/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240225.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, February 25, 2024, Vol. 28, No. 55 Headlines A&D MORTGAGE 2024-NQM1: DBRS Finalizes B(low) Rating on B-2 Certs ACAM 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes AFFIRM ASSET 2024-A: DBRS Gives Prov. BB Rating on Class E Notes AGL CLO 29: Fitch Assigns 'BB-(EXP)' Rating on Class E Notes AMERICAN CREDIT 2024-1: DBRS Finalizes BB Rating on Class E Notes ANGEL OAK 2024-2: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Certs ANTARES 2019-2: S&P Assigns BB- (sf) Rating on Class E-R Notes BAIN CAPITAL 2024-1: Fitch Assigns BB-(EXP) Rating on Cl. E Notes BALLYROCK 2019-2: S&P Assigns Prelim 'BB-' Rating on D-2-RR Notes BALLYROCK CLO 2019-2: S&P Assigns BB- (sf) Rating on D-2-RR Notes BARINGS CLO 2024-I: S&P Assigns BB- (sf) Rating on Class E Notes BATTALION CLO XV: S&P Affirms BB- (sf) Rating on Class E Notes BBCMS TRUST 2015-SRCH: Fitch Affirms 'BB+sf' Rating on Cl. E Certs BEAR STEARNS 2007-PWR18: DBRS Confirms C Rating on 3 Classes BENCHMARK 2020-IG1: Fitch Lowers Rating on Class C Certs to 'BBsf' BENCHMARK 2020-IG3: DBRS Confirms BB(high) Rating on BX-C Certs BSST 2021-SSCP: DBRS Confirms B(low) Rating on Class G Certs BX COMMERCIAL 2022-AHP: DBRS Confirms B(low) Rating on F Certs BX COMMERCIAL 2024-MF: DBRS Gives Prov. B Rating on HRR Certs CALI MORTGAGE 2019-101C: S&P Affirms CCC (sf) Rating on HRR Certs CFCRE 2016-C3: Fitch Affirms CC Rating on 2 Tranches CHASE HOME 2024-1: DBRS Gives Prov. B(low) Rating on B-5 Certs CHASE HOME 2024-RPL1: Moody's Gives (P)Ba2 Rating to Cl. B-2 Certs CITIGROUP COMMERCIAL 2014-GC21: DBRS Cuts F Credit Rating to C COLLEGE LOAN I - 2007-2: Fitch Affirms B Rating on Class B-1 Debt COMM 2013-CCRE6: DBRS Confirms C Credit Rating on Class F Certs COMM 2014-CCRE20: DBRS Cuts Credit Rating of 2 Classes to CCC COMM 2014-CCRE21: DBRS Confirms C Rating on 2 Classes COMM 2018-HOME: Fitch Lowers Rating on Class HRR Certs to 'BBsf' COREVEST AMERICAN 2017-1: DBRS Confirms B(sf) Rating on Class G CORNHUSKER FUNDING 1C: DBRS Finalizes B Rating on Class C Notes CPS AUTO 2024-A: DBRS Finalizes BB Rating on Class E Notes DBWF 2016-85T: S&P Lowers Class E Certs Rating to 'B- (sf)' ELMWOOD CLO I: S&P Assigns BB- (sf) Rating on Class E-RR Notes FORTRESS CREDIT XXIII: S&P Assigns Prelim BB- (sf) Rating E Loans GOODLEAP 2022-4: S&P Places 'BB+' Rating on C Notes on Watch Neg. GS MORTGAGE 2024-PJ1: DBRS Gives Prov. B(high) Rating on B-5 Notes HUDSON'S BAY 2015-HBS: DBRS Confirms B Rating on X-2-FL Certs IVY HILL XXII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes JP MORGAN 2011-C3: DBRS Cuts Class E Credit Rating to C JP MORGAN 2024-2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs LCM XXII: S&P Affirms B+ (sf) Rating on Class D-R Notes MCR 2024-HTL: S&P Affirms BB- (sf) Rating on Class E Certificates MF1 2024-FL14: DBRS Gives Prov. B(low) Rating on 3 Classes MIDOCEAN CREDIT VIII: Fitch Affirms 'B+sf' Rating on Class F Notes MORGAN STANLEY 2013-C7: DBRS Confirms C Credit Rating on 4 Classes MSC 2011-C3: DBRS Confirms B Rating on Class X-B Certs NORTHWOODS 22: S&P Assigns Prelim BB-(sf) Rating on Cl. E-RR Notes OCTAGON 49: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes OZLM FUNDING II: S&P Affirms BB- (sf) Rating on Class D-R2 Notes PRKCM 2024-AFC1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes PRPM 2024-RCF1: DBRS Finalizes BB Rating on Class M-2 Notes RAD CLO 2: Moody's Lowers Rating on $6MM Class F Notes to Caa1 READY CAPITAL 2018-4: DBRS Confirms B(low) Rating on Class G Certs READY CAPITAL 2019-6: DBRS Confirms BB Rating on Class F Certs RFMSI TRUST 2007-S4: Moody's Lowers Rating on Cl. A-8 Certs to Caa3 ROCKFORD TOWER 2020-1: S&P Assigns BB- (sf) Rating on E-R Notes SHACKLETON CLO 2017-X: Moody's Cuts Rating on $25MM E Notes to B1 SYMPHONY CLO XVII: Moody's Ups Rating on $25MM E-R Notes From Ba1 TPR FUNDING 2022-1: DBRS Confirms B(low) Rating on E Advances TRTX 2019-FL3: DBRS Cuts Class G Credit Rating to CCC VERUS SECURITIZATION 2024-1: DBRS Finalizes B Rating on B-2 Notes [*] DBRS Reviews 102 Classes From 15 US Rental Transactions [*] DBRS Reviews 116 Classes From 8 US RMBS Transactions [*] DBRS Reviews 143 Classes From 27 US RMBS Transactions [*] DBRS Reviews 514 Classes From 14 US RMBS Transactions [*] Fitch Affirms Ratings on 11 Sierra Timeshare Trusts [*] Fitch Affirms Ratings on 31 Classes From Four CDOs [*] Moody's Takes Action on $104MM of US RMBS Issued 2001-2007 [*] Moody's Takes Action on $64.6MM of US RMBS Issued 2004-2006 [*] S&P Takes Various Actions on 106 Classes From 41 US RMBS Deals ********* A&D MORTGAGE 2024-NQM1: DBRS Finalizes B(low) Rating on B-2 Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage Pass-Through Certificates, Series 2024-NQM1 (the Certificates) issued by A&D Mortgage Trust 2024-NQM1 (the Trust): -- $268.8 million Class A-1 at AAA (sf) -- $28.7 million Class A-2 at AA (low) (sf) -- $34.2 million Class A-3 at A (low) (sf) -- $16.3 million Class M-1 at BBB (low) (sf) -- $27.5 million Class B-1 at BB (low) (sf) -- $10.8 million Class B-2 at B (low) (sf) The AAA (sf) credit rating on the Class A-1 Certificates reflects 31.55% 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 24.25%, 15.55%, 11.40%, 4.40%, and 1.65% 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 nonprime first and second lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,065 loans with a total principal balance of approximately $393,655,813 as of the Cut-Off Date (January 1, 2024). The originators for the mortgage pool are A&D Mortgage LLC (ADM; 91.2%) and others (8.8%). ADM originated the mortgages under the following five programs: -- Super Prime -- Prime -- Debt Service Coverage Ratio (DSCR) -- Foreign National – Full Doc -- Foreign National – DSCR -- Second Lien ADM will act as the Sponsor and the Servicer for all loans. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer and Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as the Securities Administrator and Certificate Registrar. Wilmington Trust, National Association will serve as the Custodian, and Wilmington Savings Fund Society, FSB will act as the Trustee. The pool is about two months seasoned on a weighted-average basis, although seasoning may span from zero to 41 months. In accordance with U.S. credit risk retention requirements, ADM as the Sponsor, either directly or through a Majority-Owned Affiliate, will retain an eligible horizontal residual interest consisting of the Class X Certificates and the Class B-3 Certificates (together, the Risk Retained Certificates), representing not less than 5% economic interest in the transaction, to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Although the applicable mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for the agency, government, or private-label nonagency prime products for various reasons described above. In accordance with the CFPB Qualified Mortgage (QM)/ATR rules, 46.5% of the loans are designated as non-QM. Approximately 43.0% of the loans are made to investors for business purposes and are thus not subject to the QM/ATR rules. Also, 47 loans (5.7% of the pool) are qualified mortgages with a conclusive presumption of compliance with the ATR rules and are designated as QM Safe Harbor. The Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent under the Mortgage Bankers Association (MBA) method, contingent upon recoverability determination. The Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. If the Servicer fails in its obligation to make P&I advances, Nationstar, as the Master Servicer, will be obligated to fund such advances. In addition, if the Master Servicer fails in its obligation to make P&I advances, Citibank, N.A., as the Securities Administrator, will be obligated to fund such advances. The Master Servicer and Securities Administrator are only responsible for P&I Advances; the Servicer is responsible for P&I and advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). If the Servicer fails to make the Servicing Advances on a delinquent loan, the recovery amount upon liquidation may be reduced. The Sponsor (ADM) will have the option, but not the obligation, to repurchase any mortgage loan that is 90 or more days delinquent under the MBA method (or, in the case of any coronavirus forbearance loan, such mortgage loan becomes 90 or more days delinquent under the MBA method after the related forbearance period ends or any real estate owned property acquired in respect of a mortgage loan) 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 Depositor (A&D Mortgage Depositor LLC) may, at its option, on any date which is the later of (1) the two-year anniversary of the Closing Date, and (2) the earlier of (A) the three-year anniversary of the Closing Date and (B) the date on which the total loan balance is less than or equal to 30% of the loan balance as of the Cut-Off Date, purchase all outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. 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). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Certificates (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated certificates. For the Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the Class A-1, Class A-2, Class A-3, and Class M-1 Certificates. Of note, the Class A-1, Class A-2, and Class A-3 Certificates' coupon rates step up by 100 basis points on and after the payment date in February 2028 (Step-Up Certificates). Also, the interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1, Class A-2, Class and A-3 Certificates' Cap Carryover Amounts after the Class A coupons step up. ACAM 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage-Backed Notes issued by ACAM 2019-FL1, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the increased credit support to the bonds as a result of successful loan repayment, as there has been collateral reduction of 50.1% since issuance. The collateral reduction serves as a mitigant to the increased concentration of loans secured by office properties across the transaction, as the select borrowers of these loans are behind in the respective business plans, and all borrowers of these loans are likely to face difficulties in securing refinance capital or selling the properties at respective loan maturity. As of the January 2024 reporting, there were seven loans secured by office properties in the transaction, representing 49.5% of the current trust balance. