.0 million at the last credit
rating action, with Classes B and C no longer receiving any
interest due since March 2026. Those classes have been shorted by
approximately $167,000 and $271,000 to date, respectively.
-- Although Morningstar DBRS anticipates that the Class B and C
Certificates will be fully recovered, Morningstar DBRS' tolerance
for unpaid interest is limited to one to two remittance cycles at
the AA credit rating category, supporting the credit rating
downgrades for Classes B and C with this review.
-- Morningstar DBRS elected to place Classes B, C, and PEZ Under
Review with Negative Implications as it seeks additional
information from the servicer to assess the likelihood that
outstanding interest shortfalls will be repaid, or whether such
shortfalls are expected to continue or increase. If interest
shortfalls persist or grow beyond Morningstar DBRS' tolerance
thresholds, it may consider further credit rating downgrades.
POOL/COLLATERAL OVERVIEW
-- As of the May 2026 remittance, four loans remained in the pool
with a trust balance of $176.7 million, a collateral reduction of
82.5% from issuance.
-- All four remaining loans are backed by office collateral, two of
which (25 West 45th Street (Prospectus ID#4, 35.4% of the pool) and
840 Westchester) are in special servicing.
-- Since the prior credit rating action in December 2025, there
have been limited changes in performance and workout activity
across the remaining loans in the pool, except for the 840
Westchester loan.
ANALYTICAL CONSIDERATIONS
-- The largest remaining loan, 625 Madison Avenue (Prospectus ID#3,
41.7% of the pool) is expected to be fully recovered upon
resolution with a trust loan balance of $73.6 million (sufficient
to fully repay Classes B and C).
-- The two specially serviced loans were analyzed with conservative
liquidation scenarios based on haircuts to the most recent
appraised values, with projected losses of $40.1 million ($36.0
million of which is contributed by the largest specially serviced
loan, 25 West 45th Street) contained to the C (sf)-rated Class F
certificate.
-- The nonspecially serviced 600 Commonwealth loan (Prospectus
ID#6; 17.2% of the pool) is secured by an underperforming office
property in Los Angeles. The collateral's value has likely
declined, reflecting low occupancy and weakened cash flow.
Morningstar DBRS'analysis indicates that a loss may be realized
upon resolution; however, any such losses are expected to be
contained to the more junior Class E certificate.
KEY LOANS
840 Westchester (Prospectus ID#23, 5.7% of the current pool
balance)
-- The loan is secured by the fee-simple interest in a
47,963-square-foot mixed-use office and retail building in the
Bronx borough of New York.
-- The property has been real estate owned since September 2025,
and the special servicer is actively working to develop a business
plan while addressing deferred maintenance items. The loan has been
deemed nonrecoverable by the servicer.
-- No updated rent roll or financials have been provided since
2022.
-- The asset was appraised for $12.5 million in August 2025, down
from $24.0 million at issuance.
-- Reimbursements of advances from interest related to the 840
Westchester loan totaled approximately $260,000 per month in April
and May, resulting in no scheduled interest being distributed
across the capital stack.
-- There are currently approximately $1.3 million in outstanding
cumulative principal and interest advances associated with this
loan.
-- Morningstar DBRS will continue to monitor the situation over the
90-day Under Review with Negative Implications window and take
necessary credit rating actions to address persisting shortfalls
should they continue to accrue.
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.
Class X-B is an interest-only (IO) certificate that references 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.
CVLR TRUST 2026-R3LX: Moody's Assigns (P)B2 Rating to Cl. F Certs
-----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to seven classes
of CMBS securities, to be issued by CVLR Trust 2026-R3LX,
Commercial Mortgage Pass-Through Certificates, Series 2026-R3LX:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B2 (sf)
Cl. HRR, Assigned (P)B3 (sf)
RATINGS RATIONALE
The certificates are collateralized by a first lien mortgage on the
borrower's fee simple interests in a portfolio of three
full-service, upper-upscale oceanfront hotel resorts consisting of
547 keys and an associated offsite laundry facility located in
Virginia Beach, VA. Moody's ratings are based on the credit quality
of the loans and the strength of the securitization structure.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-backed Securitizations methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The Portfolio is comprised of three hotels totaling 547 guestrooms
located in Virginia Beach, VA. The properties operate under two
globally recognized brand families: Marriott International (two
properties, 79.6% of in-place NCF, 78.4% of ALA) and Hilton
Worldwide (one property, 20.4% of in-place NCF, 21.6% of ALA). All
three franchise agreements expire in 2046. The Portfolio also
includes a central laundry facility located approximately five
miles from the hotels, built in 2005, which processes over 2,000
pounds of laundry per hour and services the Portfolio and eight
other hotels in the market.
The Marriott Virginia Beach Oceanfront Resort (58.8% of in-place
NCF; 60.2% of ALA)
The Marriott is a 305-guestroom, upper-upscale, full-service resort
located on the north end of the Virginia Beach boardwalk. It was
completed in 2020. All guestrooms have ocean views and most include
private balconies. The property offers approximately 36,600 SF of
meeting and event space across 11 venues, including an 11K SF
oceanfront ballroom with capacity for up to 1,080 attendees.
On-site F&B options include Orion's Roof, Tulu Seaside Bar & Grill,
The Deck Seagrill & Bar, and Moody's Scream Ice Cream & Starbucks.
Amenities include direct beach access, indoor and outdoor pools, a
fitness center, and a 556-space attached parking garage.
The Embassy Suites Virginia Beach Oceanfront Resort (20.4% of
in-place NCF; 21.6% of ALA)
The Embassy Suites is a 157-guestroom, all-suite, full-service
oceanfront hotel. It was recently completed in 2023. All guestrooms
are ocean-view suites and many include private balconies. The
property offers approximately 9,100 SF of ocean-view indoor/outdoor
meeting space, including a 2,600-SF ballroom. On-site F&B options
include Arbuckle's Bar & Grill and the seasonal Tacos-N-Tequila.
Amenities include direct beach access, indoor and outdoor pools, a
fitness center, and complimentary made-to-order breakfast.
The Historic Cavalier and Beach Club, Autograph Collection (20.8%
of in-place NCF; 18.3% of ALA)
The Cavalier is a National Historic Landmark a 85-guestroom luxury
hotel located behind the Marriott and Embassy Suites offerings. The
property offers approximately 25,300 SF of indoor and outdoor
meeting and event space across eight venues, including the 2,500-SF
Crystal Ballroom. Guestrooms preserve historic features with modern
finishes, including 23 suites with expanded layouts. Guests also
have access to the Beach Club, a private members-only beachfront
amenity with approximately 7,700 SF of indoor conditioned space, an
oceanfront bar, outdoor pool and hot tub, cabanas, and beach
service. On-site F&B options include Becca, the Hunt Room, and the
Raleigh Room. Additional amenities include the SeaHill Spa, a
whiskey distillery, and an indoor pool and fitness center. Of note,
the hotel underwent an extensive renovation costing $85.0M ($1.0M
per key) from 2014 to 2018. Upgrades were made to guestrooms, F&B
outlets, meeting and event space, and spa and wellness facilities.
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 1.43X and Moody's first
mortgage actual stressed DSCR is 0.95X. Moody's DSCR is based on
Moody's stabilized net cash flow.
The whole loan first mortgage balance of $250,000,000 represents a
Moody's LTV ratio of 116.8% based on Moody's value. Moody's did not
adjust Moody's Value to reflect the current interest rate
environment as part of Moody's analysis for this transaction.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and consider those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The collateral's
overall quality grade is 1.75.
Notable strengths of the transaction include: high-quality assets
with market outperformance, beachfront real estate in a high
barrier-to-entry market, brand affiliation, multiple-property
pooling, experienced sponsorship, acquisition financing, and
multiple property pooling.
Notable concerns of the transaction include: high F&B share, TDFP
bond obligations, management transition risk, seasonality,
floating-rate interest-only loan profile, volatile asset class, and
certain credit negative legal features.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in May 2026.
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. With respect to classes with ratings above the
applicable sovereign rating, significant exposure to defeasance may
also lead to a downgrade.
DRYDEN 49 SENIOR: Moody's Cuts Rating on $27MM Class E Notes to B3
------------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by Dryden 49 Senior Loan Fund:
US$30M Class D-R Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Aa3 (sf); previously on Dec 12, 2025 Upgraded to A3
(sf)
US$27M Class E Junior Secured Deferrable Floating Rate Notes,
Downgraded to B3 (sf); previously on Dec 12, 2025 Downgraded to B1
(sf)
Moody's have also affirmed the ratings on the following notes:
US$72M (Current outstanding amount USD64,097,305) Class B-R Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec
12, 2025 Affirmed Aaa (sf)
US$39M Class C-R Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Aaa (sf); previously on Dec 12, 2025 Upgraded to Aaa (sf)
US$7.75M Class F Junior Secured Deferrable Floating Rate Notes,
Affirmed Caa3 (sf); previously on Dec 12, 2025 Affirmed Caa3 (sf)
Dryden 49 Senior Loan Fund, originally issued in June 2017 and
partially refinanced in April 2021, 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 PGIM, Inc. The transaction's reinvestment period ended in July
2022.
RATINGS RATIONALE
The upgrade on the rating on the Class D-R notes is primarily a
result of the deleveraging of the senior notes following
amortisation of the underlying portfolio since the last rating
action in December 2025.
Since the last rating action, the USD58.2m remaining balance of the
Class A-R notes has been repaid. Further, Class B-R has paid down
by USD7.9m (11.9%). Cumulatively, the senior notes have paid down
by approximately USD391.9 million since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased. According
to the trustee report dated April 2026[1] the Class A/B, Class C
and Class D OC ratios are reported at 258.60%, 160.78%, and 124.54%
compared to October 2025[2] levels of 181.14%, 139.39%, and 118.4%,
respectively.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The downgrade to the rating on the Class E notes is due to the
deterioration in over-collateralisation ratios since the last
rating action in December 2025.
As a result of defaults and credit risks sales, the
over-collateralisation ratios of the rated notes have deteriorated
since the rating action in December 2025. According to the trustee
report dated April 2026[1] the Class E OC ratios are reported at
103.54% compared to October 2025[2] levels of 104.27%.
The affirmations on the ratings on the Class B-R, C-R, and F 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: USD166.2m
Defaulted Securities: USD4.1m
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2947
Weighted Average Life (WAL): 2.75 years
Weighted Average Spread (WAS): 3.07%
Weighted Average Recovery Rate (WARR): 47.90%
Par haircut in OC tests and interest diversion test: 0.98%
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 April 2026.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties, using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
-- 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.
DRYDEN 53 CLO: Moody's Affirms B1 Rating on $22.5MM Class E Notes
-----------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Dryden 53 CLO, Ltd.:
US$39,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2031, Upgraded to Aa1 (sf); previously on Jul 08, 2025
Assigned Aa3 (sf)
US$34,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031, Upgraded to Baa2 (sf); previously on 11 Jan 2018
Assigned Baa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$240,740,708 (Current outstanding amount US$105,595,025) Class
A-R Senior Secured Floating Rate Notes due 2031, Affirmed Aaa (sf);
previously on Jul 08, 2025 Assigned Aaa (sf)
US$66,000,000 Class B-R Senior Secured Floating Rate Notes due
2031, Affirmed Aaa (sf); previously on Jul 08, 2025 Assigned Aaa
(sf)
US$22,500,000 Class E Junior Secured Deferrable Floating Rate
Notes due 2031, Affirmed B1 (sf); previously on Jun 16, 2025
Downgraded to B1 (sf)
US$12,000,000 Class F Junior Secured Deferrable Floating Rate
Notes due 2031, Affirmed Caa3 (sf); previously on Jun 16, 2025
Downgraded to Caa3 (sf)
Dryden 53 CLO, Ltd., issued in January 2018 and refinanced in July
2025, is a collateralised loan obligation (CLO) backed by a
portfolio of mostly high-yield senior secured US loans. The
portfolio is managed by PGIM, Inc. The transaction's reinvestment
period ended in January 2023.
RATINGS RATIONALE
The rating upgrades on the Class C-R and Class D notes are
primarily a result of the significant deleveraging of the senior
notes following amortisation of the underlying portfolio since the
last rating action in July 2025.
The affirmations on the ratings on the Class A-R notes, Class B-R
notes, Class E notes and Class F notes are primarily a result of
the expected losses on the notes remaining consistent with their
current rating levels, after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralisation ratios.
The Class A-R notes have paid down by approximately $135.1 million
(56.1%) since the refinancing of the transaction in July 2025. As a
result of the deleveraging, over-collateralisation (OC) has
increased across the capital structure. According to the trustee
report dated April 2026[1] the Class A/B, Class C, Class D and
Class E OC ratios are reported at 161.8%, 131.8%, 113.3% and 103.8%
compared to May 2025[2] levels of 136.3%, 120.9%, 110.0% and
103.8%, 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: $278,258,919
Defaulted Securities: $4,375,422
Diversity Score: 65
Weighted Average Rating Factor (WARF): 2745
Weighted Average Life (WAL): 3.25 years
Weighted Average Spread (WAS): 2.82%
Weighted Average Recovery Rate (WARR): 47.0%
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 April 2026.
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.
-- 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.
DRYDEN 98 CLO: S&P Lowers Class E Notes Rating to 'B (sf)'
----------------------------------------------------------
S&P Global Ratings lowered its rating on the class E debt from
Dryden 98 CLO Ltd. and removed the rating from CreditWatch where
S&P had placed it with negative implications. At the same time, S&P
affirmed its rating on the class D debt and removed it from
CreditWatch, where it had placed it with negative implications. S&P
also affirmed its ratings on the class A-R, B-1-R, B-2, and C-R
debt, from the same transaction.
The transaction, a U.S. broadly syndicated collateralized loan
obligation managed by PGIM Inc., was originally issued in March
2022. It underwent a refinancing in March 2026 and is scheduled to
exit its reinvestment period in April 2027.
THe rating actions follow its review of the transaction's
performance using data from the April 2026 trustee report.
On Feb. 5, 2026, S&P had placed its ratings on the class D and E
debt on CreditWatch with negative implications primarily due to
relevant class's declining credit support, the portfolio's par loss
since the 2022 closing, and indicative cash flow results.
Compared to the June 30, 2022, effective date trustee report,
following are the changes to the reported April 2026
overcollateralization (O/C) ratios:
-- The class A/B O/C ratio declined to 126.75% from 132.10%.
-- The class C O/C ratio declined to 117.48% from 122.43%.
-- The class D O/C ratio declined to 109.47% from 1114.09%.
-- The class E O/C ratio declined to 104.99% from 109.41%.
The decline in the O/C ratios is driven mainly by the portfolio's
par loss since close in March 2022.
In addition to par erosion, the following portfolio credit metrics
have weakened between March 2022 and April 2026: the weighted
average spread (WAS) decreased to 3.00% from 3.51% and the weighted
average recovery rate (WARR) on the 'AAA' rated debt decreased to
38.20% from 40.40% (first reported in the Jan 2023 trustee report).
Collateral obligations in the 'CCC' rating category increased to
$6.17 million from $11.79 million and defaults increased to $6.13
million from $1.44 million during the same period. These metrics
affected both the O/C ratios and the cash flow results of all the
tranches.
At this stage, the refinancing in March 2026 helped lower the
weighted average cost of funding, resulting in improved cash flow
results for all the classes. As a result, the class D rating was
affirmed and removed from CreditWatch negative. The class E debt,
however, continues to fail at its previous rating level even
post-refinancing and the metrics have not improved since then;
though the refinancing reduced the margin of failure, S&P
considered the results of its cash flows and its credit
subordination and lowered its rating to 'B (sf)' and removed it
from CreditWatch negative.
S&P said, "Also, we note the cash flow results indicated higher
ratings for the class B-1-R, B-2, and C-R debt. But we took into
account that the transaction is still in its reinvestment period,
which is not scheduled to end until April 2027, and that it has not
yet paid down any principal to the rated notes. Future reinvestment
activity could change some of the portfolio characteristics.
"In line with our criteria, our cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults and recoveries upon default under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis--and other qualitative factors as
applicable--demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action."
S&P Global Ratings will continue to review whether, in its view,
the ratings assigned to the debt remain consistent with the credit
enhancement available to support them and take rating actions as it
deems necessary.
Rating Lowered And Removed From CreditWatch
Dryden 98 CLO Ltd.
Class E to 'B (sf)' from 'BB- (sf)/Watch Neg'
Rating Affirmed And Removed From CreditWatch
Dryden 98 CLO Ltd.
Class D to 'BBB- (sf)' from 'BBB- (sf)/Watch Neg'
Ratings Affirmed
Dryden 98 CLO Ltd.
Class A-R: AAA (sf)
Class B-1-R: AA (sf)
Class B-2: AA (sf)
Class C-R: A (sf)
Other Debt
Dryden 98 CLO Ltd.
Subordinated notes, $52.25 million: NR
NR--Not rated.
DRYDEN CLO 68: Moody's Cuts Rating on $20MM Class E-R Notes to B1
-----------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Dryden 68 CLO, Ltd.:
US$20,000,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2035, Downgraded to B1 (sf); previously on July 15, 2021
Assigned Ba3 (sf)
Dryden 68 CLO, Ltd., originally issued in July 2019, refinanced in
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 E-R notes reflects the
specific risks to the junior notes posed by par loss observed in
the underlying CLO portfolio. Based on the trustee's April 2026
[1]report, the OC ratio for the Class E-R notes is reported at
104.11% versus April 2025 [2] level of 105.19%. Based on Moody's
calculations, the current total collateral par balance, including
recoveries from defaulted securities, is approximately $479.0
million, or $21.0 million less than the $500 million initial par
amount targeted during the deal's ramp-up.
No action was taken on the Class A-RR notes because its expected
loss remain commensurate with its current rating, after taking into
account the CLO's latest portfolio information, its relevant
structural features and its actual over-collateralization and
interest coverage levels.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Collateralized
Loan Obligations" rating methodology published in April 2026.
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: $477,965,531
Defaulted par: $4,194,998
Diversity Score: 92
Weighted Average Rating Factor (WARF): 2508
Weighted Average Spread (WAS): 2.94%
Weighted Average Coupon (WAC): 2.87%
Weighted Average Recovery Rate (WARR): 45.81%
Weighted Average Life (WAL): 4.62 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 April 2026.
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.
DT AUTO 2023-3: S&P Affirms BB+ (sf) Rating on Class E Notes
------------------------------------------------------------
S&P Global Ratings raised its ratings on 26 classes of notes and
affirmed its ratings on 19 classes of notes from six DT Auto Owner
Trust (DTAOT) and seven Bridgecrest Lending Auto Securitization
Trust (BLAST) transactions. These are ABS transactions backed by
subprime retail auto loan receivables originated primarily by
DriveTime Car Sales Co. LLC and serviced by Bridgecrest Acceptance
Corp.
The rating actions reflect:
-- Each transaction's collateral performance to date and S&P's
expectation regarding their 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.
S&P said, "Considering all these factors, we believe the notes'
creditworthiness is consistent with the raised and affirmed
ratings.
"All of the transactions are performing higher than our prior or
original CNL expectations except the DTAOT 2022-1 transaction,
which is performing inline with our revised expectation since our
last review. As such, we revised and raised our expected CNLs for
all series except DTAOT 2022-1, for which our loss expectation is
unchanged from last review."
Table 1
Collateral performance(i)
Pool 60+ day Current
Series Mo. factor delinq. CGL CRR CNL
(%) (%) (%) (%) (%)
DTAOT 2022-1 50 10.93 18.02 45.85 33.73 30.39
DTAOT 2022-2 48 12.87 18.04 48.25 32.45 32.58
DTAOT 2022-3 42 18.55 15.38 42.80 29.34 30.25
DTAOT 2023-1 40 22.29 15.16 42.71 29.41 30.15
DTAOT 2023-2 37 26.98 16.57 42.25 32.68 28.44
DTAOT 2023-3 34 32.36 14.91 36.88 32.95 24.73
BLAST 2023-1 31 36.51 13.21 35.52 32.49 23.98
BLAST 2024-1 28 40.48 13.65 34.51 32.41 23.33
BLAST 2024-2 25 47.47 12.58 29.26 34.36 19.21
BLAST 2024-3 22 51.41 11.21 24.24 32.39 16.39
BLAST 2024-4 19 59.12 10.98 19.77 32.59 13.32
BLAST 2025-1 16 64.45 9.03 16.03 31.82 10.93
BLAST 2025-2 12 74.57 6.51 10.38 33.22 6.93
(i)As of the May 2026 distribution date.
Mo.--Month.
Delinq.--Delinquencies.
CGL--Cumulative gross loss.
CRR--Cumulative recovery rate.
CNL--Cumulative net loss.
DTAOT--DT Auto Owner Trust.
BLAST--Bridgecrest Lending Auto Securitization Trust.
Table 2
CNL expectations (%)
Original Previous Revised
Lifetime lifetime lifetime
Series CNL exp. CNL exp.(i) CNL exp.
DTAOT 2022-1 24.75 31.00 31.00
DTAOT 2022-2 25.25 33.00 33.50
DTAOT 2022-3 24.75 32.50 33.50
DTAOT 2023-1 25.25 33.00 34.50
DTAOT 2023-2 25.50 33.00 34.50
DTAOT 2023-3 25.50 30.50 32.75
BLAST 2023-1 25.50 31.50 33.75
BLAST 2024-1 25.50 28.00 34.50
BLAST 2024-2 25.50 27.50 33.50
BLAST 2024-3 25.50 25.50 32.00
BLAST 2024-4 25.50 N/A 32.00
BLAST 2025-1 25.50 N/A 30.50
BLAST 2025-2 27.00 N/A 30.00
(i)DTAOT 2022-1, 2022-2, 2022-3, 2023-1, and 2023-2 and BLAST
2024-1, 2024-2, and 2024-3 were revised in June 2025. DTAOT 2023-3
and BLAST 2023-1 were revised in October 2025.
CNL exp.--Cumulative net loss expectations.
DTAOT--DT Auto Owner Trust.
BLAST--Bridgecrest Lending Auto Securitization Trust.
N/A–-Not applicable.
Each transaction has a sequential principal payment structure in
which the notes are paid principal by seniority. Each transaction
also has credit enhancement consisting of a non-amortizing reserve
account, overcollateralization, subordination for the more senior
classes, and excess spread. As of the May 2026 distribution date,
each transaction is at its specified target overcollateralization
level except for DTAOT 2022-1, DTAOT 2022-2, and DTAOT 2022-3. Each
transaction is at its reserve level. 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.
Table 3
Hard credit support(i)(ii)
Total hard Current total hard
credit support credit support
Series Class at issuance (%) (% of current)
DTAOT 2022-1 D 15.90 91.75
DTAOT 2022-1 E 9.10 29.56
DTAOT 2022-2 D 19.17 63.54
DTAOT 2022-2 E 15.18 32.51
DTAOT 2022-3 D 22.00 53.99
DTAOT 2022-3 E 17.50 29.73
DTAOT 2023-1 D 24.50 60.50
DTAOT 2023-1 E 17.75 30.23
DTAOT 2023-2 C 33.80 97.38
DTAOT 2023-2 D 18.75 41.60
DTAOT 2023-2 E 14.10 24.36
DTAOT 2023-3 C 33.95 79.95
DTAOT 2023-3 D 20.90 39.63
DTAOT 2023-3 E 15.40 22.64
BLAST 2023-1 C 35.70 77.06
BLAST 2023-1 D 22.20 40.09
BLAST 2023-1 E 16.00 23.11
BLAST 2024-1 B 48.70 102.82
BLAST 2024-1 C 35.90 71.20
BLAST 2024-1 D 22.50 38.09
BLAST 2024-1 E 17.00 24.51
BLAST 2024-2 B 47.90 88.81
BLAST 2024-2 C 35.00 61.63
BLAST 2024-2 D 22.10 34.46
BLAST 2024-2 E 16.50 22.66
BLAST 2024-3 B 51.50 91.00
BLAST 2024-3 C 39.00 66.68
BLAST 2024-3 D 23.50 36.53
BLAST 2024-3 E 16.50 22.92
BLAST 2024-4 A-3 57.10 91.65
BLAST 2024-4 B 48.70 77.45
BLAST 2024-4 C 34.85 54.02
BLAST 2024-4 D 21.65 31.69
BLAST 2024-4 E 15.50 21.29
BLAST 2025-1 A-3 61.50 93.70
BLAST 2025-1 B 52.50 79.74
BLAST 2025-1 C 40.25 60.73
BLAST 2025-1 D 22.25 32.80
BLAST 2025-1 E 15.50 22.33
BLAST 2025-2 A-2 62.00 83.79
BLAST 2025-2 A-3 62.00 83.79
BLAST 2025-2 B 52.60 71.19
BLAST 2025-2 C 40.75 55.30
BLAST 2025-2 D 23.25 31.83
BLAST 2025-2 E 16.60 22.91
(i)As of the May 2026 distribution date.
(ii)Calculated as a percentage of the total gross receivable pool
balance, which consists of overcollateralization and a reserve
account, and if applicable, subordination. Excludes excess spread,
which can also provide additional enhancement.
DTAOT--DT Auto Owner Trust.
BLAST--Bridgecrest Lending Auto Securitization Trust.
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 April 2026 (the May 2026 distribution
date).
"We will continue to monitor the performance of all outstanding
ratings 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
DT Auto Owner Trust 2022-1
Class D to 'AAA (sf)' from 'AA+ (sf)'
Class E to 'AAA (sf)' from 'BB+ (sf)'
DT Auto Owner Trust 2022-2
Class D to 'AAA (sf)' from 'A+ (sf)'
Class E to 'AAA (sf)' from 'BBB (sf)'
DT Auto Owner Trust 2022-3
Class D to 'AAA (sf)' from 'A (sf)'
Class E to 'A- (sf)' from 'BB+ (sf)'
DT Auto Owner Trust 2023-1
Class D to 'AAA (sf)' from 'A+ (sf)'
Class E to 'BBB+ (sf)' from 'BBB- (sf)'
DT Auto Owner Trust 2023-2
Class D to 'A (sf)' from 'BBB (sf)'
Class E to 'BBB- (sf)' from 'BB (sf)'
DT Auto Owner Trust 2023-3
Class D to 'A- (sf)' from 'BBB+ (sf)'
Bridgecrest Lending Auto Securitization Trust 2023-1
Class D to 'A- (sf)' from 'BBB (sf)'
Bridgecrest Lending Auto Securitization Trust 2024-1
Class C to 'AAA (sf)' from 'AA+ (sf)'
Class D to 'A- (sf)' from 'BBB (sf)'
Bridgecrest Lending Auto Securitization Trust 2024-2
Class B to 'AAA (sf)' from 'AA+ (sf)'
Class C to 'AA+ (sf)' from 'A+ (sf)'
Class D to 'BBB+ (sf)' from 'BBB (sf)'
Bridgecrest Lending Auto Securitization Trust 2024-3
Class B to 'AAA (sf)' from 'AA+ (sf)'
Class C to 'AAA (sf)' from 'A+ (sf)'
Class D to 'BBB+ (sf)' from 'BBB (sf)'
Bridgecrest Lending Auto Securitization Trust 2024-4
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'AA- (sf)' from 'A (sf)'
Bridgecrest Lending Auto Securitization Trust 2025-1
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'AA+ (sf)' from 'A (sf)'
Bridgecrest Lending Auto Securitization Trust 2025-2
Class B to 'AAA (sf)' from 'AA (sf)'
Class C to 'AA- (sf)' from 'A (sf)'
Ratings Affirmed
DT Auto Owner Trust 2023-2
Class C: AAA (sf)
DT Auto Owner Trust 2023-3
Class C: AAA (sf)
Class E: BB+ (sf)
Bridgecrest Lending Auto Securitization Trust 2023-1
Class C: AAA (sf)
Class E: BB (sf)
Bridgecrest Lending Auto Securitization Trust 2024-1
Class B: AAA (sf)
Class E: BB (sf)
Bridgecrest Lending Auto Securitization Trust 2024-2
Class E: BB (sf)
Bridgecrest Lending Auto Securitization Trust 2024-3
Class E: BB (sf)
Bridgecrest Lending Auto Securitization Trust 2024-4
Class A-3: AAA (sf)
Class D: BBB (sf)
Class E: BB (sf)
Bridgecrest Lending Auto Securitization Trust 2025-1
Class A-3: AAA (sf)
Class D: BBB (sf)
Class E: BB (sf)
Bridgecrest Lending Auto Securitization Trust 2025-2
Class A-2: AAA (sf)
Class A-3: AAA (sf)
Class D: BBB (sf)
Class E: BB (sf)
EATON VANCE 2019-1: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Eaton
Vance CLO 2019-1, Ltd.'s refinancing notes classes B-R3 and C-R3
and has affirmed ratings for classes D-1-R2 and D-2-R2, E-R2 and
F-R2.
Entity/Debt Rating Prior
----------- ------ -----
Eaton Vance
CLO 2019-1
A-R3 LT NRsf New Rating
B-R2 27830XAY2 LT PIFsf Paid In Full AAsf
B-R3 LT AAsf New Rating
C-R2 27830XBA3 LT PIFsf Paid In Full Asf
C-R3 LT Asf New Rating
D-1-R2 27830XBC9 LT BBB-sf Affirmed BBB-sf
D-2-R2 27830XBE5 LT BBB-sf Affirmed BBB-sf
E-R2 27830VAJ9 LT BB-sf Affirmed BB-sf
F-R2 27830VAL4 LT B-sf Affirmed B-sf
X-R3 LT NRsf New Rating
Transaction Summary
Eaton Vance CLO 2019-1, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Eaton Vance
Management. The transaction originally closed in May 2019 and
completed its first reset in June 2024. It is expected to undergo a
partial refinancing on June 5, 2026. Net proceeds from the issuance
of the secured notes will provide financing on a portfolio of
approximately $390 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 22.29 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 98.19% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.89% 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 3.1-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.
KEY PROVISION CHANGES
This 2026 refinancing is being completed under the refinancing
supplemental indenture, which amends certain provisions of the
transaction.
The changes include but are not limited to the following:
- The existing classes X-R2, A-R2, B-R2 and C-R2 notes will be
refinanced with new classes X-R3, A-R3, B-R3 and C-R3 notes;
- The existing classes D-1-R2, D-2-R2, E-R2 and F-R2 will not be
refinanced;
- All refinanced note classes will be refinanced with lower
floating spreads;
- The non-call period is being extended to June 2027;
- The end of the reinvestment period remains July 2029, and the
stated maturity of the notes remains July 2037;
- The Fitch recovery rate definition, industry classification, and
matrices have been amended to align with its "CLOs and Corporate
CDOs Rating Criteria," effective June 1, 2026.
FITCH ANALYSIS
The portfolio includes 435 assets from 377 primarily high-yield
obligors. In Fitch's view, 0.1% of the portfolio consists of assets
that are rated 'CC' or below. The portfolio balance (excluding
defaults and including principal cash) is approximately $390.18
million. As of the latest trustee report, prior to the refinance
date the transaction was not passing its Minimum Floating Spread
and Weighted Average Rating Factor tests. All other collateral
quality tests, coverage tests, and concentration limitations were
passing. The weighted average rating of the current portfolio is
'B+'/'B'.
Fitch has an explicit rating, credit opinion or private rating for
47.1% of the current portfolio par balance, ratings for 52.7% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map, and 0.2% were unrated. As per Fitch's criteria,
the analysis focused on the Fitch stressed portfolio (FSP) for the
refinancing notes and on the indicative portfolio for the
non-refinanced notes, if any.
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: 17.5%, 15.0%, and 10.0%, respectively;
- Assumed risk horizon: 6.14 years;
- Minimum weighted average spread of 2.80%;
- Minimum weighted average recovery rate of 66.30%;
- Maximum weighted average rating factor of 23.00;
- Fixed rate assets: 5.00%;
- Minimum weighted average coupon of 7.00%.
The transaction will exit its reinvestment period on July 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 B-R3: 'AAsf' / Default 38.50% / Recovery 48.57% / Cushion
12.00%;
- Class C-R3: 'Asf' / Default 33.90% / Recovery 58.41% / Cushion
13.80%;
- Class D-1-R2: 'BBB-sf' / Default 26.10% / Recovery 68.58% /
Cushion 13.90%;
- Class D-2-R2: 'BBB-sf' / Default 26.10% / Recovery 68.58% /
Cushion 11.30%;
- Class E-R2: 'BB-sf' / Default 21.70% / Recovery 73.27% / Cushion
7.60%;
- Class F-R2: 'B-sf' / Default 17.30% / Recovery 78.61% / Cushion
11.70%.
FSP Model Outputs:
- Class B-R3: 'AAsf' / Default 44.60% / Recovery 41.30% / Cushion
0.60%;
- Class C-R3: 'Asf' / Default 39.70% / Recovery 51.30% / Cushion
3.30%;
- Class D-1-R2: 'BBB-sf' / Default 30.90% / Recovery 61.30% /
Cushion 4.40%;
- Class D-2-R2: 'BBB-sf' / Default 30.90% / Recovery 61.30% /
Cushion 2.30%;
- Class E-R2: 'BB-sf' / Default 25.70% / Recovery 66.30% / Cushion
0.00%;
- Class F-R2: 'B-sf' / Default 20.60% / Recovery 71.30% / Cushion
4.00%.
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 'BBB-sf' and 'A+sf' for class B-R3, between
'B+sf' and 'A-sf' for class C-R3, between less than 'B-sf' and
'BBB-sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for
class D-2-R2, between less than 'B-sf' and 'B+sf' for class E-R2,
and between less than 'B-sf' and 'B-sf' for class F-R2.
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-R3, 'AAsf' for class C-R3, 'Asf'
for class D-1-R2, 'BBB+sf' for class D-2-R2, 'BBB+sf' for class
E-R2, and 'BBB-sf' for class F-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
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 Eaton Vance CLO
2019-1, 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.
EFMT 2026-NQM5: DBRS Finalizes Bsf Rating on $8.6MM Cl. B-2 Notes
-----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the Mortgage-Backed Notes, Series 2026-NQM5 (the Notes)
issued by EFMT 2026-NQM5 (the Issuer) as follows:
-- $248.0 million Class A-1A at AAA (sf)
-- $37.9 million Class A-1B at AAA (sf)
-- $285.9 million Class A-1 at AAA (sf)
-- $94.2 million Class A-1F at AAA (sf)
-- $94.2 million Class A-1IO at AAA (sf)
-- $34.8 million Class A-2 at AA (high) (sf)
-- $39.8 million Class A-3 at A (high) (sf)
-- $10.8 million Class M-1 at BBB (high) (sf)
-- $24.2 million Class B-1A at BB (sf)
-- $24.2 million Class B-X-1A at BB (sf)
-- $24.2 million Class B-1 at BB (sf)
-- $8.6 million Class B-2A at B (sf)
-- $8.6 million Class B-X-2A at B (sf)
-- $8.6 million Class B-2 at B (sf)
Class A-1, Class B-1, and Class B-2 are exchangeable certificates
while Classes A-1A, A-1B, B-1A, B-X-1A, and B-2A, B-X-2A are
initial exchangeable certificates. These classes can be exchanged
in combinations as specified in the offering documents.
Classes B-X-1A and B-X-2A are interest-only (IO) certificates. The
class balances represent notional amounts.
Morningstar DBRS discontinued and withdrew its credit ratings on
the Class A-1FCF, Class A-1FCX and Class A-1LCF initially
contemplated in the offering documents, as they were not issued at
closing.
The AAA (sf) credit ratings on the Certificates reflect 24.60% of
credit enhancement provided by the subordinated Certificates. The
AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (sf)
credit ratings reflect 17.70%, 9.80%, 7.65%, 2.85% and 1.15% of
credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
CREDIT RATING RATIONALE/DESCRIPTION
This is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first-lien residential mortgages
funded by the issuance of the Mortgage Pass-Through Certificates,
Series 2026-NQM5. The Certificates are backed by 1,381 loans with a
total principal balance of approximately $504,157,991 1 as of the
Cut-Off Date2 (May 1, 2026).
The pool is, on average, two months seasoned with loan ages ranging
from one to 22 months. Approximately 28.8%, 24.5% and 10.85% of the
Mortgage Loans were originated by The Loan Store, Inc., Lendsure
Mortgage Corp. and American Heritage Lending, LLC respectively. The
remainder of the Mortgage Loans were originated by various mortgage
lending institutions, individually comprised less than 10% of the
overall mortgage loans.
Cornerstone Servicing will service 100.0% of the loans,
Computershare Trust Company, N.A will act as Custodian. Rocket
Mortgage LLC will act as Master Servicer. Citibank N.A. will act as
Trustee and Securities Administrator and Certificate Registrar.
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, 41.2% of the loans by balance are
designated as non-QM. Approximately 53.0% 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 5.3% of
the pool are designated as QM Safe Harbor, and there are 0.5% QM
Rebuttable Presumption (by unpaid principal balance (UPB).
Servicers will fund advances of delinquent P&I until the loan is
either greater than 90 days delinquent (limited P&I
advancing/stop-advance loan under the Mortgage Bankers Association
(MBA) method) or the P&I advance is deemed unrecoverable. Each
servicer is obligated to make advances in respect of taxes and
insurance, the cost of preservation, restoration, and protection of
mortgaged properties and any enforcement or judicial proceedings,
including foreclosures and reasonable costs and expenses incurred
in the course of servicing and disposing of properties until
otherwise deemed unrecoverable.
The Sponsor, EFMT Sponsor LLC, will retain an eligible vertical
interest in the transaction in the required amount of no less than
5% of the Initial Class Notional Amount of each class of Offered
Certificates, the Class A-IO-S and the Class X Certificates to
satisfy the credit risk-retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder.
