Morningstar DBRS Takes Credit Rating Actions on Two Crossroads Asset Trust Transactions
EquipmentDBRS, Inc. (Morningstar DBRS) upgraded two and confirmed four credit ratings across two Crossroads Asset Trust Transactions.
The credit rating actions are based on the following analytical considerations:
-- Crossroads Asset Trust 2022-A has amortized to a pool factor of 25.94% and has a current cumulative net loss (CNL) to date of 7.19%. The higher than initially expected losses were due to headwinds in the transportation industry. Despite that, losses have stabilized over the past several months, and available hard credit enhancement (CE) has grown substantially across all tranches, sufficient to support the previously revised projected remaining CNL assumption. Morningstar DBRS has confirmed and upgraded credit ratings for this transaction.
-- Crossroads Asset Trust 2024-A has amortized to a pool factor of 73.81% and has a current cumulative net loss (CNL) to date of 2.12%. Losses have been coming in at a slightly faster pace, but significantly lower than the 2022-A transaction on a period-by-period basis. CE has increased for the two rated notes, sufficient to support a revised projected remaining CNL assumption at a multiple commensurate with the credit ratings. Therefore, Morningstar DBRS has confirmed the credit ratings on the two rated notes for this transaction.
-- The transaction parties' capabilities with respect to origination, 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 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.
Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.
Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.
ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (May 16, 2025) https://dbrs.morningstar.com/research/454196.
Notes:
All figures are in US dollars unless otherwise noted.
The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025) https://dbrs.morningstar.com/research/456340.
Other methodologies referenced in these transactions are listed at the end of this press release.
The credit ratings were initiated at the request of the rated entity.
The rated entity or its related entities did participate in the credit rating process for these credit rating actions.
Morningstar DBRS had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.
These are solicited credit ratings.
For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.
DBRS, Inc.
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.
-- Operational Risk Assessment for U.S. ABS Originators and Servicers (March 26, 2025),
https://dbrs.morningstar.com/research/450709
-- Legal Criteria for U.S. Structured Finance (December 3, 2024),
https://dbrs.morningstar.com/research/444064
-- Rating U.S. Structured Finance Transactions (March 10, 2025),
https://dbrs.morningstar.com/research/449616
-- Rating U.S. Equipment Lease and Loan Securitizations (June 13, 2025)
https://dbrs.morningstar.com/research/456268
For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.