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. The pool's collateral initially consisted of 21 floating-rate loans secured by 35 properties, many of which were in a period of transition with plans to stabilize and improve asset values. At issuance, the cut-off balance was $400.3 million, with an additional $87.4 million of available future funding commitments held outside of the trust. The transaction included a 24-month reinvestment period, which expired in December 2021. Following this date, the bonds began to amortize sequentially with loan repayments and scheduled loan amortization. As of the January 2024 remittance, there were 11 loans in the transaction with a current trust balance of $199.9 million. Since Morningstar DBRS' previous credit rating action in February 2023, three loans, with a former cumulative trust loan balance of $64.3 million, have been repaid from the transaction. Only two of the original 21 loans, which represent 18.7% of the current trust balance, remain in the transaction. Both loans are secured by office properties. Beyond the office concentration noted above, there are two multifamily properties, representing 20.0% of the current pool balance, followed by one mixed-use property, representing 18.0% of the current pool balance, and one industrial property, representing 12.4% of the current pool balance. In terms of property location, the transaction is split evenly between properties in urban and suburban markets. Morningstar DBRS defines urban markets as markets with a Morningstar DBRS Market Rank of 6, 7, or 8, while suburban markets have a Morningstar DBRS Market Rank of 3, 4, or 5. As of January 2024, five loans, representing 50.1% of the cumulative loan balance, were secured by properties in urban markets while six loans, representing 49.9% of the cumulative loan balance, were secured by properties in suburban markets. Historically, urban markets have shown greater liquidity and demand. The collateral pool exhibits elevated leverage from issuance with a current weighted-average (WA) appraised loan-to-value ratio (LTV) of 76.1% and a WA stabilized LTV of 64.1%. In comparison, these figures were 65.4% and 53.5%, respectively, at closing. As the majority of individual property appraisals were conducted between 2019 and 2022, and the pool composition has changed significantly from closing with only two of the original loans remaining, it is possible select individual property values may have decreased given the current interest rate and capitalization rate environment. In the analysis for this review, Morningstar DBRS applied a recoverability analysis using in-place property-level financial reporting with stressed market- and property type-specific capitalization rates to determine if individual property valuations can support the respective outstanding loan balances. Morningstar DBRS determined in its current analysis that any potential cumulative exposure to loans with LTVs above 100.0% would be contained to the unrated equity bond, which has a current balance of $30.5 million. Through November 2023, the lender had advanced cumulative loan future funding of $37.4 million to nine of the outstanding individual borrowers. The largest advance ($8.6 million) has been made to the borrower of the Canyon Corporate Plaza loan (10.0% of the pool), which is secured by a two-building office property in Phoenix's Northwest submarket. The borrower used advanced loan proceeds to fund various capital expenditures to improve the property's overall quality. An additional $5.7 million of future funding remains available to fund leasing costs; however, the borrower is significantly behind schedule in its business plan as the property was only 5.0% occupied as of September 2023. The loan is currently 30 to 59 days delinquent and is on the servicer's watchlist for the past due January 2024 maturity date. While there is one remaining 12-month extension option available, the borrower will not qualify for the extension given current property performance. The property was last valued at $31.6 million at loan closing in January 2020; however, in its analysis, Morningstar DBRS assumed the current market value has significantly declined. The loan has an outstanding A note balance of $27.8 million with a $20.0 million piece in the trust; however, the loan does benefit from outstanding cash reserves of $10.3 million, according to January 2024 reporting, reducing the current loan exposure to $17.5 million. At this exposure, the value of the asset would need to decline by approximately 40.0% before the trust would experience a realized loss. If the borrower and lender agree to a maturity extension, Morningstar DBRS expects the loan to be modified. Including the Canyon Corporate Plaza loan, $27.3 million of unadvanced loan future funding allocated to eight individual borrowers remains outstanding. The largest portion of unadvanced future funding dollars ($12.5 million) is allocated to the borrower of the 500 West Jefferson Street loan (9.7% of the pool), which is secured by a Class A high-rise office building in downtown Louisville, Kentucky. The funds are for future leasing costs as the borrower has already completed its capital expenditure plan, using $2.6 million of future funding and $10.4 million of cash equity. The loan is currently on the servicer's watchlist for the December 2023 maturity; however, the loan is structured with two 12-month extension options. Morningstar DBRS expects the borrower to exercise the first extension option, which may require a fresh equity deposit into the interest reserve and/or the purchase of a new interest rate cap agreement, among other lender requirements. As of the September 2023 rent roll, the property was 46.4% occupied, but the second-largest tenant was expected to vacate at lease expiration in October 2023. The tenant contributed $1.3 million in rental revenue. Occupancy is expected to decline temporarily to 36.6% with the loss of the tenant; however, an update from the collateral manager noted the borrower has signed a new tenant, which will bring occupancy to 43.0% upon the tenant taking occupancy. According to the financials for the trailing 12-month period ended June 30, 2023, the loan reported a debt service coverage ratio (DSCR) of 0.80 times. The loan remains current, however, categorized as a performing matured balloon. As of January 2024, there were no loans in special servicing; however, eight loans are on the servicer's watchlist, representing 60.7% of the pool balance. All loans have been flagged for upcoming loan maturity, though select loans have also been flagged for below-breakeven DSCRs. The largest loan on the servicer's watchlist is Kenridge Apartments (11.2% of the pool), which is secured by a multifamily property in Decatur, Georgia. The loan matured in December 2023 and is structured with two, 12-month extension options. The property reported a low net cash flow of $0.7 million for the trailing 12-month period ended June 30, 2023, because of increased vacancy surrounding ongoing unit renovations and the eviction of delinquent tenants. An update from the collateral manager noted all unit renovations are completed, with achieved average monthly rental rate premiums of $200 per unit. Cash flow is expected to improve as all units are leased and as bad debt and concession loss improve. Morningstar DBRS expects the lender and borrower to agree to a maturity extension. Two loans, representing 13.5% of the pool balance, have been modified. The modified terms for individual loans have allowed the specific borrowers maturity date and capital expenditure completion date extensions. Notes: All figures are in U.S. dollars unless otherwise noted. AFFIRM ASSET 2024-A: DBRS Gives Prov. BB Rating on Class E Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following notes to be issued by Affirm Asset Securitization Trust 2024-A (Affirm 2024-A): -- $276,660,000 Class A Notes at AAA (sf) -- $22,410,000 Class B Notes at AA (sf) -- $19,540,000 Class C Notes at A (sf) -- $13,820,000 Class D Notes at BBB (sf) -- $17,570,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2023 Update, published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (2) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, the Yield Supplement Overcollateralization Amount, and excess spread create credit enhancement levels that are commensurate with the proposed ratings. -- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) stress scenarios in accordance with the terms of the Affirm 2024-A transaction documents. (3) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for receivables that are permissible in the transaction. -- Concentration limits designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the revolving period and begin amortization. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (Affirm). (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lender. -- All loans in the initial pool included in Affirm 2024-A are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The loan pool only includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- Loans originated to borrowers in Iowa will be eligible to be included in the Receivables to be transferred to the Trust. These loans will be originated under the ALS entity using Affirm's state license in Iowa. -- Loans originated to borrowers in West Virginia will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations that will enable it to operate the bank partner platform in West Virginia. -- Affirm has obtained a supervised lending license from Colorado, permitting Affirm to facilitate supervised loans in excess of the Colorado annual rate cap of 12%, outside of the Assurance of Discontinuance's (AOD's) safe harbor. All loans originated on the Affirm Platform in Colorado have Contract Rates below the usury threshold. -- Loans originated to borrowers in Vermont above the state usury cap will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations in the state of Vermont. -- Loans originated to borrowers in Connecticut with a Contract Rate above the state usury cap will be ineligible to be included in the Receivables to be transferred to the Trust until Affirm obtains the required licenses and registrations in the state of Connecticut. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and expected legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the portion of Note Interest Shortfall attributable to interest on unpaid Note Interest for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. AGL CLO 29: Fitch Assigns 'BB-(EXP)' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 29 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 29 Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY AGL CLO 29 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first- lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.92, versus a maximum covenant, in accordance with the initial expected matrix point of 25.75. 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 99.