The majority holder of the Class X may, at its option, on or after
the earlier of (1) the payment date in May 2029 or (2) the date on
which the balance of mortgage loans and real estate owned (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 redemption price described in the transaction
documents.
The Sponsor 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 that such
repurchases in aggregate do not exceed 7.5% of the total principal
balance as of the Cut-Off Date.
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 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. 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 Class M-1.
Of note, the Class A Certificates coupon rates step-up by 100 basis
points on and after the payment date in June 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
-- Improved underwriting standards
-- Current loan status
-- 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
-- The representations and warranties standard.
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 Interest Distribution Amount,
Interest Carryforward Amount and the related Class Balance (for
non-IO Notes).
Morningstar DBRS' credit ratings on the Class A-1A and Class A-1B
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 (June 2030) 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.
Notes: All figures are in U.S. dollars unless otherwise noted.
ELMWOOD CLO 23: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes
---------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Elmwood
CLO 23 Ltd. reset transaction.
Entity/Debt Rating
----------- ------
Elmwood CLO 23 Ltd.
X-R2 LT AAAsf New Rating
A-1-R2 LT AAAsf New Rating
A-2-R2 LT AAAsf New Rating
B-R2 LT AAsf New Rating
C-R2 LT Asf New Rating
D-1-R2 LT BBB-sf New Rating
D-2-R2 LT BBB-sf New Rating
E-R2 LT BB-sf New Rating
F-R2 LT B-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Elmwood CLO 23 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) managed by Elmwood Asset
Management LLC that originally closed in April 2023. This is the
first refinancing which will fully refinance the existing secured
notes on June 3, 2026. 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 leverage 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 22.01, and will be managed to a WARF covenant from a
Fitch test matrix. Issuers rated in the 'B' rating category denote
a highly speculative credit quality; however, the notes benefit
from appropriate credit enhancement and standard U.S. CLO
structural features.
Asset Security: The indicative portfolio consists of 96.06%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.39% 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 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 weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for the WAL covenants that
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-R2, between 'A-sf' and 'AA+sf' for
class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2,
between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and
'A-sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for
class D-1-R2, between less than 'B-sf' and 'BB+sf' for class
D-2-R2, between less than 'B-sf' and 'B+sf' for class E-R2 and
between less than 'B-sf' and 'B-sf' for class F-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R2, class
A-1-R2 and class A-2-R2 notes as these notes are in the highest
rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf'
for class D-1-R2, 'Asf' for class D-2-R2, 'BBB+sf' for class E-R2
and 'BB+sf' for class F-R2.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Elmwood CLO 23
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.
EXETER AUTOMOBILE 2021-4: DBRS Confirmed Bsf Rating on Cl. F Debt
-----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) confirmed seven credit ratings from
three Exeter Automobile Receivables Trust transactions.
Credit rating rationale includes the key analytical
considerations:
-- Exeter Automobile Receivables Trust 2021-4 has amortized to a
pool factor of 11.93% and has a current cumulative net loss (CNL)
to date of 22.54%. Current CNL is tracking above Morningstar DBRS'
initial base-case loss expectation of 19.00%. As of the April 2026
payment date, Exeter Automobile Receivables Trust 2021-4 has a
current overcollateralization (OC) amount of 0.00% relative to the
target of 4.25% of the outstanding receivables balance.
Additionally, the transaction structure initially included a fully
funded non-declining reserve account (RA) of 1.00% of the initial
aggregate receivables balance. As of the April 2026 payment date,
the current RA amount is 6.09% of the outstanding receivables
balance.
-- Exeter Automobile Receivables Trust 2022-1 has amortized to a
pool factor of 14.47% and has a current CNL to date of 22.99%.
Current CNL is tracking above Morningstar DBRS' initial base-case
loss expectation of 18.30%. As of the April 2026 payment date,
Exeter Automobile Receivables Trust 2022-1 has a current OC amount
of 16.00% relative to the target of 16.00% of the outstanding
receivables balance. Additionally, the transaction structure
initially included a fully funded non-declining RA of 1.00% of the
initial aggregate receivables balance. As of the April 2026 payment
date, the current RA amount is 6.91% of the outstanding receivables
balance.
-- Exeter Automobile Receivables Trust 2022-4 has amortized to a
pool factor of 19.46% and has a current CNL to date of 25.77%.
Current CNL is tracking above Morningstar DBRS' initial base-case
loss expectation of 17.50%. As of the April 2026 payment date,
Exeter Automobile Receivables Trust 2022-4 has a current OC amount
of 15.38% relative to the target of 18.95% of the outstanding
receivables balance. Additionally, the transaction structure
initially included a fully funded non-declining RA of 1.00% of the
initial aggregate receivables balance. As of the April 2026 payment
date, the current RA amount is 5.14% of the outstanding receivables
balance.
-- As a percentage of the current collateral balances, total
delinquencies for each Transaction are trending higher.
-- The credit rating actions are the result of collateral
performance as of the March 2026 payment date, and Morningstar
DBRS' assessment of future performance assumptions.
-- The transaction parties' capabilities regarding originating,
underwriting, and servicing.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary, "Baseline Macroeconomic Scenarios for Rated
Sovereigns March 2026 Update," published on March 27, 2026. 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.
RATINGS
Debt Rated Rating Action
---------- ------ ------
Exeter Automobile Receivables Trust 2021-4
Class D AAA(sf) Confirmed
Class E BBB(high)(sf) Confirmed
Class F B(sf) Confirmed
Exeter Automobile Receivables Trust 2022-1
Class D Notes AAA(sf) Confirmed
Class E Notes BB(sf) Confirmed
Exeter Automobile Receivables Trust 2022-4
Class D Notes AAA(sf) Confirmed
Class E Notes BB(sf) Confirmed
EXETER AUTOMOBILE 2026-3: S&P Assigns (P) B (sf) Rating on N Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2026-3's automobile receivables-backed
notes.
The note issuance is an ABS transaction backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of June 10,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect:
-- The availability of approximately 56.98%, 50.64%, 42.11%,
31.68%, 25.33%, and 23.10% 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 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 our expected cumulative net loss of 21.00% for classes
A, B, C, D, E, and N, respectively.
-- The expectation that under a moderate ('BBB') stress scenario
(1.50x S&P's expected loss level), all else being equal, its
preliminary '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 its 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 preliminary ratings.
-- The collateral characteristics of the series' subprime
automobile loans, S&P's view of the collateral's credit risk, our
updated macroeconomic forecast, and forward-looking view of the
auto finance sector.
-- S&P's assessment of the series' bank accounts at Citibank N.A.,
which do not constrain the preliminary ratings.
-- S&P's operational risk assessment of Exeter Finance LLC as
servicer, along with its view of the company's underwriting and its
backup servicing arrangement with Citibank.
-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors, which are in
line with its sector benchmark.
-- The transaction's payment and legal structures.
Preliminary Ratings Assigned
Exeter Automobile Receivables Trust 2026-3
Class A-1, $110.00 million: A-1+ (sf)
Class A-2, $180.42 million: AAA (sf)
Class A-3, $209.32 million: AAA (sf)
Class B, $108.61 million: AA (sf)
Class C, $113.32 million: A (sf)
Class D, $150.39 million: BBB (sf)
Class E, $101.31 million: BB- (sf)
Class N(i), $26.63 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-FL2: Moody's Assigns (P)B3 Rating to Cl. B-2 Certs
-------------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 8 classes of
residential mortgage-backed securities (RMBS) to be issued by FIGRE
Trust 2026-FL2, 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-FL2
Cl. A-1, 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. B-1, Assigned (P)Ba3 (sf)
Cl. B-2, Assigned (P)B3 (sf)
Cl. M-1, Assigned (P)Baa3 (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
1.26%, in a baseline scenario-median is 0.82% and reaches 13.29% 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 May 2026.
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.
FREDDIE MAC 2026-MN14: Fitch Rates Class M-2 Notes 'BB-(EXP)sf'
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings and issued a presale
report for the Freddie Mac Multifamily Structured Credit Risk
(MSCR) Notes, Series 2026-MN14.
- $115,084,000a,c class M-1 'BBB-(EXP)sf'; Outlook Stable;
- $156,186,000a,c class M-2 'BB-(EXP)sf'; Outlook Stable;
Fitch does not expect to rate the following classes:
- $20,824,890,658a,b class A-H;
- $213,730,062a,b class M-1H;
- $172,628,063a,b class M-2H;
- $142,486,000a,c class B-1;
- $76,723,375a,b class B-1H;
- $219,209,376a,b class B-2H.
(a) Class balances are approximate and may change before pricing.
Freddie Mac may adjust the class balance of any notes and the
notional amounts of the related reference tranches up or down, with
corresponding opposite adjustments to the reference tranches.
However, class M-1H will be at least 5% of the combined initial
notional amount of M-1 and M-1H. Class M-2H will be at least 5% of
the combined initial notional amount of M-2 and M-2H. Class B-1H
will be at least 5% of the combined initial notional amount of B-1
and B-1H.
(b) Class A-H, M-1H, M-2H, B-1H and B-2H are reference tranches and
will not have corresponding notes. Reference tranches will be
referenced only in connection with making calculations of principal
payments required to be made on the notes, and reductions and
increases in the class balances of the notes.
(c) Class M-1, M-2 and B-1 will have corresponding reference
tranches for the purpose of making calculations of principal
payments required to be made by the trust, and reductions and
increases in the class balances of the notes.
Transaction Summary
The Freddie Mac Multifamily Structured Credit Risk (MSCR) Notes,
Series 2026-MN14 (MSCR 2026-MN14), serve as a credit risk transfer
(CRT) mechanism, whereby the credit risk of a reference pool of
loans held and/or guaranteed by Freddie Mac are transferred to the
notes' investors. The reference pool consists of 827 obligations
totaling $21.9 billion.
The reference pool loans were originated in connection with Freddie
Mac's Multi PC (285; 43.3%), K Series (419; 53.6%), Targeted
Affordable Housing Bond Credit Enhancement (TAH BCE; 31; 1.8%) and
small balance loan (92; 1.4%) programs. In six instances where a
first lien and second lien are both included in the reference pool,
and in one instance where two first-lien loans are secured by the
same underlying collateral, Fitch has modeled them as one loan;
therefore, loan counts may vary slightly from those in offering
documents.
Proceeds from the sale of the notes will be used by the trust to
purchase eligible investments (EIs), as defined under the
transaction documents. On each payment date, the trust will use
earnings from EIs to pay interest due, with Freddie Mac (rated AA+
by Fitch) acting as a backstop to provide any additional funds to
the extent earnings from the EIs are insufficient to pay amounts
due.
The transaction is intended to mimic cash flows of traditional CMBS
for investors. On each payment date, noteholders will receive
interest payment based on the note's interest rate and outstanding
notional balance. The notional balance can be reduced by losses to
the trust resulting from liquidations or modifications. Noteholders
will also be entitled to principal paydowns from corresponding
principal payments on the reference pool.
On the closing date, the issuer will enter into a collateral
administration agreement (CAA) and capital contribution agreement
(CCA) with the trust under which the trust will provide credit
protection to Freddie Mac on the reference loan pool. The trust
will be required, according to the CAA, to pay the issuer based on
credit events and modification events, as defined under the
transaction documents.
KEY RATING DRIVERS
Fitch Property Cash Flow: Fitch performed cash flow analyses on 81
loans totaling 17.2% of the pool by balance. Fitch's resulting net
cash flow (NCF) of $1.6 billion represents a 10.05% decline from
the issuer's underwritten NCF of $1.8 billion.
Historical Performance of GSE Multifamily Programs: Historical
losses under GSE multifamily programs are much lower than they are
for conduit transactions. This is the 14th issuance under Freddie's
MSCR series, and as of February 2026, the delinquency rate for the
series was 0.1%. Under its six multifamily issuance programs,
aggregate issuance has been approximately $905 billion, with
aggregate losses of about $403 million (0.02%).
Loan Diversity: The pool is highly diverse in respect of loan
concentration. The pool has an effective loan count of 357.2,
materially higher than the average for 2025 Fitch-rated 10-year
Freddie Mac transactions (K Series) of 19.8. The top 10 loans
represent 8.6% of the pool, compared with the 2025 Fitch-rated
10-year Freddie Mac transactions' (K Series) average of 60.9%. The
pool is also more geographically diverse, with an effective
geographic count of 35.0 compared with the 2025 Fitch-rated 10-year
Freddie Mac transactions' (K Series) average of 10.1.
Fitch applied QRS of '1' instead of '3' to most of the loans in the
pool, reflecting the additional benefit of the diversity of the
pool and strong historical Freddie Mac loan performance. In
addition, the Fitch cap rate and stressed constant were reduced by
25 bps across the portfolio to account for the materially high loan
diversity.
Ratings Cap: The ratings are capped at the lower of the credit
protection buyer (Freddie Mac, rated AA+ by Fitch) and account
holder of the charged assets (U.S. Bank National Association, rated
AA- by Fitch). Although the current ratings are not constrained by
a rating cap, a downgrade of either party may affect the ratings,
and upgrades due to improvement in underlying asset performance may
be limited based on the caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:
- Original Rating: 'BBB-sf'/'BB-sf'
- 10% NCF Decline: 'BBsf'/'B-sf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:
- Original Rating: 'BBB-sf'/'BB-sf'
- 10% NCF Increase: 'BBB-sf'/'BB-sf'
CRITERIA VARIATION
For loans with original terms exceeding 10 years, the modeled term
used to calculate the term probability of default was set at 120
months plus 15% of the remaining months beyond that threshold. This
application is consistent with Fitch's "Exposure Draft: U.S.
Multiborrower C-PACE Rating Criteria" and was calibrated to
historical performance data.
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.
GCAT 2026-NQM3: DBRS Finalizes B(low) Rating on Class B-2 Certs
---------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized provisional credit ratings
on the Mortgage Pass-Through Certificates, Series 2026-NQM3 (the
Certificates) issued by GCAT 2026-NQM3 Trust (GCAT 2026-NQM3 or the
Issuer) as follows:
-- $232.5 million Class A-1A at AAA (sf)
-- $33.3 million Class A-1B at AAA (sf)
-- $265.9 million Class A-1 at AAA (sf)
-- $18.5 million Class A-2 at AA (high) (sf)
-- $23.7 million Class A-3 at A (sf)
-- $4.7 million Class M-1 at BBB (high) (sf)
-- $13.0 million Class B-1 at BB (high) (sf)
-- $4.7 million Class B-2 at B (low) (sf)
Class A-1 are exchangeable certificates while Classes A-1A and A-1B
are initial exchangeable certificates. These classes can be
exchanged in combinations as specified in the offering documents.
Morningstar DBRS discontinued and withdrew its credit ratings on
the Class A-1FCF and Class A-1LCF initially contemplated in the
offering documents, as they were not issued at closing.
The AAA (sf) credit ratings reflect 20.25% of credit enhancement
provided by the subordinated classes. The AA (high) (sf), A (sf),
BBB (high) (sf), BB (high) (sf), and B (low) (sf) credit ratings
reflect 14.70%, 7.60%, 6.20%, 2.30%, and 0.90%, respectively, of
credit enhancement.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
GCAT 2026-NQM3 is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first-lien residential mortgages
funded by the issuance of the Mortgage Pass-Through Certificates,
Series 2026-NQM3. The Certificates are backed by 752 loans with a
total principal balance of approximately $333,361,1101 as of the
Cut-Off Date2 (May 1, 2026).
The pool is, on average, three months seasoned with loan ages
ranging from zero to 9 months. Approximately 35.3%, 32.4%, and
10.8% of the Mortgage Loans were originated by Arc Home, The Loan
Store, and Guild Mortgage Company, respectively. The remainder of
the Mortgage Loans were originated by various mortgage lending
institutions, individually comprised less than 10% of the overall
mortgage loans.
NewRez LLC (NewRez), formerly known as New Penn Financial, LLC,
doing business as (dba) Shellpoint will service 100% of the loans.
Computershare Trust Company, N.A. and U.S. Bank, National
Association will act as Custodians. Rocket Mortgage LLC will act as
Master Servicer. U.S. Bank Trust Company, National Association will
act as Trustee and Securities Administrator and Certificate
Registrar.
As of the Cut-Off Date, 100% 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, 25.6% of the loans by balance are
designated as non-QM. Approximately 46.2% 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 26.5%
of the pool are designated as QM Safe Harbor, and there are 1.7% QM
Rebuttable Presumption (by unpaid principal balance (UPB)).
The Servicer will fund advances of delinquent P&I until the loan is
either greater than 90 days delinquent (limited P&I
advancing/stop-advance loan under the Mortgage Bankers Association
(MBA) method) or the P&I advance is deemed unrecoverable. If the
Servicer fails to make a required P&I Advance, the Master Servicer
will be obligated to make such required P&I Advance with respect to
any Mortgage Loan that is not a Stop Advance Mortgage Loan. To the
extent that the Servicer and the Master Servicer each fail to make
a required P&I Advance, the Securities Administrator will be
obligated to make such required P&I Advance with respect to any
such Mortgage Loan that is not a Stop Advance Mortgage Loan. The
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) in order to satisfy the credit risk retention
requirements of Section 15G of the Securities Exchange Act of 1934,
as amended, and the regulations promulgated thereunder (the "U.S.
Risk Retention Rules").
The Controlling Holder may, at its option, on any Distribution Date
on or after the date that is the earlier of (i) three years after
the Closing Date or (2) the date on which the balance of mortgage
loans and REO properties falls to or below 30% of the loan balance
as of the Cut-Off Date (Optional Redemption Date), redeem the
Certificates at the optional termination price described in the
transaction documents.
The Depositors 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 that 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, 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. 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 June 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 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 June 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.
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.
GOLDENTREE LOAN 20: Fitch Assigns 'B-sf' Rating on Class F-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
GoldenTree Loan Management US CLO 20, Ltd. reset transaction.
Entity/Debt Rating
----------- ------
GoldenTree Loan Management
US CLO 20, Ltd.
X-R 38139MAN5 LT NRsf New Rating
A-R 38139MAQ8 LT NRsf New Rating
A-J 38139MAS4 LT AAAsf New Rating
B-R 38139MAU9 LT AAsf New Rating
C-R 38139MAW5 LT Asf New Rating
D-R 38139MAY1 LT BBB-sf New Rating
D-J-R 38139MBA2 LT BBB-sf New Rating
E-R 38139NAG8 LT BB-sf New Rating
F-R 38139NAJ2 LT B-sf New Rating
Subordinated 38139NAE3 LT NRsf New Rating
Transaction Summary
GoldenTree Loan Management US CLO 20, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that is
managed by GLM III, LP. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $600 million of primarily first lien
senior secured leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.18, 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 73.57% 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 4.9-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The 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 the structural and
reinvestment conditions after the reinvestment 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 'BBBsf' and 'AA+sf' for class A-J, between
'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for
class C-R, between less than 'B-sf' and 'BB+sf' for class D-R,
between less than 'B-sf' and 'BB+sf' for class D-J-R, and between
less than 'B-sf' and 'B+sf' for class E-R and between less than
'B-sf' and 'Bsf' for class F-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the 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-R, 'AAsf' for class C-R, 'Asf'
for class D-R, 'A-sf' for class D-J-R, and 'BBB+sf' for class E-R
and 'BB+sf' for class F-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 GoldenTree Loan
Management US CLO 20, 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.
GS MORTGAGE 2026-NQM4: DBRS Finalizes Bsf Rating on Class B-2 Certs
-------------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the Mortgage Pass-Through Certificates, Series 2026-NQM4
(the Certificates) issued by GS Mortgage-Backed Securities Trust
2026-NQM4 (GSMBS 2026-NQM4 or the Issuer) as follows:
-- $252.1 million Class A-1A at AAA (sf)
-- $37.9 million Class A-1B at AAA (sf)
-- $289.9 million Class A-1 at AAA (sf)
-- $19.9 million Class A-2 at AA (high) (sf)
-- $32.0 million Class A-3 at A (high) (sf)
-- $13.8 million Class M-1 at BBB (high) (sf)
-- $9.5 million Class B-1 at BB (high) (sf)
-- $8.1 million Class B-2 at B (sf)
The AAA (sf) credit ratings reflect 23.40% of credit enhancement
provided by the subordinated classes. The AA (high) (sf), A (high)
(sf), BBB (high) (sf), BB (high) (sf), and B (sf) credit ratings
reflect 18.15%, 9.70%, 6.05%, 3.55%, and 1.40%, respectively, of
credit enhancement.
Morningstar DBRS discontinued and withdrew its credit ratings on
the Class A-1FCF and Class A-1LCF initially contemplated in the
offering documents, as they were not issued at closing.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
GSMBS 2026-NQM4 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 972 loans with a total principal balance of approximately
$398,424,536 as of May 1, 2026 (the Cut-Off Date).
The pool is, on average, five months seasoned with loan ages
ranging from five to ten months. The Mortgage Loan Seller acquired
approximately 16.1% of the Mortgage Loans, by aggregate Stated
Principal Balance as of the Cut-off Date, from United Wholesale
Mortgage, LLC, approximately 83.9% of the loans were originated by
other originators. All the other originators individually comprised
less than 10% of the overall mortgage loans.
NewRez LLC (NewRez), formerly known as New Penn Financial, LLC,
doing business as (dba) Shellpoint and Select Portfolio Servicing
Inc. will service 97.6% and 2.4% of the loans, respectively.
Computershare Trust Company, N.A. (rated BBB (high) with a Stable
trend) will act as Custodian and Securities Administrator. U.S.
Bank Trust N.A. will act as Delaware Trustee.
As of the Cut-Off Date, 99.6% of the loans in the pool are
contractually current according to the Mortgage Bankers Association
(MBA) delinquency calculation method.
In accordance with the Consumer Financial Protection Bureau (CFPB)
Qualified Mortgage (QM) rules, 58.3% of the loans by balance are
designated as non-QM. Approximately 39.4% 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 2.3% of
the pool are designated as QM Safe Harbor (by unpaid principal
balance (UPB)), and there are no QM Rebuttable Presumption loans.
Servicers will fund advances of delinquent principal and interest
(P&I) until the loan is either greater than 90 days delinquent
under the MBA method) or the P&I advance is deemed unrecoverable.
Each servicer is obligated to make advances in respect of taxes and
insurance, the cost of preservation, restoration, and protection of
mortgaged properties and any enforcement or judicial proceedings,
including foreclosures and reasonable costs and expenses incurred
in the course of servicing and disposing of properties until
otherwise deemed unrecoverable.
The Sponsor, GSMC, or a majority-owned affiliate, will retain an
eligible vertical interest in the transaction consisting of an
uncertificated interest (the Retained Interest) in the Trust
representing the right to receive at least 5.0% of the amounts
collected on the mortgage loans, net of the Trust's fees, expenses,
and reimbursements and paid on the Notes (other than the Class R
Certificates) and the Retained Interest to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder.
The Controlling Holder may, at its option, on or after the earlier
of (1) the Distribution Date in May 2029 and (2) the date on which
the balance of mortgage loans falls to or below 30% of the loan
balance as of the Cut-Off Date (Optional Redemption), purchase all
of the outstanding Certificates at the price described in the
transaction documents.
The Issuer may require the Seller to repurchase loans that become
delinquent in the first three monthly payments following the date
of acquisition. Such loans will be repurchased at the related
repurchase price.
The transaction's cash flow structure is generally similar to that
of other non-QM securitizations. The transaction employs a
sequential-pay cash flow structure with a pro rata principal
distribution among the senior tranches subject to certain
performance triggers related to cumulative losses or delinquencies
exceeding a specified threshold (Credit Event). The Class A-1A and
Class A-1B 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. 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 June 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 nonprime, non-QM, investor loans, and loans to foreign
national borrowers;
-- Representations and warranties framework; and
-- Limited servicer advances of delinquent 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 Principal 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 June 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.
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-PJ7: 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-PJ7 (the
Notes) issued by GS Mortgage-Backed Securities Trust 2026-PJ7:
-- $288.2 million Class A-1 at AAA (sf)
-- $288.2 million Class A-2 at AAA (sf)
-- $288.2 million Class A-3 at AAA (sf)
-- $216.1 million Class A-4 at AAA (sf)
-- $216.1 million Class A-5 at AAA (sf)
-- $216.1 million Class A-6 at AAA (sf)
-- $172.9 million Class A-7 at AAA (sf)
-- $172.9 million Class A-8 at AAA (sf)
-- $172.9 million Class A-9 at AAA (sf)
-- $43.2 million Class A-10 at AAA (sf)
-- $43.2 million Class A-11 at AAA (sf)
-- $43.2 million Class A-12 at AAA (sf)
-- $115.3 million Class A-13 at AAA (sf)
-- $115.3 million Class A-14 at AAA (sf)
-- $115.3 million Class A-15 at AAA (sf)
-- $72.0 million Class A-16 at AAA (sf)
-- $72.0 million Class A-17 at AAA (sf)
-- $72.0 million Class A-18 at AAA (sf)
-- $39.8 million Class A-19 at AAA (sf)
-- $39.8 million Class A-20 at AAA (sf)
-- $39.8 million Class A-21 at AAA (sf)
-- $328.0 million Class A-22 at AAA (sf)
-- $328.0 million Class A-23 at AAA (sf)
-- $328.0 million Class A-24 at AAA (sf)
-- $72.0 million Class A-27 at AAA (sf)
-- $72.0 million Class A-29 at AAA (sf)
-- $72.0 million Class A-30 at AAA (sf)
-- $72.0 million Class A-31 at AAA (sf)
-- $400.0 million Class A-X-1 at AAA (sf)
-- $288.2 million Class A-X-2 at AAA (sf)
-- $288.2 million Class A-X-3 at AAA (sf)
-- $288.2 million Class A-X-4 at AAA (sf)
-- $216.1 million Class A-X-5 at AAA (sf)
-- $216.1 million Class A-X-6 at AAA (sf)
-- $216.1 million Class A-X-7 at AAA (sf)
-- $172.9 million Class A-X-8 at AAA (sf)
-- $172.9 million Class A-X-9 at AAA (sf)
-- $172.9 million Class A-X-10 at AAA (sf)
-- $43.2 million Class A-X-11 at AAA (sf)
-- $43.2 million Class A-X-12 at AAA (sf)
-- $43.2 million Class A-X-13 at AAA (sf)
-- $115.3 million Class A-X-14 at AAA (sf)
-- $115.3 million Class A-X-15 at AAA (sf)
-- $115.3 million Class A-X-16 at AAA (sf)
-- $72.0 million Class A-X-17 at AAA (sf)
-- $72.0 million Class A-X-18 at AAA (sf)
-- $72.0 million Class A-X-19 at AAA (sf)
-- $39.8 million Class A-X-20 at AAA (sf)
-- $39.8 million Class A-X-21 at AAA (sf)
-- $39.8 million Class A-X-22 at AAA (sf)
-- $328.0 million Class A-X-23 at AAA (sf)
-- $328.0 million Class A-X-24 at AAA (sf)
-- $328.0 million Class A-X-25 at AAA (sf)
-- $72.0 million Class A-X-27 at AAA (sf)
-- $39.8 million Class A-X-28 at AAA (sf)
-- $72.0 million Class A-X-29 at AAA (sf)
-- $72.0 million Class A-X-30 at AAA (sf)
-- $10.2 million Class B-1 at AA (low) (sf)
-- $10.2 million Class B-1A at AA (low) (sf)
-- $10.2 million Class B-X-1 at AA (low) (sf)
-- $5.9 million Class B-2 at A (low) (sf)
-- $5.9 million Class B-2A at A (low) (sf)
-- $5.9 million Class B-X-2 at A (low) (sf)
-- $3.6 million Class B-3 at BBB (sf)
-- $2.1 million Class B-4 at BB (sf)
-- $847.0 thousand Class B-5 at B (low) (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-29, A-30, and
A-31 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-27, A-X-28, A-X-29, A-X-30, 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-10, A-11, A-13,
A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-29, A-30,
A-31, 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-29, A-X-30, B-1, and B-2 are exchangeable classes. These
classes can be exchanged for combinations of exchange notes as
specified in the offering documents.
Classes A-27 and A-X-27 are floating-rate notes.
The AAA (sf) credit ratings on the Notes reflect 5.60% of credit
enhancement provided by subordinated notes. The AA (low) (sf), A
(low) (sf), BBB (sf), BB (sf), and B (low) (sf) credit ratings
reflect 3.20%, 1.80%, 0.95%, 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-PJ7 (the Notes). The Notes are backed by 335
loans with a total principal balance of $423,760,094 as of the
Cut-Off Date.
The pool consists of first-lien, fully amortizing fixed-rate
mortgages (FRMs) with original terms to maturity of 15 to 30 years.
The weighted-average (WA) original combined loan-to-value (CLTV)
for the portfolio is 72.5%. 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
(34.1%), PennyMac Loan Services, LLC (21.1%), LoanDepot.com (17.0%)
and other originators each comprising less than 10.0% of the pool.
The mortgage loans will be serviced by United Wholesale Mortgage,
LLC (Sub-servicer, Cenlar) (34.1%), PennyMac Loan Services, LLC
(31.9%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (17.0%),
and loanDepot.com LLC (17.0%).
Rocket Mortgage, LLC will act as Master Servicer. Computershare
Trust Company, N.A. will act as Paying Agent, Note Registrar, Rule
17g-5 Information Provider and Custodian. 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.
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-PJ7: Fitch Assigns 'B-sf' Rating on Class B5 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings to the mortgage-backed
notes issued by GS Mortgage-Backed Securities Trust 2026-PJ7 (GSMBS
2026-PJ7).
Entity/Debt Rating Prior
----------- ------ -----
GSMBS 2026-PJ7
A-1L Loans LT WDsf Withdrawn AAA(EXP)sf
A-2L Loans LT WDsf Withdrawn AAA(EXP)sf
A-3L Loans LT WDsf Withdrawn AAA(EXP)sf
A1 LT AAAsf New Rating AAA(EXP)sf
A2 LT AAAsf New Rating AAA(EXP)sf
A3 LT AAAsf New Rating AAA(EXP)sf
A4 LT AAAsf New Rating AAA(EXP)sf
A5 LT AAAsf New Rating AAA(EXP)sf
A6 LT AAAsf New Rating AAA(EXP)sf
A7 LT AAAsf New Rating AAA(EXP)sf
A8 LT AAAsf New Rating AAA(EXP)sf
A9 LT AAAsf New Rating AAA(EXP)sf
A10 LT AAAsf New Rating AAA(EXP)sf
A11 LT AAAsf New Rating AAA(EXP)sf
A12 LT AAAsf New Rating AAA(EXP)sf
A13 LT AAAsf New Rating AAA(EXP)sf
A14 LT AAAsf New Rating AAA(EXP)sf
A15 LT AAAsf New Rating AAA(EXP)sf
A16 LT AAAsf New Rating AAA(EXP)sf
A17 LT AAAsf New Rating AAA(EXP)sf
A18 LT AAAsf New Rating AAA(EXP)sf
A19 LT AAAsf New Rating AAA(EXP)sf
A20 LT AAAsf New Rating AAA(EXP)sf
A21 LT AAAsf New Rating AAA(EXP)sf
A22 LT AAAsf New Rating AAA(EXP)sf
A23 LT AAAsf New Rating AAA(EXP)sf
A24 LT AAAsf New Rating AAA(EXP)sf
A27 LT AAAsf New Rating AAA(EXP)sf
A29 LT AAAsf New Rating AAA(EXP)sf
A30 LT AAAsf New Rating AAA(EXP)sf
A31 LT AAAsf New Rating AAA(EXP)sf
AX1 LT AAAsf New Rating AAA(EXP)sf
AX2 LT AAAsf New Rating AAA(EXP)sf
AX3 LT AAAsf New Rating AAA(EXP)sf
AX4 LT AAAsf New Rating AAA(EXP)sf
AX5 LT AAAsf New Rating AAA(EXP)sf
AX6 LT AAAsf New Rating AAA(EXP)sf
AX7 LT AAAsf New Rating AAA(EXP)sf
AX8 LT AAAsf New Rating AAA(EXP)sf
AX9 LT AAAsf New Rating AAA(EXP)sf
AX10 LT AAAsf New Rating AAA(EXP)sf
AX11 LT AAAsf New Rating AAA(EXP)sf
AX12 LT AAAsf New Rating AAA(EXP)sf
AX13 LT AAAsf New Rating AAA(EXP)sf
AX14 LT AAAsf New Rating AAA(EXP)sf
AX15 LT AAAsf New Rating AAA(EXP)sf
AX16 LT AAAsf New Rating AAA(EXP)sf
AX17 LT AAAsf New Rating AAA(EXP)sf
AX18 LT AAAsf New Rating AAA(EXP)sf
AX19 LT AAAsf New Rating AAA(EXP)sf
AX20 LT AAAsf New Rating AAA(EXP)sf
AX21 LT AAAsf New Rating AAA(EXP)sf
AX22 LT AAAsf New Rating AAA(EXP)sf
AX23 LT AAAsf New Rating AAA(EXP)sf
AX24 LT AAAsf New Rating AAA(EXP)sf
AX25 LT AAAsf New Rating AAA(EXP)sf
AX27 LT AAAsf New Rating AAA(EXP)sf
AX28 LT AAAsf New Rating AAA(EXP)sf
AX29 LT AAAsf New Rating AAA(EXP)sf
AX30 LT AAAsf New Rating AAA(EXP)sf
B1 LT AA-sf New Rating AA-(EXP)sf
B1A LT AA-sf New Rating AA-(EXP)sf
BX1 LT AA-sf New Rating AA-(EXP)sf
B2 LT A-sf New Rating A-(EXP)sf
B2A LT A-sf New Rating A-(EXP)sf
BX2 LT A-sf New Rating A-(EXP)sf
B3 LT BBB-sf New Rating BBB-(EXP)sf
B4 LT BB-sf New Rating BB-(EXP)sf
B5 LT B-sf New Rating B-(EXP)sf
B6 LT NRsf New Rating NR(EXP)sf
Transaction Summary
The certificates are supported by 335 prime, fixed-rate loans with
a total balance of approximately $423.8 million as of the cutoff
date.
Fitch has withdrawn the previously assigned 'AAAsf' expected
ratings on the class A-1L, A-2L, and A-3L loans because these
classes 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-PJ7 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 34.1%. The expected loss in the
'AAAsf' rating stress is 3.8%.
Structural Analysis: The mortgage cash flow and loss allocation in
GSMBS 2026-PJ7 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 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.
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 (TPR) firm, which have a final grade of either
"A" or "B."
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its "Global Structured Finance Rating Criteria." Relevant parties
are those whose failure to perform could have a material impact on
the performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects GSMBS 2026-PJ7 to be fully
de-linked and serve as a bankruptcy remote special purpose vehicle
(SPV). All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to GSMBS 2026-PJ7; 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 37.6% 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 Clayton Services, Consolidated Analytics, Inc 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.
GUGGENHEIM MM 2023-6: S&P Assigns (P) BB- (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-R, B-R, C-R, D-R, and E-R debt and proposed new
class X debt from Guggenheim MM CLO 2023-6 LLC, a CLO managed by
Guggenheim Corporate Funding LLC that was originally issued in
December 2023.
The preliminary ratings are based on information as of June 5,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the June 18, 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, A-L, B, C, D, and E debt and
assign ratings to the replacement class A-R, B-R, C-R, D-R, and E-R
debt and proposed new class X debt. However, if the refinancing
doesn't occur, we may affirm our ratings on the existing debt and
withdraw our preliminary ratings on the replacement and proposed
new debt."
The replacement and proposed new debt will be issued via a proposed
supplemental indenture, which outlines the terms of the replacement
and proposed new debt. According to the proposed supplemental
indenture:
-- The replacement class A-R, B-R, C-R, D-R, and E-R debt is
expected to be issued at a lower spread over three-month SOFR than
the existing debt.
-- The non-call period will be extended to June 18, 2028.
-- The reinvestment period will be extended to June 18, 2030.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to July 25, 2038.
-- The target initial par amount will remain at $475 million. The
first payment date following the refinancing is Oct. 25, 2026.
-- New class X debt will be issued on the refinancing date. This
debt is expected to be paid down using interest proceeds during the
first 15 payment dates in equal installments of $1,338,666.67,
beginning on the second payment date.
-- The required minimum overcollateralization and interest
coverage ratios remain unchanged.
-- 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
Guggenheim MM CLO 2023-6 LLC
Class X, $20.08 million: AAA (sf)
Class A-R, $275.50 million: AAA (sf)
Class B-R, $47.50 million: AA (sf)
Class C-R (deferrable), $38.00 million: A (sf)
Class D-R (deferrable), $28.50 million: BBB- (sf)
Class E-R (deferrable), $28.50 million: BB- (sf)
Other Debt
Guggenheim MM CLO 2023-6 LLC
Subordinated notes, $57.00 million: NR
NR--Not rated.
HERTZ VEHICLE III: DBRS Finalizes BBsf Rating on Class D Notes
--------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the following classes of notes (collectively, the Notes)
issued by Hertz Vehicle Financing III LLC (HVF III):
-- $327,000,000 Series 2026-1, Class A Notes at AAA (sf)
-- $48,000,000 Series 2026-1, Class B Notes at A (sf)
-- $64,000,000 Series 2026-1, Class C Notes at BBB (sf)
-- $38,000,000 Series 2026-1, Class D Notes at BB (sf)
-- $327,000,000 Series 2026-2, Class A Notes at AAA (sf)
-- $48,000,000 Series 2026-2, Class B Notes at A (sf)
-- $64,000,000 Series 2026-2, Class C Notes at BBB (sf)
-- $38,000,000 Series 2026-2, Class D Notes at BB (sf)
CREDIT RATING RATIONALE/DESCRIPTION
The credit ratings are based on Morningstar DBRS' review of the
following analytical considerations:
(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.