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.64% versus a minimum covenant, in accordance with the initial expected matrix point of 72.75%. Portfolio Composition (Neutral): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Positive): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; 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 and class A-2 notes; and as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D; and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. AMERICAN CREDIT 2024-1: DBRS Finalizes BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by American Credit Acceptance Receivables Trust 2024-1 (ACAR 2024-1 or the Issuer): -- $170,660,000 Class A Notes at AAA (sf) -- $38,870,000 Class B Notes at AA (high) (sf) -- $76,130,000 Class C Notes at A (sf) -- $59,800,000 Class D Notes at BBB (sf) -- $41,400,000 Class E 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 is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The Morningstar DBRS CNL assumption is 26.00% based on the expected cut-off date pool composition and concentration limits for the prefunding collateral. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms on which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and principal by the final scheduled distribution date. (2) The credit quality of the collateral and the consistent performance of ACA's auto loan portfolio. -- Availability of considerable historical performance data and a history of consistent performance of the ACA portfolio. -- The statistical pool characteristics include the following: the pool is seasoned by approximately eight months and contains ACA originations from Q4 2016 through Q4 2023, the weighted-average (WA) remaining term of the collateral pool is approximately 62 months, and the WA FICO score of the pool is 548. (3) ACAR 2024-1 provides for the Class A, B, C, and D coverage multiples slightly below the Morningstar DBRS range of multiples set forth in the "Rating U.S. Retail Auto Loan Securitizations" methodology for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss and structural features of the transaction. (4) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update," published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (5) The consistent operational history of American Credit Acceptance, LLC (ACA or the Company) as well as the overall strength of the Company and its management team. -- The ACA senior management team has considerable experience, with an approximate average of 19 years in banking, finance, and auto finance companies as well as an average of approximately 10 years of Company tenure. (6) ACA's operating history and its capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of ACA and considers the Company an acceptable originator and servicer of subprime automobile loan contracts. -- ACA has completed 45 securitizations since 2011, including four transactions in 2022 and four in 2023. -- ACA maintains a strong corporate culture of compliance and a robust compliance department. (7) The Company indicated that it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against ACA could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (8) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the depositor and the Issuer with ACA, that the Issuer has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology. Morningstar DBRS' credit rating on the securities listed below addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related noteholders Monthly Interest Distributable Amount and the related Note Balance. 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, the associated contractual payment obligation that is not a financial obligation is interest on unpaid interest for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. The rating on the Class A Notes reflects 63.90% of initial hard credit enhancement provided by the subordinated notes in the pool (47.00%), the reserve account (1.00%), and OC (15.90%). The credit ratings on the Class B, C, D, and E Notes reflect 55.45%, 38.90%, 25.90%, and 16.90% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. ACA is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. Notes: All figures are in U.S. dollars unless otherwise noted. ANGEL OAK 2024-2: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2024-2 (AOMT 2024-2). Entity/Debt Rating ----------- ------ AOMT 2024-2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the RMBS to be issued by Angel Oak Mortgage Trust 2024-2 series 2024-2 (AOMT 2024-2) as indicated above. The certificates are supported by 1,058 loans with a balance of $404.59 million as of the cut-off date. This represents the 35th Fitch-rated AOMT transaction, and the second Fitch-rated AOMT transaction in 2024. The certificates are secured by mortgage loans mainly originated by Angel Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC (AOHL). Of the loans, 58.5% are designated as non-qualified mortgage (non-QM) loans and 41.5% are investment properties not subject to the Ability to Repay (ATR) Rule. There is no Libor exposure in this transaction. Approximately 0.3% of the pool represents ARM loans, none of which reference Libor. The certificates do not have Libor exposure. Class A-1, A-2 and A-3 certificates are fixed rate, are capped at the net weighted average coupon (WAC) and have a step-up feature. Class M-1, B-1, and B-3 certificates are based on the net WAC; the class B-2 certificate is based on the net WAC but has a stepdown feature, whereby the class becomes a principal-only bond at the point the class A-1, A-2 and A-3 certificate coupons step up. In addition, on any distribution date where the aggregate unpaid cap carryover amount for the class A certificates is greater than zero, payments to the class A step-up ap carryover reserve account will be prioritized over the payment of interest/unpaid interest payable to the class B-3 certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 9.3% above a long-term sustainable level (versus 9.42% on a national level as of 2Q23, up 1.82% since last quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 1.87% yoy nationally as of October 2023, despite modest regional declines, but are still being supported by limited inventory. Non-QM Credit Quality (Mixed): The collateral consists of 1,058 loans totaling $404.59 million and seasoned at approximately 17 months in aggregate, according to Fitch, and 15 months, per the transaction documents. The borrowers have a relatively strong credit profile, with a 740 non-zero FICO and a 47.2% debt to income (DTI) ratio (both as determined by Fitch). They also have relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 71.9%, as determined by Fitch (71.8% per the transaction documents), which translates to a Fitch-calculated sustainable LTV (sLTV) of 74.5%. Per Fitch's analysis, of the pool, 58.4% represent loans of which the borrower maintains a primary or secondary residence, while the remaining 41.6% comprise investor properties. In Fitch's analysis, it considered the 20 loans to foreign nationals to be investor occupied, which explains the discrepancy between the Fitch-determined figures and those in the transaction documents for the investor and owner occupancy. Fitch determined that 14.5% of the loans were originated through a retail channel. Additionally, 58.5% are designated as non-QM, while the remaining 41.5% are exempt from QM status, as they are investor loans. The pool contains 49 loans over $1.0 million, with the largest amounting to $3.64 million. Loans on investor properties (7.4% underwritten to borrower's credit profile and 34.2% comprising investor cash flow and no-ratio loans) represent 41.6% of the pool, as determined by Fitch. Per the transaction documents, none of the loans have a junior lien in addition to the first-lien mortgage in the pool. There are no second lien loans in the pool, as 100% of the pool consists of first-lien mortgages. Further, only 2.8% of the borrowers were viewed by Fitch as having a prior credit event in the past seven years. In Fitch's analysis, it also considers loans with deferred balances as having subordinate financing. In this transaction, one loans has a deferred balance; therefore, Fitch views 0.1% of the loans in the pool to have subordinate financing. Fitch viewed the limited subordinate financing as a positive aspect of the transaction. Fitch determined that 20 of the loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as no documentation, for employment and income documentation, and removed the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for such borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2023 and 2022, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's nonprime model. The largest concentration of loans is in Florida (28.2%), followed by California and Texas. The largest MSA is Miami, which includes Miami-Fort Lauderdale-Miami Beach, FL (13.0%). The next largest MSAs are Los Angeles (8.7%) and Riverside (3.6%). The top three MSAs account for 25.2% of the pool. As a result, no penalty was applied for geographic concentration. Loan Documentation (Negative): Fitch determined that 95.5% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 94.9% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan, based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and figures in the transaction documents. Of the loans underwritten to borrowers with less than full documentation, Fitch determined that 57.8% were underwritten to a 12- or 24-month business or personal bank statement program for verifying income, which is not consistent with the previously applicable Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 34.1% constitute a debt service coverage ratio (DSCR) product, 2.7% are an asset qualifier product, and less than 0.1% are a no ratio product. One of the loans in the pool is a no-ratio DSCR loan. For no-ratio loans, employment and income are considered to be no documentation in Fitch's analysis and Fitch assumes a DTI ratio of 100%. This is in addition to the loans being treated as investor-occupied. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies (DQs). Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the mezzanine and subordinate certificates from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. There is limited excess spread in the transaction available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after the distribution date in February 2028, since the class A certificates have a step-up coupon feature whereby the coupon rate will be the lesser of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. To offset the impact of the class A certificates' step-up coupon feature, class B-2 has a stepdown coupon feature that will become effective in February 2028, which will change the B-2 coupon to 0.0%. Additionally, on any distribution date where the aggregate unpaid cap carryover amount for the class A certificates is greater than zero, payments to the class A step-up cap carryover reserve account will be prioritized over the payment of interest/unpaid interest payable to the class B-3 certificates. These features are supportive of classes A-1 and A-2 being paid timely interest at the step-up coupon rate and class A-3 being paid ultimate interest at the step-up coupon rate. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.0% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, Infinity, Covius, Selene, Inglet Blair, Recovco, Canopy, Clarifii, and Incenter. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.44%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Consolidated Analytics, Infinity, Covius, Selene, Inglet Blair, Recovco, Canopy, Clarifii, and Incenter to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ANTARES 2019-2: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement debt from Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC, a CLO originally issued in January 2020 that is managed by Antares Capital Advisers LLC, a wholly owned subsidiary of Antares Holdings. On the Feb. 15, 2024, refinancing date, the proceeds from the replacement debt were used to redeem the original debt. At that time, S&P withdrew its ratings on the original debt and assigned ratings to the replacement debt. 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, and D-R debt was issued at a higher spread over three-month CME term SOFR compared with the spread of the original debt over three-month LIBOR. -- The replacement class C-R and E-R debt was issued at a lower spread over three-month CME term SOFR compared with the spread of the original debt over three-month LIBOR. -- The replacement class A-1-R debt was fully issued at a floating spread, replacing the current fixed and floating split. -- The replacement class A-2-R debt was rated 'AAA (sf)', replacing the current unrated debt. -- The stated maturity, reinvestment period, and non-call period were extended four years. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $261.00 million: Three-month CME term SOFR + 1.95% -- Class A-2-R, $13.50 million: Three-month CME term SOFR + 2.45% -- Class B-R, $38.25 million: Three-month CME term SOFR + 2.70% -- Class C-R (deferrable), $31.50 million: Three-month CME term SOFR + 3.55% -- Class D-R (deferrable), $24.75 million: Three-month CME term SOFR + 5.45% -- Class E-R (deferrable), $27.00 million: Three-month CME term SOFR + 8.12% Original debt -- Class A-1A, $200.00 million: Three-month LIBOR + 1.75% -- Class A-1B, $30.00 million: 3.477% -- Class A-2, $7.00 million: Three-month LIBOR + 2.00% -- Class B, $38.90 million: Three-month LIBOR + 2.60% -- Class C (deferrable), $30.00 million: Three-month LIBOR + 3.70% -- Class D (deferrable), $22.10 million: Three-month LIBOR + 4.75% -- Class E (deferrable), $24.00 million: Three-month LIBOR + 8.50% -- Subordinated notes, $48.80 million: Residual S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Class A-1-R, $261.00 million: AAA (sf) Class A-2-R, $13.50 million: AAA (sf) Class B-R, $38.25 million: AA (sf) Class C-R (deferrable), $31.50 million: A (sf) Class D-R(deferrable), $24.75 million: BBB- (sf) Class E-R(deferrable), $27.00 million: BB- (sf) Ratings Withdrawn Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Class A-1A to NR from 'AAA (sf)' Class A-1B 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 Outstanding Debt Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Subordinated notes, $48.80 million: NR NR--Not rated. BAIN CAPITAL 2024-1: Fitch Assigns BB-(EXP) Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Outlooks to Bain Capital Credit CLO 2024-1, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2024-1,Limited A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Bain Capital Credit CLO 2024-1, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.07, versus a maximum covenant, in accordance with the initial expected matrix point of 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.02% versus a minimum covenant, in accordance with the initial expected matrix point of 73.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 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-1, between less than 'B-sf' and 'BB+sf' for class D-2; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes; and as these notes are in the highest rating category of 'AAAsf'; Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2; and 'BBB+sf' for class E. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. BALLYROCK 2019-2: S&P Assigns Prelim 'BB-' Rating on D-2-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 2019-2 Ltd./Ballyrock CLO 2019-2 LLC floating-rate debt. This is a proposed refinancing of its November 2019 transaction, which was not rated by S&P Global Ratings. 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 Ballyrock Investment Advisors LLC. The preliminary ratings are based on information as of Feb. 15, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Based on provisions in the transaction documents and the portfolio characteristics: -- The second supplemental indenture will be discharged and a third supplemental indenture will be executed. -- The stated maturity will be extended by over five years and the reinvestment period by over four years. -- The class X debt will be issued and paid using interest proceeds during the first 12 payment dates. -- Approximately $12.0 million of additional subordinated notes will be issued. The existing $33.15 million of subordinated notes are not being refinanced. -- The class D-RR debt will be split into classes D-1-RR and D-2-RR. Preliminary Ratings Assigned Ballyrock CLO 2019-2 Ltd./Ballyrock CLO 2019-2 LLC Class X, $4.50 million: AAA (sf) Class A-1-RR, $288.00 million: AAA (sf) Class A-2-RR, $54.00 million: AA+ (sf) Class B-RR (deferrable), $27.00 million: A+ (sf) Class C-RR (deferrable), $27.00 million: BBB (sf) Class D-1-RR (deferrable), $16.00 million: BB- (sf) Class D-2-RR (deferrable), $2.00 million: BB- (sf) Subordinated notes, $45.15 million: Not rated BALLYROCK CLO 2019-2: S&P Assigns BB- (sf) Rating on D-2-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ballyrock CLO 2019-2 Ltd./Ballyrock CLO 2019-2 LLC's floating-rate debt. This is a refinancing of its November 2019 transaction, which was not rated by S&P Global Ratings. 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 Ballyrock Investment Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Based on provisions in the transaction documents and the portfolio characteristics: -- The second supplemental indenture was discharged, and a third supplemental indenture was executed. -- The stated maturity was extended by over five years and the reinvestment period by over four years. -- The class X debt was issued and paid using interest proceeds during the first 12 payment dates. -- Approximately $12.0 million of additional subordinated notes were issued. The existing $33.15 million of subordinated notes were not refinanced. -- The class D-RR debt was split into classes D-1-RR and D-2-RR. Ratings Assigned Ballyrock CLO 2019-2 Ltd./Ballyrock CLO 2019-2 LLC Class X, $4.50 million: AAA (sf) Class A-1-RR, $288.00 million: AAA (sf) Class A-2-RR, $54.00 million: AA+ (sf) Class B-RR (deferrable), $27.00 million: A+ (sf) Class C-RR (deferrable), $27.00 million: BBB (sf) Class D-1-RR (deferrable), $16.00 million: BB- (sf) Class D-2-RR (deferrable), $2.00 million: BB- (sf) Subordinated notes, $45.15 million: Not rated BARINGS CLO 2024-I: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Barings CLO Ltd. 2024-I/Barings CLO 2024-I 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 Barings LLC, a subsidiary of MassMutual. The ratings reflect S&P's view of: -- The diversification of the collateral pool's; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Barings CLO Ltd. 2024-I/Barings CLO 2024-I 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), $14.00 million: BB- (sf) Subordinated notes, $42.00 million: Not rated BATTALION CLO XV: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its rating to the class A-1-R replacement debt from Battalion CLO XV Ltd./Battalion CLO XV LLC, a CLO originally issued in 2020 that is managed by Brigade Capital Management L.P. At the same time, S&P withdrew its rating on the original class A-1 debt following payment in full on the Feb. 20, 2024, refinancing date. S&P also affirmed its ratings on the class B, C, D, and E debt, which were not refinanced. The class A-2 debt will remain not rated. 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 will be extended to Jan. 17, 2025. Replacement And Original Debt Issuances Replacement debt Class A-1-R, $248.00 million: Three-month CME term SOFR + 1.30% Original debt Class A-1, $248.00 million: Three-month CME term SOFR + 1.35% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "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." Rating Assigned Battalion CLO XV Ltd./Battalion CLO XV LLC Class A-1-R, $248.00 million: AAA (sf) Ratings Affirmed Battalion CLO XV Ltd./Battalion CLO XV LLC Class B: AA (sf) Class C: A (sf) Class D: BBB (sf) Class E: BB- (sf) Rating Withdrawn Battalion CLO XV Ltd./ Battalion CLO XV LLC Class A-1 to Not rated from 'AAA (sf)' Other Outstanding Debt Battalion CLO XV Ltd./Battalion CLO XV LLC Class A-2: Not rated Subordinated Notes: Not rated BBCMS TRUST 2015-SRCH: Fitch Affirms 'BB+sf' Rating on Cl. E Certs ------------------------------------------------------------------ Fitch Ratings has affirmed eight classes of BBCMS Trust 2015-SRCH Mortgage Trust commercial mortgage pass-through certificates. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2015-SRCH A-1 05547HAA9 LT AAAsf Affirmed AAAsf A-2 05547HAC5 LT AAAsf Affirmed AAAsf B 05547HAJ0 LT AAsf Affirmed AAsf C 05547HAL5 LT Asf Affirmed Asf D 05547HAN1 LT BBB-sf Affirmed BBB-sf E 05547HAQ4 LT BB+sf Affirmed BB+sf X-A 05547HAE1 LT AAAsf Affirmed AAAsf X-B 05547HAG6 LT Asf Affirmed Asf KEY RATING DRIVERS Stable Performance; Continued Amortization: The affirmations reflect stable overall property-level performance that remains in line with issuance expectations and continued loan amortization. While Fitch's updated net cash flow (NCF) of $40.6 million is down 7.2% from the prior rating action, due primarily to higher submarket vacancy and leasing cost assumptions, it remains in line with Fitch's issuance NCF of $40.9 million. The most recent servicer-reported NCF debt service coverage ratio as of September 2023 was 1.70x. Fitch's analysis maintained the issuance capitalization rate of 8.0%. The loan is interest-only for the first four years and eight months and then amortizes on a 30-year schedule, resulting in seven years of amortization. The loan began to amortize in August 2020, resulting in 6% paydown since issuance. By loan maturity in August 2027, the trust balloon balance is estimated to be $372.1 million ($395/sf), resulting in an approximate 13.5% reduction to the initial loan amount. Submarket Weakness: Submarket fundamentals for office properties have worsened since the last rating action. According to Costar and as of 4Q23, the office submarket vacancy and asking rents were 14.9% and $62.93 psf, respectively, compared with 4.1% and $63.92 at the last rating action. Superior Collateral Quality in Strong Location: The loan is secured by the fee simple interest in three newly constructed, single-tenant office buildings, totaling 943,056 sf, leased to Google, Inc. in Sunnyvale, CA. The three buildings hold a LEED-Gold