-- Credit enhancement in the form of subordination,
overcollateralization (OC), letters of credit (LOCs), and any
amounts held in the reserve account support the Morningstar DBRS
stress-case liquidation analysis with bankruptcy and liquidation
period assumptions that vary by rating category and vehicle type
(program versus nonprogram) as well as residual value stresses that
vary by rating category for nonprogram vehicles and program
vehicles from non-investment-grade-rated manufacturers.
-- Liquid credit enhancement is provided in the form of a reserve
account and/or an LOC sufficient to cover interest on the Notes,
consistent with Morningstar DBRS' criteria for this asset class.
(2) Credit enhancement in the transaction is dynamic, depending on
the composition of the vehicles in the fleet and certain market
value tests.
-- The enhancement in the transaction depends on whether the
vehicles are program or nonprogram, whether the manufacturer is
investment grade or below investment grade, and if a vehicle is a
medium-duty truck.
-- For nonprogram vehicles, the enhancement levels may increase as
a result of two market value tests: (1) a marked-to-market (MTM)
test that compares the market value of the vehicles with the net
book value (NBV) of these vehicles and (2) a disposition proceeds
test that compares the actual disposition proceeds of vehicles sold
with the NBV of those vehicles.
-- If the credit enhancement required in the transaction increases
and HVF III is unable to meet the increased enhancement levels,
then an Amortization Event may occur that will result in a Rapid
Amortization of the notes.
-- The required credit enhancement is subject to a floor of 9.00%
of the assets.
(3) Amortization Events include, but are not limited to, default in
the payment of amounts due after five consecutive business days,
default in the payments of amounts due by the expected final
payment date, deficiency of amounts available in the liquidity
reserve account, payment default under the master lease, the
required asset amount exceeding the aggregate asset amount,
servicer default, and administrator default.
(4) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms of the
documents. The credit ratings address the timely payment of
interest to the Class A, Class B, Class C, and Class D noteholders
at their respective note rates as well as ultimate payment of
principal on the notes, in each case by the legal final payment
date.
(5) The intention of each party to the master lease to treat the
lease as a single indivisible lease.
(6) The transaction allows vehicles, for which the Collateral Agent
has not yet been noted on the Certificates of Title as lienholder,
to remain as eligible assets for up to 45 days for new vehicles and
60 days for used vehicles (Lien Holidays). All vehicles benefit
from a negative pledge.
(7) Inclusion of medium-duty trucks that are subject to a limit of
5% and a required credit enhancement of 35%.
(8) Tesla vehicles are subject to a concentration limit of 10.0%.
(9) 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. These
baseline macroeconomic scenarios replace Morningstar DBRS' moderate
and adverse COVID-19 pandemic scenarios, which were first published
in April 2020.
(10) The transaction parties' capabilities to effectively manage
rental car operations and dispose of the fleet to the extent
necessary.
-- Morningstar DBRS has performed an operational review of Hertz
and considers the entity a capable rental fleet operator and
manager.
-- Lord Securities Corporation is the backup administrator for this
transaction, and defi AUTO, LLC is the backup disposition agent.
(11) The legal structure and its consistency with Morningstar DBRS'
Legal Criteria for U.S. Structured Finance methodology, the
provision of legal opinions that address the treatment of the
operating lease as a true lease, the nonconsolidation of the
special-purpose vehicles with Hertz and its affiliates, and that
the trust has a valid first-priority security interest in the
assets.
Morningstar DBRS' credit ratings on the securities referenced
herein address the credit risk associated with the identified
financial obligations in accordance with the relevant transaction
documents. The associated financial obligations for each of the
rated Notes are the related Monthly Interest Amount and the related
Principal Amount.
Morningstar DBRS' credit ratings do not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction documents that are not financial
obligations. The associated contractual payment obligation that is
not a financial obligation for each of the rated Notes is the
related interest on any unpaid Monthly Interest Amount.
Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.
Notes: All figures are in US dollars unless otherwise noted.
HOMES 2026-NQM4: S&P Assigns Prelim B (sf) Rating to B-2 Certs
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to HOMES
2026-NQM4 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 five months. The loans are secured by
single-family residences, planned-unit developments, townhouses,
condominiums, two- to four-unit multifamily homes and a
manufactured housing property to prime and nonprime borrowers. The
pool consists of 955 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 June 5,
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's U.S. economic outlook, which considers its current
projections for U.S. economic growth, unemployment rates, and
interest rates, as well as its view of housing fundamentals. S&P's
economic outlook is updated, if necessary, when these projections
change materially.
Preliminary Ratings Assigned(i)
HOMES 2026-NQM4 Trust
Class A-1FCF, $125,757,000: AAA (sf)
Class A-1LCF, $41,919,000: AAA (sf)
Class A-1, $167,676,000: AAA (sf)
Class A-1A, $145,400,000: AAA (sf)
Class A-1B, $22,270,000: AAA (sf)
Class A-2, $29,393,000: AA (sf)
Class A-3, $47,430,000: A (sf)
Class M-1, $13,138,000: BBB (sf)
Class B-1, $8,461,000: BB (sf)
Class B-2, $6,681,000: B (sf)
Class B-3, $4,898,884: 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.
ICG US 2024-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt from
ICG US CLO 2024-1 Ltd./ICG US CLO 2024-1 LLC, a CLO managed by ICG
Debt Advisors LLC, an affiliate of ICG plc, that was originally
issued in May 2024.
The preliminary ratings are based on information as of June 9,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the June 12, 2026, refinancing date, the proceeds from the
replacement debt will be used to redeem the existing debt. S&P
said, "At that time, we expect to withdraw our ratings on the
existing class A-1, A-2, B, C, D-1, D-2, and E debt and assign
ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-R, and
E-R debt. However, if the refinancing doesn't occur, we may affirm
our ratings on the existing debt and withdraw our preliminary
ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt
is expected to be issued at a lower spread over three-month SOFR
than the existing debt.
-- The stated maturity, reinvestment period, and non-call period
will be extended by approximately two years.
-- The non-call period will be extended to July 15, 2028.
-- The reinvestment period will be extended to July 15, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to March 31, 2039.
-- No additional assets will be purchased on the June 12, 2026,
refinancing date, and the target initial par amount will remain at
$400 million. There will be no additional effective date or ramp-up
period, and the first payment date following the refinancing is
July 15, 2026.
-- 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
ICG US CLO 2024-1 Ltd./ICG US CLO 2024-1 LLC
Class A-1-R, $240.00 million: AAA (sf)
Class A-2-R, $16.00 million: AAA (sf)
Class B-R, $48.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-R (deferrable), $24.00 million: BBB- (sf)
Class E-R (deferrable), $16.00 million: BB- (sf)
Other Debt
ICG US CLO 2024-1 Ltd./ICG US CLO 2024-1 LLC
Subordinated notes, $39.00 million: NR
NR--Not rated.
INVESCO U.S. 2024-3: S&P Affirms BB- (sf) Rating on Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, B-R, C-R, and D-R debt from Invesco U.S. CLO 2024-3
Ltd./Invesco U.S. CLO 2024-3 LLC, a CLO managed by Invesco CLO
Equity Fund 3 L.P. that was originally issued in June 2024. At the
same time, S&P withdrew its ratings on the previous class A, B, C,
and D debt following payment in full on the June 8, 2026,
refinancing date. S&P also affirmed its ratings on the existing
class X and E debt, which were not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period for replacement debt A-R was extended to
Jan. 20, 2028.
-- The non-call period for replacement debt B-R, C-R, and D-R was
extended to June 8, 2027.
-- The reinvestment period was not extended.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were not extended.
-- No additional assets were purchased on the June 8, 2026,
refinancing date, and the target initial par amount remains at $500
million. There was no additional effective date or ramp-up period
and the first payment date following the refinancing is July 20,
2026.
-- The required minimum overcollateralization and interest
coverage ratios were not amended.
-- No additional subordinated notes were issued on the refinancing
date.
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-R, $320.00 million: Three-month CME term SOFR + 1.21%
-- Class B-R, $60.00 million: Three-month CME term SOFR + 1.55%
-- Class C-R (deferrable), $30.00 million: Three-month CME term
SOFR + 1.90%
-- Class D-R (deferrable), $30.00 million: Three-month CME term
SOFR + 3.20%
Previous debt
-- Class A, $320.00 million: Three-month CME term SOFR + 1.51%
-- Class B, $60.00 million: Three-month CME term SOFR + 1.85%
-- Class C (deferrable), $30.00 million: Three-month CME term SOFR
+ 2.25%
-- Class D (deferrable), $30.00 million: Three-month CME term SOFR
+ 3.55%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all but the existing
Class E debt, have adequate credit enhancement available at the
rating levels associated with the rating actions.
"On a standalone basis, our cash flow analysis indicated a lower
rating on the existing class E debt (which was not refinanced).
However, we affirmed our 'BB- (sf)' rating on the existing class E
debt after considering the margin of failure, and the relatively
stable overcollateralization ratio since our last rating action on
the transaction. 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."
Ratings Assigned
Invesco U.S. CLO 2024-3 Ltd./Invesco U.S. CLO 2024-3 LLC
Class A-R, $320.0 million: AAA (sf)
Class B-R, $60.0 million: AA (sf)
Class C-R, $30.0 million: A (sf)
Class D-R, $30.0 million: BBB- (sf)
Ratings Withdrawn
Invesco U.S. CLO 2024-3 Ltd./Invesco U.S. CLO 2024-3 LLC
Class A to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C to NR from 'A (sf)'
Class D to NR from 'BBB- (sf)'
Ratings Affirmed
Invesco U.S. CLO 2024-3 Ltd./Invesco U.S. CLO 2024-3 LLC
Class X: AAA (sf)
Class E: BB- (sf)
Other Debt
Invesco U.S. CLO 2024-3 Ltd./Invesco U.S. CLO 2024-3 LLC
Subordinated notes, $44.3 million: NR
NR--Not rated.
IVY HILL XXII: S&P Assigns BB- (sf) Rating on Class E-R Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R, A-LR, B-R, C-R, D-R, and E-R debt and new class X-R debt from
Ivy Hill Middle Market Credit Fund XXII Ltd./Ivy Hill Middle Market
Credit Fund XXII LLC, a CLO managed by Ivy Hill Asset Management
L.P., a subsidiary of Ares Management Corp., that was originally
issued in March 2024. At the same time, S&P withdrew its ratings on
the previous class A, B, C, D, and E debt and class A loans
following payment in full on June 8, 2026, refinancing date.
The replacement and new debt were issued via a supplemental
indenture, which outlines the terms of the replacement and new
debt. According to the supplemental indenture:
-- The non-call period was extended to June 10, 2028.
-- The reinvestment period was extended to July 20, 2030.
The legal final maturity date for the replacement debt and the
existing subordinated notes were extended to July 20, 2038.
No additional assets were purchased on June 10, 2026, refinancing
date, and the target initial par amount remains at $450.00 million.
There is no additional effective date or ramp-up period, and the
first payment date following the refinancing is July 20, 2026.
New class X-R debt was issued on the refinancing date. This debt is
expected to be paid down using interest proceeds in equal
installments of $129,166.67, beginning on the first payment 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 rates 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."
Ratings Assigned
Ivy Hill Middle Market Credit Fund XXII Ltd./
Ivy Hill Middle Market Credit Fund XXII LLC
Class X-R, $1.55 million: AAA (sf)
Class A-R, $231.00 million: AAA (sf)
Class A-LR(i), $30.00 million: AAA (sf)
Class B-R, $45.00 million: AA (sf)
Class C-R (deferrable), $36.00 million: A (sf)
Class D-R (deferrable), $27.00 million: BBB- (sf)
Class E-R (deferrable), $27.00 million: BB- (sf)
(i)The class A-LR debt, issued in loan form, is convertible into
class A-R debt.
NR--Not rated.
Ratings Withdrawn
Ivy Hill Middle Market Credit Fund XXII Ltd./
Ivy Hill Middle Market Credit Fund XXII LLC
Class A to NR from 'AAA (sf)'
Class A loans to NR from 'AAA (sf)'
Class B to NR from 'AA (sf)'
Class C (deferrable) to NR from 'A (sf)'
Class D (deferrable) to NR from 'BBB- (sf)'
Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
Ivy Hill Middle Market Credit Fund XXII Ltd./
Ivy Hill Middle Market Credit Fund XXII LLC
Subordinated notes, $54.80 million: NR
JP MORGAN 2026-3: DBRS Finalizes B(low) Rating on Class B-5 Certs
-----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized the following provisional
credit ratings on the Mortgage Pass-Through Certificates, Series
2026-3 (the Certificates) issued by J.P. Morgan Mortgage Trust
2026-3:
-- $292.2 million Class A-1 at AAA (sf)
-- $265.8 million Class A-2 at AAA (sf)
-- $212.6 million Class A-3 at AAA (sf)
-- $212.6 million Class A-3-A at AAA (sf)
-- $212.6 million Class A-3-B at AAA (sf)
-- $212.6 million Class A-3-X1 at AAA (sf)
-- $212.6 million Class A-3-X2 at AAA (sf)
-- $212.6 million Class A-3-X3 at AAA (sf)
-- $159.5 million Class A-4 at AAA (sf)
-- $159.5 million Class A-4-A at AAA (sf)
-- $159.5 million Class A-4-B at AAA (sf)
-- $159.5 million Class A-4-X1 at AAA (sf)
-- $159.5 million Class A-4-X2 at AAA (sf)
-- $159.5 million Class A-4-X3 at AAA (sf)
-- $53.2 million Class A-5 at AAA (sf)
-- $53.2 million Class A-5-A at AAA (sf)
-- $53.2 million Class A-5-B at AAA (sf)
-- $53.2 million Class A-5-X1 at AAA (sf)
-- $53.2 million Class A-5-X2 at AAA (sf)
-- $53.2 million Class A-5-X3 at AAA (sf)
-- $127.6 million Class A-6 at AAA (sf)
-- $127.6 million Class A-6-A at AAA (sf)
-- $127.6 million Class A-6-B at AAA (sf)
-- $127.6 million Class A-6-X1 at AAA (sf)
-- $127.6 million Class A-6-X2 at AAA (sf)
-- $127.6 million Class A-6-X3 at AAA (sf)
-- $85.0 million Class A-7 at AAA (sf)
-- $85.0 million Class A-7-A at AAA (sf)
-- $85.0 million Class A-7-B at AAA (sf)
-- $85.0 million Class A-7-X1 at AAA (sf)
-- $85.0 million Class A-7-X2 at AAA (sf)
-- $85.0 million Class A-7-X3 at AAA (sf)
-- $31.9 million Class A-8 at AAA (sf)
-- $31.9 million Class A-8-A at AAA (sf)
-- $31.9 million Class A-8-B at AAA (sf)
-- $31.9 million Class A-8-X1 at AAA (sf)
-- $31.9 million Class A-8-X2 at AAA (sf)
-- $31.9 million Class A-8-X3 at AAA (sf)
-- $26.4 million Class A-9 at AAA (sf)
-- $26.4 million Class A-9-A at AAA (sf)
-- $26.4 million Class A-9-B at AAA (sf)
-- $26.4 million Class A-9-X1 at AAA (sf)
-- $26.4 million Class A-9-X2 at AAA (sf)
-- $26.4 million Class A-9-X3 at AAA (sf)
-- $85.0 million Class A-10 at AAA (sf)
-- $85.0 million Class A-10-A at AAA (sf)
-- $85.0 million Class A-10-B at AAA (sf)
-- $85.0 million Class A-10-X1 at AAA (sf)
-- $85.0 million Class A-10-X2 at AAA (sf)
-- $85.0 million Class A-10-X3 at AAA (sf)
-- $53.2 million Class A-11 at AAA (sf)
-- $53.2 million Class A-11-X at AAA (sf)
-- $53.2 million Class A-12 at AAA (sf)
-- $53.2 million Class A-13 at AAA (sf)
-- $53.2 million Class A-13-X at AAA (sf)
-- $53.2 million Class A-14 at AAA (sf)
-- $53.2 million Class A-14-X at AAA (sf)
-- $53.2 million Class A-14-X2 at AAA (sf)
-- $53.2 million Class A-14-X3 at AAA (sf)
-- $53.2 million Class A-14-X4 at AAA (sf)
-- $42.5 million Class A-15 at AAA (sf)
-- $42.5 million Class A-15-A at AAA (sf)
-- $42.5 million Class A-15-B at AAA (sf)
-- $42.5 million Class A-15-X1 at AAA (sf)
-- $42.5 million Class A-15-X2 at AAA (sf)
-- $42.5 million Class A-15-X3 at AAA (sf)
-- $42.5 million Class A-16 at AAA (sf)
-- $42.5 million Class A-16-A at AAA (sf)
-- $42.5 million Class A-16-B at AAA (sf)
-- $42.5 million Class A-16-X1 at AAA (sf)
-- $42.5 million Class A-16-X2 at AAA (sf)
-- $42.5 million Class A-16-X3 at AAA (sf)
-- $42.5 million Class A-17 at AAA (sf)
-- $42.5 million Class A-17-A at AAA (sf)
-- $42.5 million Class A-17-B at AAA (sf)
-- $42.5 million Class A-17-X1 at AAA (sf)
-- $42.5 million Class A-17-X2 at AAA (sf)
-- $42.5 million Class A-17-X3 at AAA (sf)
-- $74.4 million Class A-18 at AAA (sf)
-- $74.4 million Class A-18-A at AAA (sf)
-- $74.4 million Class A-18-B at AAA (sf)
-- $74.4 million Class A-18-X1 at AAA (sf)
-- $74.4 million Class A-18-X2 at AAA (sf)
-- $74.4 million Class A-18-X3 at AAA (sf)
-- $292.2 million Class A-X-1 at AAA (sf)
-- $8.8 million Class B-1 at AA (low) (sf)
-- $8.8 million Class B-1-A at AA (low) (sf)
-- $8.8 million Class B-1-X at AA (low) (sf)
-- $5.3 million Class B-2 at A (low) (sf)
-- $5.3 million Class B-2-A at A (low) (sf)
-- $5.3 million Class B-2-X at A (low) (sf)
-- $3.0 million Class B-3 at BBB (low)(sf)
-- $1.7 million Class B-4 at BB (low) (sf)
-- $781.7 thousand Class B-5 at B (low) (sf)
Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1,
A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3,
A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2,
A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4,
A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1,
A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and
B-2-X are interest-only (IO) certificates. The class balances
represent notional amounts.
Classes A-1, A-2, A-3, A-3A, A-3B, A-3-X1, A-3-X2, A-3-X3, A-4,
A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6,
A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1,
A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10,
A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12,
A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17,
A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3,
B-1, and B-2 are exchangeable certificates. These classes can be
exchanged for combinations of depositable certificates as specified
in the offering documents.
Classes A-2, A-3, A-3A, A-3B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B,
A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10,
A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16,
A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A, and A-18-B are
super senior certificates. These classes benefit from additional
protection from the senior support certificate (Class A-9-B) with
respect to loss allocation.
The AAA (sf) credit ratings on the Certificates reflect 6.55% of
credit enhancement provided by subordinated certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 3.75%, 2.05%, 1.10%, 0.55%, and
0.30% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to J.P. Morgan Mortgage Trust 2026-3 (JPMMT 2026-3), a
securitization of a portfolio of first-lien fixed-rate prime
residential mortgages to be funded by the issuance of the Mortgage
Pass-Through Certificates, Series 2026-3(the Certificates). The
Certificates are backed by 234 loans with a total principal balance
of $312,680,099 as of the Cut-Off Date (May 01, 2026).
The pool consists of fully amortizing fixed-rate mortgages with
original terms to maturity of 30 years and a weighted-average (WA)
loan age of three months. Approximately 9.1% of the loans are
conforming mortgage loans that were underwritten using an automated
underwriting system (AUS) designated by Fannie Mae or Freddie Mac
and were eligible for purchase by such agencies. Details on the
underwriting of conforming loans can be found in the Key
Probability of Default Drivers section. In addition, all of the
loans in the pool were originated in accordance with the new
general Qualified Mortgage (QM) rule.
Pennymac Loan Services, LLC (PennyMac), United Wholesale Mortgage,
LLC (UWM), and CrossCountry Mortgage, LLC (CrossCountry) originated
36.3%, 15.8% and 11.8% of the pool, respectively. Various other
originators, each comprising less than 10%, originated the
remainder of the loans. The mortgage loans will be serviced by
JPMorgan Chase Bank, National Association (45.1%), PennyMac Loan
Services, LLC (36.3%), and United Wholesale Mortgage, LLC (15.8%).
For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans,
Shellpoint will act as interim servicer until the loans transfer to
JPMCB on the servicing transfer date (September 1, 2026).
For certain Servicers in this transaction, the servicing fee
payable for mortgage loans is composed of three separate
components: the base servicing fee, the delinquent servicing fee,
and the additional servicing fee. These fees vary based on the
delinquency status of the related loan and will be paid from
interest collections before distribution to the securities.
Rocket Mortgage LLC (Nationstar) will act as the Master Servicer.
Citibank, N.A. (Citibank; rated AA (low) with a Stable trend) will
act as Securities Administrator and Delaware Trustee. Computershare
Trust Company, N.A. (Computershare; rated BBB (high) with a Stable
trend) will act as Custodian. Pentalpha Surveillance LLC
(Pentalpha) will serve as the Representations and Warranties (R&W)
Reviewer.
The transaction employs a senior-subordinate, shifting-interest
cash flow structure that incorporates performance triggers and
credit enhancement floors.
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:
-- Servicers' financial capabilities.
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 Interest Distribution
Amounts, the related Interest Shortfalls, and the related Class
Principal Amounts (for non-IO 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.
JP MORGAN 2026-3: Fitch Assigns 'B-sf' Final Rating on Cl. B5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to
J.P. Morgan Mortgage Trust 2026-3 (JPMMT 2026-3).
Entity/Debt Rating Prior
----------- ------ -----
JPMMT 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
Transaction Summary
Fitch expects to rate the residential mortgage-backed certificates
issued by J.P. Morgan Mortgage Trust 2026-3 (JPMMT 2026-3), as
indicated above. The certificates are supported by 234 loans with a
scheduled balance of $312.68 million as of the cutoff date.
The pool consists of prime-quality, fixed-rate mortgages originated
mainly by United Wholesale Mortgage, LLC, CrossCountry Mortgage LLC
(CCM), and PennyMac Corp aka PennyMac Loan Services LLC. The
loan-level representations and warranties (R&Ws) are provided by
the various sellers and originators. All mortgage loans in the pool
will be serviced by JPMCB, PennyMac Corp aka PennyMac Loan
Services, loanDepot.com and United Wholesale Mortgage. Cenlar FSB
will subservice the loans for United Wholesale Mortgage. Rocket
Mortgage LLC is the master servicer.
The collateral quality of the pool is extremely strong, with a
large percentage of loans over $1.0 million.
Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM)
average prime offer rate (APOR) loans. The senior certificates are
fixed rate or floating rate and capped at the net weighted average
coupon (WAC), The B-1A and B-2A certificates pass through rates are
based on the net WAC minus a spread and the B3, B-4, B-5, and B-6
certificates are based on the net WAC.
KEY RATING DRIVERS
Credit Risk of Prime Credit Quality (Positive)
RMBS transactions are directly affected by the performance of the
underlying residential mortgages or mortgage-related assets. Fitch
analyzes loan-level attributes and macroeconomic factors to assess
the credit risk and expected losses.
The pool consists of fixed-rate, first lien residential mortgage
loans with original terms to maturity of up to 30 years, and 63.4%
of the loans are purchases, over 90% of the loans are single
family/PUDs, and 100% of the loans are owner occupied or second
homes. The majority of the loans roughly 24% are located in
California.
The loans are seasoned at an average of two months. The pool has a
weighted average (WA) original FICO score of 773, indicative of
very high credit-quality borrowers. The original WA combined
loan-to-value ratio (cLTV) of 73.7%, as determined by Fitch,
translates to a sustainable loan-to-value ratio (sLTV) of 81.4%.
The borrower DTI is 34.1% and the weighted average liquid reserve
amount is $688,460.50.
This transaction has a final probability of default (PD) of 11.52%
in the 'AAA' rating stress. Fitch's final loss severity (LS) in the
'AAAsf' rating stress is 36.23%. The expected loss in the 'AAAsf'
rating stress is 4.18%.
Structural Analysis (Mixed)
The mortgage cash flow and loss allocation in JPMMT 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 1.45% 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 1.05% 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 loans will be allocated, first, to the subordinate
bonds (starting with class B-6). Once class B-1-A is written off,
losses will be allocated to class A-9-B first, and then to the
super-senior classes pro rata once class A-9-B is written off.
This transaction has full advancing of delinquent 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 Fitch's loss projections as
derived from the asset analysis. Fitch applies its assumptions for
defaults, prepayments, delinquencies and interest rate scenarios.
The CE for all ratings 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. 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 2026-3 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 2026-3, and,
therefore, Fitch is comfortable rating to the highest possible
rating at 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 9.57%, at 'base case'. The analysis indicates some
potential rating migration, with higher MVDs for all rated classes
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all 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) as
prepared by AMC, Maxwell, Opus, Inglet Blair, and Consolidated
Analytics. The third-party due diligence described in Form 15E
focused on credit, compliance, and property value reviews. Fitch
considered this information in its analysis and, as a result, Fitch
made the following adjustment(s) to its analysis: Fitch gives a
5bps z-score reduction to the origination PD for each loan that has
a due diligence grade of "A" or "B." In this transaction 100% of
the loans had a due diligence review and all the loans reviewed
received a final grade of "A" or "B." As a result, losses were
lowered based on the due diligence results.
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool by balance. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria." AMC, Consolidated Analytics Maxwell, Opus, Inglet Blair
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. Refer to the
Third-Party Due Diligence section for more details.
Fitch also used data files that were made available 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
is considered to be comprehensive.
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 2026-4MPR: Fitch Assigns 'Bsf' Rating on Class B2 Notes
-----------------------------------------------------------------
Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage
Trust 2026-4MPR (JPMMT 2026-4MPR).
Entity/Debt Rating Prior
----------- ------ -----
JPMMT 2026-4MPR
A1 LT AAAsf New Rating AAA(EXP)sf
A1A LT AAAsf New Rating AAA(EXP)sf
A1FC LT AAAsf New Rating AAA(EXP)sf
A1LC LT AAAsf New Rating AAA(EXP)sf
A1M LT AAAsf New Rating AAA(EXP)sf
A2 LT AAsf New Rating AA(EXP)sf
A3 LT A+sf New Rating A+(EXP)sf
M1 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
XS LT NRsf New Rating NR(EXP)sf
Transaction Summary
Fitch expects to rate the residential mortgage-backed notes issued
by J.P. Morgan Mortgage Trust 2026-4MPR (JPMMT 2026-4MPR), as
indicated above. The notes are supported by 248 loans with a
scheduled balance of $333.53 million as of the cutoff date.
The pool consists of prime-quality, fixed-rate mortgages originated
mainly by United Wholesale Mortgage, LLC and Maxex Clearing LLC.
The loan-level representations and warranties (R&Ws) are provided
by the various sellers and originators.
The loans will be serviced by Shellpoint (interim 49.51%), UWM
(45.44%, Cenlar subservices for UWM), PLS/PennyMac (2.63%), Selene
(2.42%), JPMCB (owns MSRs on Shellpoint-serviced). After the
servicing transfer date, all mortgage loans in the pool serviced by
Shellpoint will be serviced by JPMCB. Rocket Mortgage LLC is the
master servicer.
The collateral quality of the pool is extremely strong, with a
large percentage of loans over $1.0 million.
Of the loans, 95.9% qualify as safe-harbor qualified mortgage
(SHQM), average prime offer rate (APOR) loans and 4.1% are
rebuttable presumption QM.
The senior notes have coupons that are fixed rate and capped at the
net weighted average coupon (WAC) (the coupon steps up by 1% on and
after June 2030). The M-1 class has an interest rate that is fixed
rate and capped at the net WAC. The B-1. B-2, and B-3 classes have
an interest rate that is based on the net WAC.
KEY RATING DRIVERS
Credit Risk of Prime Credit Quality (Positive): RMBS transactions
are directly affected by the performance of the underlying
residential mortgages or mortgage-related assets. Fitch analyzes
loan-level attributes and macroeconomic factors to assess the
credit risk and expected losses.
The pool consists of fixed-rate, first lien residential mortgage
loans with original terms to maturity of up to 30 years, and 72.5%
of the loans are purchases, over 90% of the loans are single
family/PUDs, and 100% of the loans are owner occupied or second
homes. The majority of the loans, roughly 29%, are located in
California.
The loans are seasoned at an average of six months. The pool has a
weighted average (WA) original FICO score of 759, indicative of
very high credit-quality borrowers. The original WA combined
loan-to-value ratio (cLTV) of 77.2%, as determined by Fitch,
translates to a sustainable loan-to-value ratio (sLTV) of 83.6%.
The weighted average debt-to-income (DTI) ratio is 39.3% and the
weighted average liquid reserve amount is $381,118.98.
This transaction has a final probability of default (PD) of 15.75%
in the 'AAA' rating stress. Fitch's final loss severity (LS) in the
'AAAsf' rating stress is 35.90%. The expected loss in the 'AAAsf'
rating stress is 5.65%.
Structural Analysis (Mixed): The transaction has a modified
pro-rata structure with full advancing of delinquent P&I.
The structure distributes collected principal pro rata among the
class A notes while excluding subordinate bonds from principal
until classes A-1A, A-1FC, A-1LC, A-1M, A-2 and A-3 are reduced to
zero. If either a cumulative loss trigger event or delinquency
trigger event occurs in a given period, principal will be
distributed sequentially to classes first to the A-1A, A-1FC,
A-1LC, and A-1M and then A-2 and A-3 until they are reduced to
zero.
Like other modified pro-rata 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 features are supportive of
timely interest being paid to the 'AAAsf' rated classes.
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. This step-up feature will occur on or
after the distribution date in June 2030 if the transaction is
still outstanding.
To mitigate the impact of the step-up feature, interest payments
are redirected from class B-3 to pay any cap carryover interest for
the A-1A, A-1FC, A-1LC, A-1M, A-2, and A-3 classes on and after
June 2030. Specifically, on any distribution date occurring on or
after the distribution date in June 2030 on which the aggregate
unpaid cap carryover amount for class A notes is greater than zero,
payments to the cap 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 class A-1A, A-1FC, A-1LC and A-1M
notes being paid timely interest at the step-up coupon rate under
Fitch's stresses, and classes A-2 and A-3 and M-1 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.
In addition to subordination, the transaction has excess spread
that will be available to reimburse the notes for losses or
interest shortfalls. The excess spread may be reduced on and after
June 2030, since classes A-1A, A-1FC, A-1LC, A-1M, A-2, and A-3
have a step-up coupon feature that goes into effect on that
distribution date.
The transaction is structured to full advancing until deemed
non-recoverable for delinquent principal and interest (P&I). This
increases the loss severity as the servicer will need to be
reimbursed for the advances, but upside is that it provides
liquidity to the structure as there is less need to rely on
principal to pay interest.
Losses are allocated reverse sequentially starting with B-3. Once
the B classes and M class are written off, losses will be allocated
to the A classes with A-3 class taking the losses first followed by
the A-2 class taking the losses once the A-3 is written off. Once
the A-2 class is written off, losses will be allocated to the A-1M
class and once the A-1M class is written off, losses will be
allocated pro rata to A-1A, A-1FC, and A-1LC classes.
Operational Risk Analysis (Positive): Fitch considers originator
and servicer capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100% of the loans in the transaction by loan count.
Fitch applies a 5-bp z-score reduction for loans fully reviewed by
the 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 2026-4MPR 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 2026-4MPR, and, therefore, Fitch is comfortable rating to
the highest possible rating at 'AAAsf' without any rating caps.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analysis was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.
This defined negative rating sensitivity analysis demonstrates how
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 9.57%, at 'base case'. The analysis indicates some
potential rating migration, with higher MVDs for all rated classes
compared with the model projection. Specifically, a 10% additional
decline in home prices would lower all rated classes by one full
category.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analysis was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.
This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all 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) as
prepared by AMC, Maxwell, Opus, Inglet Blair, and Consolidated
Analytics. The third-party due diligence described in Form 15E
focused on credit, compliance, and property value reviews. Fitch
considered this information in its analysis and, as a result, Fitch
made the following adjustment to its analysis: Fitch gives a 5bps
z-score reduction to the origination PD for each loan that has a
due diligence grade of "A" or "B." In this transaction, 100% of the
loans had a due diligence review and all the loans reviewed
received a final grade of "A" or "B". As a result, losses were
lowered based on the due diligence results
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review
performed on 100% of the pool by balance. The third-party due
diligence was generally consistent with Fitch's "U.S. RMBS Rating
Criteria." AMC was engaged to perform the review. Loans reviewed
under this engagement were given compliance, credit and valuation
grades and assigned initial grades for each subcategory. Minimal
exceptions and waivers were noted in the due diligence reports.
Fitch also used data files that were made available 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
are considered to be comprehensive.
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-NQM3: DBRS Finalizes B(low) Rating on Class B-2 Cert
-------------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalizes its provisional credit
ratings on the Mortgage Pass-Through Certificates, Series 2026-NQM3
(the Certificates) to be issued by J.P. Morgan Mortgage Trust
2026-NQM3 (the Issuer) as follows:
-- $342.9 million Class A-1A at AAA (sf)
-- $52.0 million Class A-1B at AAA (sf)
-- $394.9 million Class A-1 at AAA (sf)
-- $51.5 million Class A-2 at AA (low) (sf)
-- $34.9 million Class A-3 at A (low) (sf)
-- $11.7 million Class M-1 at BBB (low) (sf)
-- $13.5 million Class B-1 at BB (low) (sf)
-- $7.5 million Class B-2 at B (low) (sf)
Morningstar DBRS discontinued and withdrew its provisional credit
ratings on Classes A-1FCF and A-1LCF initially contemplated in the
offering documents, as they were not issued at closing.
Class A-1 is an exchangeable certificate while Classes A-1A and
A-1B are the depositable certificates. These classes can be
exchanged in combinations as specified in the offering documents.
The AAA (sf) credit ratings on the Certificates reflect 24.10% of
credit enhancement provided by the subordinated Certificates. The
AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) credit ratings reflect 14.20%, 7.50%, 5.25%, 2.65% and
1.20% of credit enhancement, respectively.
Other than the specified classes above, Morningstar DBRS does not
rate any other classes in this transaction.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and non-prime first-lien residential
mortgages funded by the issuance of the Mortgage Pass-Through
Certificates, Series 2026-NQM3. The Certificates are backed by
1,411 loans with a total principal balance of approximately
$520,350,413 as of the Cut-Off Date (May 1, 2026).The pool is, on
average, four months seasoned with loan ages ranging from one to
twenty-three months. Approximately 22.7% of the Mortgage Loans by
balance were originated by United Wholesale Mortgage, LLC (UWM),
17.8% of the loans were originated by Cake Mortgage Corp. and 15.5%
of the loans were originated by Constructive Loans, LLC. The
Mortgage Loan Seller acquired approximately 12.0% from MAXEX
Clearing LLC ("MAXEX"). All the other originators individually
comprised less than 20% of the overall mortgage loans.
NewRez LLC, formerly known as New Penn Financial, LLC, doing
business as (dba) Shellpoint will service approximately 90.5% of
the loans, Selene Finance LP will service 5.3% of the loans, United
Wholesale Mortgage, LLC, will service 4.2% of the loans, and Fay
Servicing, LLC, will service 0.1% of the loans. 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, 25.6% of the loans by balance are
designated as non-QM. Approximately 63.6% 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 10.6%
of the pool are designated as QM Safe Harbor, and 0.2% are QM
Rebuttable Presumption (by unpaid principal balance (UPB)).
Servicers will generally advance delinquent principal and interest
on the mortgage loans for four months. Each servicer is obligated
to make advances in respect of taxes and insurance, the cost of
preservation, restoration, and protection of mortgaged properties
and any enforcement or judicial proceedings, including foreclosures
and reasonable costs and expenses incurred in the course of
servicing and disposing of properties until otherwise deemed
unrecoverable.
The Retaining Sponsor will retain an eligible horizontal residual
interest in the transaction in the required amount of no less than
5.0% of the aggregate fair value of the Certificates (other than
the Class A-R Certificates) consisting of a portion of the Class
B-2, Class B-3, and Class XS Certificates to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
On any date following the date on which the aggregate UPB of the
mortgage loans is less than or equal to 10% of the Cut-Off Date
balance, the Optional Clean-Up Call Holder will have the option to
terminate the transaction by directing the master servicer to
purchase all of the mortgage loans and any real estate owned (REO)
property from the Issuer at a price equal to the sum of the
aggregate UPB of the mortgage loans (other than any REO property)
plus accrued interest thereon, the lesser of the fair market value
of any REO property and the stated principal balance of the related
loan, and any outstanding and unreimbursed servicing advances,
accrued and unpaid fees, any non-interest-bearing deferred amounts,
and expenses that are payable or reimbursable to the transaction
parties.
The holder of the Trust Certificates may, at its option, on any
Distribution Date on or after the date that is the earlier of (i)
three years after the Closing Date or 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 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-1A, A-1B, A-2, and A-3 Certificates coupon
rates step up by 100 basis points on and after the payment date in
June 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-1A, A-1B, A-2, and A-3 Certificates Cap Carryover
Amounts after the Class A coupons step up.
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-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 (June 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.
JPMCC MORTGAGE 2019-BROOK: Fitch Affirms 'CCCsf' Rating on F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed all seven classes of JPMCC Mortgage
Securities Trust 2019-BROOK commercial mortgage pass-through
certificates (JPMCC 2019-BROOK). The Rating Outlooks remain
Negative.