designation and are some of the most technologically advanced in the area, which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. The complex also includes a 52,500-sf amenities building (non-collateral) for the sole use of tenants, which includes fitness and weight equipment, studios for classes, full locker rooms and an outdoor pool. Single-Tenant Lease Exposure: The three buildings are leased by Google through August 2027 (co-terminus with the loan maturity). Google has no outs in its lease and has invested approximately $188.6 million ($200 psf) in its buildout. Alphabet Inc., Google's parent company, is one of the world's largest technology companies and also one of the largest landlords and occupiers of space in the Silicon Valley market. The company has leased three other office buildings in the development (Phase II). However, recent media reports indicate that Google is looking to reduce its footprint in the region after making approximately 1.5 million square feet of space available for sublease. Given weakening submarket fundamentals and single tenancy rollover concerns at maturity, prior to the consideration of ratings upgrade, Fitch's analysis included an additional sensitivity scenario which factored a higher vacancy assumption of 15%; this sensitivity scenario supports the affirmation of ratings and maintaining Stable Outlooks. Reserves: Up-front reserves of approximately $71 million were funded to address all outstanding landlord obligations, including tenant improvements, leasing costs and free rent periods. Nearly all of the reserves have been used, and only a small amount remains. The loan includes a cash flow sweep to be used to build reserves to $25 psf during the final two years of the lease term if Google does not give notice to renew. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch rates the classes A-1 and A-2 'AAAsf'; therefore, upgrades are not possible. Upgrades to classes B through E are possible with continued transaction paydown and sustained cash flow and submarket improvement. The Stable Rating Outlooks for all classes reflect the relatively stable performance that is consistent with issuance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Downgrades are possible with a significant decline in asset occupancy and/or a significant deterioration in property cash flow. 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 BBCMS 2015-SRCH has an ESG Relevance Score of '4' for Environmental - Waste & Hazardous Materials Management; Ecological Impacts due to the sustainable building practices including Green building certificate credentials, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BEAR STEARNS 2007-PWR18: DBRS Confirms C Rating on 3 Classes ------------------------------------------------------------ DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2007-PWR18 issued by Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 as follows: -- Class B at C (sf) -- Class C at C (sf) -- Class D at C (sf) These classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). Morningstar DBRS' loss expectations for the outstanding bonds remain largely unchanged from the prior credit rating action. There have been no payoffs or liquidations since that time. The sole remaining loan, Marriott Houston Westchase (Prospectus ID#6, 100% of the pool) is secured by a 600-key, full-service hotel in Houston, Texas. There has been collateral reduction of 97.2% since issuance, and to date, the pool has incurred losses in excess of $210.0 million. The Class E certificate, which has a current balance of $2.8 million and has already taken losses with previous loan liquidations, is the current junior bond in the transaction. Morningstar DBRS downgraded and subsequently withdrew its credit rating on the class after the bond defaulted. None of the outstanding certificates are receiving interest payments. Given the underlying asset's decline in appraised value since issuance, property condition, and likelihood that the disposition timeline may be extended, Morningstar DBRS projects significant losses associated with this loan that are likely to impact all outstanding classes, supporting the credit rating confirmations. The loan has been transferred to special servicing and modified twice. The most recent modification was executed in December 2019 and included a second maturity date extension to June 2023, and the establishment of a new capital improvement reserve for brand-mandated upgrades. The loan was never returned to the master servicer following that modification and in April 2020, the borrower requested relief, citing Coronavirus Disease (COVID-19)-related hardship. The servicer noted that the borrower requested a short-term forbearance and access to cash balances and reserve funds controlled by the servicer, while negotiations regarding a third modification remained ongoing. The borrower, however, has never provided a workout proposal and a receiver was appointed in May 2023. A May 2023 servicer site inspection found the property to be in fair condition, with deferred maintenance items found including aging roofs in need of replacement, deteriorating parking lots, and a broken chiller. The hotel's performance has been depressed for many years, beginning with the downturn in Houston's energy markets in 2015, and the property has historically not generated enough income to cover debt service payments. A March 2023 appraisal valued the property at $37.5 million, down from an April 2022 appraised value of $45.3 million and a July 2020 appraised value of $47.5 million. The previous franchise agreement with Marriot ended in 2023, and the terms of the new agreement, or if a renewal was executed, are unknown. As of the January 2024 remittance, the loan had an outstanding principal balance of $69.9 million, with a total exposure, including outstanding advances, of $72.4 million. Advances have been deemed non-recoverable by the servicer, and none of the outstanding certificates have received any interest in over a year. Morningstar DBRS continues to project significant losses associated with the disposition of this asset, with an expected loss severity nearing 80% based on a 15% haircut to the most recent appraised value. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2020-IG1: Fitch Lowers Rating on Class C Certs to 'BBsf' ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed five classes of Benchmark 2020-IG1 Mortgage Trust, commercial mortgage pass-through certificates series 2020-IG1. Fitch has also revised the Rating Outlook to Negative from Stable on two classes and assigned a Negative Outlook to three classes following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- BENCHMARK 2020-IG1 A-1 08162LAA8 LT AAAsf Affirmed AAAsf A-2 08162LAB6 LT AAAsf Affirmed AAAsf A-3 08162LAC4 LT AAAsf Affirmed AAAsf A-S 08162LAF7 LT AAAsf Affirmed AAAsf B 08162LAG5 LT A-sf Downgrade AA-sf C 08162LAH3 LT BBsf Downgrade BBBsf X-A 08162LAD2 LT AAAsf Affirmed AAAsf X-B 08162LAE0 LT A-sf Downgrade AA-sf KEY RATING DRIVERS The downgrades are the result of performance declines for 650 Madison Avenue, as well as lower Fitch sustainable property net cash flow (NCF) for 181 West Madison, 560 Mission Street and Parkmerced. The downgrades also reflect forward-looking performance deterioration expectations due to continued weakness of submarket fundamentals since Fitch's last rating action. Fitch's analysis incorporates increased capitalization rates and stresses to NCF, including mark-to-market rental adjustments for near-term rolling tenants, elevated vacancy assumptions and higher tenant improvement allowances and replacement reserves. The Negative Outlooks account for potential further downgrades should NCF and/or submarket conditions deteriorate beyond Fitch's view of sustainable performance, including limited leasing momentum and lack of property stabilization over the next one to two years. The pool is highly concentrated as six of the 13 loans are secured by office properties and two loans are secured by mixed-use properties with significant office components, totaling 63.1% of the overall pool. The pool includes the 181 West Madison and 560 Mission office loans, which have near-term lease expirations of their largest tenants and located in their respective Chicago and San Francisco markets, which continue to experience high vacancies. The largest decline in Fitch sustainable NCF from the last rating action is the 650 Madison Avenue loan (5.8% of the pool), secured by a 600,415-sf office building located in the Plaza District submarket of Manhattan, which reflects the anticipated downsize and rental rate reduction of the largest tenant, Ralph Lauren (RL). RL, which leases 41% of the NRA, is expected to downsize to 24% of the NRA at the end of its lease term in December 2024 and renew at a lower rental rate 30% below the current in-place rate. The updated $41.6 million Fitch NCF, which is 21% below Fitch's $52.7 million issuance NCF, reflects RL's updated lease terms and leases-in-place for the remaining tenants as of the October 2023 rent roll, with credit given to near-term contractual rent escalations. The Fitch NCF also assumes a lease up of vacant spaces grossed up at the average in-place rent of $75 psf and a sustainable long-term occupancy assumption of 89.4%. This is above the submarket occupancy, reflecting the strong collateral quality and position in the market with unobstructed views of Central Park on floors 15 through 27 of the property. According to Costar and as of 4Q23, the submarket vacancy, availability rate and average asking rent were 13.6%, 14.8% and $90 psf, respectively. Two office loans in the pool, 181 West Madison (7.6% of the pool), secured by a 946,099-sf office building located in Chicago, IL, and 560 Mission (6.8%), secured by a 665,772-sf office building located in San Francisco, CA, have exposure to large blocks of space with near-term rollover. The largest tenant at 181 West Madison is Northern Trust (42% of the NRA) with a lease expiration in December 2027 per the March 2023 rent roll. JP Morgan Chase (30% of the NRA) is the largest tenant at 560 Mission with a lease expiration in September 2025. For 181 West Madison, the updated Fitch NCF of $13.1 million is 19.4% below Fitch's issuance NCF of $16.2 million, accounting for a higher vacancy assumption given the elevated submarket vacancy and availability rates. For 560 Madison, the updated Fitch NCF of $31.6 million is 11.7% below Fitch's issuance NCF of $35.8 million, reflecting a mark-to-market of JP Morgan's rent and higher vacancy factor to address the weak submarket and expectation for space reduction by JP Morgan at lease expiration. Furthermore, Fitch's analysis incorporated higher stressed capitalization rates of 9.50% on 181 West Madison and 8.25% on 560 Mission, an increase from 8.75% and 7.25% at issuance, respectively. This resulted in a Fitch-stressed valuation decline that is approximately 63% below the issuance appraisal for 