Entity/Debt Rating Prior
----------- ------ -----
JPMCC 2019-BROOK
A 46591JAA4 LT AAAsf Affirmed AAAsf
B 46591JAG1 LT AA-sf Affirmed AA-sf
C 46591JAJ5 LT A-sf Affirmed A-sf
D 46591JAL0 LT BB-sf Affirmed BB-sf
E 46591JAN6 LT B-sf Affirmed B-sf
F 46591JAQ9 LT CCCsf Affirmed CCCsf
X-EXT 46591JAE6 LT BB-sf Affirmed BB-sf
KEY RATING DRIVERS
Specially Serviced Loan; Stable Asset Valuations: The affirmation
of classes A, B, C, D, E and X-EXT reflect portfolio performance
and valuations that are in line with Fitch's expectations from the
prior rating action. The servicer continues to evaluate requests to
liquidate individual properties to pay down the senior loan while
allowing the borrower to pursue active leasing across the
portfolio. The loan transferred to special servicing in September
2023 due to maturity default. The special servicer and borrower are
in ongoing discussions regarding potential resolutions.
Fitch's analysis reflects a stress to the most recently reported
asset appraisal values which were used to calculate an implied
Fitch net cash flow (NCF) of $21.7 million and applied a stressed
cap rate of 9.5%. The cap rate selection is consistent with the
prior rating action and is up from 8.5% at issuance to reflect
lower asset quality, declining portfolio performance, deteriorating
market conditions and the office sector outlook. The 2025 appraisal
weighted average cap rate was 8.76% based on the loan's current
balance. Fitch also considered a sensitivity analysis which
considered de-levering from potential property releases.
The Negative Outlook on class A reflects the potential for interest
shortfalls. Given the servicer's pursuit of receivership, if the
loan becomes delinquent and the master servicer does not advance
the full interest due, class A could experience a shortfall.
Classes that experience an interest shortfall cannot be rated
higher than 'AA+sf'.
The Negative Outlooks on classes B, C, D, E and X-EXT reflect the
potential for downgrades given the increasing portfolio
concentration, adverse selection concerns, and potential value
declines prior to property sales if portfolio performance or market
conditions remain weak and/or the loan's workout is prolonged.
Property Releases: Since issuance, eight assets, including six
office and two industrial properties, have been released, resulting
in paydowns to the transaction totaling $109.4 million (28.6% of
the original loan balance). In July 2025, the original mezzanine
lender stated it would no longer consent to property releases
without receiving a prorated share of liquidation proceeds. After
negotiations, the mezzanine position was repaid at a discount in
February 2026 allowing for the release of properties that are
pending sale. The servicer has indicated plans to release four
properties by May 2026.
Declining Portfolio Performance: The current portfolio occupancy
for the remaining 20 properties has declined to 71.2% as of the
December 2025 rent roll, down from 73.3% in March 2024 and 75.7% in
June 2023. The portfolio's submarket conditions remain challenged,
and according to Costar as of 1Q26, the average vacancy rate across
the portfolio was 13.8%, ranging between 4.2% and 30.8%.
Upcoming portfolio rollover consists of approximately 8.5% in 2026,
14% in 2027 and 11.5% in 2028. NOI as of the TTM September 2025
reporting period was $23.6 million, down from $31.7MM at YE 2023
following the release of several properties. The total operating
expense ratio was 56% as of September, in line with 53% at YE 2023,
while expense reimbursements were considerably lower. Fitch
requested the tenant reimbursement schedule but did not receive the
information.
Increasing Concentration and Adverse Selection: The loan is
currently secured by 20 class B suburban office properties totaling
2.9 million sf and located in five states, including Pennsylvania
(11 properties; 44.6% of current total NRA), Texas (four
properties; 27.6%), Florida (two properties; 13.6%), California
(two properties; 8.6%) and Rhode Island (one property; 8.5%). The
portfolio consists of approximately 400 unique tenants. The largest
tenant is approximately 3.3% of the portfolio NRA.
Fitch Leverage: The $273.1 million mortgage loan has a
Fitch-stressed DSCR and LTV of 0.63x and 143.5%, respectively, and
trust debt of $95 psf.
Floating Rate Loan: The loan is a three-year, floating-rate,
interest-only mortgage with two one-year extension options. The
loan initially matured in September 2022 and the borrower exercised
its first extension option to September 2023. The loan defaulted in
September 2023. The loan's current interest rate is uncapped at
approximately 12%.
Sponsorship: The sponsor, Brookwood, acquired the portfolio between
2007 and 2016 for a total purchase price of $430 million.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- Interest shortfalls to the 'AAAsf' rated class;
- Lack of progress on workout including additional property sales;
- Continued decline in portfolio occupancy and/or submarket
fundamentals;
- Sustained deterioration in property values;
- Adverse selection alongside continued performance deterioration
as properties are released.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- Sustained increase in portfolio occupancy and cash flow;
- Increased CE from additional property releases;
- Greater clarity on the workout and resolution of the loan,
including better-than-expected recoveries.
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.
JPMDB COMMERCIAL 2017-C7: Fitch Lowers Rating on F-RR Debt to 'Csf'
-------------------------------------------------------------------
Fitch Ratings has downgraded four classes and affirmed eight
classes of JPMDB Commercial Mortgage Securities Trust 2017-C7
(JPMDB 2017-C7). Following their affirmations, the Rating Outlooks
for classes X-A, X-B, A-S, B and C remain Negative while classes
A-4, A-5 and A-SB remain Stable.
Entity/Debt Rating Prior
----------- ------ -----
JPMDB 2017-C7
A-4 46648KAT3 LT AAAsf Affirmed AAAsf
A-5 46648KAU0 LT AAAsf Affirmed AAAsf
A-S 46648KAY2 LT AAAsf Affirmed AAAsf
A-SB 46648KAV8 LT AAAsf Affirmed AAAsf
B 46648KAZ9 LT A-sf Affirmed A-sf
C 46648KBA3 LT BBsf Affirmed BBsf
D 46648KAC0 LT CCCsf Downgrade B-sf
E-RR 46648KAE6 LT CCsf Downgrade CCCsf
F-RR 46648KAG1 LT Csf Downgrade CCsf
X-A 46648KAW6 LT AAAsf Affirmed AAAsf
X-B 46648KAX4 LT A-sf Affirmed A-sf
X-D 46648KAA4 LT CCCsf Downgrade B-sf
KEY RATING DRIVERS
Performance and 'B' Loss Expectations; Near-Term Maturity
Concentration
Deal-level 'Bsf' ratings case are 7.1% based on the outstanding
balance compared to 9.2% at the prior rating action. Based on the
original pool balance and including realized losses, deal-level
'Bsf' rating case loss expectations are 7.1% compared to 7.7% at
the prior rating action. Fitch Loans of Concern (FLOCs) comprise
nine loans (31.1%) including two loans in special servicing
(10.2%). All the remaining loans in the pool are scheduled to
mature in 2027.
The downgrades reflect higher-than-expected realized losses on the
former REO Preston Plaza asset, elevated expected losses driven
primarily by FLOCs in special servicing, and higher certainty of
losses given refinance risk associated with additional FLOCs. These
include loans with high expected losses including the specially
serviced First Stamford Place (6.2%) and Starwood Capital Group
Hotel Portfolio (4.0%), as well as increased loss expectations for
Lightstone Portfolio (2.6%). Since Fitch's prior rating action, the
specially serviced REO Preston Plaza loan has been disposed of,
resulting in a total realized loss of approximately $16.3 million,
compared with prior expected losses of approximately $10.2
million.
The Negative Outlooks reflect the potential for further downgrades
if certain loans are unable to refinance at maturity and/or
recovery expectations deteriorate. These include additional FLOCs
Walgreens Witkoff Portfolio (3.5%) and Capital Centers II & III
(2.6%).
Due to the near-term loan maturities and concerns with increasing
pool concentration and adverse selection, Fitch performed a
recovery and liquidation analysis that grouped the remaining loans
based on their current status and collateral quality and ranked
them by their perceived likelihood of repayment and/or loss
expectation. This analysis contributed to the rating actions and
the Negative Outlooks. Higher probabilities of default were
assigned to loans that are anticipated to default at maturity or
have already defaulted due to performance declines and/or rollover
concerns.
Largest Contributors to Loss
The largest overall contributor to losses is First Stamford Place
(6.2%), which is a three-building suburban office property totaling
810,471 sf located in Stamford, CT. The asset transferred to
special servicing in December 2023 and became REO in March 2025.
Leasing efforts and parking garage repairs are ongoing, and the
special servicer anticipates a disposition in early 2027.
Occupancy remains below issuance levels and cash flow has weakened
substantially despite some leasing progress. Per servicer
commentary, the property was 76% occupied as of May 2026, compared
with 77.2% at YE 2025, 78.9% at YE 2024, and 74.6% at YE 2023, and
below issuance occupancy of 91%. As of YE 2024, NOI was 47% below
the originator's expectations from issuance. The property continues
to face challenges in the submarket. As per CoStar, the 2Q26
Stamford office submarket reported high vacancy and availability
rates of 20.8% and 18.2%, respectively. In-place rents of $49.12
psf are also above the market average of $34.03 psf, suggesting
potential mark-to-market pressure on rollover.
Fitch's 'Bsf' rating case loss of 42.5% (prior to concentration
adjustments) reflects a discount to a recent appraisal value,
reflecting a recovery value of $119 psf. The elevated loss
expectation reflects the REO status, sustained cash flow erosion,
above-market in-place rents, and continued leasing risk in a
challenged office environment.
The second largest contributor to losses is the Starwood Capital
Hotel Portfolio loan (4.0%). The loan is secured by a portfolio of
40 hotels totaling 4,043 keys located across 14 states, down from
65 hotels totaling 6,367 keys at issuance. The loan transferred to
special servicing in February 2025 for imminent default, and a
modification agreement was executed in September 2025 to facilitate
the expedited sale of underperforming assets and revise certain
release provisions, cash management terms, and other provisions to
support operations at the remaining portfolio. The loan is paid
through May 2026. As of May 2026, 25 collateral assets had been
released for cumulative paydown of $148.72 million, representing a
25.8% paydown after fees.
Portfolio performance continues to underperform issuance
expectations with YE 2024 NOI 50% below the originator's
underwritten NOI from issuance. YE 2024 NOI DSCR declined to 1.36x
from 1.72x at YE 2023 and remains below pre-pandemic performance of
2.73x as of YE 2019.
Fitch's 'Bsf' rating case loss of 15.8% (prior to concentration
add-ons) reflects a 10.0% stress to the April 2025 appraisal value,
adjusted for released properties. The lower loss expectation
relative to the prior review reflects meaningful collateral
reduction and paydown from asset sales. However, loss expectations
remain elevated relative to issuance due to the specially serviced
status, full-term interest-only structure, maturity default risk,
and portfolio cash flow that remains substantially below issuance
levels.
The largest increase in loss expectations since Fitch's prior
review is the Lightstone Portfolio (2.6%). The loan is secured by a
778-key hotel portfolio consisting of seven cross-collateralized
hotels operating under six different flags across three states and
matures in August 2027.
The loan was previously transferred to special servicing in May
2020 due to payment default and entered into a forbearance
agreement for lender remedies before returning to the master
servicer in August 2022. Since returning from special servicing,
financial performance has deteriorated with NOI DSCR of 0.94x as of
Sept. 30, 2025, compared to 1.19x at YE 2024, 0.90x YE 2023 and
3.79x at YE 2022.
Fitch's 'Bsf' rating case loss of 19.3% (prior to concentration
add-ons) reflects a 25% stress to the 2024 NOI with an 11.50% cap
rate, reflecting the refinance risk and concerns with a potential
maturity default.
Fitch is also monitoring the performance of Walgreens Witkoff
Portfolio (3.5%) and Capital Centers II & III (2.6%) given
performance declines and refinance concerns. Walgreens Witkoff
Portfolio is secured by seven single-tenant Walgreens stores in the
northeastern U.S. and is being monitored due to store closure risk
within the portfolio, as two locations are dark, representing
deterioration in portfolio quality and increasing vacancy risk.
Capital Centers II & III is secured by two suburban office
properties in Rancho Cordova, California, and is being monitored
due to below-issuance occupancy and elevated near-term rollover,
which could pressure cash flow if leasing activity does not
improve. The properties also continue to underperform relative to
submarket and MSA occupancy averages, indicating ongoing leasing
challenges.
Changes in Credit Enhancement
As of the May 2026 distribution date, the aggregate balance of the
JPMDB 2017-C7 transaction has been paid down by 20.6% since
issuance.
The transaction has seven loans (18.1%) that are fully defeased.
Cumulative interest shortfalls of $528,696 are affecting the
non-rated class G-RR and $14,947 is affecting the VRR class.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Downgrades to senior 'AAAsf' rated classes are not expected given
the high credit enhancement (CE) and expected paydown from
amortization and loan payoffs. Downgrades to the junior 'AAAsf'
rated classes with Negative Outlooks are possible with continued
performance deterioration of the FLOCs, increased expected losses
and limited to no improvement in class CE, or if interest
shortfalls occur or are expected to occur.
Downgrades to classes rated in the 'Asf' categories, which have
Negative Outlooks, may occur should performance of the FLOCs, which
including First Stamford Place (6.2%), Starwood Capital Group Hotel
Portfolio (4.0%), Lightstone Portfolio (2.6%), Walgreens Witkoff
Portfolio (3.5%) and Capital Centers II & III (2.6%) deteriorate
further or more loans than expected default at or prior to
maturity.
Downgrades to the 'BBsf' and 'Bsf' categories are likely with
higher-than-expected losses from continued underperformance of the
FLOCs, particularly the aforementioned loans with deteriorating
performance and with greater certainty of losses on the specially
serviced loans or other FLOCs.
Downgrades to distressed ratings would occur should additional
loans transfer to special servicing or default, as losses are
realized or become more certain.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrades to classes rated in the 'Asf' category may be possible
with significantly increased CE from paydowns and/or defeasance,
coupled with stable to improved pool-level loss expectations and
improved performance on the FLOCs.
Upgrades to the 'BBsf' category rated classes would be limited
based on sensitivity to concentrations or the potential for future
concentration.
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.
KEYCORP STUDENT 2006-A: Moody's Lowers Rating on 2 Tranches to Ba2
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings of two classes of notes
issued by KeyCorp Student loan Trust 2005-A and downgraded the
ratings of two classes of notes issued by KeyCorp Student Loan
Trust 2006-A. The underlying collateral for these transactions
include loans originated under the Federal Family Education Loan
Program (FFELP) and private student loans (PSLs). The FFELP and the
PSLs collateral is separated into group I and group II,
respectively, with each group collateralizing its own set of notes
with independent reserve accounts and payment waterfalls. The
residual cash flow in each group can be used to cover any payment
shortfalls in the other group.
The complete rating actions are as follows:
Issuer: KeyCorp Student Loan Trust 2005-A
Class I-B, Upgraded to Aa1 (sf); previously on Feb 14, 2025
Downgraded to A1 (sf)
Class II-C, Upgraded to Aaa (sf); previously on Dec 12, 2024
Upgraded to Aa1 (sf)
Issuer: KeyCorp Student Loan Trust 2006-A
Class I-A-2, Downgraded to Ba2 (sf); previously on Dec 12, 2025
Downgraded to Ba1 (sf)
Class I-B, Downgraded to Ba2 (sf); previously on Dec 12, 2025
Downgraded to Baa3 (sf)
A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.
RATINGS RATIONALE
The Class I-B for KeyCorp Student Loan Trust 2005-A, Class I-B and
Class I-A-2 for KeyCorp Student Loan Trust 2006-A are backed by
FFELP student loans (group I). FFELP student loans backing the
securitizations are guaranteed by the US Department of Education
for a minimum of 97% of defaulted principal and accrued interest.
The actions reflect updated performance of the transaction and
updated expected loss on the bonds across Moody's cash flow
scenarios. Moody's quantitative analysis derives the expected loss
of the bond using 28 cash flow scenarios with weights accorded to
each scenario.
The upgrade of Class I-B for KeyCorp Student Loan Trust 2005-A
reflects improved collateral performance and the increased
likelihood that the bonds will pay ahead of their legal final
maturity. The downgrades of Class I-B and Class I-A-2 for KeyCorp
Student Loan Trust 2006-A, are a result of Moody's analysis
indicating that the bonds will not pay off by final maturity date
in some of Moody's cash flow scenarios, thus causing the bonds to
incur expected losses that are higher than the expected loss
benchmarks set in Moody's idealized loss tables for the current
ratings.
The actions include an upgrade to the rating of Class II-C from
KeyCorp Student Loan Trust 2005-A. This tranche is backed by
private student loans (group II), which do not benefit from the US
government guarantee. The upgrade action on Class II-C is primarily
driven by a continued build-up in overcollateralization as a result
of the transaction structure that allows use of all available
excess spread to pay down the group II tranches (the transaction is
in full turbo mode).
Moody's expected lifetime default as a percentage of original pool
balance is 23.10% for KeyCorp 2005-A and 26.15% for KeyCorp 2006-A
for the underlying PSL pools.
Moody's did not give credit to cross-collateralization releases
from the PSL and FFELP collaterals because the payment priority
waterfalls for the transactions are currently directing all excess
spread to pay noteholders, and releases are only generated once all
notes from each respective group are paid in full. Additionally,
the transaction documents do not include provisions that would
prevent the FFELP or PSL collateral from being released from the
trusts once their respective notes are no longer outstanding.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
PRINCIPAL METHODOLOGY
The principal methodologies used in rating all tranches except
Class II-C for KeyCorp Student Loan Trust 2005-A were "FFELP
Student Loan Securitizations" published in June 2025.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Because the DOE guarantees at least 97% of principal and accrued
interest on defaulted loans, Moody's could upgrade the rating of
the FFELP bonds if Moody's were to upgrade the rating on the United
States government. Moody's could upgrade the ratings if the paydown
speed of the loan pool increases as a result of declining borrower
usage of deferment, forbearance and IBR, increasing voluntary
prepayment rates, or prepayments with proceeds from sponsor
repurchases of student loan collateral. Moody's could also upgrade
the ratings owing to a build-up in credit enhancement. Moody's
could upgrade the ratings of the PSL bonds if, given Moody's
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings.
Down
Moody's could downgrade the rating of the FFELP bonds if Moody's
were to downgrade the rating on the United States government.
Further, Moody's could downgrade the ratings if the paydown speed
of the loan pool declines as a result of lower than expected
voluntary prepayments, and higher than expected deferment,
forbearance and IBR rates, which would threaten full repayment of
the class by its final maturity date. Moody's could also downgrade
the ratings owing to a reduction in credit enhancement. Moody's
could downgrade the ratings of the PSL bonds if net losses are
higher than Moody's expectations, or if the servicer's financial
stability or quality of servicing deteriorates. Other reasons for
worse-than-expected performance include error on the part of
transaction parties, inadequate transaction governance, and fraud.
KRR CLO 29: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO
29 Ltd. reset transaction.
Entity/Debt Rating
----------- ------
KKR CLO 29 Ltd.
X-RR LT AAAsf New Rating
A-LRR LT NRsf New Rating
A-1RR LT NRsf New Rating
A-2RR LT AAAsf New Rating
B-RR LT AAsf New Rating
C-RR LT Asf New Rating
D-1RR LT BBB-sf New Rating
D-2RR LT BBB-sf New Rating
E-RR LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
KKR CLO 29 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by KKR
Financial Advisors II, LLC. The transaction originally closed in
February 2021 and was refinanced in May 2024. On June 5, 2026, all
existing secured notes will be redeemed in full using net proceeds
from the issuance of the new secured notes and subordinated notes.
The transaction will finance 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 22.75 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 95.34% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.29% 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 11.5% 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-RR, between 'A-sf' and 'AA+sf' for
class A-2RR, between 'BBBsf' and 'A+sf' for class B-RR, between
'BB-sf' and 'A-sf' for class C-RR, between less than 'B-sf' and
'BBB-sf' for class D-1RR, between less than 'B-sf' and 'BB+sf' for
class D-2RR, and between less than 'B-sf' and 'B+sf' for class
E-RR.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-RR and A-2RR
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-RR, 'AA-sf' for class C-RR,
'A-sf' for class D-1RR, 'BBB+sf' for class D-2RR, and 'BBB+sf' for
class E-RR.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for KKR CLO 29 Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
LENDINGCLUB RATED 2025-P1: Fitch Affirms Bsf Rating on Cl. F Notes
------------------------------------------------------------------
Fitch Ratings has taken the following rating actions on LendingClub
Rated Notes Issuer Trust, series 2025-P1 (LENDR 2025-P1).
Entity/Debt Rating Prior
----------- ------ -----
LendingClub Rated
Notes Issuer Trust,
Series 2025-P1
A 525943AA4 LT AAAsf Upgrade AA+sf
B 525943AB2 LT AAsf Upgrade AA-sf
C 525943AC0 LT Asf Upgrade A-sf
D 525943AD8 LT BBB+sf Upgrade BBBsf
E 525943AE6 LT BBsf Affirmed BBsf
F 525943AF3 LT Bsf Affirmed Bsf
Transaction Summary
The LENDR 2025-P1 trust is backed by a static pool of unsecured
consumer loans originated by LendingClub. Fitch reviewed current
delinquencies and defaults to date and compared them to initial
expectations. Fitch assigned a 11.79% base case gross default
assumption as a percent of outstanding loan balance, which is
equivalent to 8.57% as a percent of initial loan balance. The base
case gross default assumption is lower than the initial 10.80%
assigned at issuance which is based on the transaction performing
better than Fitch's initial expectations. LENDR 2025-P1 benefits
from credit enhancement (CE) that has increased since closing due
to the structure's overcollateralization (OC) target feature.
The target OC amount is equal to the greater of 12.0% of the
outstanding adjusted pool balance and 3.0% of the initial adjusted
pool balance. Fitch upgraded the class A through D notes and
assigned Stable Rating Outlooks. Fitch affirmed the class E and F
notes and the Outlooks remain Stable. All notes pass Fitch's
modeling at the requisite rating levels under the current
respective rating-level assumptions.
KEY RATING DRIVERS
Solid Receivable Quality: The LENDR 2025-P1 pool consists of 100%
prime loans. At issuance, the pool had a weighted average (WA) FICO
score of 722.4 and 27.85% of the borrowers in the pool had a FICO
below 700. As of the May 2026 distribution date the WA interest
rate of the pool is 12.43%, and the pool has a WA remaining term of
39.26 months.
Stabilizing Default Rate Trends: LendingClub's approved default
rates for future prime loan originations that collateralize the
capital structure began to rise in 2021 vintages and increased
notably in 2022 vintages. The trend continued in 1H23. However,
after the company began corrective measures, including lower
originations in high-risk grades, the 2024 vintage showed improved
performance.
Fitch's WA base case default assumption (the default assumption)
for LENDR 2025-P1 is 11.79% as a percent of the remaining loan
balance. The default assumption was established based on data
stratified by LendingClub's proprietary risk grade and loan term.
In setting the expected case default assumption, Fitch considered
performance trends from vintage year 2021 and recognized the
improving default curves in vintage year 2023 which have continued
into 2024. The WA base case default assumption reflects the
transaction performance within Fitch's initial expectations.
Credit Enhancement Mitigates Stressed Losses: LENDR 2025-P1 has an
overcollateralization target structure that contributes to the CE
build-up of the notes. Although the transaction does not have a
reserve account, initial CE is sufficient to cover Fitch's stressed
cash flow assumptions for all classes. As of the May 2026
distribution date, class A CE is 53.91%, up from 33.37% at
issuance; class B CE is 47.05%, up from 28.83% at issuance; class C
CE is 31.98%, up from 18.85% at issuance; class D CE is 25.86%, up
from 14.79% at issuance; class E CE is 13.93%, up from 6.89% at
issuance, and class F CE is 9.83%, up from 4.18% at issuance.
At issuance, Fitch also applied a stress multiple of 4.25x at the
'AAAsf' rating level. Fitch maintained this stress multiple.
Adequate Servicing Capabilities: LendingClub has a strong track
record of servicing consumer loans since launching its online
lending marketplace platform in 2007. LendingClub performs
pre-chargeoff loan servicing activities in-house, along with
outsourcing post-chargeoff activities to third parties. The bank is
the lead servicer on all of its securitization transactions. The
trust has assigned CardWorks Servicing, LLC as the back-up
servicer.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
Fitch conducts sensitivity analysis by stressing a transaction's
initial base case default assumption an additional 10%, 25%, and
50% and examining rating implications. These increases of the base
case default rate are intended to provide an indication of the
rating sensitivity of the notes to unexpected deterioration of a
trust's performance.
During the sensitivity analysis, Fitch examines the magnitude of
the multiplier compression by projecting the expected cash flow and
loss coverage levels over the life of the investments under higher
than initial base case default assumptions. Fitch models cash flow
with the revised default estimates while holding constant all other
modeling assumptions.
Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBsf'/'Bsf'.
Base case defaults increase by 10%:
'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBsf'/'CCCsf';
Base case defaults increase by 25%:
'AA+sf/'AAsf'/'A-sf'/'BBBsf'/'BB-sf'/'NRsf';
Base case defaults increase by 50%:
'AA-sf'/'A+sf'/'BBBsf'/'BB+sf'/'CCCsf'/'NRsf';
Base case defaults increase by 10% and base case recoveries
decrease by 10%: 'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBsf'/'CCCsf';
Base case defaults increase by 25% and base case recoveries
decrease by 25%: 'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'B+sf'/NRsf';
Base case defaults increase by 50% and base case recoveries
decrease by 50%: 'AA-sf'/'Asf'/'BBBsf'/'BB+sf'/'NRsf'/'NRsf'.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Stable to improved asset performance, driven by steady
delinquencies, would increase CE levels and lead to a potential
upgrade. If defaults are 20% lower than the projected base case
default rate, the expected ratings for the class B and C notes
could be upgraded by up to one or two notches, respectively.
Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBsf'/'Bsf'.
Base case defaults decrease by 10%:
'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BB+sf'/'B-sf';
Base case defaults decrease by 25%:
'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BB+sf'/'CCCsf';
Base case defaults decrease by 50%:
'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'CCCsf'.
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.
LONG TRUST 2026-ISL: Moody's Assigns (P)B3 Rating to Cl. F Certs
----------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to six classes of
CMBS securities, to be issued by LONG Trust 2026-ISL, Commercial
Mortgage Pass-Through Certificates, Series 2026-ISL:
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba3 (sf)
Cl. F, Assigned (P)B3 (sf)
RATINGS RATIONALE
The certificates are collateralized by a single, floating rate
loan, secured by a leasehold mortgage on 14 medical and traditional
office properties located across three submarkets of Long Island,
NY (collectively, the "Portfolio"). Moody's ratings are based on
the credit quality of the loans and the strength of the
securitization structure.
Moody's approach to rating this transaction involved the
application of Moody's Large Loan and Single Asset/Single Borrower
Commercial Mortgage-backed Securitizations methodology. The rating
approach for securities backed by a single loan compares the credit
risk inherent in the underlying collateral with the credit
protection offered by the structure. The structure's credit
enhancement is quantified by the maximum deterioration in property
value that the securities are able to withstand under various
stress scenarios without causing an increase in the expected loss
for various rating levels. In assigning single borrower ratings,
Moody's also considers a range of qualitative issues as well as the
transaction's structural and legal aspects.
The Portfolio's 14 medical and traditional office properties total
1,511,878 SF and are located across three office parks in Lake
Success, Jericho, and Melville in New York State. The Lake Success
properties represent approximately 80% of the in-place rent and are
part of the Western Nassau submarket.
The Portfolio features a concentration of healthcare-oriented
tenants which account for 60.5% of the Portfolio's base rent. The
largest healthcare-oriented occupant is ProHealth (23.4% of NRA,
31.7% of base rent; subsidiary of UnitedHealth Group Incorporated;
A2, senior unsecured). The second largest tenant, Newsday LLC,
represents only 8.6% of NRA and 7.9% of in-place base rent. No
other tenant occupants represent more than 4.0% of NRA or 4.9% of
base rent
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 Actual DSCR is 1.02x and Moody's Stressed DSCR of
0.79x. Moody's DSCR is based on Moody's stabilized net cash flow.
The trust loan balance of $280,000,000 represents a Moody's LTV
ratio of 134%. Moody's did not adjust Moody's MLTV in consideration
of the prevailing interest rate environment.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and consider those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The portfolio's
average property quality grade is 2.19.
Notable strengths of the transaction include:
(i) Location and accessibility: The properties are located across
three office parks in Lake Success, Jericho, and Melville in New
York State. Access to the properties is considered strong as they
are just off the Long Island Expressway (I-495). Additionally, the
Long Island Rail Road provides access from Lakes Success properties
to Grand Central Terminal and New York Penn Station in
approximately 45 minutes to one hour, respectively.
(ii) Lake Success submarket and demographics: The Lake Success
properties represent approximately 80% of the in-place rent are
part of the Western Nassau submarket and . Appraiser notes, the
Western Nassau submarket has no new construction, has a declining
vacancy trend with stable asking rents.
(iii) Multiple-property pooling: A loan secured by multiple
properties benefits from lower cash flow volatility as excess cash
flow from well performing properties can augment cash flows of poor
performing properties to meet debt service requirements.
Notable concerns of the transaction include:
(i) High MLTV: The mortgage loan has a high MLTV ratio of 134%.
(iv) Floating-rate profile: The initial two-year loan accrues
interest at one-month Term SOFR plus an estimated spread of 3.5%
subject to pricing, exposing the loan to variable debt service
payments.
(v) Early lease termination options at 6 & 8 Corporate Center
Drive: The property has two tenants that operate subject to lease
termination options.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in May 2026.
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. With respect to classes with ratings above the
applicable sovereign rating, significant exposure to defeasance may
also lead to a downgrade.
MADISON PARK LXIX: Fitch Affirms 'BB+sf' Rating on Class E Notes
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to Madison Park Funding
LXIX, Ltd. refinancing classes A-1-R, A-2-R, B-R and C-R notes.
Fitch has upgraded and assigned Stable Rating Outlooks to the class
D-1 and D-2 notes. Fitch has affirmed the class E notes with a
Stable Outlook.
Entity/Debt Rating Prior
----------- ------ -----
Madison Park
Funding LXIX, Ltd.
A-1 55822VAA9 LT PIFsf Paid In Full AAAsf
A-1-R 55822VAN1 LT AAAsf New Rating
A-2 55822VAC5 LT PIFsf Paid In Full AAAsf
A-2-R 55822VAQ4 LT AAAsf New Rating
B 55822VAE1 LT PIFsf Paid In Full AA+sf
B-R 55822VAS0 LT AA+sf New Rating
C 55822VAG6 LT PIFsf Paid In Full A+sf
C-R 55822VAU5 LT A+sf New Rating
D-1 55822VAJ0 LT BBB+sf Upgrade BBBsf
D-2 55822VAL5 LT BBBsf Upgrade BBB-sf
E 55822WAA7 LT BB+sf Affirmed BB+sf
Transaction Summary
Madison Park Funding LXIX, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) that will be managed by
UBS Asset Management (Americas) LLC. The original transaction
closed in May 2024. Classes A-1, A-2, B and C are being refinanced
with reduced coupon spreads. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $481 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 96.7%
first-lien senior secured loans and has a weighted average recovery
assumption of 72.02%. 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 37% 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 3.1-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.
FITCH ANALYSIS
The portfolio includes 401 assets from 344 primarily high yield
obligors. In Fitch's view, 0.2% of the portfolio consists of assets
that are rated 'CC' or below. The portfolio balance (excluding
defaults and including principal cash) is approximately $498.7
million. As of the latest trustee report prior to the refinance
date the transaction was not passing its Moody's Maximum Rating
Factor test. All other collateral quality tests, coverage tests and
concentration limitations were passing. The weighted average rating
of the current portfolio is 'B/B-'.
Fitch has an explicit rating, credit opinion or private rating for
99.6% of the current portfolio par balance; ratings for 0% of the
portfolio were derived using Fitch's Issuer Default Rating
equivalency map; and 0.4% were unrated. As per Fitch's criteria,
the analysis focused on the Fitch stressed portfolio (FSP) for the
refinancing notes and on the indicative portfolio for the
non-refinanced notes, if any.
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: 15.0%, 12.0%, and 10.0%, respectively;
- Assumed risk horizon: 6.09 years;
- Minimum weighted average spread of 3.16%;
- Fixed rate Assets: 5.00%;
- 'CCC' obligors as defined by Fitch's ratings: 7.5%;
- Minimum weighted average coupon of 6.02%;
- Non-first priority senior secured assets: 7.5%;
The transaction will exit its reinvestment period on 07-25-2029.
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 A-1-R: 'AAAsf' / Default 43.80% / Recovery 38.13% / Cushion
16.30%
- Class A-2-R: 'AAAsf' / Default 43.80% / Recovery 38.13% / Cushion
11.10%
- Class B-R: 'AA+sf' / Default 42.80% / Recovery 47.43% / Cushion
9.60%
- Class C-R: 'A+sf' / Default 37.80% / Recovery 57.14% / Cushion
15.40%
- Class D-1: 'BBB+sf' / Default 31.80% / Recovery 66.98% / Cushion
14.70%
- Class D-2: 'BBBsf' / Default 31.10% / Recovery 66.88% / Cushion
13.10%
- Class E: 'BB+sf' / Default 26.40% / Recovery 71.97% / Cushion
11.20%
Fitch Stress Portfolio (FSP) Model Outputs:
- Class A-1-R: 'AAAsf' / Default 50.90% / Recovery 36.67% / Cushion
7.70%
- Class A-2-R: 'AAAsf' / Default 50.90% / Recovery 36.67% / Cushion
2.90%
- Class B-R: 'AA+sf' / Default 49.50% / Recovery 45.36% / Cushion
2.50%
- Class C-R: 'A+sf' / Default 44.00% / Recovery 54.88% / Cushion
8.60%
- Class D-1: 'BBB+sf' / Default 37.80% / Recovery 64.40% / Cushion
8.70%
- Class D-2: 'BBBsf' / Default 37.00% / Recovery 64.44% / Cushion
7.90%
- Class E: 'BB+sf' / Default 31.80% / Recovery 69.48% / Cushion
6.40%
Fitch has assigned new ratings to the refinancing notes and
upgraded the ratings for the class D-1 notes, each in line with the
respective model-implied rating (MIR) and with a Stable Outlook. In
addition, Fitch upgraded the class D-2 notes to 'BBBsf' with a
Stable Outlook, one notch below the MIR of 'BBB+sf'. The
transaction's recent performance has deteriorated, and class D-2
credit enhancement is lower than the average for similar tranches
rated 'BBB+sf'. There is a significant likelihood that a rating
action based on the MIR may be reversed in the near term.
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-R, between 'Asf'
and 'AA+sf' for class A-2-R, between 'BBB+sf' and 'AA-sf' for class
B-R, between 'BBsf' and 'A+sf' for class C-R, between less than
'B-sf' and 'BBB+sf' for class D-1, and between less than 'B-sf' and
'BBB+sf' for class D-2 and between less than 'B-sf' and 'BB+sf' for
class E.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R and class
A-2-R notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1, and 'A+sf' for class D-2 and 'BBB+sf' for class E.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Wind River 2024-1
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.
MADISON PARK LXXIV: Fitch Assigns 'BB+sf' Rating on Class E Notes
-----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Madison
Park Funding LXXIV, Ltd.
Entity/Debt Rating
----------- ------
Madison Park
Funding LXXIV, Ltd.
A-1 LT NRsf New Rating
A-1-L 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 LXXIV, 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 $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.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard CLO structural
features.
Asset Security: The indicative portfolio consists of 96.7%
first-lien senior secured loans and has a weighted average recovery
assumption of 73.46%. 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 '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 'BBsf' 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 LXXIV, 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.
MADISON PARK XXXIX: S&P Affirms B- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-R2 and B-R2 debt from Madison Park Funding XXXIX Ltd./Madison
Park Funding XXXIX LLC, a CLO managed by UBS Asset Management
(Americas) LLC (as the successor in interest to Credit Suisse Asset
Management LLC) that was originally issued in October 2021 and
underwent a partial refinancing in September 2024. At the same
time, S&P withdrew its ratings on the previous class A-R and B-R
debt following payment in full on the June 11, 2026, refinancing
date. S&P also affirmed its ratings on the existing class C-R, D-R,
and E debt, which were not refinanced.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The non-call period was extended to Oct. 22, 2026.
-- No additional assets were purchased on the June 11, 2026,
refinancing date, and the target initial par amount remains
unchanged. There is no additional effective date or ramp-up period
and the first payment date following the refinancing is July 22,
2026.
-- No additional subordinated notes were issued on the refinancing
date.
S&P said, "On a standalone basis, our cash flow analysis indicated
a lower rating on the class D-R debt (which was not refinanced).
However, we affirmed our 'BBB- (sf)' rating on the class D-R debt
after considering the margin of failure, the relatively stable
overcollateralization ratio since our last rating action on the
transaction, and that the transaction will soon enter its
amortization phase. Based on the latter, we expect the credit
support available to all rated classes to increase as principal is
collected and the senior debt is paid down."
Replacement And Previous Debt Issuances
Replacement debt
-- Class A-R2, $465.0 million: Three-month CME term SOFR + 1.03%
-- Class B-R2, $105.0 million: Three-month CME term SOFR + 1.55%
Previous debt
-- Class A-R, $465.0 million: Three-month CME term SOFR + 1.25%
-- Class B-R, $105.0 million: Three-month CME term SOFR + 1.75%
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis (and other qualitative factors, as applicable)
demonstrated, in our view, that the outstanding rated classes all
have adequate credit enhancement available at the rating levels
associated with the rating actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."
Ratings Assigned
Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC
Class A-R2, $465.0 million: AAA (sf)
Class B-R2, $105.0 million: AA (sf)
Ratings Withdrawn
Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC
Class A-R to NR from 'AAA (sf)'
Class B-R to NR from 'AA (sf)'
Ratings Affirmed
Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC
Class C-R: A (sf)
Class D-R: BBB- (sf)
Class E: B- (sf)
Other Debt
Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC
Subordinated notes, $61.0 million: NR
NR--Not rated.
MAGNETITE XVII: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite
XVII, Limited reset transaction.
Entity/Debt Rating Prior
----------- ------ -----
Magnetite XVII, Limited
A-1-R3 LT NRsf New Rating
A-1L-R3 LT NRsf New Rating
A-2-R3 LT AAAsf New Rating
B-R2 55954EBA6 LT PIFsf Paid In Full AAsf
B-R3 LT AAsf New Rating
C-R2 55954EBC2 LT PIFsf Paid In Full Asf
C-R3 LT Asf New Rating
D-1-R3 LT BBB-sf New Rating
D-2-R3 LT BBB-sf New Rating
D-R2 55954EBE8 LT PIFsf Paid In Full BBB-sf
E-R2 55954GAG9 LT PIFsf Paid In Full BBsf
E-R3 LT BB-sf New Rating
Transaction Summary
Magnetite XVII, Limited (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
BlackRock Financial Management, Inc., and that originally closed in
March 2016 and had its first full refinancing in July 2018 and
second full refinancing in April 2024. This is the third
refinancing where the existing notes will be redeemed in full on
May 29, 2026. 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 23.38, 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 96.79%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.36% 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 5.2-year reinvestment
period and reinvestment criteria similar to other CLOs. Fitch's
analysis was based on a stressed portfolio created by adjusting the
indicative portfolio to reflect permissible concentration limits
and collateral quality test levels.
Cash Flow Analysis: Fitch used a customized proprietary cash flow
model to replicate the principal and interest waterfalls and assess
the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.
The weighted average life (WAL) used for the transaction stress
portfolio 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-R3, between
'BB+sf' and 'A+sf' for class B-R3, between 'B+sf' and 'BBB+sf' for
class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1-R3,
between less than 'B-sf' and 'BB+sf' for class D-2-R3, and between
less than 'B-sf' and 'B+sf' for class E-R3.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-2-R3 notes as
these notes are in the highest rating category of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R3, 'AAsf' for class C-R3, 'A-sf'
for class D-1-R3, 'A-sf' for class D-2-R3, and 'BBB-sf' for class
E-R3.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Magnetite XVII,
Limited Reset Transaction. 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.
MLTI TRUST 2026-MLTI: S&P Assigns (P) BB(sf) Rating on HRR-10 Cert
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to MLTI Trust
2026-MLTI's commercial mortgage pass-through certificates, series
2026-MLTI.
The certificate issuance is U.S. CMBS securitization backed by two
separate portfolio mortgage loans: (a) the 10-Pack loan, which is a
three-year, floating-rate, interest-only first mortgage loan
secured by the borrowers' fee simple interests in eight multifamily
properties and two commercial properties located in Jersey City,
N.J.; Weehawken, N.J.; and Malden, Mass.; and (b) the 2-Pack loan,
which is a two-year, floating-rate, interest-only first mortgage
loan secured by the borrowers' leasehold interests in two
multifamily properties located in Boston, Mass. The loans are not
cross-collateralized or cross-defaulted. The 10-Pack loan will
support only the 10-Pack certificates, and the 2-Pack loan will
support only the 2-Pack certificates.
The preliminary ratings are based on information as of June 10,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
S&P said, "The preliminary ratings reflect our view of the
collateral's historical and projected performance, the sponsor's
and manager's experience, the trustee-provided liquidity, the
loans' terms, and the transaction structure. We determined that the
10-Pack mortgage loan has a beginning and ending loan-to-value
(LTV) ratio of 98.0%, and that the 2-Pack loan has a beginning and
ending LTV ratio of 92.9%, based on S&P Global Ratings' value of
the properties backing each loan."
Preliminary Ratings Assigned
MLTI Trust 2026-MLTI
10-Pack certificates(i)
Class A-10, $1,101,900,000: AAA (sf)
Class B-10, $216,700,000: AA- (sf)
Class C-10, $244,000,000: A- (sf)
Class D-10, $215,300,000: BBB- (sf)
Class E-10, $56,550,000: BB+ (sf)
Class HRR-10(ii), $96,550,000: BB (sf)
2-Pack certificates(i)
Class A-2, $102,500,000: AAA (sf)
Class B-2, $24,400,000: AA- (sf)
Class C-2, $18,300,000: A- (sf)
Class D-2, $16,490,000: BBB- (sf)
Class HRR-2(ii), $8,510,000: BB+ (sf)
(i)Certificate balances are approximate, subject to a variance of
plus or minus 5.0%.
(ii)Eligible horizontal residual interest.
MORGAN STANLEY 2026-NQM5: DBRS Hikes Rating on B-2 Debt to Bsf
--------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) upgraded its provisional credit
ratings on Class A-2, Class A-3, and Class M-1, and finalized its
provisional credit ratings on the Mortgage Pass-Through
Certificates, Series 2026-NQM5 (the Certificates) to be issued by
Morgan Stanley Residential Mortgage Loan Trust 2026-NQM5 (the
Issuer) as follows:
-- $222.5 million Class A-1FCF at AAA (sf)
-- $74.2 million Class A-1LCF at AAA (sf)
-- $296.6 million Class A-1 at AAA (sf)
-- $27.0 million Class A-2 at AA (sf)
-- $34.5 million Class A-3 at A (sf)
-- $13.8 million Class M-1 at BBB (sf)
-- $7.5 million Class B-1 at BB (sf)
-- $8.7 million Class B-2 at B (sf)
Morningstar DBRS discontinued and withdrew its provisional credit
ratings on Classes A-1-A and A-1-B initially contemplated in the
offering documents, as they were not issued at closing.
The AAA (sf) credit ratings on the Certificates reflect 24.66% of
credit enhancement provided by the subordinated Certificates. The
AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings
reflect 17.80%, 9.05%, 5.55%, 3.65%, and 1.45% 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 809 loans with a total principal balance of approximately
$393,742,963 as of the Cut-Off Date (May 1, 2026).
The pool is, on average, four months seasoned with loan ages
ranging from one to 16 months. Approximately 13.43% and 11.3% of
the Mortgage Loans were originated by United Wholesale Mortgage,
LLC and MAXEX Clearing LLC respectively. The remainder of the
Mortgage Loans were originated by various mortgage lending
institutions, individually comprised less than 10% of the overall
mortgage loans.
NewRez LLC (NewRez), formerly known as New Penn Financial, LLC,
doing business as (dba) Shellpoint will service 71.76% of the
loans, Selene Finance LP will service 16.7% of the loans, and
Select Portfolio Servicing, Inc. will service 11.7% of the loans
respectively. Computershare Trust Company, N.A will act as
Custodian. Rocket Mortgage LLC will act as Master Servicer.
Citibank N.A. will act as Trustee and Securities Administrator and
Certificate Registrar.
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, 33.1% of the loans by balance are
designated as non-QM. Approximately 57.12% 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 9.4% of
the pool are designated as QM Safe Harbor, and there are 0.4% QM
Rebuttable Presumption (by unpaid principal balance (UPB)).
Servicers will fund advances of delinquent P&I until the loan is
either greater than 90 days delinquent (limited P&I
advancing/stop-advance loan under the Mortgage Bankers Association
(MBA) method) or the P&I advance is deemed unrecoverable. Each
servicer is obligated to make advances in respect of taxes and
insurance, the cost of preservation, restoration, and protection of
mortgaged properties and any enforcement or judicial proceedings,
including foreclosures and reasonable costs and expenses incurred
in the course of servicing and disposing of properties until
otherwise deemed unrecoverable.
The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will
retain an eligible vertical interest in the transaction in the
required amount of no less than 5% in the form of either (i) 5% of
each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-2,
Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS
Certificates directly or (ii) the Class R-PT Certificates (in the
case of an exchange) representing at least 5% of the aggregate
initial Class balance (and aggregate initial Class Notional Amount
in the case of the Class XS Certificates and Class A-IO-S
Certificates) to satisfy the credit risk-retention requirements
under Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder.
The majority holder of the Class XS may, at its option, on or after
the earlier of (1) the payment date in May 2029 or (2) the date on
which the balance of mortgage loans and real estate owned (REO)
properties falls to or below 30% of the loan balance as of the
Cut-Off Date (Optional Termination Date), redeem the Certificates
at the optional termination price described in the transaction
documents.
The Controlling Holder 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
that such repurchases in aggregate do not exceed 10% of the total
principal balance as of the Cut-Off Date.
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-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. 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 June 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;
-- 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 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 the related Class Balance.
Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, 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 (June 2030) 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.
Notes: All figures are in U.S. dollars unless otherwise noted.
MORGAN STANLEY 2026-NQM6: Moody's Assigns (P)Ba3 Rating to B1 Certs
-------------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 9 classes of
residential mortgage-backed securities (RMBS) to be issued by
Morgan Stanley Residential Mortgage Loan Trust 2026-NQM6, and
sponsored by Morgan Stanley Mortgage Capital Holdings LLC.
The securities are backed by a pool of prime and non-prime quality,
non-qualified (non-QM) and investor residential mortgages
aggregated by Morgan Stanley, and originated and serviced by
multiple entities, including NQM Funding LLC, OCMBC, Inc, and
Hometown Equity Mortgage, LLC.
The complete rating actions are as follows:
Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-NQM6
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)A2 (sf)
Cl. M-1, Assigned (P)Baa3 (sf)
Cl. B1, Assigned (P)Ba3 (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
2.74%, in a baseline scenario-median is 2.03% and reaches 21.24% 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 May 2026.
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.
NATL COMMERCIAL 2026-IND: Moody's Assigns B2 Rating to HRR Certs
----------------------------------------------------------------
Moody's Ratings has assigned definitive ratings to six classes of
CMBS securities, issued by NATL Commercial Mortgage Trust 2026-IND,
Commercial Mortgage Pass-Through Certificates, Series 2026-IND:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. HRR, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
The certificates are collateralized by a first lien mortgage on the
borrower's fee simple 55 industrial outdoor storage ("IOS")
properties (each, an "IOS Property" and, collectively, the "IOS
Properties") and 10 traditional warehouse / distribution industrial
properties (each, an "Industrial Property" and, collectively, the
"Industrial Properties"). As of May 4, 2026, the Portfolio is 94.4%
leased (by NRA) with 27.9% of in-place gross rent attributed to
investment grade rated tenants. Moody's ratings are based on the
credit quality of the loans and the strength of the securitization
structure.
Moody's approach to rating this transaction involved the
application of both 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 55 IOS Properties (53.9% of ALA; 56.4% of in-place NOI)
encompass approximately 21.2 million SF (485.1 acres) of rentable
land site and are 94.8% leased to 49 tenants with a WARLT of 4.8
years based on in-place base rent. They are located across 24
different markets, with the largest concentrations in Atlanta, GA
(10 properties; 12.2% of ALA; 11.8% of Portfolio in-place NOI),
Philadelphia, PA (nine properties; 11.0% of ALA; 11.5% of Portfolio
in-place NOI), and Savannah, GA (two properties; 3.4% of ALA; 4.2%
of Portfolio in-place NOI).
The 10 Industrial Properties (46.1% of ALA; 43.6% of in-place NOI)
encompass 4.1M SF and are 92.2% leased to eight tenants with a
weighted average remaining lease term ("WARLT") of 4.8 years based
on in-place base rent. They offer a weighted average ceiling clear
height of ~33.6 feet, an average property size of ~412,821 SF (all
10 properties greater than 100K SF), and an average year built of
2007. They are also located across eight different markets, with
the largest concentrations in Central Valley/LA, CA (one property;
16.0% of ALA; 13.6% of Portfolio in-place NOI), Columbus, OH (two
properties; 13.3% of ALA; 14.4% of Portfolio in-place NOI), and
Hampton Roads, VA (two properties; 5.7% of ALA; 5.0% of Portfolio
in-place NOI).
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 1.31X and Moody's first
mortgage actual stressed DSCR is 0.81X. Moody's DSCR is based on
Moody's stabilized net cash flow.
The whole loan first mortgage balance of $660,000,000 represents a
Moody's LTV ratio of 110.9% based on Moody's value. Adjusted
Moody's LTV ratio for the first mortgage balance is also 110.9%
based on Moody's Value using a cap rate adjusted for the current
interest rate environment. Inclusive the $75M of mezzanine
financing, the total debt MLTV ratio (and adjusted MLTV ratio) is
123.6%.
Moody's also grade properties on a scale of 0 to 5 (best to worst)
and consider those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The collateral's
overall quality grade is 1.32.
Notable strengths of the transaction include: geographic diversity,
infill locations, IOS sector tailwinds, functionality
characteristics, below market rents, tenant profile, multiple
property pooling, and institutional quality sponsorship.
Notable concerns of the transaction include: rollover risk,
single-tenant concentration, IOS Properties' age, high Moody's
loan-to value ("MLTV") ratio, floating-rate interest-only loan
profile, and credit negative legal features.
The principal methodology used in these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-backed
Securitizations" published in May 2026.
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. With respect to classes with ratings above the
applicable sovereign rating, significant exposure to defeasance may
also lead to a downgrade.
NEUBERGER BERMAN 39: Fitch Affirms 'BB-sf' Rating on Cl. E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger
Berman Loan Advisers CLO 39, Ltd. refinancing notes classes A-1-R2,
A-2-R2, B-R2, C-R2, and D-R2. Fitch has also affirmed the ratings
for class E-R.
Entity/Debt Rating Prior
----------- ------ -----
Neuberger Berman
Loan Advisers
CLO 39, Ltd.
A-1-R 64134GAL3 LT PIFsf Paid In Full AAAsf
A-2-R 64134GAN9 LT PIFsf Paid In Full AAAsf
A-1-R2 LT AAAsf New Rating
A-2-R2 LT AAAsf New Rating
B-R 64134GAQ2 LT PIFsf Paid In Full AAsf
B-R2 LT AAsf New Rating
C-R 64134GAS8 LT PIFsf Paid In Full Asf
C-R2 LT Asf New Rating
D-R 64134GAU3 LT PIFsf Paid In Full BBB-sf
D-R2 LT BBB-sf New Rating
E-R 64134FAL5 LT BB-sf Affirmed BB-sf
Transaction Summary
Neuberger Berman Loan Advisers CLO 39, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) that is
managed by Neuberger Berman Loan Advisers II LLC that originally
closed in December 2020. The CLO's secured notes were first
refinanced in whole on February 2024 and are now being refinanced
(in part) on May 29, 2026. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $495 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 95.41%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.47% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 41.5% 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 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 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.
KEY PROVISION CHANGES
This 2026 refinancing is being effected through the first
supplemental indenture, which amends certain provisions of the
transaction. The changes include but are not limited to:
- The existing classes A-1-R, A-2-R, B-R, C-R, and D-R notes will
be refinanced with new classes A-1-R2, A-2-R2, B-R2, C-R2, and D-R2
notes.
- Class E-R will not be refinanced.
- All refinanced note classes will be refinanced with lower
floating spreads.
- The non-call period is being extended to May 2027.
- The end of the reinvestment period remains April 2029, and the
stated maturity of the notes remains April 2038.
FITCH ANALYSIS
The portfolio includes 486 assets from 421 primarily high yield
obligors. In Fitch's view, 6.7% of the portfolio consists of assets
that are rated 'CCC+' or below and two defaulted assets totaling to
0.4% of the portfolio. The portfolio balance (excluding defaults
and including principal cash) is approximately $493 million. As of
the latest trustee report prior to the refinancing date the
transaction was not passing its minimum coupon and weighted average
recovery rate tests. All other collateral quality tests, coverage
tests, and concentration limitations were passing. The weighted
average rating of the current portfolio is 'B'.
Fitch has an explicit rating, credit opinion or private rating for
41.1% of the current portfolio par balance; ratings for 58.8% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map; and 0.1% were unrated. As per Fitch's criteria,
the analysis focused on the Fitch stressed portfolio (FSP) for the
refinancing notes and on the indicative portfolio for the
non-refinanced notes, if any.
The FSP included the following concentrations, reflecting the
maximum limitations per the indenture or maintained at the current
level:
- Largest five obligors: 1.5% each, for an aggregate of 7.5%;
- Largest three industries: 15.0%, 12.0%, and 12.0%, respectively;
- Assumed risk horizon: 6.01 years;
- Minimum weighted average spread of 2.98%;
- Minimum weighted average recovery rate of 72.47%;
- Maximum weighted average rating factor of 24.40;
- Fixed rate Assets: 7.50%;
- Minimum weighted average coupon of 4.67%;
- Non-first priority senior secured assets : 10.00%
The transaction will exit its reinvestment period in April 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 A-1-R2: 'AAAsf' / Default 42.50% / Recovery 38.12% /
Cushion 12.50%
- Class A-2-R2: 'AAAsf' / Default 42.50% / Recovery 38.12% /
Cushion 11.70%
- Class B-R2: 'AAsf' / Default 39.60% / Recovery 46.72% / Cushion
10.10%
- Class C-R2: 'Asf' / Default 35.00% / Recovery 56.29% / Cushion
9.60%
- Class D-R2: 'BBB-sf' / Default 26.90% / Recovery 65.80% / Cushion
8.00%
- Class E-R: 'BB-sf' / Default 22.50% / Recovery 71.56% / Cushion
5.80%
Fitch Stress Portfolio (FSP) Model Outputs:
- Class A-1-R2: 'AAAsf' / Default 47.70% / Recovery 38.58% /
Cushion 7.10%
- Class A-2-R2: 'AAAsf' / Default 47.70% / Recovery 38.58% /
Cushion 6.40%
- Class B-R2: 'AAsf' / Default 44.60% / Recovery 46.32% / Cushion
5.10%
- Class C-R2: 'Asf' / Default 39.80% / Recovery 55.93% / Cushion
4.50%
- Class D-R2: 'BBB-sf' / Default 31.30% / Recovery 65.23% / Cushion
5.10%
- Class E-R: 'BB-sf' / Default 26.40% / Recovery 70.97% / Cushion
1.30%
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-1-R2, between 'Asf'
and 'AAAsf' for class A-2-R2, between 'BBB-sf' and 'AAsf' for class
B-R2, between 'BBsf' and 'Asf' for class C-R2, and between less
than 'B-sf' and 'BBB-sf' for class D-R2 and between less than
'B-sf' and 'B+sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R2 and class
A-2-R2 notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, and
'A+sf' for class D-R2 and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Neuberger Berman
Loan Advisers CLO 39, Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, programme,
instrument or issuer, Fitch will disclose any ESG factor that is a
key rating driver in the key rating drivers section of the relevant
rating action commentary.
NEUBERGER BERMAN 54: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger
Berman Loan Advisers CLO 54, Ltd. refinancing notes.
Entity/Debt Rating Prior
----------- ------ -----
Neuberger Berman
Loan Advisers
CLO 54, Ltd.
A-R LT NRsf New Rating
B 64135PAC2 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 64135PAE8 LT PIFsf Paid In Full Asf
C-R LT Asf New Rating
D 64135PAG3 LT PIFsf Paid In Full BBB-sf
D-R LT BBB-sf New Rating
E 64135RAA2 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Transaction Summary
Neuberger Berman Loan Advisers CLO 54, Ltd. (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) managed by
Neuberger Berman Loan Advisers IV LLC that originally closed in
March 2024. On June 5th, 2026 (first refinancing date), the class
B-R, C-R, D-R and E-R will be refinancing from the proceeds of the
issuance of new secured note. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $496 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'/'B-', in line with recent CLOs. The weighted
average rating factor (WARF) of the indicative portfolio is 24.74,
and will be managed to a WARF covenant from a Fitch test matrix.
Issuers rated in the 'B' rating category denote a highly
speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.
Asset Security: The indicative portfolio consists of 97.01%
first-lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.72% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 46% 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 up to 12 months for 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.
FITCH ANALYSIS
The portfolio includes 421 assets from 365 primarily high yield
obligors. In Fitch's view, 0.3% of the portfolio consists of assets
that are rated 'CC' or below. The portfolio balance (excluding
defaults and including principal cash) is approximately $496
million. As of the latest trustee report prior to the refinance
date the transaction was not passing its Minimum Coupon and Minimum
Weighted Average Fitch Recovery Rate tests. All other collateral
quality tests, coverage tests, and concentration limitations were
passing. The weighted average rating of the current portfolio is
'B/B-'.
Fitch has an explicit rating, credit opinion or private rating for
37.27% of the current portfolio par balance; ratings for 27.50% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map. As per Fitch's criteria, the analysis focused on
the Fitch stressed portfolio (FSP) for the refinancing notes and on
the indicative portfolio for the non-refinanced notes, if any.
The FSP, at the initial expected matrix point, included the
following concentrations, reflecting the maximum limitations per
the indenture or maintained at the current level:
- Largest obligor represents 1.5%, the second and third largest
obligors represent 1.35% each, and the fourth and fifth largest
obligors represent 1% each, for an aggregate of 6.2%;
- Largest three industries: 17.0%, 15.0%, and 14.0%, respectively;
- Assumed risk horizon: 6.25 years;
- Minimum weighted average spread of 2.95%;
- Minimum weighted average recovery rate of 67.25%;
- Maximum weighted average rating factor of 26.00;
- Fixed rate Assets: 5.00%;
- Minimum weighted average coupon of 7.00%;
The transaction will exit its reinvestment period on April 23,
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 B-R: 'AAsf' / Default 40.20% / Recovery 48.01% / Cushion
11.90%
- Class C-R: 'Asf' / Default 35.80% / Recovery 58.14% / Cushion
16.10%
- Class D-R: 'BBB-sf' / Default 27.370% / Recovery 67.87% / Cushion
19.20%
- Class E-R: 'BB-sf' / Default 23.20% / Recovery 72.84% / Cushion
13.60%
Fitch Stress Portfolio (FSP) Model Outputs:
- Class B-R: 'AAsf' / Default 48.10% / Recovery 42.25% / Cushion
0.00%
- Class C-R: 'Asf' / Default 43.810% / Recovery 52.25% / Cushion
4.60%
- Class D-R: 'BBB-sf' / Default 34.10% / Recovery 62.25% / Cushion
9.80%
- Class E-R: 'BB-sf' / Default 28.80% / Recovery 67.25% / Cushion
5.70%
The refinancing is being implemented via the first supplemental
indenture, which amended certain provisions of the transaction. The
changes include but are not limited to:
- B, C, D and E notes are being refinanced with lower spreads.
- The non-call period for the refinanced notes is extended to June
5, 2027.
- Stated maturity on the refinanced notes and the reinvestment
period end date remains the same as the original notes.
- Fixed-rate obligations concentration limitation has decreased to
7.5% from 10%.
- The Fitch recovery rate definition, Fitch industry definition and
matrices have been amended to conform with Fitch's new criteria.
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 'A+sf' for class B-R notes, between
'B+sf' and 'Asf' for class C-R notes, between less than 'B-sf' and
'BBB+sf' for class D-R notes and between less than 'B-sf' and
'BB-sf' for class E-R notes.
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-R notes, 'AAsf' for class C-R
notes, 'A+sf' for class D-R notes and 'BBB+sf' for class E-R
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 Neuberger Berman
Loan Advisers CLO 54, 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.
NYMT LOAN 2026-INV3: S&P Assign B- (sf) Rating on Class B-2 Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to NYMT Loan Trust
2026-INV3's mortgage-backed notes.
The note issuance is an RMBS securitization backed by first‑lien,
fixed‑ and adjustable‑rate, fully amortizing residential
mortgage loans to both prime and nonprime borrowers (some with
interest‑only periods). The loans are secured by single‑family
residential properties, townhomes, planned‑unit developments,
condominiums, two‑ to four‑family residential properties, and
multifamily properties. The pool consists of 1,400
business‑purpose investment property loans (including 50
cross‑collateralized loans backed by 243 properties), which are
all ability-to-repay (ATR)-exempt. One of the
cross‑collateralized loans contains one parcel of land that was
not given a loan balance or a property value; therefore, no credit
was provided to this collateral in our analysis.
S&P said, "After we assigned our preliminary ratings on May 26,
2026, the balance of one loan was increased and the resulting pool
balance increase was distributed proportionally among the classes,
which resulted in no change in credit enhancement. The class A-1A
and A-1B notes were also removed. After reviewing the final
structure, we assigned final ratings that are consistent with the
preliminary ratings."
The ratings reflect S&P's view of:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, and representation and warranty framework;
-- The mortgage aggregator and reviewed originators;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P said, "Our outlook that considers our current projections
for U.S. economic growth, unemployment rates, and interest rates,
as well as our view of housing fundamentals. Our outlook is
updated, if necessary, when these projections change materially."
Ratings Assigned(i)
NYMT Loan Trust 2026-INV3
Class A-1, $180,380,000: AAA (sf)
Class A-1FCF, $135,285,000: AAA (sf)
Class A-1LCF, $45,095,000: AAA (sf)
Class A-2, $19,448,000: AA (sf)
Class A-3, $33,487,000: A (sf)
Class M-1, $15,035,000: BBB (sf)
Class B-1, $11,344,000: BB- (sf)
Class B-2, $9,158,000: B- (sf)
Class B-3, $4,510,973: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(ii): NR
Class R, N/A: NR
(i)The ratings address the ultimate payment of interest and
principal; they do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate state principal
balance of the mortgage loans as of the first day of the related
due period.
NR--Not rated.
N/A--Not applicable.
OAKTREE CLO 2024-25: S&P Assigns BB- (sf) Rating on Cl. E-R Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
X-R, A-R, B-R, C-R, D-R, and E-R debt from Oaktree CLO 2024-25
Ltd./Oaktree CLO 2024-25 LLC, a CLO managed by Oaktree CLO
Management Company LLC that was originally issued in February 2024.
At the same time, S&P withdrew its ratings on the previous class X,
A, A-J, B, C, D, and E debt following payment in full on the June
10, 2026, refinancing date.
The replacement debt was issued via a supplemental indenture, which
outlines the terms of the replacement debt. According to the
supplemental indenture:
-- The replacement class X-R, A-R, B-R, C-R, D-R, and E-R debt was
issued at a lower spread over three-month term SOFR than the
existing debt.
-- The stated maturity, reinvestment period, and non-call period
were each extended by two years.
-- The non-call period was extended to April 20, 2028.
-- The reinvestment period was extended to April 20, 2031.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes were extended to April 20, 2039.
-- No additional assets were purchased on the June 10, 2026,
refinancing date, and the target initial par amount remains at $400
million. There was no additional effective date or ramp-up period,
and the first payment date following the refinancing is July 20,
2026.
-- Replacement class X-R debt was issued on the refinancing date.
This debt is expected to be paid down using interest proceeds
during the reinvestment period in equal installments of $425,000,
beginning on the second payment date following the refinancing.
-- No additional subordinated notes were issued on the refinancing
date.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each rated tranche.
"In some cases, our credit and cash flow analyses 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."
Ratings Assigned
Oaktree CLO 2024-25 Ltd./Oaktree CLO 2024-25 LLC
Class X-R, $4.25 million: AAA (sf)
Class A-R, $256.00 million: AAA (sf)
Class B-R, $48.00 million: AA (sf)
Class C-R (deferrable), $24.00 million: A (sf)
Class D-R (deferrable), $24.00 million: BBB- (sf)
Class E-R (deferrable), $16.00 million: BB- (sf)
Ratings Withdrawn
Oaktree CLO 2024-25 Ltd./Oaktree CLO 2024-25 LLC
Class X to NR from 'AAA (sf)'
Class A to NR from 'AAA (sf)'
Class A-J 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
Oaktree CLO 2024-25 Ltd./Oaktree CLO 2024-25 LLC
Subordinated notes, $35.00 million: NR
NR--Not rated.
OBX 2026-R2: S&P Assigns B- (sf) Rating on Class B-2 Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to OBX 2026-R2 Trust's
mortgage-backed notes.
The note issuance is an RMBS securitization backed by seasoned
first-lien, fixed- and adjustable-rate residential mortgage loans,
including mortgage loans with initial interest-only periods, to
both prime and nonprime borrowers. The loans are secured by
single-family residences, planned-unit developments, two- to
four-family residential properties, townhouses, and condominiums.
The pool has 947 loans, mostly composed of non-qualified mortgage
(QM)/ability-to-repay (ATR)-compliant and ATR-exempt loans. The
weighted average seasoning of the pool is approximately 45 months.
S&P said, "After we assigned our preliminary ratings on May 29,
2026, the issuer decided not to issue the class A-1F and A-1IO
notes on the closing date. As a result, the note amount of class
A-1 was increased to $291.212 million from $144.260 million, while
the note amounts of its initial exchangeable classes A-1FCF and
A-1LCF were increased to $218.409 million from $108.195 million and
to $72.803 million from $36.065 million, respectively. Moreover,
the note amounts of classes A-1A and A-1B decreased to $25.639
million from $125.934 million and to $3.732 million from $18.331
million, respectively. The resized bonds did not change the credit
enhancement on the transaction. Additionally, the class B-1 notes
were priced at a net weighted average coupon (WAC) rate. After
analyzing the final coupons and the updated structure, we assigned
ratings to the classes that are 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 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 outlook is updated, if necessary, when these projections change
materially."
Ratings Assigned(i)
OBX 2026-R2 Trust
Class A-1FCF, $218,409,000: AAA (sf)
Class A-1LCF, $72,803,000: AAA (sf)
Class A-1, $291,212,000: AAA (sf)
Class A-1A, $25,639,000: AAA (sf)
Class A-1B, $3,732,000: AAA (sf)
Class A-2, $24,441,000: AA (sf)
Class A-3, $22,404,000: A+ (sf)
Class M-1, $19,960,000: BBB- (sf)
Class B-1, $9,166,000: BB- (sf)
Class B-2, $6,110,000: B- (sf)
Class B-3, $4,685,012: NR
Class A-IO-S, notional(ii): NR
Class XS, notional(iii): NR
Class R, N/A: NR
(i)The ratings address the ultimate payment of interest and
principal; they do not address the payment of the cap carryover
amounts.
(ii)The notional amount will equal the aggregate stated principal
balance of the SPS-serviced mortgage loans and Shellpoint-serviced
mortgage loans as of the first day of the related due period and
will not be entitled to principal payments.
(iii)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period and is initially $407,349,012.
NA--Not applicable.
NR--Not rated.
OCEAN TRAILS XVIII: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Ocean Trails
CLO XVIII Ltd./Ocean Trails CLO XVIII LLC's floating-rate debt.
The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Five Arrows Managers North America
LLC, a subsidiary of Rothschild & Co.
The preliminary ratings are based on information as of June 11,
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 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."
Preliminary Ratings Assigned
Ocean Trails CLO XVIII Ltd./Ocean Trails CLO XVIII LLC
Class A-1, $252.00 million: AAA (sf)
Class A-2, $12.00 million: AAA (sf)
Class B, $40.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $24.00 million: BBB (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $36.98 million: NR
NR--Not rated.
OCP CLO 2024-32: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to OCP CLO
2024-32, Ltd.
Entity/Debt Rating
----------- ------
OCP CLO 2024-32, Ltd.
A-1R LT AAAsf New Rating
A-2R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1R LT BBB-sf New Rating
D-2R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
X-R LT AAAsf New Rating
Transaction Summary
OCP CLO 2024-32, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by Onex
Credit Partners, 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 22.5 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 96.09% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 72.87% 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 concentration is in line with that of other
recent CLOs.
Portfolio Management: The transaction has a 5.1-year reinvestment
period and reinvestment criteria like 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 6 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 'A+sf' and 'AAAsf' for class
A-1R, between 'A-sf' and 'AA+sf' for class A-2R, between 'BBB-sf'
and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R,
between less than 'B-sf' and 'BBB-sf' for class D-1R, between less
than 'B-sf' and 'BB+sf' for class D-2R, 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 class X, class A-1R and
class A-2R notes as these notes are in the highest rating category
of 'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'A-sf'
for class D-1R, 'BBB+sf' for class D-2R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for OCP CLO 2024-32,
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.
OCTAGON 54 LTD: Moody's Cuts Rating on $25MM Class E Notes to B3
----------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by Octagon 54, Ltd.:
US$57.5M Class B Senior Secured Floating Rate Notes, Upgraded to
Aa1 (sf); previously on Jul 14, 2021 Assigned Aa2 (sf)
US$25M Class E Junior Secured Deferrable Floating Rate Notes,
Downgraded to B3 (sf); previously on Nov 3, 2025 Downgraded to B1
(sf)
Moody's have also affirmed the ratings on the following notes:
US$280M Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Jul 14, 2021 Assigned Aaa (sf)
US$40M Class A-2 Senior Secured Fixed Rate Notes, Affirmed Aaa
(sf); previously on Jul 14, 2021 Assigned Aaa (sf)
US$25M Class C Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed A2 (sf); previously on Jul 14, 2021 Assigned A2 (sf)
US$32.5M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Affirmed Baa3 (sf); previously on Jul 14, 2021 Assigned Baa3 (sf)
Octagon 54, Ltd., issued in July 2021, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The portfolio is managed
by Octagon Credit Investors, LLC. The transaction's reinvestment
period will end in July 2026.
RATINGS RATIONALE
The rating upgrade on the Class B notes is primarily due to the
benefit of the shorter period of time remaining before the end of
the reinvestment period in July 2026.
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 downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss and reduction
in spread observed in the underlying CLO portfolio. Based on the
trustee's May 2026[1] report, the OC ratio for the Class E notes is
reported at 103.35% versus an October 2025[2] level of 104.57%.
Based on Moody's calculations, the total collateral par balance,
including recoveries from defaulted securities, is approximately
US$475.26 million, or US$24.74 million less than the $500.0 million
initial par amount targeted during the deal's ramp-up. Furthermore,
based on trustee's May 2026[1] report, the weighted average spread
(WAS) is reported at 3.10% compared to 3.19% reported in the
trustee's October 2025[2] report.
The affirmations on the ratings on the Class A-1, Class A-2, Class
C and Class D notes are primarily a result of the expected losses
on the notes remaining consistent with their current rating levels,
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The 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: US$474,684,296
Defaulted Securities: US$1,949,146
Diversity Score: 87
Weighted Average Rating Factor (WARF): 2779
Weighted Average Life (WAL): 4.55 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.86%
Weighted Average Coupon (WAC): 5.12%
Weighted Average Recovery Rate (WARR): 45.65%
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 April 2026.
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.
OCTAGON INVESTMENT 26: Moody's Cuts Rating on $10MM F-R Notes to C
------------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Octagon Investment Partners 26, Ltd.:
US$10M Class F-R Secured Deferrable Floating Rate Notes,
Downgraded to C (sf); previously on Jul 2, 2024 Downgraded to Caa2
(sf)
Octagon Investment Partners 26, Ltd., issued in April 2016 and
refinanced in June 2018, 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 ended in July 2023.
RATINGS RATIONALE
The rating downgrade on the Class F notes is primarily based on
Moody's expectations of the ultimate loss-given-default on the
notes as a percent of their original principal balance. According
to the May 2026[1] trustee report, the remaining portfolio is
composed of USD1.9m cash and USD1.3m of assets, on the other hand
the more senior ranking and still outstanding Class E notes, which
Moody's do not rate, amount to USD4.5m. Hence, the total assets of
the issuer will not be sufficient to fully redeem the Class E notes
and as a consequence, repay the Class F notes.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Collateralized
Loan Obligations" published in April 2026.
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
rating of the notes is not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the rating:
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.
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.
OCTAGON INVESTMENT 34: Moody's Cuts Rating on Cl. E-1 Notes to Caa1
-------------------------------------------------------------------
Moody's Ratings has downgraded the ratings on the following notes
issued by Octagon Investment Partners 34, Ltd.:
US$9,375,000 Class E-1 Secured Deferrable Junior Floating Rate
Notes due 2030 (current outstanding balance $1,427,312.80),
Downgraded to Caa1 (sf); previously on January 21, 2026 Affirmed
Ba3 (sf)
US$10,880,000 Class E-2 Secured Deferrable Junior Floating Rate
Notes due 2030 (current outstanding balance $1,656,444.09),
Downgraded to Caa1 (sf); previously on January 21, 2026 Affirmed
Ba3 (sf)
Octagon Investment Partners 34, Ltd., issued in December 2017, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in January 2023.
RATINGS RATIONALE
The rating action reflects the transaction's recent deal
performance, analysis of the transaction structure, Moody's updated
loss expectations on the underlying pool and Moody's revised
loss-given-default expectations on the Class E-1 and Class E-2
notes.
The downgrade rating actions on the Class E-1 and Class E-2 notes
considers all principal payments made to the Class E-1 and Class
E-2 notes since issuance and is based on Moody's expectations of
the ultimate loss-given-default on the notes as a percent of their
original principal balance.
Methodology Used for the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in April 2026.
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.
OFSI BSL IX: S&P Lowers Class E Notes Rating to 'CCC+ (sf)'
-----------------------------------------------------------
S&P Global Ratings raised its ratings on the class B-1-R, B-2-R,
and C debt from OFSI BSL IX Ltd. S&P also lowered its rating on the
class E debt and removed it from CreditWatch, where it had placed
its with negative implications in May 2026. At the same time, S&P
affirmed its ratings on the class A-R and D debt from the same
transaction.
The rating actions follow S&P's review of the transaction's
performance using data from the April 2026 trustee report.
The transaction has made collective paydowns of $65.69 million to
the class A-R debt since our June 2025 rating actions. The reported
overcollateralization (O/C) ratios have changed since the April
2025 trustee report, which S&P used for its previous rating
actions:
-- The class A/B O/C ratio improved to 167.32% from 141.33%.
-- The class C O/C ratio improved to 136.09% from 124.64%.