181 West Madison and 55% below the issuance appraisal for 560 Mission Street. The Parkmerced loan, secured by a 3,165-unit multifamily property located in San Francisco, CA, has experienced occupancy and cash flow deterioration from issuance due to headwinds in the San Francisco employment sector, competition from nearby San Francisco State University (SFSU) and weakening market conditions that have affected housing demand. The updated Fitch NCF of $52.4 million, which is 9% below Fitch's issuance NCF of $57.7 million, reflects leases-in-place as of the September 2023 rent roll, with a lease-up of vacant units to market rental rates at a long-term sustainable occupancy of 90%. Fitch's lease-up assumption of market rental rates is based on the higher rents achieved from actual signed leases as indicated on the rent roll since June 2023, accounting for the various unit type differences at the property, averaging $3,253 per unit. Of note, leases signed at the property over the prior three months since June 2023, reflect rental rates in line with the market, with a 52% premium above current average in-place rents across the property. The trust's assets are primarily 13 fixed-rate commercial mortgage loans secured by first mortgage liens on 45 mortgaged properties. While the majority of the loans in the pool have maturities in 2029 and beyond, the Parkmerced and 181 Madison loans have near-term maturities in December 2024 and December 2026, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades would occur should property occupancy and/or net cash flow fail to improve and/or decline further, particularly for loans with largest tenants having near-term lease expirations such as 181 West Madison and 560 Mission. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades are currently not expected but are possible with significant and sustained improvement in occupancy and net cash flow, particularly for the 805 Third Avenue and 650 Madison loans, and stabilization of performance, including future lease up of vacancies at rates at or above Fitch's expectations, particularly for the 180 West Madison, 560 Mission and Parkmerced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2020-IG3: DBRS Confirms BB(high) Rating on BX-C Certs --------------------------------------------------------------- DBRS Limited confirmed its 2020-IG3 credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2020-IG3 issued by Benchmark Mortgage Trust: -- Class 825S-A at A (low) (sf) -- Class 825S-B at BBB (low) (sf) -- Class 825S-C at BB (low) (sf) -- Class 825S-D at B (low) (sf) -- Class BX-A at A (low) (sf) -- Class BX-B at BBB (low) (sf) -- Class BX-C at BB (high) (sf) All trends are Stable. These seven classes are loan-specific certificates, or rake bonds. Classes BX-A, BX-B, and BX-C are loan-specific certificates associated with the subordinate component of the BX Industrial Portfolio loan (Prospectus ID#1; 13.3% of the pool balance), which is backed by a portfolio of industrial and logistics properties. Classes 825S-A, 825S-C, and 825S-D are loan-specific certificates associated with the subordinate component of the 825 South Hill loan (Prospectus ID#8; 9.0% of the pool balance) and are backed by a luxury multifamily property in Los Angeles. The pooled certificates and the rake bonds associated with the subordinate component of the Tower 333 loan, which is secured by an office tower in Bellevue, Washington, were placed Under Review with Negative Implications on January 9, 2024. This credit rating action allows Morningstar DBRS to review the North American single-asset/single-borrower office-related loans as the office market dynamics may have shifted, prompting a review of Morningstar DBRS values. The credit rating confirmations and Stable trends reflect the overall stable performance of the BX Industrial Portfolio and 825 South Hill assets, which continue to exhibit performance that remains in line with issuance expectations. At issuance, both loans that serve as the collateral for the pooled component of the transaction were shadow-rated investment grade. With this review, Morningstar DBRS confirms that the performance of these loans remains consistent with investment-grade characteristics. The BX Industrial Portfolio loan is secured by a portfolio of industrial and logistics properties totaling 11,097,713 square feet in 11 states. The loan pays interest only during its six-year loan term and individual property releases are permitted at a prepayment premium of 105.0% of the allocated loan amount (ALA) until the original principal balance reduces by 30.0%, and 110.0% of the ALA thereafter. To date, no properties have been released. According to the January 2024 reporting, the portfolio reported an occupancy rate of 84.7% and a net cash flow (NCF) of $51.4 million (reflecting a debt service coverage ratio (DSCR) of 3.20 times (x)) for the trailing 12-months (T-12) ended June 30, 2023, which is above the YE2022 and YE2021 figures of $49.7 million (reflecting a DSCR of 3.11x) and $50.3 million (reflecting a DSCR of 3.20x), respectively, and the Morningstar DBRS NCF of $43.3 million (reflecting a DSCR of 3.39x). At issuance, the sizing was based on a Morningstar DBRS NCF of $43.3 million and a capitalization rate of 7.25%, resulting in a Morningstar DBRS value of $596.7 million, a 39.1% haircut from the issuance appraisal value of $980.1 million. Positive qualitative adjustments totaling 5.25% were applied to reflect the low cash flow volatility, good property quality, and strong market fundamentals. The 825 South Hill loan is secured by a 498-unit luxury multifamily property in Los Angeles and amortizes through its seven-year term. For the T-12 ended September 30, 2023, the property's NCF was $11.9 million (reflecting a DSCR of 1.05x), in comparison with the YE2022 and YE2021 figures of $12.6 million (reflecting a DSCR of 1.12x) and $12.3 million (reflecting a DSCR of 1.08x), respectively, and the Morningstar DBRS NCF of $12.7 million (reflecting a DSCR of 1.47x). The year-over-year decline in NCF has been driven by increased operating expenses, such as real estate tax and property insurance. However, the property maintains a high occupancy rate of 93.1% as of September 2023, which is well above the issuance occupancy of 87.6%, and has achieved an average rental rate of $3,538 per unit, which reflects a $130 rental premium over the Q3 2023 average effective rent of $3,408 per unit for apartments within the Downtown submarket of Los Angeles, according to Reis. The average rental rate was approximately $3,899 per unit at issuance. Despite the dip in NCF, a mitigating factor is the equity contribution at issuance of $102.4 million to acquire the asset, suggesting the sponsor's continued commitment to the property. At issuance, the sizing was based on a Morningstar DBRS NCF of $12.7 million and a capitalization rate of 6.5%, resulting in a Morningstar DBRS value of $195.5 million, a 42.3% haircut from the issuance appraisal value of $333.0 million. Positive qualitative adjustments totaling 5.75% were applied to reflect the good property quality and strong market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. BSST 2021-SSCP: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------ DBRS Limited confirmed all credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-SSCP issued by BSST 2021-SSCP Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the transaction, with minimal changes to the underlying performance since issuance. The loan is secured by a portfolio of 32 industrial/logistics properties and one laboratory property located across 11 states that was acquired by a joint venture between Raith Capital Partners, LLC and Equity Industrial Partners. In addition to $238.0 million in loan proceeds, the sponsors contributed approximately $79.4 million in cash equity to fund the acquisition. The portfolio comprises primarily newer (weighted-average build year of 2005) single-tenant industrial assets located in secondary markets. As of the June 2023 rent rolls, the collateral properties reported an occupancy rate of 99.7%, unchanged from the previous year and up from the issuance figure of 92.8%. Over the next 12 months, five tenants, representing 11.5% of the portfolio's net rentable area (NRA), have leases scheduled to roll. In addition, prior to the final extended maturity date in April 2026, 17 tenants, representing 39.3% of the portfolio's NRA, have scheduled lease expirations. Considering the size of the portfolio, the tenant roster is relatively diverse and portfolio occupancy has remained above 94% over the past seven years. According to the financials for the trailing 12 months (T-12) ended September 30, 2023, the portfolio generated net cash flow (NCF) of $18.7 million (reflecting a debt service coverage ratio (DSCR) of 1.23 times (x)), an increase from the YE2022 NCF of $16.8 million (a DSCR of 2.11x) and above the Morningstar DBRS NCF of $16.6 million. Given the floating-rate nature of the loan, debt service amounts have more than doubled since issuance; however, the borrower was required to enter into an interest rate cap rate agreement when exercising the first of three one-year extension options in March 2023. Morningstar DBRS has requested an update on the borrower's plan for its upcoming maturity in April 2024, for which the loan was recently added to the servicer's watchlist. Although the increased debt service obligations have weighed on the loan's coverage, cash flows continue to grow as leases roll and rental rates are reset to market levels. The loan is structured with a partial pro rata/sequential-pay structure that allows for pro rata paydowns for the first 30.0% of the original unpaid principal balance, subject to a release premium of 105.0% of the allocated loan amount, which increases to 110.0% for the remaining 70.0% of the principal balance. As of the January 2024 reporting, there have been no property releases. Morningstar DBRS penalizes transactions with this structure as it is credit negative, particularly at the top of the capital stack. Under a partial pro rata paydown structure, deleveraging of the senior notes through the release of individual properties occurs at a slower pace compared with a sequential-pay structure. At issuance, Morningstar DBRS derived a value of $228.9 million based on the Morningstar DBRS NCF of $16.6 million and a capitalization rate of 7.25%, resulting in a Morningstar DBRS loan-to-value ratio (LTV) of 104.0%, compared with the LTV of 74.6% based on the appraised value of $319.0 million at issuance. In addition, positive qualitative adjustments totaling 6.5% were applied to the LTV Sizing Benchmarks to reflect Morningstar DBRS' favorable outlook on cash flow volatility, supported by the pools diversity and historical performance, property quality characteristics across the portfolio, and favorable market fundamentals given the location of the collateral properties within their respective markets, which serve as important supply chain links for the tenants. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2022-AHP: DBRS Confirms B(low) Rating on F Certs -------------------------------------------------------------- DBRS Limited confirmed the following credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2022-AHP issued by BX Commercial Mortgage Trust 2022-AHP: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the portfolio's overall stable performance in occupancy and revenue since issuance. The collateral for the transaction is backed by a portfolio of affordable housing multifamily properties in Florida, an asset class for which Morningstar DBRS generally has a favorable outlook on the underlying fundamentals; however, there are some concerns surrounding the portfolio's increased operating expenses since issuance. While the portfolio has yet to report a full calendar year of financials since closing, the annualized figures ended September 30, 2023, indicate a nearly 25% increase over Morningstar DBRS' issuance expectations, which could lead to possible credit degradation in the future if it persists. While there is a lack of clarity on a few of the increased line items and future expectations, Morningstar DBRS has requested an update from the servicer and will continue to monitor this on an ongoing basis. The underlying loan is secured by the borrower's fee-simple interest in 43 affordable housing multifamily properties totaling 10,965 units in eight Florida markets, including Miami, Fort Lauderdale, Tampa, and Palm Beach. No single property accounts for more than 3.6% of total units or 4.1% of the total allocated loan amount (ALA). The floating-rate loan is interest only with an initial two-year term and three one-year extension options. The borrower recently exercised its first extension option, entering into a new interest rate cap agreement and extending the loan's maturity to January 2025. The loan sponsors are BREIT Operating Partnership L.P., an affiliate of The Blackstone Group Inc., which borrowed $1.5 billion and contributed $1.2 billion in equity to fund the $2.7 billion acquisition and closing costs. The loan is structured with a partial pro rata/sequential-pay structure that allows for pro rata paydowns for the first 30.0% of the original unpaid principal balance subject to a release premium of 105.0% of the ALA, which increases to 110.0% for the remaining 70.0% of the principal balance. Morningstar DBRS penalizes transactions with this structure as it is credit negative, particularly at the top of the capital stack. Under a partial pro rata paydown structure, deleveraging of the senior notes through the release of individual properties occurs at a slower pace compared with a sequential-pay structure. According to the reporting for the trailing nine months ended September 30, 2023, the portfolio's weighted-average (WA) occupancy was 98.0%, in line with both the YE2022 figure of 97.4% and 98.5% at issuance. Morningstar DBRS expects portfolio occupancy to remain stable, supported by Reis' WA vacancy for the top five submarkets (by concentration of the subject deal) at 4.4% as of Q3 2023, with a five-year projection rising marginally to 4.6% in 2027. Despite the stable occupancy, however, net cash flow (NCF) decreased in 2023, with the Q3 2023 annualized figure reported at $74.3 million, well below both the YE2022 and Morningstar DBRS figures of $84.8 million and $89.3 million, respectively. While the loan's debt service coverage ratio (DSCR) fell to 0.73 times (x) as of the Q3 2023 annualized reporting, compared with the Morningstar DBRS figure of 3.44x, the borrower was required to purchase an interest rate cap agreement in January 2024 that results in a DSCR of at least 1.10x, which is not reflected in the reported financials. As noted, the decline in NCF was a direct a result of the increase in expenses, which had an expense ratio of 67.7% as of the Q3 2023 reporting, reflecting an approximately $19.6 million increase over the Morningstar DBRS figure, which had an expense ratio of 39.2%. The increases were primarily driven by property insurance (+140%) and general and administrative (+210%) fees, but also moderate increases to utilities (+30%) and payroll and benefits (+25%) line items. As reported, the cost of insuring the properties has risen by $7.0 million over the Morningstar DBRS figure, and, according to the servicer, is expected to remain similar in the future. Morningstar DBRS notes that insurance costs for properties in coastal areas have risen substantially in recent years because of increased environmental risks, and, given the location of the underlying collateral, this poses additional risk to future cash flows. General and administrative fees also contributed to an increase in expenses, reported at approximately $8.3 million over the Morningstar DBRS-derived figure; however, the servicer has not yet provided any clarification on the driver behind the recent increase or future projections. While the significant increases in operating expenses have lowered the subject's NCF, the portfolio continues to boast strong occupancy and revenue, which reported a moderate increase of nearly 3.0% over the Morningstar DBRS issuance figure. Given the strong underlying fundamentals of affordable housing and the healthy demand in the multifamily property type in Florida, Morningstar DBRS expects the portfolio to continue to perform but will continue to monitor expenses on an ongoing basis given the risk they pose to sustainability of future cash flows. At issuance, Morningstar DBRS derived a value of $1.6 billion based on the Morningstar DBRS NCF of $89.3 million and a capitalization rate of 5.5%, resulting in a Morningstar DBRS Loan-to-Value Ratio (LTV) of 93.9%, compared with the LTV of 54.7% based on the appraised value of $2.9 billion at issuance. Positive qualitative adjustments totaling 7.5% were applied to the LTV Sizing Benchmarks to reflect low cash flow volatility given the transaction's diversity outside of the state concentration in Florida, as well as the favorable market fundamentals given the property locations in submarkets with low vacancies and positive demand trends for the multifamily property type. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2024-MF: DBRS Gives Prov. B Rating on HRR Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-MF (the Certificates) to be issued by BX Commercial Mortgage Trust 2024-MF (the Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (sf) All trends are Stable. The collateral for the Trust includes the borrower's fee-simple interest in 10 Class A multifamily properties totaling 3,406 market-rate units located throughout Texas, North Carolina, South Carolina, and Florida. Transaction proceeds of $550.0 million along with the sponsor's cash equity of $82.8 million will be used to refinance $617.7 million of debt across the portfolio and cover closing costs. The sponsor acquired the portfolio from Davis Development in several transactions between 2021 and 2022 for a total cost of $833.2 million. All 10 properties are highly amenitized and of recent vintage with no property in the portfolio having been built before 2020. The primary business plan for each property is to achieve stabilized occupancy if it has not already done so and burn off concessions that were granted during lease-up prior to the acquisition by the sponsor. As of the December 2023 rent roll, the portfolio has leased up to an occupancy rate of 94.7% compared with its November 2021 occupancy rate of approximately 59.0%. All 10 properties that constitute the portfolio are in Issuer-described micro-markets that, with a one-mile radius, have seen strong median household incomes and growth in population, jobs, and wages. Furthermore, only three properties in the portfolio report new multifamily construction starts within a three-mile radius, per the Issuer. While there are new competitive properties adjacent to several assets in the Trust that have recently begun leasing, the suburban infill location of each asset means there are few sites where new multifamily construction would be deemed feasible. Please see the Morningstar DBRS site inspection summaries for more details about the assets that are currently leasing up in areas with other new supply. Lastly, the portfolio's weighted-average (WA) submarket vacancy rate of 6.4% as of Q3 2023 compares favorably with the Reis-reported pre-pandemic WA submarket vacancy rate of 7.5% as of YE2019. With WA stabilized occupancy achieved, the sponsor's primary business plan is to burn off concessions offered to first-generation leases during lease-up while also driving rent growth across the portfolio. During the course of several property tours, Morningstar DBRS learned that the concessions of up to one month free rent currently being offered to new residents are expected to be temporary. These concessions serve as a means to preserve the occupancy rate as the new supply recently delivered in several of the collateral assets' immediate areas also reaches stable occupancy and burns off new concessions. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Amounts and Interest Distribution Amounts for the rated classes. 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, Yield Maintenance Premium. 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. CALI MORTGAGE 2019-101C: S&P Affirms CCC (sf) Rating on HRR Certs ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on seven classes of commercial mortgage pass-through certificates from CALI Mortgage Trust 2019-101C, a U.S. CMBS transaction. At the same time, S&P affirmed its 'CCC (sf)' rating on the class HRR certificates from the transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a portion of a fixed-rate, interest-only (IO) mortgage whole loan secured by the borrower's fee simple interest in a class A office property located at 101 California Street in San Francisco's Financial District office submarket. Rating Actions The downgrades on classes A, B, C, D, E, and F reflect: -- The borrower's inability to increase the property's occupancy and net cash flow (NCF) since our last review in March 2023; -- S&P's expected-case value, which, while unchanged from its last review, is 18.8% lower than the valuation we derived at issuance due primarily to reported decreases in occupancy and NCF at the property; and -- S&P's belief that the property's vacancy rate may increase in line with the generally weakened office submarket fundamentals, reinforced by companies continuing to embrace remote and hybrid work arrangements. The property also faces elevated tenant rollover risk, with 26.0% of the net rentable area (NRA), or 37.7% of S&P Global Ratings' gross rents, expiring through 2026. Approximately 5.0% of the building's NRA is on the market for sublease, per CoStar, and CoStar projects the vacancy rate in the submarket to increase to more than 40.0% from 30.9% during the next few years. S&P said, "At our