-- The class D O/C ratio improved to 114.69% from 111.48%.
-- The class E O/C ratio declined to 103.80% from 104.14%.
While the senior O/C ratios experienced improvement due to
continued de-leveraging of the structure, the junior O/C ratio
declined due to a combination of par losses and O/C haircuts from
excess 'CCC' exposure and elevated default exposure.
The affirmations reflect that in S&P's view the credit support is
commensurate with the current rating levels. The upgrades for the
class B-1-R, B-2-R, and C debt are being driven by the benefit and
improved credit support from ongoing de-levering, which, at these
respective class levels, is outweighing the increased
concentrations of lower rated credits in the portfolio.
While the credit support to the senior debt has improved, support
for the junior debt declined due to some credit deterioration and
par losses. In addition, the recovery rates have also declined
overall. As a result of these factors, credit support has weakened
for the junior tranche, and the cashflows of the class E debt are
no longer passing. S&P said, "We believe the credit risk profile of
class E debt fulfills the 'CCC' definition, as the class is
dependent upon favorable conditions to ultimately repay. At this
time, we limited the downgrade of class E to 'CCC+ (sf)' after
considering the passing O/C test and that the tranche is not
deferring any interest payments." However, any increase in defaults
and/or further portfolio credit quality deterioration could lead to
potential negative rating actions.
S&P said, "In line with our criteria, our cash flow scenarios
applied forward-looking assumptions on the expected timing and
pattern of defaults, as well as on recoveries upon default, under
various interest rate and macroeconomic scenarios. In addition, our
analysis considered the transaction's ability to pay timely
interest and/or ultimate principal to each of the rated tranches.
The results of the cash flow analysis--and other qualitative
factors as applicable--demonstrated, in our view, that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating
actions.
"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and will take rating actions as we deem
necessary."
Ratings Raised
OFSI BSL IX Ltd.
Class B-1-R to 'AAA (sf)' from 'AA+ (sf)'
Class B-2-R to 'AAA (sf)' from 'AA+ (sf)'
Class C to 'AA (sf)' from 'A+ (sf)'
Rating Lowered And Removed From CreditWatch Negative
OFSI BSL IX Ltd.
Class E to 'CCC+ (sf)' from 'B (sf)/Watch Neg'
Ratings Affirmed
OFSI BSL IX Ltd.
Class A-R: AAA (sf)
Class D: BBB (sf)
OFSI BSL XIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the
replacement class X-R, A-1-R, A-J-R, B-R, C-R, D-1-R, D-2-R, and
E-R debt from OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC, a CLO
managed by OFS CLO III, a subsidiary of OFS Capital Management,
that was originally issued in May 2024.
The preliminary ratings are based on information as of June 10,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
On the June 12, 2026, refinancing date, the proceeds from the
replacement debt will be used to redeem the existing debt. S&P
said, "At that time, we expect to withdraw our ratings on the
existing class X, A-1, A-J, B, C, D-1, D-2, and E debt and assign
ratings to the replacement class X-R, A-1-R, A-J-R, B-R, C-R,
D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't
occur, we may affirm our ratings on the existing debt and withdraw
our preliminary ratings on the replacement debt."
The replacement debt will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement debt.
According to the proposed supplemental indenture:
-- The replacement class X-R, A-1-R, A-J-R, B-R, C-R, D-1-R, and
E-R debt is expected to be issued at a lower spread over
three-month SOFR than the existing debt.
-- The replacement class D-2-R debt is expected to be issued at a
floating spread, replacing the current fixed coupon.
-- The stated maturity, reinvestment period, and non-call date
will be extended by 2.25 years.
-- The legal final maturity dates for the replacement debt and the
existing subordinated notes will be extended to July 20, 2039.
-- The reinvestment period will be extended to July 20, 2031.
-- The non-call period will be extended to July 20, 2028.
-- The target initial par amount will remain at $300.00 million.
There will be no additional effective date or ramp-up period, and
the first payment date following the refinancing is July 20, 2026.
-- Additional subordinated notes will be issued on the refinancing
date, increasing from $25.00 million to $32.35 million.
S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults and the
recoveries upon default under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each rated tranche.
"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
OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC
Class X-R, $4.15 million: AAA (sf)
Class A-1-R, $180.00 million: AAA (sf)
Class A-J-R, $12.00 million: AAA (sf)
Class B-R, $36.00 million: AA (sf)
Class C-R (deferrable), $18.00 million: A (sf)
Class D-1-R (deferrable), $15.00 million: BBB (sf)
Class D-2-R (deferrable), $3.00 million: BBB- (sf)
Class E-R (deferrable), $9.75 million: BB- (sf)
Other Debt
OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC
Subordinated notes, $32.35 million: NR
NR--Not rated.
ONITY LOAN 2026-HB2: DBRS Finalizes Bsf Rating on Class M5 Notes
----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the Asset-Backed Notes, Series 2026-HB2 (the Notes)
issued by Onity Loan Investment Trust 2026-HB2 as follows:
-- $358.6 million Class A at AAA (sf)
-- $39.5 million Class M1 at AA (low) (sf)
-- $28.8 million Class M2 at A (low) (sf)
-- $27.5 million Class M3 at BBB (low) (sf)
-- $27.5 million Class M4 at BB (low) (sf)
-- $17.9 million Class M5 at B (sf)
Other than the specified classes above, Morningstar DBRS did not
rate any other classes in this transaction.
The AAA (sf) credit rating reflects 31.0% of credit enhancement
(CE). The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low)
(sf), and B (sf) credit ratings reflect 23.4%, 17.8%, 12.5%, 7.2%,
and 3.8% 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 March 31, 2026 (the Cut-Off Date), the collateral has
approximately $519.35 million in unpaid principal balance from
1,527 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, planned unit developments, and townhomes. The
mortgage assets were originated between 1998 and 2021. Of the total
assets, 299 have a fixed interest rate (20.70% of the balance),
with a 5.080% weighted-average (WA) interest rate. The remaining
1,228 assets have floating-rate interest (79.30% of the balance)
with a 5.854% WA interest rate, bringing the entire collateral pool
to a 5.694% 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, M5, and M6 (together, the Class M Notes)
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 (May
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, Class M5, and Class M6 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.
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.
PMT LOAN 2026-J3: 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-J3, and sponsored by PennyMac Corp.
The securities are backed by a pool of prime jumbo (67.1% by
balance) and GSE-eligible (32.9% 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-J3
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 Aaa (sf)
Cl. A-22, Definitive Rating Assigned Aaa (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 Aaa (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 Aaa (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 May 21, 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
0.38%, in a baseline scenario-median is 0.18% and reaches 5.05% 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 May 2026.
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.
PROVIDENT FUNDING 2026-2: Moody's Assigns (P)B2 Rating to B-5 Certs
-------------------------------------------------------------------
Moody's Ratings has assigned provisional ratings to 38 classes of
residential mortgage-backed securities (RMBS) to be issued by
Provident Funding Mortgage Trust 2026-2, and sponsored by Provident
Funding Associates, L.P.
The securities are backed by a pool of GSE-eligible (100.0% by
balance) residential mortgages originated and serviced by Provident
Funding Associates, L.P.
The complete rating actions are as follows:
Issuer: Provident Funding Mortgage Trust 2026-2
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)Aa1 (sf)
Cl. A-14, Assigned (P)Aa1 (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)Aa1 (sf)
Cl. A-X-1*, Assigned (P)Aaa (sf)
Cl. A-X-2*, Assigned (P)Aaa (sf)
Cl. A-X-4*, Assigned (P)Aaa (sf)
Cl. A-X-6*, Assigned (P)Aaa (sf)
Cl. A-X-8*, Assigned (P)Aaa (sf)
Cl. A-X-10*, Assigned (P)Aaa (sf)
Cl. A-X-12*, Assigned (P)Aaa (sf)
Cl. A-X-14*, Assigned (P)Aa1 (sf)
Cl. A-X-16*, Assigned (P)Aaa (sf)
Cl. A-X-17*, Assigned (P)Aaa (sf)
Cl. A-X-18*, Assigned (P)Aaa (sf)
Cl. A-X-19*, Assigned (P)Aaa (sf)
Cl. A-X-20*, Assigned (P)Aa1 (sf)
Cl. B-1, Assigned (P)Aa3 (sf)
Cl. B-2, Assigned (P)A2 (sf)
Cl. B-3, Assigned (P)Baa2 (sf)
Cl. B-4, Assigned (P)Ba1 (sf)
Cl. B-5, Assigned (P)B2 (sf)
*Reflects Interest-Only Classes
RATINGS RATIONALE
The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.
Moody's expected loss for this pool in a baseline scenario-mean is
0.30%, in a baseline scenario-median is 0.13% and reaches 4.56% at
a stress level consistent with Moody's Aaa ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in rating all classes except
interest-only classes was "US Residential Mortgage-backed
Securitizations" published in May 2026.
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.
RED VENTURES: Fitch Affirms 'B+' LongTerm IDR, Outlook Stable
-------------------------------------------------------------
Fitch Ratings has affirmed the Long-Term Issuer Default Ratings
(IDRs) of Red Ventures Holdco, LP, Red Ventures, LLC and New
Imagitas, Inc. at 'B+'. Fitch has also affirmed Red Ventures'
senior secured debt at 'B+' with a Recovery Rating of 'RR4'. The
Outlook is Stable.
Red Ventures' ratings highlight its digital advertising leadership
and customer acquisition expertise, leveraging technology and data
analytics. The ratings also reflect low entry barriers and the
competitive nature of the industry.
Key Rating Drivers
Earnings Growth in 2027: Fitch expects Red Ventures' revenue to
grow in 2027, driven by strong performance in key segments
including Allconnect, RV GT, The Points Guy, and Sage. The company
continues to secure and scale strategic partnerships across its
digital portfolio, supporting growth in these areas. However,
overall revenue expansion is expected to be partially offset by
declines in the Bankrate and Education segments, primarily due to
ongoing SEO-related headwinds.
Improving Leverage: Fitch expects RV's EBITDA leverage to be below
4.0x in 2027 (LTM 1Q26: 3.7x), supported by margin expansion in RV
Core driven by ongoing cost-efficiency initiatives, including
increased adoption of enterprise AI to reduce operating costs.
Fitch also applies proportional consolidation to Red Ventures Optum
Health (RVOH), incorporating 50% of the JV's earnings in its credit
metrics.
Good Track Record of Deleveraging: Since 2022 to 1Q2026, Red
Ventures has paid down $530 million of its total debt, going
well-beyond the required principal amortizations. Fitch expects the
company to pay around $120 million of Term Loan principal in 2026.
Much of this is expected to be funded by a combination of FCF, the
sale of a digital asset as well as proceeds from a Puerto Rico tax
credit.
Traffic Diversification: Red Ventures continues to experience
declining organic search traffic, reflecting broader industry
pressure from evolving search behavior and AI-driven search
changes. However, the company has offset these declines through
growth in non-traffic-based revenue streams and increasing
monetization across and owned and partner channels, demonstrating
improving revenue diversification and reduced dependence on
SEO-driven traffic.
Non-traffic revenue stood at 43% in 1Q2026 vs. 25% in 1Q2024. SEO
traffic as a percentage of overall traffic stood at 26% vs. 44% in
1Q2024. Fitch views this transition positively for the credit
profile, as it supports revenue resilience and margin stability
despite ongoing pressure on traditional organic search channels.
AI Impacts Continue to Evolve: AI-related risks continue to evolve,
particularly as AI answer engines may reduce organic traffic and
create revenue disintermediation for digital publishers and lead
generation platforms that rely heavily on search traffic. However,
Red Ventures benefits from a diversified traffic profile, including
a meaningful base of direct traffic, which Fitch views as more
resilient to search disruption. In addition, management is
leveraging AI tools to improve internal efficiencies and lower
operating costs. Overall, Fitch currently views AI as having a
manageable impact on the credit profile, though Fitch will continue
to monitor execution and broader industry developments should
AI-driven disruption become more structurally negative over time.
Leading Customer Acquisition Platform: Red Ventures is the market
leader in screening potential customers online. It uses its
technology enabled customer acquisition and marketing services
platform to deliver more highly qualified leads, conversions and
retention to its partners, consistently outperforming its partners'
in-house marketing teams. Red Ventures' data-driven marketing has
used proprietary technology for more than 15 years across leading
digital brands. These brands include Sage, The Points Guy and
Lonely Planet. Its product offerings can be reproduced, though its
specific analytics capabilities and successful record of value
creation are difficult to recreate.
Peer Analysis
Red Ventures' ratings reflect its prominent role in digital
marketing, leveraging proprietary technology and data analytics to
drive customer acquisition for clients. Red Ventures generates
robust and consistent FCF as result of high operating leverage and
minimum capex requirements.
The company's key strengths are a leading market presence and solid
cash flow profile. However, the rating is tempered by industry's
relatively low entry barriers as well as potential economic
cyclicality. Fitch takes a positive view of Red Ventures' track
record or paying down debt and reducing SEO driven cash-flows.
Red Ventures is rated one-notch above AP Core Holdings II, LLC
(dba: Yahoo) - as it has maintained a mostly stable leverage
profile in the recent past. Yahoo's leverage profile has improved
materially after early operational challenges due to its AdTech
migration in 2023 and 2024.
Fitch’s Key Rating-Case Assumptions
- Fitch assumes proportional consolidation of RVOH and includes 50%
of the JV's earnings;
- Revenue growth in 2027 - driven by strong performance in RVGT and
Sage. Growth is expected to be tempered by declines in Bankrate and
Education;
- EBITDA margin expansion driven by cost reduction efforts through
increased use of enterprise AI;
- Capex intensity of 3% over the rating horizon;
- Most FCF generation to be used to pay down Term Loan debt over
the rating horizon. Fitch expects Red Ventures to pay around $120
million of term loan debt in 2026;
- No shareholder returns over the rating horizon.
Corporate Rating Tool Inputs and Scores
Fitch scored the issuer as follows, using its Corporate Rating Tool
(CRT) to produce the Standalone Credit Profile (SCP):
Business and financial profile factors (assessment, relative
importance): management ('bb-', Lower), sector characteristics
('b+', Moderate), market and competitive positioning ('b', Higher),
diversification and asset quality ('b+', Moderate), company
operational characteristics ('b+', Higher), profitability ('bb-',
Moderate), financial structure ('bb+', Moderate), and financial
flexibility ('bb', Moderate).
The quantitative financial subfactors are based on custom CRT
financial period parameters: 20% weight for the forecast year 2026,
40% for the forecast year 2027 and 40% for the forecast year 2028.
'B+' to 'CC' considerations apply in its analysis and has no
impact.
- The governance assessment of 'good' has no impact.
- The operating environment assessment of 'aa+' has no impact.
The SCP is 'b+'.
Recovery Analysis
The recovery analysis assumes that Red Ventures would be treated as
a going-concern in bankruptcy, and that the company would undergo
reorganization rather than liquidation. Fitch has factored in a 10%
administrative claim and assumed full utilization of the revolving
credit facility.
Fitch's recovery analysis considers the possibility of insolvency
due to inadequate liquidity during periods of recessionary stress.
In this scenario, Fitch assumes that the company encounters
difficulties integrating its new business partnerships and suffers
the loss of major partner contracts, which leads to declines in
revenue and EBITDA. This results in a going-concern EBITDA estimate
of $165 million.
Fitch uses a 5.5x enterprise value (EV)/EBITDA multiple to
calculate a post-reorganization valuation.
The recovery analysis assumes full utilization on the revolver and
implies a 'B+' with a Rating Recovery of 'RR4' on the senior
first-lien secured debt, reflecting average recovery prospects.
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade
- A sustained deterioration in the earnings profile due to intense
competition or technological challenges;
- EBITDA leverage sustained above 5.5x.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
- New partnership wins leading to expansion of FCF over the rating
horizon, enabling faster deleveraging;
- Higher contribution from non-traffic revenue than from SEO;
- EBITDA leverage sustained below 4.5x.
Liquidity and Debt Structure
As of end-March 2026, Red Ventures had total liquidity sources
comprised of $82 million in cash and $711 in undrawn committed
revolving credit lines. Fitch also expects Red Ventures to generate
positive FCF over the next 12 months, which further bolsters its
liquidity position. Contractual obligations amounted to just $8
million falling due in the near-term and can be met with existing
liquidity sources. Fitch expects the company's revolver, due 2027,
to be extended comfortably because of the company's healthy
business and financial risk profile.
Issuer Profile
Red Ventures is a leading technology-enabled customer acquisition
platform that partners with companies to optimize the customer
acquisition lifecycle. Notable brands include Bankrate, Sage, The
Points Guy and Lonely Planet, among several others.
MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS
Fitch's latest quarterly Global Corporates Sector Forecasts Monitor
data file which aggregates key data points used in its credit
analysis. Fitch's macroeconomic forecasts, commodity price
assumptions, default rate forecasts, sector key performance
indicators and sector-level forecasts are among the data items
included.
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.
Entity/Debt Rating Recovery Prior
----------- ------ -------- -----
New Imagitas, Inc.
LT IDR B+ Affirmed B+
Red Ventures, LLC
LT IDR B+ Affirmed B+
senior secured LT B+ Affirmed RR4 B+
Red Ventures Holdco, LP
LT IDR B+ Affirmed B+
ROCKFORD TOWER 2019-2: Moody's Affirms Ba3 Rating on Class E Notes
------------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Rockford Tower CLO 2019-2, Ltd.:
US$24M Class C-R2 Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to Aa1 (sf); previously on Dec 19, 2025 Upgraded to
Aa2 (sf)
US$31.75M Class D-R2 Mezzanine Secured Deferrable Floating Rate
Notes, Upgraded to Baa1 (sf); previously on Oct 4, 2024 Assigned
Baa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$325M (Current outstanding amount USD152,234,395) Class A-R2
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Oct 4, 2024 Assigned Aaa (sf)
US$54M Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Dec 19, 2025 Upgraded to Aaa (sf)
US$25.25M Class E Junior Secured Deferrable Floating Rate Notes,
Affirmed Ba3 (sf); previously on Jun 21, 2024 Affirmed Ba3 (sf)
US$9M Class F Junior Secured Deferrable Floating Rate Notes,
Affirmed Caa2 (sf); previously on Dec 19, 2025 Downgraded to Caa2
(sf)
Rockford Tower CLO 2019-2, Ltd., originally issued in August 2019
and partially refinanced in August 2021 and October 2024, is a
collateralised loan obligation (CLO) backed by a portfolio of
mostly high-yield senior secured US loans. The portfolio is managed
by Rockford Tower Capital Management, L.L.C. The transaction's
reinvestment period ended in August 2024.
RATINGS RATIONALE
The rating upgrades on the Class C-R2 and D-R2 notes are primarily
a result of the significant deleveraging of the senior notes
following amortisation of the underlying portfolio since the last
rating action in December 2025.
The affirmations on the ratings on the Class A-R2, B-R2, E and F
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-R2 notes have paid down by approximately USD49.9
million (15.3%) since the last rating action in December 2025 and
USD172.8 million (53.2%) since closing. As a result of the
deleveraging, over-collateralisation (OC) has increased for the
senior and mezzanine rated notes. According to the trustee report
dated May 2026[1], the Class A/B, Class C and Class D OC ratios are
reported at 143.38%, 129.82% and 115.38% compared to November
2025[2] levels of 134.49%, 124.67% and 113.70%, respectively.
Moody's notes that the May 2026 principal payments are not
reflected in the reported OC ratios.
The deleveraging and OC improvements primarily resulted from high
prepayment rates of leveraged loans in the underlying portfolio.
Most of the prepaid proceeds have been applied to amortise the
liabilities. All else held equal, such deleveraging is generally a
positive credit driver for the CLO's rated liabilities.
The key model inputs Moody's uses in Moody's analysis, such as par,
weighted average rating factor, diversity score and the weighted
average recovery rate, are based on Moody's published methodology
and could differ from the trustee's reported numbers.
In Moody's base case, Moody's used the following assumptions:
Performing par and principal proceeds balance: USD308.49m
Defaulted Securities: USD4.57m
Diversity Score: 68
Weighted Average Rating Factor (WARF): 2833
Weighted Average Life (WAL): 3.57 years
Weighted Average Spread (WAS): 3.14%
Weighted Average Coupon (WAC): 4.23%
Weighted Average Recovery Rate (WARR): 45.94%
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 April 2026.
Counterparty Exposure:
The rating action took into consideration the notes' exposure to
relevant counterparties using the methodology "Structured Finance
Counterparty Risks" published in May 2025. Moody's concluded the
ratings of the notes are not constrained by these risks.
Factors that would lead to an upgrade or downgrade of the ratings:
The rated notes' performance is subject to uncertainty. The notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The collateral manager's investment decisions and
management of the transaction will also affect the notes'
performance.
Additional uncertainty about performance is due to the following:
-- Portfolio amortisation: The main source of uncertainty in this
transaction is the pace of amortisation of the underlying
portfolio, which can vary significantly depending on market
conditions and have a significant impact on the notes' ratings.
Amortisation could accelerate as a consequence of high loan
prepayment levels or collateral sales by the collateral manager or
be delayed by an increase in loan amend-and-extend restructurings.
Fast amortisation would usually benefit the ratings of the notes
beginning with the notes having the highest prepayment priority.
-- Recovery of defaulted assets: Market value fluctuations in
trustee-reported defaulted assets and those Moody's assumes have
defaulted can result in volatility in the deal's
over-collateralisation levels. Further, the timing of recoveries
and the manager's decision whether to work out or sell defaulted
assets can also result in additional uncertainty. Recoveries higher
than Moody's expectations would have a positive impact on the
notes' ratings.
In addition to the quantitative factors that Moody's explicitly
modelled, qualitative factors are part of the rating committee's
considerations. These qualitative factors include the structural
protections in the transaction, its recent performance given the
market environment, the legal environment, specific documentation
features, the collateral manager's track record and the potential
for selection bias in the portfolio. All information available to
rating committees, including macroeconomic forecasts, input from
Moody's other analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, can influence the final rating decision.
RR 5: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to RR 5 LTD
reset transaction.
Entity/Debt Rating
----------- ------
RR 5 LTD
X-R2 LT AAAsf New Rating
A-1a-R2 LT AAAsf New Rating
A-1a Loans LT AAAsf New Rating
A-1b-R2 LT AAAsf New Rating
A-2-R2 LT AAsf New Rating
B-R2 LT Asf New Rating
C-1-R2 LT BBBsf New Rating
C-2-R2 LT BBB-sf New Rating
D-R2 LT BB-sf New Rating
Subordinated Notes LT NRsf New Rating
Transaction Summary
RR 5 LTD (the issuer) is an arbitrage cash flow collateralized loan
obligation (CLO) that will be managed by Redding Ridge Asset
Management LLC. Net proceeds from the issuance of the secured and
subordinated notes will provide financing on a portfolio of
approximately $500 million of primarily first lien senior secured
leveraged loans.
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.22, 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 73.24% 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 is reduced by up
to 12 months for WAL covenants 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-R2, between 'A-sf' and 'AA+sf' for
class A-1a-R2, between 'BBB+sf' and 'AA+sf' for class A-1b-R2,
between 'BB+sf' and 'A+sf' for class A-2-R2, between 'B+sf' and
'A-sf' for class B-R2, between less than 'B-sf' and 'BBB-sf' for
class C-1-R2, between less than 'B-sf' and 'BBB-sf' for class
C-2-R2, and between less than 'B-sf' and 'BB-sf' for class D-R2.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class X-R2, class
A-1a-R2 and class A-1b-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 A-2-R2, 'AAsf' for class B-R2,
'A+sf' for class C-1-R2, 'A+sf' for class C-2-R2, and 'BBB+sf' for
class D-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 RR 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.
SEQUOIA MORTGAGE 2026-6: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to the
residential mortgage-backed certificates issued by Sequoia Mortgage
Trust 2026-6 (SEMT 2026-6).
Entity/Debt Rating Prior
----------- ------ -----
SEMT 2026-6
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 81750VAD5 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 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
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
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 AAAsf New Rating AAA(EXP)sf
A45 LT AAAsf New Rating AAA(EXP)sf
A46 LT AAAsf New Rating 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 AAA(EXP)sf
AIO22 LT AAAsf New Rating AAA(EXP)sf
AIO23 LT AAAsf New Rating AAA(EXP)sf
AIO24 LT AAAsf New Rating AAA(EXP)sf
AIO25 LT AAAsf New Rating AAA(EXP)sf
AIO26 LT AAAsf New Rating AAA(EXP)sf
AIO27F 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 AAAsf New Rating AAA(EXP)sf
AIO46 LT AAAsf New Rating AAA(EXP)sf
AIO47 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
The certificates are supported by 587 loans with a total balance of
approximately $738.9 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 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 Fitch FICO of 778 and 35.1% debt-to-income ratio.
The borrowers also have moderate leverage, with a 69.9%
mark-to-market combined loan-to-value ratio. Overall, 96.4% 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 an updated tape which included one loan drop. The
change in collateral lowered the 'AAAsf' expected loss by 1 bp to
3.23%. In addition, a corresponding pricing structure was provided
and analyzed by Fitch. There were some minor updates to the bond
balances and the super senior credit enhancement (CE) was reduced
by 1 bp.
KEY RATING DRIVERS
Credit Risk of Mortgage Assets: RMBS transactions were directly
affected by the performance of the underlying residential mortgages
or mortgage-related assets. Fitch analyzed loan-level attributes
and macroeconomic factors to assess the credit risk and expected
losses. SEMT 2026-6 had a final probability of default of 9.34% in
the 'AAAsf' rating stress. Fitch's final loss severity in the
'AAAsf' rating stress was 34.61%. The expected loss in the 'AAAsf'
rating stress was 3.23%.
Structural Analysis: The mortgage cash flow and loss allocation in
SEMT 2026-6 were based on a senior-subordinate, shifting-interest
structure, whereby the subordinate classes received only scheduled
principal and were 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
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 95.9% of the loans in the transaction by loan count.
Fitch applied 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 should have been satisfied to fully de-link the
transaction from any other entities. SEMT 2026-6 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 did not
apply to SEMT 2026-6 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 37.7% at 'AAAsf'. The analysis indicates there is
potential negative 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 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 2026-7: Fitch Assigns B(EXP)sf Rating on B5 Certs
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and rating outlooks to
the residential mortgage-backed certificates issued by Sequoia
Mortgage Trust 2026-7 (SEMT 2026-7).
Entity/Debt Rating
----------- ------
SEMT 2026-7
A1 LT AAA(EXP)sf Expected Rating
A2 LT AAA(EXP)sf Expected Rating
A3 LT AAA(EXP)sf Expected Rating
A4 LT AAA(EXP)sf Expected Rating
A5 LT AAA(EXP)sf Expected Rating
A6 LT AAA(EXP)sf Expected Rating
A7 LT AAA(EXP)sf Expected Rating
A7A LT AAA(EXP)sf Expected Rating
A8 LT AAA(EXP)sf Expected Rating
A9 LT AAA(EXP)sf Expected Rating
A10 LT AAA(EXP)sf Expected Rating
A11 LT AAA(EXP)sf Expected Rating
A12 LT AAA(EXP)sf Expected Rating
A13 LT AAA(EXP)sf Expected Rating
A14 LT AAA(EXP)sf Expected Rating
A15 LT AAA(EXP)sf Expected Rating
A16 LT AAA(EXP)sf Expected Rating
A16A LT AAA(EXP)sf Expected Rating
A17 LT AAA(EXP)sf Expected Rating
A18 LT AAA(EXP)sf Expected Rating
A19 LT AAA(EXP)sf Expected Rating
A20 LT AAA(EXP)sf Expected Rating
A21 LT AAA(EXP)sf Expected Rating
A22 LT AAA(EXP)sf Expected Rating
A23 LT AAA(EXP)sf Expected Rating
A24 LT AAA(EXP)sf Expected Rating
A25 LT AAA(EXP)sf Expected Rating
A26F LT AAA(EXP)sf Expected Rating
A27 LT AAA(EXP)sf Expected Rating
A28 LT AAA(EXP)sf Expected Rating
A29 LT AAA(EXP)sf Expected Rating
ACH4 LT AAA(EXP)sf Expected Rating
A31 LT AAA(EXP)sf Expected Rating
ACH67 LT AAA(EXP)sf Expected Rating
A32 LT AAA(EXP)sf Expected Rating
A33 LT AAA(EXP)sf Expected Rating
A34 LT AAA(EXP)sf Expected Rating
A35 LT AAA(EXP)sf Expected Rating
A36 LT AAA(EXP)sf Expected Rating
A37 LT AAA(EXP)sf Expected Rating
A38 LT AAA(EXP)sf Expected Rating
A39 LT AAA(EXP)sf Expected Rating
A40 LT AAA(EXP)sf Expected Rating
A41 LT AAA(EXP)sf Expected Rating
A42 LT AAA(EXP)sf Expected Rating
A43 LT AAA(EXP)sf Expected Rating
A44 LT AAA(EXP)sf Expected Rating
A45 LT AAA(EXP)sf Expected Rating
A46 LT AAA(EXP)sf Expected Rating
AIO1 LT AAA(EXP)sf Expected Rating
AIO2 LT AAA(EXP)sf Expected Rating
AIO3 LT AAA(EXP)sf Expected Rating
AIO4 LT AAA(EXP)sf Expected Rating
AIO5 LT AAA(EXP)sf Expected Rating
AIO6 LT AAA(EXP)sf Expected Rating
AIO7 LT AAA(EXP)sf Expected Rating
AIO8 LT AAA(EXP)sf Expected Rating
AIO9 LT AAA(EXP)sf Expected Rating
AIO10 LT AAA(EXP)sf Expected Rating
AIO11 LT AAA(EXP)sf Expected Rating
AIO12 LT AAA(EXP)sf Expected Rating
AIO13 LT AAA(EXP)sf Expected Rating
AIO14 LT AAA(EXP)sf Expected Rating
AIO15 LT AAA(EXP)sf Expected Rating
AIO16 LT AAA(EXP)sf Expected Rating
AIO17 LT AAA(EXP)sf Expected Rating
AIO18 LT AAA(EXP)sf Expected Rating
AIO19 LT AAA(EXP)sf Expected Rating
AIO20 LT AAA(EXP)sf Expected Rating
AIO21 LT AAA(EXP)sf Expected Rating
AIO22 LT AAA(EXP)sf Expected Rating
AIO23 LT AAA(EXP)sf Expected Rating
AIO24 LT AAA(EXP)sf Expected Rating
AIO25 LT AAA(EXP)sf Expected Rating
AIO26 LT AAA(EXP)sf Expected Rating
AIO27F LT AAA(EXP)sf Expected Rating
AIO29 LT AAA(EXP)sf Expected Rating
AIO30 LT AAA(EXP)sf Expected Rating
AIO36 LT AAA(EXP)sf Expected Rating
AIO37 LT AAA(EXP)sf Expected Rating
AIO38 LT AAA(EXP)sf Expected Rating
AIO39 LT AAA(EXP)sf Expected Rating
AIO40 LT AAA(EXP)sf Expected Rating
AIO41 LT AAA(EXP)sf Expected Rating
AIO42 LT AAA(EXP)sf Expected Rating
AIO43 LT AAA(EXP)sf Expected Rating
AIO44 LT AAA(EXP)sf Expected Rating
AIO45 LT AAA(EXP)sf Expected Rating
AIO46 LT AAA(EXP)sf Expected Rating
AIO47 LT AAA(EXP)sf Expected Rating
AIO67 LT AAA(EXP)sf Expected Rating
B1 LT AA(EXP)sf Expected Rating
B1A LT AA(EXP)sf Expected Rating
B1X LT AA(EXP)sf Expected Rating
B2 LT A(EXP)sf Expected Rating
B2A LT A(EXP)sf Expected Rating
B2X LT A(EXP)sf Expected Rating
B3 LT BBB(EXP)sf Expected Rating
B4 LT BB(EXP)sf Expected Rating
B5 LT B(EXP)sf Expected Rating
B6 LT NR(EXP)sf Expected Rating
AIOS LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
LTR LT NR(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 609 loans with a total balance of
approximately $738.61 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,
CrossCountry Mortgage, Inc., CMG Financial, 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 778 and 36.8% debt-to-income
(DTI) ratio. The borrowers also have moderate leverage, with a
71.4% mark-to-market combined LTV (cLTV). Overall, 89.9% 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.
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 2026-7 has a final probability of default (PD) of
10.27% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 34.89%. The expected loss in the
'AAAsf' rating stress is 3.58%.
Structural Analysis: The mortgage cash flow and loss allocation in
SEMT 2026-7 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 (see Highlights and Cash Flow Analysis sections for
more details). 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
(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 96.9% of the loans in the transaction by loan count.
Fitch applies a 5bps z-score reduction 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: Fitch expects all relevant
transaction parties to conform to the requirements described in its
Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects SEMT 2026-7 to be fully
de-linked and to be 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 2026-7. 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 37.7% 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-HYB2: Fitch Rates Class B2 Certs 'B-(EXP)'
----------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
the residential mortgage-backed certificates issued by Sequoia
Mortgage Trust 2026-HYB2 (SEMT 2026-HYB2).
Entity/Debt Rating
----------- ------
SEMT 2026-HYB2
A1 LT AAA(EXP)sf Expected Rating
A1A LT AAA(EXP)sf Expected Rating
A1AF LT AAA(EXP)sf Expected Rating
A1AIO LT AAA(EXP)sf Expected Rating
A1B LT AAA(EXP)sf Expected Rating
A1BF LT AAA(EXP)sf Expected Rating
A1BIO LT AAA(EXP)sf Expected Rating
A2 LT AA-(EXP)sf Expected Rating
A2F LT AA-(EXP)sf Expected Rating
A2IO LT AA-(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
AIOS LT NR(EXP)sf Expected Rating
R LT NR(EXP)sf Expected Rating
Transaction Summary
The certificates are supported by 353 loans with a total balance of
approximately $472.32 million as of the cutoff date. The pool
consists of prime jumbo adjustable-rate mortgages acquired by
Redwood Residential Acquisition Corp. (RRAC) from various mortgage
originators. Distributions of principal and interest (P&I) and loss
allocations are based on a sequential-pay structure with full
advancing.
The borrowers in the pool show strong credit profiles, with a
weighted-average (WA) Fitch FICO of 781 and 36.5% debt-to-income
(DTI) ratio. The borrowers also have moderate leverage, with a
68.7% mark-to-market combined LTV (cLTV). Overall, 92.1% 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.
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-HYB2 has a final probability of default (PD) of
9.75% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 32.63%. The expected loss in the
'AAAsf' rating stress is 3.18%.
Structural Analysis (Mixed): 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-1AIO and A-1BIO 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.
SEMT 2026-HYB2 will feature the servicing administrator (RRAC),
following initial reductions in the class A-IO-S strip and
servicing administrator fees, obligated to advance delinquent (DQ)
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, and absent the full advancing, bonds
can be vulnerable to missed payments during periods of adverse
performance and delinquencies. Due to the sequential structure and
full advancing, the credit enhancement (CE) levels are 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 analyzes the capital structure to determine the adequacy of
the transaction's CE to support payments on the securities under
multiple scenarios incorporating Fitch's loss projections derived
from the asset analysis. Fitch applies its assumptions for
defaults, prepayments, delinquencies and interest rate scenarios.
The CE for all ratings were sufficient for the given rating levels.
The 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 considers originator and servicer
capability, third-party due diligence results, and the
transaction-specific representation, warranty and enforcement
(RW&E) framework to derive a potential operational risk adjustment.
The only consideration that has a direct impact on Fitch's loss
expectations is due diligence. Third-party due diligence was
performed on 100.0% of the loans in the transaction by loan count.
Fitch applies a 5bp z-score reduction for loans fully reviewed by a
third-party review (TPR) firm, which have a final grade of either
"A" or "B."
Counterparty and Legal Analysis: Fitch expects all relevant
transaction parties to conform with the requirements described in
its Global Structured Finance Rating Criteria. Relevant parties are
those whose failure to perform could have a material impact on the
performance of the transaction. Additionally, all legal
requirements should be satisfied to fully de-link the transaction
from any other entities. Fitch expects SEMT 2026-HYB2 to be fully
de-linked and a bankruptcy remote special purpose vehicle (SPV).
All transaction parties and triggers align with Fitch's
expectations.
Rating Cap Analysis: Common rating caps in U.S. RMBS may include,
but are not limited to, new product types with limited or volatile
historical data and transactions with weak operational or
structural/counterparty features. These considerations do not apply
to SEMT 2026-HYB2, 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 32.6% 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.
SG RESIDENTIAL 2026-4: S&P Assigns (P) B- (sf) Rating on B-2 Certs
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to SG
Residential Mortgage Trust 2026-4's residential mortgage
pass-through certificates.
The certificate issuance is an RMBS transaction backed by
first-lien, fixed- and adjustable-rate, fully amortizing
residential mortgage loans secured primarily by single-family
residential properties, planned-unit developments, condominiums, a
co-operative property, and two- to four-family residential
properties to both prime and nonprime borrowers. The pool has 619
loans.
The preliminary ratings are based on information as of June 8,
2026. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary rating reflects:
-- The pool's collateral composition;
-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;
-- The mortgage aggregator, SG Capital Partners LLC, and the
mortgage originator ClearEdge Lending LLC;
-- The 100% due diligence results consistent with represented loan
characteristics; and
-- S&P said, "Our outlook that considers our current projections
for U.S. economic growth, unemployment rates, and interest rates,
as well as our view of housing fundamentals, and is updated, if
necessary, when these projections change materially."
Preliminary Ratings(i) Assigned
SG Residential Mortgage Trust 2026-4
Class A-1A, $159,174,000(ii): AAA (sf)
Class A-1B, $23,687,000(ii): AAA (sf)
Class A-1, $182,861,000(ii): AAA (sf)
Class A-1FCF, $75,000,000(ii): AAA (sf)
Class A-1FCX, $75,000,000(ii)(iii): AAA (sf)
Class A-1LCF, $25,000,000(ii): AAA (sf)
Class A-2, $18,870,000: AA (sf)
Class A-3, $31,694,000: A (sf)
Class M-1, $15,022,000: BBB- (sf)
Class B-1, $8,427,000: BB- (sf)
Class B-2, $5,680,000: B- (sf)
Class B-3, $3,847,420: not rated
Class A-IO-S, notional(iv): not rated
Class XS, notional(iv): not rated
Class R, not applicable: not rated
(i)The collateral and structural information reflects the term
sheet. The preliminary ratings address the ultimate payment of
interest and principal. They do not address the payment of the cap
carryover amounts.
(ii)The initial certificate principal balances of the class A-1FCF,
A-1LCF, A-1A, and A-1B certificates (and, therefore, the initial
certificate principal balance of the class A-1 certificates and the
initial class notional amount of the class A-1FCX certificates) are
subject to change and will be determined at the time of pricing,
but the aggregate initial certificate principal balance of the
class A-1FCF, A-1LCF, A-1A, and A-1B certificates (assuming no
exchangeable certificates are outstanding) will equal $282,861,000,
subject to a plus or minus 5% variance.
(iii)Class A-1FCX will have a notional amount equal to the
certificate amount of the class A-1FCF certificates and will not be
entitled to payments of principal.
(iv)The notional amount will equal the aggregate stated principal
balance of the mortgage loans as of the first day of the related
due period.
SOUND POINT XX: Moody's Cuts Rating on $40MM Class E Notes to Caa1
------------------------------------------------------------------
Moody's Ratings has taken a variety of rating actions on the
following notes issued by Sound Point CLO XX, Ltd.:
US$44M Class C Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Aaa (sf); previously on Sep 5, 2025 Upgraded to Aa1
(sf)
US$44M Class D Mezzanine Secured Deferrable Floating Rate Notes,
Upgraded to Baa1 (sf); previously on Aug 21, 2020 Confirmed at Baa3
(sf)
US$40M Class E Junior Secured Deferrable Floating Rate Notes,
Downgraded to Caa1 (sf); previously on Sep 5, 2025 Downgraded to B3
(sf)
Moody's have also affirmed the ratings on the following notes:
US$520M (Current outstanding amount USD37,581,933) Class A Senior
Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun
28, 2018 Assigned Aaa (sf)
US$88M Class B Senior Secured Floating Rate Notes, Affirmed Aaa
(sf); previously on Sep 5, 2025 Upgraded to Aaa (sf)
Sound Point CLO XX, Ltd., issued in June 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 upgrades on the Class C and D notes are 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 on the Class E notes is due to the deterioration in
over-collateralisation ratio since the last rating action following
loss of par.
The affirmations on the ratings on the Class A and B 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 USD113.2m since
the last rating action, with 7.2% of the original balance currently
outstanding. As a result of the deleveraging,
over-collateralisation (OC) has increased for the top of capital
structure. The transaction has lost some par since the last rating
action which further deteriorated Class E OC. According to the
trustee report dated May 2026[1] the Class A/B, Class C, Class D
and Class E OC ratios are reported at 195.22%, 144.57%, 114.78% and
96.68% compared to August 2025[2] levels, on which the last rating
action was based, of 153.00%, 129.19%, 111.79% and 99.60%,
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: USD261.49m
Defaulted Securities: USD6.10m
Diversity Score: 48
Weighted Average Rating Factor (WARF): 3672
Weighted Average Life (WAL): 2.71 years
Weighted Average Spread (WAS): 3.44%
Weighted Average Recovery Rate (WARR): 45.78%
Par haircut in OC tests and interest diversion test: 7.2%
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 April 2026.
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.
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.
SPLITERO TRUST 2026-1: DBRS Finalizes Bsf Rating on 2 Tranches
--------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) finalized its provisional credit
ratings on the Asset-Backed Securities, Series 2026-1 (the Notes)
issued by Splitero Trust 2026-1 as follows:
-- $202.6 million Class A-1 at A (low) (sf)
-- $56.8 million Class A-2 at BBB (low) (sf)
-- $259.4 million Class A at BBB (low) (sf)
-- $15.6 million Class B-1 at BB (sf)
-- $20.8 million Class B-2 at B (sf)
-- $295.8 million Class PT at B (sf)
The A (low) (sf) credit rating reflects credit enhancement of 31.5%
for Class A-1, the BBB (low) (sf) credit rating reflects credit
enhancement of 12.3% for Class A-2, the BB (sf) credit rating
reflects credit enhancement of 7.0% for Class B-1, and the B (sf)
credit rating reflects credit enhancement of 0.0% for Class B-2.
Classes A and PT are exchangeable notes. These classes can be
exchanged for combinations of exchange notes as specified in the
offering documents.
Other than the specified classes above, Morningstar DBRS did not
rate any other classes in this transaction.
Home equity investments (HEIs) allow homeowners access to the
equity in their homes without having to sell their homes or make
monthly mortgage payments. HEIs provide homeowners with an
alternative to borrowing and are available to homeowners of any age
(unlike reverse mortgage loans, for example, for which there is
often a minimum age requirement). A homeowner receives an upfront
cash payment (an advance or an investment payment) in exchange for
giving an investor (i.e., an originator) a stake in their property.
The homeowner retains sole right of occupancy of the property and
pays all upkeep and expenses during the term of the HEI, but the
originator earns an investment return based on the future value of
the property, typically subject to a returns cap.
Like reverse mortgage loans, the HEI underwriting approach is asset
based, meaning greater emphasis is placed on the value of the
underlying property and the amount of home equity than on the
credit quality of the homeowner. The property value is the main
focus for predicting investment returns because it is the primary
source of funds to satisfy the obligation. HEIs are nonrecourse; in
a default situation, a homeowner is not required to provide
additional funds when the HEI settlement amount exceeds the
remaining equity value in the property (after accounting for any
other obligations such as senior liens, if applicable). Recovery of
the advance and any originator return is driven by the structure of
the agreement, the amount of appreciation/depreciation on the
property, the amount of debt that may be senior to the HEI, and the
cap on investor return.
As of the cut-off date, the collateral consists of approximately
$295.8 million in current exercise value from 2,246 nonrecourse HEI
agreements secured by first, second, and third liens on
single-family residences. All of the contracts in the asset pool
were originated between 2024 and 2026.
Of the pool, 224 contracts in the transaction are first-lien
contracts, representing roughly $24.2 million in current exercise
value; 1,893 are second-lien contracts, representing roughly $251.8
million in current exercise value; and 129 are third-lien
contracts, representing roughly $19.8 million in current exercise
value.
Of the pool, 8.18% of the contracts are in first-lien position and
have a weighted-average (WA) multiple share rate of 2.00 times (x),
85.13% are second-lien contracts and have a WA multiple share rate
of 2.00x, and 6.68% of the pool are third-lien contracts with a WA
multiple share rate of 2.00x. This brings the entire transaction's
WA multiple share rate to 2.00x. To better understand the impact
and mechanics of exchange rates, please see the example in the
Contract Mechanics--Worked Example section of the related presale
report. The original unadjusted loan-to-value ratio (LTV) of the
pool is 36.81% (i.e., of senior liens ahead of the contracts). At
cut-off, the pool had a WA investment amount (option to value; OTV)
of 20.91%, and a WA option LTV (i.e., option plus senior lien) of
57.64%.
The transaction uses a sequential structure. For cash distributions
that are paid prior to the occurrence of a trigger event, payments
are first made to the Interest Amounts and any Interest Carryover
on the Class A-1, Class A-2 (prior to the occurrence of a Class A-2
trigger event), Class B-1 (prior to the occurrence of a Class B-1
trigger event), and Class B-2 (prior to the occurrence of a Class
B-2 trigger event) Notes. Payments are then made to the Note Amount
of Class A-1 until such notes are paid off. With respect to Class
A-2, Class B-1, and Class B-2 notes, payments are then made to Note
Amount until Note Amount of the Class A-2, Class B-1, and Class B-2
notes are paid off with an amount up to the amount of Net Sale
Proceeds (if any) that was included in the total Available Funds on
such Payment Date in sequential order. If a Class A-2 trigger
event, Class B-1 trigger event, or Class B-2 trigger event occurs,
payments of interest that would go to the Class A-2, Class B-1, and
B-2 notes will instead be redirected first to the Advance Facility
Provider, followed by principal to the Class A-1 notes until
reduced to zero.
For cash distributions that are paid after the occurrence of a
trigger event, payments are first made to the Interest Amounts and
any Interest Carryover on Class A-1 notes. In the event that the
Class A-1 notes have not been redeemed or paid in full, on or after
the Expected Redemption Date, the A-2 notes Accrual Amount would be
paid first to Class A-1 notes until its paid off and then as
Additional Accrued Amounts to Class A-1 notes, until such amounts
have been reduced to zero. If the Class A-1 notes have been
redeemed or paid in full prior to the Redemption Date, payments are
made to the Interest Amounts and any unpaid Interest Carryover on
Class A-2 notes. The Class B-1 and B-2 notes are accrual notes and
will not be entitled to any payments of principal until Class A-1
and Class A-2 are paid down along with their respective Additional
Accrued Amounts that have accrued but were previously unpaid.
With respect to the Class A-1 notes, payments are first made to the
Note Amount until such amounts are reduced to zero and then to the
Additional Accrued Amounts including any unpaid Additional Accrued
Amounts until such amounts are reduced to zero on Class A-1 notes.
The Class A-2 notes are then paid their respective Note Amount
until it's paid off and the Additional Accrued Amounts including
any unpaid Additional Accrued Amounts until they are reduced to
zero. The Class B-1 notes are then paid their respective Note
Amount until it is paid off and the Additional Accrued Amounts
including any unpaid Additional Accrued Amounts until reduced to
zero. Lastly, the Class B-2 notes are then paid their respective
Note Amount until it is paid off and the Additional Accrued Amounts
including any unpaid Additional Accrued Amounts until reduced to
zero.
A Trigger Event will occur if (1) the payment date on which the
balance on deposit in the Reserve Fund is less than 50% of the
Reserve Fund Target Amount, (2) the payment date on which the
average of the updated valuations of the outstanding options is
less than 90% (in the case of the Class B-1 notes) or 95% (in the
case of the Class B-2 notes) of the starting home valuation as of
the cut-off date, or (3) if the notes are not redeemed by the
expected redemption date (May 2029).
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 Interest Payment Amount, Interest
Carryforward Amount, and Principal Payment 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.
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.
SYMPHONY CLO 43: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Symphony
CLO 43, Ltd. refinancing notes.
Entity/Debt Rating Prior
----------- ------ -----
Symphony CLO 43,
Ltd.
X LT AAAsf New Rating
A-1-R LT NRsf New Rating
A-2 87170BAC0 LT PIFsf Paid In Full AAAsf
A-2-R LT AAAsf New Rating
B-1a 87170BAE6 LT PIFsf Paid In Full AA+sf
B-1b 87170BAG1 LT PIFsf Paid In Full AA+sf
B-2 87170BAJ5 LT PIFsf Paid In Full AAsf
B-R LT AAsf New Rating
C 87170BAL0 LT PIFsf Paid In Full Asf
C-R LT Asf New Rating
D-1 87170BAN6 LT PIFsf Paid In Full BBBsf
D-1-R LT BBBsf New Rating
D-2 87170BAQ9 LT PIFsf Paid In Full BBB-sf
D-2-R LT BBB-sf New Rating
E 87170CAA2 LT PIFsf Paid In Full BB-sf
E-R LT BB-sf New Rating
Transaction Summary
Symphony CLO 43, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Symphony Alternative Asset Management LLC. The transaction
originally closed in April 2024. On May 2026, all the notes will be
refinanced at tighter spreads. Net proceeds from the issuance of
the secured and subordinated notes will provide financing on a
portfolio of approximately $395 million of primarily first lien
senior secured leveraged loans (excluding defaults).
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B', 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 98.63% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 74.07% 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 7.5% 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 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 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.
Key Provision Changes
The refinancing is being implemented via the first supplemental
indenture, which amended certain provisions of the transaction. The
changes include but are not limited to:
- Class X has been introduced;
- The floating-rate class B-1a notes, fixed-rate class B-1b notes
and floating-rate class B-2 are consolidated into floating-rate
class B-R notes;
- The class D-2 notes are converted from fixed-rate notes with a
coupon rate of 9.25% to floating-rate notes with a spread of 4.50%
at refinancing;
- The spreads for the class X, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R
and E-R notes are 0.85%, 1.23%, 1.45%, 1.55%, 1.80%, 2.90%, 4.50%
and 6.40%, respectively, compared to the spreads of 1.52%, 1.72%,
2.0%, 5.931% (fixed coupon), 2.30%, 2.55%, 3.80%, 9.25% (fixed
coupon), 6.75% for the class A-1, A-2, B-1a, B-1b, B-2, C, D-1, D-2
and E classes, respectively;
- The non-call period for the refinanced notes has been extended to
May 2027;
- The Fitch test matrices have been updated;
- Fitch industry limits have been updated from largest at 17.5%,
next three at 15% to largest at 15%, next two at 12%. The limit on
all other Fitch industries remains at 10%.;
- Stated maturity and reinvestment period for the refinanced notes
remain the same as the original notes.
FITCH ANALYSIS
The portfolio includes 365 assets from 336 primarily high-yield
obligors. The portfolio balance (excluding defaults and including
principal cash) is approximately $395 million. As of the latest
trustee report prior to the refinance date the transaction was not
passing its Weighted Average Fitch Recovery Rate Test. All other
collateral quality tests, coverage tests, and concentration
limitations were passing. The weighted average rating of the
current portfolio is 'B'.
Fitch has an explicit rating, credit opinion or private rating for
42.3% of the current portfolio par balance; ratings for 57.2% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map; and 0.2% were unrated. The analysis focused on the
Fitch stressed portfolio (FSP), and cash flow model analysis was
conducted for this refinancing.
The FSP included the following concentrations, reflecting the
maximum limitations per the indenture or maintained at the current
level, subject to the closing Fitch test matrix:
- Largest five obligors: 1.5% each, for an aggregate of 7.5%;
- Largest three industries: 15.0%, 12.0%, and 12.0%, respectively;
- Assumed risk horizon: 6.02 years;
- Minimum weighted average spread of 2.80%;
- Minimum weighted average recovery rate of 71.10%;
- Maximum weighted average rating factor of 24.00;
- Fixed-rate assets: 5.00%;
- Minimum weighted average coupon of 6.50%;
- 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 42.20% / Recovery 39.10% / Cushion
57.80%
- Class A-2-R: 'AAAsf' / Default 42.20% / Recovery 39.10% / Cushion
9.20%
- Class B-R: 'AAsf' / Default 39.40% / Recovery 48.22% / Cushion
11.00%
- Class C-R: 'Asf' / Default 34.80% / Recovery 57.76% / Cushion
10.50%
- Class D-1-R: 'BBBsf' / Default 29.50% / Recovery 67.46% / Cushion
6.20%
- Class D-2-R: 'BBB-sf' / Default 26.70% / Recovery 67.04% /
Cushion 4.20%
- Class E-R: 'BB-sf' / Default 22.30% / Recovery 72.65% / Cushion
5.90%
Fitch Stress Portfolio (FSP) Model Outputs:
- Class X: 'AAAsf' / Default 48.10% / Recovery 37.54% / Cushion
51.90%
- Class A-2-R: 'AAAsf' / Default 48.10% / Recovery 37.54% / Cushion
2.40%
- Class B-R: 'AAsf' / Default 44.80% / Recovery 45.03% / Cushion
3.80%
- Class C-R: 'Asf' / Default 39.80% / Recovery 54.86% / Cushion
4.00%
- Class D-1-R: 'BBBsf' / Default 34.30% / Recovery 64.27% / Cushion
1.30%
- Class D-2-R: 'BBB-sf' / Default 31.20% / Recovery 64.27% /
Cushion 0.60%
- Class E-R: 'BB-sf' / Default 26.20% / Recovery 69.71% / 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 'BBB-sf' and 'AA-sf' for class B-R, between
'BB-sf' and 'A-sf' for class C-R, between less than 'B-sf' and
'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for
class D-2-R, and between less than 'B-sf' and 'B+sf' for class
E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class 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, 'AA+sf' for class C-R, 'A+sf'
for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class
E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Symphony CLO 43,
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.
TRIMARAN CAVU 2026-1: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trimaran CAVU 2026-1
Ltd./Trimaran CAVU 2026-1 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 Trimaran Advisors LLC, a subsidiary
of LibreMax Intermediate Holdings.
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
Trimaran CAVU 2026-1 Ltd./Trimaran CAVU 2026-1 LLC
Class X, $2.00 million: AAA (sf)
Class A, $100.00 million: AAA (sf)
Class AL loans(i), $156.00 million: AAA (sf)
Class B, $48.00 million: AA (sf)
Class C (deferrable), $24.00 million: A (sf)
Class D-1 (deferrable), $20.00 million: BBB (sf)
Class D-2 (deferrable), $4.00 million: BBB- (sf)
Class D-3 (deferrable), $4.00 million: BBB- (sf)
Class E (deferrable), $12.00 million: BB- (sf)
Subordinated notes, $34.60 million: NR
(i)Pursuant to the credit agreement, the lenders may not convert or
exchange any portion of the secured loans into notes.
NR--Not rated.
VENTURE XXIII CLO: Moody's Cuts Rating on Class E-R2 Notes to Caa1
------------------------------------------------------------------
Moody's Ratings has downgraded the rating on the following notes
issued by Venture XXIII CLO, Limited:
US$11,644,000 Class E-R2 Junior Secured Deferrable Floating Rate
Notes due 2034, Downgraded to Caa1 (sf); previously on August 3,
2021 Assigned Ba3 (sf)
Venture XXIII CLO, Limited, originally issued in July 2016,
refinanced in July 2018 and in August 2021, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in July 2026.
A comprehensive review of all credit ratings for the respective
transaction(s) has been conducted during a rating committee.
RATINGS RATIONALE
The downgrade rating action on the Class E-R2 notes reflects the
specific risks to the junior notes posed by par loss and a
deterioration in net excess interest observed in the underlying CLO
portfolio. Moody's also considered the short period of time
remaining before the end of the deal's reinvestment period in July
2026, and the reinvestment restrictions during the amortization
period which limit the ability of the manager to effect significant
changes to the current collateral pool. Based on Moody's
calculations, the total collateral par balance, including
recoveries from defaulted securities, is $301,728,701 –
$13,298,869 lower than its initial starting collateral par balance
of $315,027,570 when the transaction was reset in August 2021,
representing a par loss of approximately 4.2%.
Furthermore, the available net excess interest available as credit
enhancement has declined significantly. Based on Moody's
calculations, the WAC for the fixed rate assets which account for
approximately 4.75% of the portfolio, is 2.29%, approximately 1.0%
below Moody's calculated WAS of 3.25%, and not taking into account
the current floating rate 3mSOFR index of approximately 3.6%.
No actions were taken on the Class X-R2, Class A-R2, Class B-R2,
Class C-R2, Class D-1-R2 and Class D-2-R2 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 April 2026.
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: $300,561,314
Defaulted par: $3,657,036
Diversity Score: 94
Weighted Average Rating Factor (WARF): 2629
Weighted Average Spread (WAS): 3.25%
Weighted Average Coupon (WAC): 2.29%
Weighted Average Recovery Rate (WARR): 45.28%
Weighted Average Life (WAL): 4.42 years
In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, and, lower recoveries on defaulted assets.
Methodology Used for the Rating Action:
The principal methodology used in this rating was "Collateralized
Loan Obligations" published in April 2026.
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.
VERDE CLO: Moody's Affirms B1 Rating on $23.7MM Class E-R Notes
---------------------------------------------------------------
Moody's Ratings has upgraded the ratings on the following notes
issued by Verde CLO, Ltd.:
US$26M Class C-RR Deferrable Mezzanine Secured Floating Rate
Notes, Upgraded to Aaa (sf); previously on Dec 1, 2025 Upgraded to
Aa1 (sf)
US$29.4M Class D-RR Deferrable Mezzanine Secured Floating Rate
Notes, Upgraded to A3 (sf); previously on Dec 1, 2025 Upgraded to
Baa2 (sf)
Moody's have also affirmed the ratings on the following notes:
US$319.54M (Current outstanding amount US$103,779,228) Class A-RR
Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously
on Dec 1, 2025 Affirmed Aaa (sf)
US$56.4M Class B-RR Senior Secured Floating Rate Notes, Affirmed
Aaa (sf); previously on Dec 1, 2025 Upgraded to Aaa (sf)
US$23.7M Class E-R Deferrable Junior Secured Floating Rate Notes,
Affirmed B1 (sf); previously on Dec 1, 2025 Downgraded to B1 (sf)
Verde CLO, Ltd., issued in April 2019 and refinanced twice, in
April 2021 and again in September 2024, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured US loans. The portfolio is managed by Invesco RR Fund L.P.
The transaction's reinvestment period ended in April 2024.
RATINGS RATIONALE
The rating upgrades on the Class C-RR and Class D-RR notes is
primarily a result of the deleveraging of the Class A-RR notes
following amortisation of the underlying portfolio since the last
rating action in December 2025.
The affirmations on the ratings on the Class A-RR, Class B-RR and
Class E-R notes are primarily a result of the expected losses on
the notes remaining consistent with their current rating levels,
after taking into account the CLO's latest portfolio, its relevant
structural features and its actual over-collateralisation ratios.
The Class A-RR notes have paid down by approximately USD72 million
(22.5%) since the last rating action in December 2025 and USD215.8
million (67.5%) since closing. As a result of the deleveraging,
over-collateralisation (OC) has increased. According to the trustee
report dated May 2026[1] the Class A/B, Class C, Class D and Class
E OC ratios are reported at 158.03%, 135.96%, 117.42% and 105.79%
compared to December 2025[2] levels of 142.95%, 128.55%, 115.41%
and 106.62%, 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: USD258.4
Defaulted Securities: USD0
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2815
Weighted Average Life (WAL): 3.68 years
Weighted Average Spread (WAS) (before accounting for reference rate
floors): 2.90%
Weighted Average Coupon (WAC): 4.78%
Weighted Average Recovery Rate (WARR): 46.36%
Par haircut in OC tests and interest diversion test: 2.19%
The default probability derives from the credit quality of the
collateral pool and Moody's expectations of the remaining life of
the collateral pool. The estimated average recovery rate on future
defaults is based primarily on the seniority of the assets in the
collateral pool. In each case, historical and market performance
and a collateral manager's latitude to trade collateral are also
relevant factors. Moody's incorporates these default and recovery
characteristics of the collateral pool into Moody's cash flow model
analysis, subjecting them to stresses as a function of the target
rating of each CLO liability it is analysing.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Collateralized
Loan Obligations" published in April 2026.
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.
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.
VERUS SECURITIZATION 2026-5: DBRS Gives (P)Bsf Rating on B-2 Notes
------------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings
to the Mortgage-Backed Notes, Series 2026-5 (the Notes) to be
issued by Verus Securitization Trust 2026-5 (Verus 2026-5 or the
Trust) as follows:
-- $264.8 million Class A-1A at (P) AAA (sf)
-- $40.4 million Class A-1B at (P) AAA (sf)
-- $305.2 million Class A-1 at (P) AAA (sf)
-- $228.9 million Class A-1FCF at (P) AAA (sf)
-- $76.3 million Class A-1LCF at (P) AAA (sf)
-- $67.8 million Class A-1F at (P) AAA (sf)
-- $67.8 million Class A-1IO1 at (P) AAA (sf)
-- $67.8 million Class A-1IO2 at (P) AAA (sf)
-- $67.8 million Class A-1IO at (P) AAA (sf)
-- $78.5 million Class A-2 at (P) AA (sf)
-- $47.1 million Class A-3 at (P) A (high) (sf)
-- $42.2 million Class M-1 at (P) BBB (sf)
-- $16.6 million Class B-1 at (P) BB (high) (sf)
-- $17.0 million Class B-2 at (P) B (sf)
Class A-1 and Class A-1IO are exchangeable notes while Classes
A-1FCF, Class A-1LCF, A-1IO1, and A-1IO2 are initial exchangeable
notes. These classes can be exchanged in combinations as specified
in the offering documents.
The (P) AAA (sf) credit ratings on the Notes reflect 24.40% of
credit enhancement provided by the subordinated Notes. The (P) AA
(sf), (P) A (high) (sf), (P) BBB (sf), (P) BB (high) (sf), and (P)
B (sf) credit ratings reflect 15.65%, 10.40%, 5.70%, 3.85%, and
1.95% of credit enhancement, respectively.
This transaction is a securitization of a portfolio of fixed- and
adjustable-rate, expanded prime and nonprime, predominantly
first-lien (97.13%) residential mortgages funded by the issuance of
the Notes. The Notes are backed by 1,670 mortgage loans with a
total principal balance of $897,150,890 as of the Cut-Off Date
(June 1, 2026). (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.)
Through various entities, Invictus Capital Partners, LP (Invictus)
began acquiring loans in 2015, and Verus 2026-5 represents the 90th
rated securitization issued from the Verus shelf.
Various originators originated less than 10.0% of the mortgage
loans. NewRez LLC (NewRez), formerly known as New Penn Financial,
LLC, doing business as (dba) Shellpoint will service 51.5% of the
loans and Cornerstone Servicing will service 48.5% of the loans.
Computershare Trust Company, N.A. will act as Custodian. Rocket
Mortgage, LLC will act as Master Servicer. Citibank N.A. will act
as Trustee and Securities Administrator and Certificate Registrar.
As of the Cut-Off Date, 99.4% 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, 25.5% of the loans by balance are
designated as non-QM. Approximately 44.7% 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 28.8%
of the pool are designated as QM Safe Harbor, and there are 1.0% QM
Rebuttable Presumption (by unpaid principal balance (UPB)).
The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest, which
represents at least 5% of the aggregate fair value of the Notes to
satisfy the credit risk-retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder. Additionally, as of the Closing Date, the Sponsor is
expected to initially retain 100% of the Class A-1IO1, Class
A-1IO2, Class B-3, Class A-IO-S, and Class XS Notes.
On or after the earlier of (1) the Payment Date occurring in June
2029 or (2) the date when the aggregate stated principal balance of
the mortgage loans is reduced to 30% of the Cut-Off Date balance,
the Administrator, at the Optional Redemption Right Holder's
option, may redeem all of the outstanding Notes at a price equal to
the greater of (A) the class balances of the related Notes plus
accrued and unpaid interest, including any cap carryover amounts
and (B) the class balances of the related Notes less than 90 days
delinquent with accrued unpaid interest plus fair market value of
the loans 90 days or more delinquent and real estate-owned
properties. After such purchase, the Depositor must complete a
qualified liquidation, which requires (1) a complete liquidation of
assets within the Trust and (2) proceeds to be distributed to the
appropriate holders of regular or residual interests.
The Servicers will fund advances of delinquent principal and
interest (P&I) on first-lien loans until the loan is either more
than 90 days delinquent (limited P&I advancing/stop-advance loan
under the Mortgage Bankers Association (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 transaction's cash flow structure is generally similar to that
of other recent 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). Class A-1A and
Class A-1B, 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 seniormost
Notes before being applied sequentially to amortize the balances of
the more subordinated Notes. Excess spread can be used to cover
realized losses first before being allocated to unpaid Cap
Carryover Amounts due to the senior notes. Class A-1 is an
exchangeable note and can be exchanged with Class A-1FCF and Class
A-1LCF as specified in the offering documents.
The senior fixed-rate coupons step up by 1.00% on and after the
accrual period in June 2030. Interest and principal otherwise
available to pay the Class B-3 interest and interest shortfalls may
be used to pay any Class A Cap Carryover amounts. Excess spread can
be used to cover realized losses first before being allocated to
unpaid Cap Carryover Amounts due to Class A Notes.
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 reviews;
-- Current loan status; and
-- Improved underwriting standards.
The transaction also includes the following challenges:
-- Debt service coverage ratio loans;
-- Certain nonprime, non-QM, and investor loans;
-- Limited servicer advances of delinquent P&I; and
-- The representations and warranties standard.
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 Certificates are the
related Interest Payment Amount, Interest Carryforward Amount, and
the related Note Amount.
Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1F,
A-1IO1, A-1IO2, A-1A, A-1B, A-2, and A-3 Notes also address the
credit risk associated with the increased rate of interest
applicable to the Notes if they remain outstanding on the step-up
date (July 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
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.
VERUS SECURITIZATION 2026-R5: Fitch Rates Class B-2 Notes 'B-sf'
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed notes issued by Verus Securitization Trust 2026-R5
(Verus 2026-R5).
Entity/Debt Rating Prior
----------- ------ -----
VERUS 2026-R5
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-1FCF LT WDsf Withdrawn AAA(EXP)sf
A-1LCF LT WDsf Withdrawn AAA(EXP)sf
A-2 LT AAsf New Rating AA(EXP)sf
A-3 LT Asf New Rating A(EXP)sf
M-1 LT BBB-sf New Rating BBB-(EXP)sf
B-1 LT BB-sf New Rating BB-(EXP)sf
B-2 LT B-sf 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
R LT NRsf New Rating NR(EXP)sf
Transaction Summary
The Verus 2026-R5 notes are supported by 939 loans with a balance
of $442.7 million, including $0.15 million, or 0.03% of the
aggregate pool balance in non-interest-bearing deferred principal
amounts as of May 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 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. Currently,
2.8% of the pool is delinquent, 13.9% is current but has
experienced delinquency (DQ) within the past 12 months, and 83.3%
is clean and current. Primary residence loans comprise 58.4% of the
Verus 2026-R5 transaction pool, followed by second home and
investor loans at 41.6%. In terms of documentation type, the
transaction consists predominantly of loans originated to a bank
statement program (36.4%) and debt service coverage ratio (DSCR)
loans at 27.7%. The remaining 35.9% of the population was
underwritten to a CPA P&L, asset underwriting, foreign national,
full or written verification of employment product.
The collateral has been updated since the publication of the
presale. Eleven loans were removed and most recent DQ supplements
were provided, resulting in a 3-bps-point decrease in AAA EL. The
structure was updated post-pricing on May 15. Coupons decreased
approximately 3 bps to 21 bps for the A-1 through B-1 classes. This
increased the excess spread to approximately 204 bps, a 3-bps
increase from the previous excess spread of 201 bps. As a result,
Fitch re-ran its cashflow analysis and confirmed the expected
ratings have not changed.
Fitch has withdrawn the 'AAA (EXP)sf'/Outlook Stable ratings for
classes A-1FCF and A-1LCF after the issuer provided an updated
transaction structure.
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-R5 has a final probability of default (PD) of
52.0% in the 'AAAsf' rating stress. Fitch's final loss severity in
the 'AAAsf' rating stress is 36.7%. The expected loss in the
'AAAsf' rating stress is 19.1%.
Structural Analysis: Verus 2026-R5 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 DQ trigger event occurs in a given
period, principal will be distributed 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, DQs 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. Additionally, all legal
requirements are satisfied to fully de-link the transaction from
any other entities. Fitch confirms Verus 2026-R5 is fully de-linked
and a bankruptcy remote 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-R5; 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 37.3% 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 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 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.
VIBRANT CLO XVI: Fitch Assigns 'BB-sf' Rating on Class D-R Notes
----------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the
Vibrant CLO XVI, Ltd. refinancing notes. Fitch has also affirmed
the class D-R notes with Stable Outlook.
Entity/Debt Rating Prior
----------- ------ -----
Vibrant CLO XVI, Ltd.
A-1A-R2 LT NRsf New Rating
A-1B-R 925930AU3 LT PIFsf Paid In Full AAAsf
A-1B-R2 LT AAAsf New Rating
A-2-R 925930AW9 LT PIFsf Paid In Full AAsf
A-2-R2 LT AAsf New Rating
B-R 925930AY5 LT PIFsf Paid In Full Asf
B-R2 LT A+sf New Rating
C-1-R 925930BA6 LT PIFsf Paid In Full BBBsf
C-1-R2 LT BBB+sf New Rating
C-2-R 925930BC2 LT PIFsf Paid In Full BBB-sf
C-2-R2 LT BBBsf New Rating
D-R 92558PAE7 LT BB-sf Affirmed BB-sf
Transaction Summary
Vibrant CLO XVI, Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that is managed by Vibrant
Credit Partners, LLC. The transaction was originally closed in May
2023 and was first reset in May 2025. This will be the second
refinancing, under which the class A-1A-R2, A-1B-R2, A-2-R2, B-R2,
C-1-R2 and C-2-R2 notes will be refinanced on June 3, 2026. Net
proceeds from the issuance of the refinanced notes, existing notes
and subordinated notes will provide financing on a portfolio of
approximately $399 million of primarily first lien senior secured
leveraged loans (including principal cash).
KEY RATING DRIVERS
Asset Credit Quality: The average credit quality of the indicative
portfolio is 'B+/B', which is in line with that of recent CLOs. The
weighted average rating factor (WARF) of the indicative portfolio
is 23.04, 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 97.18% first
lien senior secured loans. The weighted average recovery rate
(WARR) of the indicative portfolio is 73.61% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 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 that of other
recent CLOs.
Portfolio Management: The transaction has a 2.1-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.
FITCH ANALYSIS
The portfolio includes 328 assets from 276 primarily high-yield
obligors. In Fitch's view, 0.4% of the portfolio consists of assets
that are rated 'CC' or below. 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 the 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
42.4% of the current portfolio par balance; ratings for 57.6% of
the portfolio were derived using Fitch's Issuer Default Rating
equivalency map. As per Fitch's criteria, the analysis focused on
the Fitch stressed portfolio (FSP) for the refinancing notes and on
the indicative portfolio for the non-refinanced notes, if any.
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: 15.0%, 13.2%, and 12.0%, respectively;
- Assumed risk horizon: 6.11 years;
- Minimum weighted average spread of 2.80%;
- Minimum weighted average recovery rate of 67.50%;
- Maximum weighted average rating factor of 25.00;
- Fixed-rate assets: 5.00%;
- Minimum weighted average coupon of 7.50%;
The transaction will exit its reinvestment period on July 15,
2028.
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 A-1B-R2: 'AAAsf' / Default 42.70% / Recovery 39.34% /
Cushion 12.40%
- Class A-2-R2: 'AAsf' / Default 40.00% / Recovery 49.00% / Cushion
12.70%
- Class B-R2: 'A+sf' / Default 36.70% / Recovery 58.86% / Cushion
15.50%
- Class C-1-R2: 'BBB+sf' / Default 30.60% / Recovery 68.95% /
Cushion 18.20%
- Class C-2-R2: 'BBBsf' / Default 29.90% / Recovery 68.90% /
Cushion 14.10%
- Class D-R: 'BB-sf' / Default 22.40% / Recovery 73.66% / Cushion
13.10%
Fitch Stress Portfolio (FSP) Model Outputs:
- Class A-1B-R2: 'AAAsf' / Default 51.10% / Recovery 36.25% /
Cushion 2.80%
- Class A-2-R2: 'AAsf' / Default 47.50% / Recovery 42.50% / Cushion
0.00%
- Class B-R2: 'A+sf' / Default 43.70% / Recovery 52.50% / Cushion
3.00%
- Class C-1-R2: 'BBB+sf' / Default 37.30% / Recovery 62.50% /
Cushion 6.90%
- Class C-2-R2: 'BBBsf' / Default 36.50% / Recovery 62.50% /
Cushion 3.30%
- Class D-R: 'BB-sf' / Default 27.90% / Recovery 67.50% / Cushion
3.80%
The Fitch recovery rate definition, Fitch industry definition and
matrices have been amended to conform with Fitch's new criteria.
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-1B-R2, between
'BBB-sf' and 'A+sf' for class A-2-R2, between 'B+sf' and 'Asf' for
class B-R2, between less than 'B-sf' and 'BBB+sf' for class C-1-R2,
between less than 'B-sf' and 'BBB-sf' for class C-2-R2, and between
less than 'B-sf' and 'B+sf' for class D-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1B-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 A-2-R2, 'AAsf' for class B-R2,
'A+sf' for class C-1-R2, 'Asf' for class C-2-R2, and 'BBB+sf' for
class D-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Vibrant CLO XVI,
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.
VOYA CLO 2017-1: Moody's Affirms Ba3 Rating on $20MM Class D Notes
------------------------------------------------------------------
Moody's Ratings has upgraded the rating on the following notes
issued by Voya CLO 2017-1, Ltd.
US$27.5M Class C Deferrable Floating Rate Notes, Upgraded to Aa1
(sf); previously on Jan 22, 2026 Upgraded to Aa3 (sf)
Moody's have also affirmed the ratings on the following notes:
US$60M (Current outstanding amount USD17,592,540) Class A-2-R
Floating Rate Notes, Affirmed Aaa (sf); previously on Jan 22, 2026
Affirmed Aaa (sf)
US$32.5M Class B-R Deferrable Floating Rate Notes, Affirmed Aaa
(sf); previously on Jan 22, 2026 Affirmed Aaa (sf)
US$20M Class D Deferrable Floating Rate Notes, Affirmed Ba3 (sf);
previously on Jan 22, 2026 Upgraded to Ba3 (sf)
Voya CLO 2017-1, LTD., originally issued in April 2017 and
partially refinanced in May 2021, is a collateralised loan
obligation (CLO) backed by a portfolio of mostly high-yield senior
secured US loans. The portfolio is managed by Voya Alternative
Asset Management LLC. The transaction's reinvestment period ended
in April 2022.
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 January 2026.
The affirmations to the ratings on the Class A-2-R, B-R and D notes
are primarily a result of the expected losses on the notes
remaining consistent with their current rating levels, after taking
into account the CLO's latest portfolio, its relevant structural
features and its actual over-collateralisation ratios.
The Class A-2-R notes have been paid down by approximately USD30.3
million (50.5%) since the last rating action in January 2026. As a
result of the deleveraging, over-collateralisation (OC) has
increased for the senior and mezzanine rated notes. According to
the trustee report dated April 2026[1], the Class A, Class B and
Class C OC ratios are reported at 586.26%, 205.90% and 132.92%
compared to November 2025[2] levels of 278.66%, 166.01% and 123.70%
respectively. Class D OC ratio is reported at 105.68% and is
currently in compliance after prior marginal failures.
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: USD108.15m
Defaulted Securities: USD1.95m
Diversity Score: 44
Weighted Average Rating Factor (WARF): 3427
Weighted Average Life (WAL): 2.45 years
Weighted Average Spread (WAS): 3.10%
Weighted Average Recovery Rate (WARR): 46.69%
Par haircut in OC tests and interest diversion test: 5.1%
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 April 2026.
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. 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.
WARWICK CAPITAL 3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Warwick
Capital CLO 3 Ltd.
Entity/Debt Rating
----------- ------
Warwick Capital
CLO 3 Ltd.
A-1-R LT AAAsf New Rating
A-2-R LT AAAsf New Rating
B-R LT AAsf New Rating
C-R LT Asf New Rating
D-1A-R LT BBB+sf New Rating
D-1B-R LT BBB-sf New Rating
D-2-R LT BBB-sf New Rating
E-R LT BB-sf New Rating
Subordinated LT NRsf New Rating
Transaction Summary
Warwick Capital CLO 3 Ltd. (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Warwick Capital CLO 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', in line with 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 73.52% and will be managed to
a WARR covenant from a Fitch test matrix.
Portfolio Composition: The largest three industries may comprise up
to 45.5% 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 weighted average life (WAL) used for the transaction stress
portfolio is reduced by up to 12 months for 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-1-R, between
'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf'
for class B-R, between 'B+sf' and 'A-sf' for class C-R, between
less than 'B-sf' and 'BBB+sf' for class D-1A-R, between less than
'B-sf' and 'BBBsf' for class D-1B-R, and between less than 'B-sf'
and 'BBB-sf' for class D-2-R and between less than 'B-sf' and
'BB-sf' for class E-R.
Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade
Upgrade scenarios are not applicable to the class A-1-R and class
A-2-R notes as these notes are in the highest rating category of
'AAAsf'.
Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf'
for class D-1A-R, 'A+sf' for class D-1B-R, and 'A+sf' for class
D-2-R and 'BBB+sf' for class E-R.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.
ESG Considerations
Fitch does not provide ESG relevance scores for Warwick Capital CLO
3 Ltd.
In cases where Fitch does not provide ESG relevance scores in
connection with the credit rating of a transaction, program,
instrument or issuer, Fitch will disclose in the key rating drivers
any ESG factor which has a significant impact on the rating on an
individual basis.
WELLS FARGO 2017-RB1: Fitch Lowers Rating on Five Tranches to 'Csf'
-------------------------------------------------------------------
Fitch Ratings has downgraded seven and affirmed eight classes of
Wells Fargo Commercial Mortgage Trust 2017-RB1 (WFCM 2017-RB1).
Classes X-B and C have been assigned Negative Rating Outlooks
following their downgrades.
Entity/Debt Rating Prior
----------- ------ -----
WFCM 2017-RB1
A-4 95000TBR6 LT AAAsf Affirmed AAAsf
A-5 95000TBS4 LT AAAsf Affirmed AAAsf
A-S 95000TBU9 LT AAAsf Affirmed AAAsf
A-SB 95000TBT2 LT AAAsf Affirmed AAAsf
B 95000TBX3 LT A-sf Affirmed A-sf
C 95000TBY1 LT BBsf Downgrade BBB-sf
D 95000TAC0 LT CCCsf Affirmed CCCsf
E 95000TBA3 LT Csf Downgrade CCsf
E-1 95000TAE6 LT Csf Downgrade CCCsf
E-2 95000TAG1 LT Csf Downgrade CCsf
EF 95000TBE5 LT Csf Downgrade CCsf
F 95000TBC9 LT Csf Downgrade CCsf
X-A 95000TBV7 LT AAAsf Affirmed AAAsf
X-B 95000TBW5 LT BBsf Downgrade BBB-sf
X-D 95000TAA4 LT CCCsf Affirmed CCCsf
KEY RATING DRIVERS
Bsf' Loss Expectations Remains Elevated; Realized Losses; Maturity
Concentration: The deal-level 'Bsf' rating case loss for WFCM
2017-RB1 is 10.3%, compared with the expected loss of 10.2% at
Fitch's prior rating action. Fitch Loans of Concern (FLOCs)
comprise 11 loans (56.2% of the pool), including one specially
serviced loan (5.8%). The downgrades of the distressed classes are
due to high loss expectations on the specially serviced asset, 1166
Avenue of the Americas, and FLOCs.
Since Fitch's prior rating action, two specially serviced loans
were disposed with losses - 100 Ashford Center and 340 Bryant - for
a total realized loss of approximately $14.8 million. Transaction
realized losses total $17.2 million as of the May 2026 remittance.
The Negative Outlooks reflect the pool's high office concentration
(51.4% of the pool) and FLOC exposure. Classes with Negative
Outlooks have the potential for downgrades should the FLOCs not
stabilize, if loans are unable to be refinanced at maturity and/or
recovery expectations decline. In addition, the Negative Outlooks
incorporate refinance concerns on office FLOCs including The
Davenport (11%) and Center West (8%).
Due to the concentrated nature of the pool and near-term loan
maturities, Fitch performed a recovery and liquidation analysis
that grouped the remaining loans based on their current status,
collateral quality, and their perceived likelihood of repayment
and/or loss expectation to assess outstanding classes' ratings
relative to their credit enhancement (CE); the rating actions
incorporate this analysis. Higher probabilities of default were
assigned to loans that are anticipated to default or have already
defaulted at maturity due to performance declines and/or rollover
concerns.
FLOCs; Largest Contributors to Expected Loss: The largest
contributor to pool loss expectations is Center West, which is
secured by leasehold interest in a 351,789-sf office building
located in Los Angeles, CA. Occupancy has remained below 35% for
the past three years and was most recently reported at 35% as of YE
2025, resulting in cash flow insufficient to cover debt service.
The NCF DSCR has consistently remained below 1.0x, reaching 0.61x
at YE 2025, down from 1.71x in 2020 and 1.94x at issuance.
Fitch's 'Bsf' ratings case loss of approximately 42% (prior to
concentration add-ons) reflects a 10% cap rate, a 5% stress to the
YE 2025 NOI (due to the already depressed occupancy and cash flow)
and factors an increased probability of default to account for the
loan's heightened maturity default concerns given the leasehold
interest and low occupancy, resulting in a Fitch stressed value of
approximately $76 psf.
The second largest contributor to overall pool loss expectations is
the specially serviced 1166 Avenue of the Americas loan. The loan
is secured by floors two through six totaling 196,241 sf (11.1% of
the building's total square footage) of an office property located
in Midtown Manhattan built in 1974. Major tenants D.E. Shaw & Co
and Arcesium vacated upon their respective lease expirations in
2024, causing occupancy to decline to 37%. The loan transferred to
special servicing in July 2024 for imminent monetary default. As of
September 2025, the reported occupancy was 36%. The servicer is
dual tracking negotiations with the borrower while also pursuing
foreclosure.
Fitch's 'Bsf' rating case loss of approximately 49% (prior to
concentration add-ons) is based on a stress to the December 2025
appraised value, resulting in a Fitch stressed value of
approximately $254 psf. The reported appraisal value implies a 72%
value decline from issuance.
The third largest contributor to pool loss expectations is The
Davenport loan, which is secured by a 230,864-sf office property
located in Cambridge, MA. The property was built in 1888 and
renovated in 2015. The property is 100% leased to HubSpot, which
has been in occupancy since 2010. HubSpot vacated the property in
Q3 2023 and relocated across the street. Their lease expires in
October 2027. Per CoStar as of May 2026, the East Cambridge/Kendall
Square submarket has a vacancy rate of 19.9% for similar quality
properties. As of the May 2026 reporting date, the loan has a total
of approximately $11.6 million in reserves.
Fitch's 'Bsf' ratings case loss of approximately 16% (prior to
concentration add-ons) reflects a 9.25% cap rate, a 25% stress to
the YE 2025 NOI (due to dark tenant) and factors an increased
probability of default to account for the loan's heightened
maturity default concerns given the dark tenant, resulting in a
Fitch stressed value of $508 psf.
Change in Credit Enhancement: As of the May 2026 remittance report,
the balance of the WFCM 2017-RB1 transaction has been reduced by
21.7% to $499.1 million from $637.6 million at issuance. The
scheduled loan maturities are concentrated in 2027 (90.5% of the
pool); Center West matures in December 2026 and one loan (1.5%) has
an anticipated repayment date (ARD) in 2027. There are three
defeased loans (3.7%).
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 'AAAsf' rated classes with Stable Outlooks are not
expected due to the position in the capital structure and expected
continued amortization and loan repayments, but may occur if
deal-level losses increase significantly and/or interest shortfalls
occur.
Downgrades to the 'AAAsf', 'Asf' and 'BBsf' category rated classes
with Negative Outlooks are possible with higher-than-expected
losses from continued underperformance of the FLOCs, in particular
office loans with rollover concerns and refinance risk, and/or
loans default at or prior to maturity. These elevated risk loans
include The Davenport, Center West, 123 William Street, Hotel
Wilshire and Connecticut Financial Center.
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
Upgrades to the 'Asf' and 'BBsf' 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. Classes would not be upgraded
above 'AA+sf' if there is a likelihood of interest shortfalls.
However, upgrades would be limited based on sensitivity to
concentrations and would only occur if there is sustained improved
performance of FLOCs, including The Davenport, Center West, 123
William Street and Hotel Wilshire, coupled with lower loss
expectations.
Upgrades to distressed ratings are not expected but are possible
with better-than-expected recoveries on specially serviced loans or
significantly higher values and recovery expectations 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.
WESTLAKE AUTOMOBILE 2022-2: DBRS Confirms B(high) on Class F Notes
------------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) confirmed three credit ratings on
Westlake Automobile Receivables Trust 2022-2.
RATINGS
Debt Rated Rating Action
---------- ------ ------
Class D Notes AAA(sf) Confirmed
Class E Notes A(high)(sf) Confirmed
Class F Notes B(high)(sf) Confirmed
Credit rating rationale includes the key analytical
considerations:
-- Losses are tracking above the Morningstar DBRS initial base-case
cumulative net loss (CNL) expectation.
-- As a percentage of the current collateral balance, total
delinquencies have declined during the current payment date.
-- The credit rating actions are the result of collateral
performance to date and Morningstar DBRS' assessment of future
performance assumptions.
-- The transaction parties' capabilities regarding originating,
underwriting, and servicing.
-- The transaction assumptions consider Morningstar DBRS' baseline
macroeconomic scenarios for rated sovereign economies, available in
its commentary, "Baseline Macroeconomic Scenarios for Rated
Sovereigns March 2026 Update," published on March 27, 2026. 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.
[] DBRS Confirms Ratings on 6 Single-Asset/Single-Borrower Deals
----------------------------------------------------------------
DBRS, Inc. (Morningstar DBRS) took credit rating actions on the
following six single-asset/single-borrower (SASB) commercial
mortgage-backed securities transactions:
-- KSL Trust 2025-MAK
-- BX Trust 2025-LIFE
-- IP 2025-IP Mortgage Trust (IP 2025-IP)
-- CALI Commercial Mortgage Trust 2024-SUN (CALI 2024-SUN)
-- Wells Fargo Commercial Mortgage Trust 2025-NYCH (NYCH Portfolio
Trust)
-- WHARF Commercial Mortgage Trust 2025-DC (WHARF 2025-DC)
Morningstar DBRS confirmed the credit ratings on all 33 classes of
Commercial Mortgage Pass-Through Certificates within those
transactions. All trends are Stable.
These transactions closed between July 2024 and June 2025, and
given the lack of seasoning for these transactions, the property
level cash flow and other performance trend reporting since
issuance has been relatively limited. Accordingly, Morningstar DBRS
maintained its analytical assumptions from issuance in the analysis
for this review. Additional details on these assumptions can be
found in prior Morningstar DBRS publications (including the
issuance credit rating reports), with brief transaction level
overviews and updates provided below.
KSL Trust 2025-MAK
-- The $270.0 million loan is secured by the borrower's fee-simple
interest (and leasehold with respect to certain parcels) in one
independent full-service hospitality property, The Grand Hotel
(86.9% of the allocated loan amount (ALA); 388 keys) and one
limited-service hospitality property - Bicycle Street Inn (13.1% of
ALA - 84 keys) with a combined 472 keys located on Mackinac Island,
Michigan.
-- The floating-rate loan is interest-only (IO) and has an initial
two-year term with three 12-month extension options.
-- The sponsor, KSL Capital Partners (KSL), acquired the Grand
Hotel in 2019 and has invested $106.6 million ($225,795 per key) in
capital improvements, most recently renovating the pool and guest
bathrooms in 2021. KSL acquired Bicycle Street Inn in 2021.
-- The hotels are only available for room bookings from May to
October. As a result, the properties generally report negative net
cash flows (NCFs) during the winter season, but overall NCF is in
line with Morningstar DBRS' expectations.
-- The loan is structured with monthly deposits of approximately
$4.0 million from May to October to mitigate NCF disruptions during
the offseason. Prior to the first loan payment date, the sponsor
was required to pay a one-time $8.0 million into the seasonal
working capital reserve account.
-- As of YE2025, the property reported NCF of $25.1 million,
resulting in a debt service coverage ratio (DSCR) of 1.25 times (x)
compared with Morningstar DBRS' issuance derived figure of $23.7
million (a DSCR of 1.1x).
-- Morningstar DBRS maintained its valuation from issuance, which
was based on a capitalization rate of 8.78% and the Morningstar
DBRS NCF of $23.7 million. The resulting Morningstar DBRS Value of
$269.9 million represents a variance of -25.9% from the issuance
appraised value of $364.0 million. Morningstar DBRS also maintained
total positive qualitative adjustments of 3.0% to the Loan-to-Value
(LTV) Sizing Benchmarks to account for the property's strong market
fundamentals, and relatively low cash flow volatility.
BX Trust 2025-LIFE
-- The $1.3 billion loan is secured by the borrower's sub-leasehold
interest in an eight-property portfolio known as University Park in
Cambridge, Massachusetts. The portfolio totals 1.3 million square
feet (sf) of life sciences office and laboratory space, and two
parking structures.
-- The fixed-rate loan is IO for the entire 10-year term.
-- Massachusetts Institute of Technology holds the leased fee
interest, and all ground leases expire in April 2099. The sponsor
is BioMed Realty, L.P., a Blackstone Real Estate portfolio company,
which has prepaid the ground rent for the first eight years,
starting in June 2024, and for the final 25 years of the ground
lease.
-- As of the September 2025 rent roll, the portfolio reported a
weighted-average occupancy rate of 95.9% with nearly 50.0% of net
rentable area (NRA) occupied by investment-grade tenants. Takeda
Pharmaceutical Limited is the largest tenant at 37.7% of NRA with
lease expirations scheduled between June 2030 and January 2032.
-- According to a Q4 2025 market report from CBRE, the East
Cambridge submarket reported a vacancy rate of 18.0%, up from Q4
2024 rate of 10.7%.
-- For the trailing 12-month (T-12) period ended September 30,
2025, the portfolio NCF and DSCR were $141.4 million and 1.87x,
respectively, compared to the Morningstar DBRS figures of $115.4
million and 1.35x.
-- Morningstar DBRS maintained the valuation approach from
issuance, which was based on a 6.73% capitalization rate applied to
the Morningstar DBRS NCF of $115.4 million. In addition, $49.7
million value adjustment was included to account for prepaid ground
rent, bringing the final value to $1.8 billion, which represents a
variance of -26.5% from the issuance appraised value of $2.4
billion. Morningstar DBRS also maintained positive qualitative
adjustments of 5.75% to the LTV sizing benchmarks to account for
the collateral's premium property quality and strong market
fundamentals.
IP 2025-IP
-- The $675.0 million mortgage loan is secured by the fee-simple
interest in Independence Plaza, a 1,328-unit multifamily property
with 51,419 sf of retail space and 539 parking spaces, in the
Tribeca neighborhood of New York City.
-- The fixed-rate loan is IO through its five-year loan term.
-- The property was originally built in 1975 and the sponsor (joint
venture between Stellar Management and Vornado Realty Trust) is
working toward converting units under Section 8 and the Landlord
Assistance Program (LAP) to free-market rent units. At issuance,
the unit mix comprised 805 market-rate units (60.6%), 252 Section 8
units (19.0%), and 267 LAP units (20.1%), indicating strong
potential for rental upside.
-- No recent financials have been provided since issuance and
updates regarding the unit conversions have been requested from the
servicer.
-- Morningstar DBRS maintained its valuation approach from
issuance, which was based on the Morningstar DBRS NCF of $46.1
million and a capitalization rate of 6.0%. The resulting
Morningstar DBRS Value of $768.8 million represents a -33.1%
variance from the issuance appraised value of $1.2 billion.
Morningstar DBRS also maintained positive qualitative adjustments
of 5.0% to the LTV sizing benchmarks to reflect the rental upside
as subsidized units are converted, good property quality, and
location of the subject.
CALI 2024-SUN
-- The $280.0 million loan is secured by the fee-simple interest in
two full-service luxury hotels located in Santa Monica, California,
Shutters on the Beach and Hotel Casa del Mar. The collateral
properties benefit from prime beachfront location in addition to
their strong base in tourism, high barriers to entry due to strict
zoning laws, and severe supply constraints.
-- The two-year, IO, floating-rate loan has three one-year
extension options with a fully extended maturity date of July 2029.
The loan is on under servicer's watchlist given its upcoming July
2026 maturity. In order to exercise an extension option, the
borrower is required to purchase an interest rate cap agreement.
Also, the loan is required to meet debt yield hurdles of 8.5% and
9.5% to exercise the second and third extension option,
respectively.
-- In addition to the $280.0 million mortgage loan, the structure
includes a $120.0 million unsecured mezzanine loan, co-terminous
with the senior loan.
-- As per the most recent STR report, the portfolio reported a
T-12-month period ended December 31, 2025, occupancy rate, average
daily rate (ADR), and revenue per available room (RevPAR) of 66.7%,
$732, and $488, respectively, compared with the RevPAR at issuance
of $551.
-- As of YE2025, the properties reported a NCF of $13.5 million (a
DSCR of 0.65x), below the Morningstar DBRS NCF derived at issuance
of $24.9 million (a DSCR of 1.39x). However, the decline was
primarily due to the 2025 Los Angeles fire, during which the
subject properties served as a refuge for emergency personnel and
evacuees, and as such, performance is expected to rebound in the
near term.
-- Morningstar DBRS maintains a positive outlook given the
properties' excellent premium quality and prime beach location with
proximity to major demand drivers including the Santa Monica Pier,
Third Street Promenade, and Santa Monica Place. Morningstar DBRS
maintained its valuation approach from issuance, which was based on
the Morningstar DBRS NCF of $24.9 million and a capitalization rate
of 7.75%. The resulting Morningstar DBRS Value of $321.6 million
represents a -46.9% variance to the issuance appraised value of
$605.4 million. In addition, Morningstar DBRS maintained positive
qualitative adjustments totaling 8.0% to reflect the portfolio's
strong market fundamentals, premium property quality, and generally
low cash flow volatility.
NYCH Portfolio Trust
-- The $235.0 million loan is collateralized by the borrower's
fee-simple interest in a portfolio of seven Manhattan hotel
properties totaling 1,087 keys, primarily limited-service assets
with one full-service property, operating under Hilton and IHG
brands.
-- The floating-rate loan is IO and has an initial two-year loan
term with three one-year extension options available.
-- The sponsor, Mack Real Estate Group, is focused on maintaining
the portfolio through ongoing, smaller-scale improvements funded
from reserves, with no major renovation program currently
contemplated.
-- According to the most recent STR reports, the portfolio reported
a T-12 period ended December 31, 2025, weighted-average occupancy,
ADR, and RevPAR of 89.3%, $230, and $206, respectively, above the
issuance RevPAR of $194.
-- The YE2025 NCF was reported at $28.4 million (DSCR of 1.61x),
compared with the Morningstar DBRS NCF of $25.9 million (DSCR of
1.31x).
-- Morningstar DBRS maintained its valuation approach from
issuance, which was based on the Morningstar DBRS NCF of $25.9
million and a capitalization rate of 8.53%. The resulting
Morningstar DBRS Value of $303.9 million represents a -25.4%
variance from the issuance appraised value of $407.3 million.
Morningstar DBRS also maintained positive qualitative adjustments
totaling 3.5% to reflect the portfolio's good location in downtown
Manhattan and cash flow improvement from the impacts of the
coronavirus pandemic.
WHARF 2025-DC
-- The $1.0 billion loan is secured by by the borrower's leasehold
interest in an approximately 2.2 million-sf portion of the 3.3
million-sf, luxury, mixed-use development, The Wharf, in southwest
Washington, D.C. The subject benefits from its one-of-a-kind
location situated along the Washington Channel.
-- The fixed-rate loan is IO with a loan term of five years.
-- The sponsor, Public Sector Pension Investment Board, is one of
the largest pension investment managers in Canada with assets under
management of CAD 299.7 billion as of March 2025.
-- At closing, the occupancy of the office, retail, and multifamily
were all above 90.0% occupied while the hospitality components fell
just below 80.0%. The property benefits from a well-staggered rent
roll, with only 4.70% of the NRA (from the major office and retail
tenants) expiring prior to the loan's July 2030 maturity.
-- The office component includes five investment-grade-rated
tenants, comprising 11.7% of the office NRA. The Wharf's retail
component offers a diverse experience, complete with a concert
venue, three Michelin Guide restaurants, and a James Beard
Foundation Award-winning restaurant.
-- There have been no releases to the collateral since closing.
Morningstar DBRS maintained its valuation from issuance, which is
based on the Morningstar DBRS NCF of $90.1 million and a
capitalization rate of 7.51%. The resulting Morningstar DBRS Value
of $1.2 billion represents a -30.7% variance from the issuance
appraised value of $1.7 billion. Morningstar DBRS also maintained a
positive qualitative adjustment totaling 5.0% to reflect the
collateral's premium quality, good location, and low cash flow
volatility.
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.
[] DBRS Cuts & Discontinues Ratings on 4 Classes on 3 CBMS Deals
----------------------------------------------------------------
DBRS Limited (Morningstar DBRS) downgraded the credit ratings on
four classes across three transactions as follows:
JPMBB Commercial Mortgage Securities Trust 2014-C26 (JPMBB
2014-C26)
-- Class F to D (sf) from C (sf)
COMM 2014-LC15 Mortgage Trust (COMM 2014-LC15)
-- Class F to D (sf) from C (sf)
COMM 2014-UBS4 Mortgage Trust (COMM 2014-UBS4)
-- Class E to D (sf) from C (sf)
-- Class F to D (sf) from C (sf)
Following the credit rating downgrades, Morningstar DBRS will
subsequently discontinue and withdraw its credit ratings on all
aforementioned classes. In addition, Morningstar DBRS withdrew the
credit ratings on Classes X-C and X-D in the COMM 2014-UBS4
transaction as the reference bonds for both classes incurred a loss
with the April 2026 remittance.
Morningstar DBRS downgraded the credit ratings because of losses to
the respective trusts that were reflected with the March 2026 and
April 2026 remittances.
The JPMBB 2014-C26 transaction incurred a loss of $42.8 million,
wiping out the unrated Class NR and eroding $7.3 million of Class
F. The loss was tied to the liquidation of the Heron Lakes loan
(Prospectus ID#4). The loan-level loss was in line with Morningstar
DBRS' expected loss (EL) of $44.3 million at the last review.
The COMM 2014-LC15 transaction incurred a loss of $868,000, wiping
out Class G and eroding $341,000 of Class F. The loss was tied to
the liquidation of the Ithaca Hotel Portfolio loan (Prospectus
ID#27). The loan-level loss was in line with Morningstar DBRS' EL
of $914,000 at the last review. This concludes Morningstar DBRS'
surveillance of this transaction.
The COMM 2014-UBS4 transaction incurred a loss of $58.9 million,
wiping out the unrated Class G, Class F, and eroding $20.9 million
of Class E. The loss was tied to the liquidation of the 597 Fifth
Avenue loan (Prospectus ID#2). The loan-level loss was lower than
Morningstar DBRS' EL of $72.8 million at the last review. In
addition, Morningstar DBRS withdrew the credit ratings on Classes
X-C and X-D because of the loss incurred to its respective
reference bonds, Classes E and F.
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.
[] DBRS Reviews 51 Classes Across 10 US RMBS Deals
--------------------------------------------------
DBRS, Inc. (Morningstar DBRS) reviewed 51 classes across 10 U.S.
residential mortgage-backed securities (RMBS) transactions. Of the
10 transactions reviewed, 8 are classified as reperforming
mortgages and two as a securitization of a revolving portfolio of
residential transition loans (RTLs). Of the 51 classes reviewed,
Morningstar DBRS upgraded its credit ratings on 10 classes and
confirmed its credit ratings on the remaining 41 classes.
The Issuers are:
- CIM Trust 2022-R2
- MFA 2021-RPL1 Trust
- CIM Trust 2020-R5
- CAFL 2025-RRTL1 Issuer, LP
- NYMT Loan Trust Series 2024-BPL2
- Citigroup Mortgage Loan Trust 2021-RP4
- BRAVO Residential Funding Trust 2020-RPL1
- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-2
- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1
- Towd Point Mortgage Trust 2020-4
A list of the Ratings is available at https://tinyurl.com/4m855b8m
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 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.
Notes: All figures are in US Dollars unless otherwise noted.
[] Moody's Upgrades Ratings on 4 Bonds from 4 US RMBS Deals
-----------------------------------------------------------
Moody's Ratings has upgraded the ratings of four bonds from four US
residential mortgage-backed transactions (RMBS), backed by Alt-A
and subprime mortgages issued by multiple issuers.
A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.
The complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2004-3, Asset-Backed Notes,
Series 2004-3
Cl. 1M2, Upgraded to Aa1 (sf); previously on Sep 8, 2025 Upgraded
to A1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-6
Cl. I-M-1, Upgraded to Ca (sf); previously on Jul 13, 2010
Downgraded to C (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC3
Cl. M-3, Upgraded to Ba1 (sf); previously on Oct 16, 2024 Upgraded
to B1 (sf)
Issuer: Terwin Mortgage Trust, Series TMTS 2005-10HE
Cl. M-5, Upgraded to Caa1 (sf); previously on Sep 8, 2025 Upgraded
to Caa3 (sf)
RATINGS RATIONALE
The rating actions reflect the current levels of credit enhancement
available to the bonds, the recent performance, analysis of the
transaction structures, Moody's updated loss expectations on the
underlying pools and Moody's revised loss-given-default expectation
for each bond.
Some of the bonds experiencing a rating change has either incurred
a missed or delayed disbursement of an interest payment or is
currently, or expected to become, undercollateralized, which may
sometimes be reflected by a reduction in principal (a write-down).
Moody's expectations of loss-given-default assesses losses
experienced and expected future losses as a percent of the original
bond balance.
The rest of the rating upgrades, for bonds that have not or are not
expected to take a loss, are a result of the improving performance
of the related pools, and/or an increase in credit enhancement
available to the bonds. The credit enhancement over the past 12
months has grown, on average, 1.06x for these bonds. Moody's
analysis also considered the existence of historical interest
shortfalls for some of the bonds.
No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.
Principal Methodology
The principal methodology used in these ratings was "US Residential
Mortgage-backed Securitizations: Surveillance" published in
December 2024.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] Moody's Upgrades Ratings on 49 Bonds from 10 US RMBS Deals
-------------------------------------------------------------
Moody's Ratings has upgraded the ratings of 49 bonds from 10 US
residential mortgage-backed transactions (RMBS), backed by prime
jumbo, agency eligible, and non-qualified mortgage loans issued by
J.P. Morgan.
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: J.P. Morgan Mortgage Trust 2025-1
Cl. B-1, Upgraded to Aa2 (sf); previously on Jan 31, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jan 31, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Jan 31, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Jan 31, 2025 Definitive
Rating Assigned A3 (sf)
Cl. B-2-A, Upgraded to A1 (sf); previously on Jan 31, 2025
Definitive Rating Assigned A3 (sf)
Cl. B-2-X*, Upgraded to A1 (sf); previously on Jan 31, 2025
Definitive Rating Assigned A3 (sf)
Cl. B-3, Upgraded to Baa2 (sf); previously on Jan 31, 2025
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba2 (sf); previously on Jan 31, 2025
Definitive Rating Assigned Ba3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2025-2
Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 28, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aa2 (sf); previously on Feb 28, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Feb 28, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A2 (sf); previously on Feb 28, 2025 Definitive
Rating Assigned A3 (sf)
Cl. B-2-A, Upgraded to A2 (sf); previously on Feb 28, 2025
Definitive Rating Assigned A3 (sf)
Cl. B-2-X*, Upgraded to A2 (sf); previously on Feb 28, 2025
Definitive Rating Assigned A3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2025-5MPR
Cl. A-3, Upgraded to Aa3 (sf); previously on May 30, 2025
Definitive Rating Assigned A1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2025-6
Cl. B-1, Upgraded to Aa2 (sf); previously on Jul 31, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jul 31, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Jul 31, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Jul 31, 2025 Definitive
Rating Assigned A2 (sf)
Cl. B-2-A, Upgraded to A1 (sf); previously on Jul 31, 2025
Definitive Rating Assigned A2 (sf)
Cl. B-2-X*, Upgraded to A1 (sf); previously on Jul 31, 2025
Definitive Rating Assigned A2 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Jul 31, 2025 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded
to Ba1 (sf)
Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 21, 2025 Upgraded
to B1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2025-7MPR
Cl. A-3, Upgraded to Aa3 (sf); previously on Aug 29, 2025
Definitive Rating Assigned A1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2025-CCM1
Cl. B-2, Upgraded to A1 (sf); previously on Jan 31, 2025 Definitive
Rating Assigned A2 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 31, 2025
Definitive Rating Assigned Ba2 (sf)
Issuer: J.P. Morgan Mortgage Trust 2025-CCM2
Cl. B-1, Upgraded to Aa2 (sf); previously on Apr 30, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-2, Upgraded to A1 (sf); previously on Apr 30, 2025 Definitive
Rating Assigned A3 (sf)
Cl. B-3, Upgraded to Baa1 (sf); previously on Apr 30, 2025
Definitive Rating Assigned Baa3 (sf)
Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 30, 2025
Definitive Rating Assigned Ba2 (sf)
Issuer: J.P. Morgan Mortgage Trust 2025-CCM3
Cl. A-9, Upgraded to Aaa (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa1 (sf)
Cl. A-9-A, Upgraded to Aaa (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa1 (sf)
Cl. A-9-X*, Upgraded to Aaa (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-2*, Upgraded to Aaa (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-3*, Upgraded to Aaa (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-4*, Upgraded to Aaa (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa1 (sf)
Cl. A-X-5*, Upgraded to Aaa (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa1 (sf)
Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Jun 30, 2025
Definitive Rating Assigned Aa3 (sf)
Cl. B-3, Upgraded to A3 (sf); previously on Jun 30, 2025 Definitive
Rating Assigned Baa2 (sf)
Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 30, 2025
Definitive Rating Assigned Ba1 (sf)
Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded
to Ba3 (sf)
Issuer: J.P. Morgan Seasoned Mortgage Trust 2025-1
Cl. B-2, Upgraded to A1 (sf); previously on Jun 30, 2025 Definitive
Rating Assigned A2 (sf)
Cl. B-5, Upgraded to B2 (sf); previously on Jun 30, 2025 Definitive
Rating Assigned B3 (sf)
Issuer: J.P. Morgan Wealth Management Reference Notes, Series
2021-CL1
Cl. M-1, Upgraded to Aa2 (sf); previously on Feb 26, 2021
Definitive Rating Assigned Aa3 (sf)
Cl. M-5, Upgraded to Baa3 (sf); previously on Feb 6, 2025 Upgraded
to Ba1 (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 0.01% 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, 1.38x 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 May 2026.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.
Down
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.
An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.
[] S&P Takes Various Actions on 31 Classes From 25 US RMBS Deals
----------------------------------------------------------------
S&P Global Ratings completed its review of 31 classes from 25 U.S.
RMBS transactions issued between 2002 and 2007. The review yielded
18 downgrades and 13 discontinuances.
S&P said, "The rating actions reflect our analysis of the
transactions' interest shortfalls and/or missed interest payments
and assessment of the principal writedowns on the affected classes.
We lowered our ratings in accordance with our "S&P Global Ratings
Definitions," 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, 10 classes from seven 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.
"Where the class received principal write-downs during recent
remittance periods, we lowered our ratings on five classes from
five transactions. All these five classes with ratings lowered to
'D (sf)' were rated 'CCC (sf)' before the rating action."
All the transactions in this review receive credit enhancement from
a combination of subordination, excess spread, and
overcollateralization (where applicable).
S&P said, "In accordance with our surveillance and withdrawal
policies, we discontinued 13 ratings from 11 transactions that had
observed interest shortfalls or missed interest payments during
recent remittance periods. We had previously lowered our rating 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.
"We will continue to monitor our ratings on securities that
experience interest shortfalls and/or missed interest payments or
principal write-downs, and we will further adjust our ratings as we
consider appropriate according to our criteria."
Ratings List
Rating
Issuer
Series Class CUSIP To From
Morgan Stanley ABS Capital I Inc. Trust 2005-NC1
2005 NC1 M-2 61744CML7 CCC (sf) B (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
Ownit Mortgage Loan Trust 2006-4
2006-4 A-2D 69121QAE1 D (sf) CC (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
Deutsche Alt-A Securities Inc Mortgage Loan Trust
Series 2003-4XS
2003-4XS A-5 251510CF8 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
Quest Trust 2006-X2
2006-X2 A-2 74836YAB6 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
DSLA Mortgage Loan Trust 2006-AR1
2006-AR1 2A-1A 23332UGM0 D (sf) CCC (sf)
Primary rating driver(s): Interest shortfalls
Alternative Loan Trust 2007-OA3
2007-OA3 1-A-1 02150TAA8 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
Morgan Stanley ABS Capital I Inc. Trust 2005-NC1
2005 NC1 M-1 61744CMK9 BBB (sf) A (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
Alternative Loan Trust 2007-OH3
2007-OH3 A-1-B 02151DAD6 D (sf) CCC (sf)
Primary rating driver(s): Interest shortfalls
Park Place Securities, Inc.
2004-WCW2 M-3 70069FAZ0 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
Ownit Mortgage Loan Trust 2006-4
2006-4 A-2C 69121QAD3 D (sf) CC (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
2003-CB3 Trust
2003-CB3 AF-1 12489WGJ7 BBB+ (sf) A+ (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5
2007-OA5 A-2 25150XAB8 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
Renaissance Home Equity Loan Trust 2002-3
2002-3 M-2 75970NAC1 D (sf) CC (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
CDC Mortgage Capital Trust 2003-HE4
2003-HE4 A-3 12506YBZ1 AA+ (sf) AAA (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
Fremont Home Loan Trust 2004-A
2004-A M-1 35729PCK4 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
RAMP Series 2004-SL1 Trust
2004-SL1 A-I-2 7609852G5 A- (sf) A (sf)
Primary rating driver(s): Interest shortfalls
ABFC 2004-OPT4 Trust
2004-OPT4 M-1 04542BHD7 BB (sf) BBB (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4
2004-HE4 M-3 004421JK0 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4
2004-HE4 M-1 004421JH7 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
ABFC 2005-HE1 Trust
2005-HE1 M-4 04542BKV3 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
Home Equity Mortgage Loan Asset-Backed Trust,
Series INABS 2006-D
2006-D 2A-4 43709LAD9 D (sf) CC (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
Argent Securities Inc.
2003-W3 M-2 040104BG5 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4
2004-HE4 M-2 004421JJ3 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
CWABS Asset-Backed Certificates Trust 2004-12
2004-12 MF-1 126673NF5 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
Home Equity Mortgage Loan Asset-Backed Trust,
Series INABS 2006-D
2006-D 2A-3 43709LAC1 D (sf) CC (sf)
Primary rating driver(s): Ultimate repayment of missed
interest unlikely at higher rating levels.
Alternative Loan Trust 2007-OH3
2007-OH3 A-1-A 02151DAC8 NR D (sf)
Primary rating driver(s): Discontinued, as an upgrade to a
rating higher than 'D (sf)' is unlikely in the future under
the relevant criteria.
Fannie Mae REMIC Trust 2003-W1
2003-W1 B-1 31392GWE1 D (sf) CCC (sf)
Primary rating driver(s): Principal-writedown.
Bear Stearns ARM Trust 2003-9
2003-9 B-1 07384MD66 D (sf) CCC (sf)
Primary rating driver(s): Principal-writedown.
Credit Suisse First Boston Mortgage Securities Corp.
2004-4 D-B-1 22541SVP0 D (sf) CCC (sf)
Primary rating driver(s): Principal-writedown.
JPMorgan Mortgage Trust 2005-S2
2005-S2 2-A-4 466247UW1 D (sf) CCC (sf)
Primary rating driver(s): Principal-writedown.
MASTR Alternative Loan Trust 2004-3
2004-3 B-1 576434PK4 D (sf) CCC (sf)
Primary rating driver(s): Principal-writedown.
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