last review on March 23, 2023, we noted the significant challenges facing San Francisco's Financial District office submarket due to increasing vacancies and low demand. The borrower had signed a large new tenant, Chime Financial Inc. (Chime; 15.5% of NRA), in 2021. However, media reports had indicated that Chime was already looking to downsize a year after signing its lease. Furthermore, major tenant Merrill Lynch Pierce Fenner (9.8% of NRA) vacated in October 2022. As a result, occupancy was 76.3% as of the Dec. 31, 2022, rent roll. At that time, we assumed a 21.4% vacancy rate, after giving credit to future leases, an S&P Global Ratings gross rent of $96.81 per sq. ft., a 38.1% operating expense ratio, and higher tenant improvement costs to arrive at an S&P Global Ratings long-term sustainable NCF of $46.9 million." Since that time, Chime has indeed marketed a portion (two floors; 2.9% of NRA) of its space for sublease, the office submarket fundamentals have deteriorated further, and the property's occupancy and NCF have declined slightly. As of the September 2023 rent roll, the property was 74.2% occupied. S&P said, "Furthermore, CoStar indicates 5.0% of NRA at the property is currently marketed for sublease and that four- and five-star office properties in the subject's submarket have a 30.9% vacancy rate and 34.1% availability rate, up from 25.3% and 30.1%, respectively, at our last review in March 2023. As a result, assuming an in-place 74.2% occupancy rate, $98.84 per sq. ft. gross rent, as calculated by S&P Global Ratings, a 39.5% operating expense ratio, and higher tenant improvement costs, we arrived at the same long-term sustainable NCF derived at last review of $46.9 million, 15.7% lower than the NCF derived at issuance and 2.4% above the servicer-reported NCF of $45.8 million as of the trailing-12-month (TTM) period ending Sept. 30, 2023. We attribute the lower reported in-place NCF to ongoing rent concessions given to several new and renewing tenants. Using an S&P Global Ratings 7.25% capitalization rate, unchanged from last review, yielded an S&P Global Ratings expected-case value that is the same as in our last review of $650.3 million or $520 per sq. ft., 18.8% lower than our issuance value of $800.8 million, and 55.6% below the November 2018 appraisal value of $1.47 billion. This yielded an S&P Global Ratings loan-to-value ratio of 116.1% on the whole balance." S&P said, "The downgrade on class F to 'CCC (sf)' and affirmation on class HRR at 'CCC (sf)' also reflect our view that, due to current market conditions and the classes' position in the payment waterfall, these classes are or remain at a heightened risk of default and loss, and are susceptible to liquidity interruption. "The downgrade on the class X-A interest-only (IO) certificates reflects our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-EXT certificates references classes A, B, and C." Although the model-indicated ratings were lower than our revised ratings on classes A, B, C, and D, we tempered our downgrades on these classes because weighed certain qualitative considerations. These include: -- The potential that the property's operating performance could improve above our expectations. As of the February 2024 reporting period, there is $17.6 million in various lender-controlled reserve accounts, a portion of which is earmarked for leasing activities. -- The potential for occupancy to increase, given the borrower's 2023 completion of a $75.0 million renovation of the building's lobby, amenities, and common spaces. -- The loan's below-market weighted average interest rate of 4.18% for the remaining five years until maturity, and the debt service coverage (DSC) that is currently sufficiently above 1.00x. -- The low-to-moderate debt per sq. ft. ($458.77 per sq. ft. though class D) for these classes. -- The significant market value decline that would be needed before these classes experience principal losses. -- The relative position of these classes in the payment waterfall. S&P said, “We will continue to monitor the tenancy and performance of the property and loan as well as the borrower's ability to refinance the loan by its maturity date in March 2029. If we receive information that differs materially from our expectations, such as reported negative changes in the performance beyond what we already considered or the loan transfers to special servicing and the workout strategy negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take further rating actions as we deem necessary." Property-Level Analysis The loan collateral includes a 48-story, 1.25 million-sq.-ft. LEED platinum-certified class A high rise office tower, including an attached seven-story 200,000-sq.-ft. annex building (leased fully by Chime), and a two-story subterranean parking garage totaling 210 spaces. The office tower was built in 1983 and includes 23,000 sq. ft. of ground floor retail space. The property is located at 101 California Street, in downtown San Francisco, within the Financial District office submarket. The property is located directly across the street from the Embarcadero municipal transit station. The sponsor, a joint venture involving Hines, GIC, and an Asian government investor, spent approximately $75.0 million on common area upgrades, lobby improvements, and tenant-only amenities completed in 2023. The reported NCF and occupancy have declined since 2020: $62.3 million and 88.1%, respectively, in 2020; $56.6 million and 76.2% in 2021; $49.2 million and 76.3% in 2022; and $45.8 million and 74.2% for the TTM period ending Sept. 30, 2023. According to the September 2023 rent roll, the five largest tenants comprised 32.9% of NRA and included: -- Chime (15.5% of NRA; 18.0% of in-place gross rent, as calculated by S&P Global Ratings; October 2032 lease expiration). The tenant has made 2.9% of NRA available for sublease per CoStar. -- Deutsche Bank Securities Inc. (4.8%; 5.7%; December 2024). -- Winston & Strawn LLP (4.2%; 4.8%; October 2024). -- Baker Botts LLP (4.2%; 6.1%; August 2031). -- Morgan Stanley (4.1%; 4.7%; March 2030). The property generally faces staggered tenant rollover (less than 10.0% of S&P Global Ratings' gross rent per year) during the remaining loan term except in 2024 (12.4% of NRA; 14.8% of in-place gross rent, as calculated by S&P Global Ratings), 2026 (6.9% and 10.2%), and 2027 (9.0%; 13.1%). According to CoStar, the Financial District office submarket, where the subject property is located, continues to experience record vacancy levels and negative absorption due partly to changing office work preferences that caused tenants to exit or contract their leased space. As of year-to-date February 2024, four- and five-star office properties in the submarket have a 30.9% vacancy rate, 34.1% availability rate, and $53.32 per sq. ft. asking rent compared with a 7.0% vacancy rate and $78.57 per sq. ft. asking rent at issuance in 2019. CoStar projects vacancy to increase to 36.4% by year-end 2024 and 41.1% in 2025, and asking rent to decrease to $49.15 per sq. ft. and $45.54 per sq. ft. for the same period. This compares with an in-place 25.8% vacancy rate and $98.84 per sq. ft. gross asking rent, as calculated by S&P Global Ratings. Transaction Summary The IO mortgage whole loan had an initial and current balance of $755.0 million, pays a weighted average annual fixed interest rate of 4.1815%, and matures on March 6, 2029. The whole loan is split into nine senior A notes (at a rate of 3.8500%) and two subordinate B notes (at a rate of 4.9500%). The $515.0 million trust balance (according to the Feb. 12, 2024, trustee remittance report), comprises the $245.3 million A-1 senior note, $41.7 million A-2 senior note, $171.0 million B-1 subordinate note, and $57.0 million B-2 subordinate note. The remaining seven senior A notes totaling $240.0 million are in four other U.S. CMBS conduit transactions. The senior A notes are pari passu to each other and senior to the B notes. The borrower is permitted to incur up to $130.0 million in mezzanine debt, subject to certain conditions that S&P assessed are unlikely to be met based on the property's current performance. Through its February 2024 debt service payment, the whole loan has a reported current payment status. To date, the trust has not incurred any principal losses. The master servicer, Midland Loan Services, reported a DSC of 1.43x for the TTM ending Sept. 30, 2023 and 1.54x as of 2022. Ratings Lowered CALI Mortgage Trust 2019-101C Class A to 'AA (sf)' from 'AAA (sf)' Class B to 'A- (sf)' from 'AA- (sf)' Class C to 'BBB- (sf)' from 'A- (sf)' Class D to 'BB- (sf)' from 'BBB- (sf)' Class E to 'B- (sf)' from 'B+ (sf)' Class F to 'CCC (sf)' from 'B- (sf)' Class X-A to 'BBB- (sf)' from 'A- (sf)' Rating Affirmed CALI Mortgage Trust 2019-101C CFCRE 2016-C3: Fitch Affirms CC Rating on 2 Tranches ---------------------------------------------------- Fitch Ratings has affirmed 16 classes of CFCRE 2016-C3 and 15 class of CFCRE 2016-C4 transactions. The Rating Outlooks of classes D and X-D of CFCRE 2016-C3 were revised to Negative from Stable while the Outlooks on classes E and X-E remain Negative. The Rating Outlooks for Classes B, C, and X-B in the CFCRE 2016-C4 transaction have been revised to Positive from Stable. Entity/Debt Rating Prior ----------- ------ ----- CFCRE 2016-C4 A-3 12531YAM0 LT AAAsf Affirmed AAAsf A-4 12531YAN8 LT AAAsf Affirmed AAAsf A-HR 12531YAP3 LT AAAsf Affirmed AAAsf A-M 12531YAU2 LT AAAsf Affirmed AAAsf A-SB 12531YAL2 LT AAAsf Affirmed AAAsf B 12531YAV0 LT AA+sf Affirmed AA+sf C 12531YAW8 LT A+sf Affirmed A+sf D 12531YAE8 LT BBB-sf Affirmed BBB-sf E 12531YAF5 LT BBsf Affirmed BBsf F 12531YAG3 LT Bsf Affirmed Bsf X-A 12531YAQ1 LT AAAsf Affirmed AAAsf X-B 12531YAS7 LT AA+sf Affirmed AA+sf X-E 12531YAB4 LT BBsf Affirmed BBsf X-F 12531YAC2 LT Bsf Affirmed Bsf X-HR 12531YAR9 LT AAAsf Affirmed AAAsf CFCRE 2016-C3 A-2 12531WBA9 LT AAAsf Affirmed AAAsf A-3 12531WBB7 LT AAAsf Affirmed AAAsf A-SB 12531WAZ5 LT AAAsf Affirmed AAAsf AM 12531WBF8 LT AAAsf Affirmed AAAsf B 12531WBG6 LT AAsf Affirmed AAsf C 12531WBH4 LT A-sf Affirmed A-sf D 12531WAL6 LT BBsf Affirmed BBsf E 12531WAN2 LT B-sf Affirmed B-sf F 12531WAQ5 LT CCCsf Affirmed CCCsf G 12531WAS1 LT CCsf Affirmed CCsf X-A 12531WBC5 LT AAAsf Affirmed AAAsf X-B 12531WBD3 LT AAsf Affirmed AAsf X-D 12531WAA0 LT BBsf Affirmed BBsf X-E 12531WAC6 LT B-sf Affirmed B-sf X-F 12531WAE2 LT CCCsf Affirmed CCCsf X-G 12531WAG7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 6.2% in CFCRE 2016-C3 and 4.3% in CFCRE 2016-C4. The CFCRE 2016-C3 transaction includes seven loans (28.4% of the pool) which have been identified as Fitch Loans of Concern (FLOCs), while the CFCRE 2016-C4 transaction has 11 FLOCs (21.1%), including one loan (0.5%) in special servicing. Affirmations across both transactions reflect generally stable performance since Fitch's prior rating action. The Negative Outlooks on classes D, E, X-D and X-E in CFCRE 2016-C3 reflect regional mall and single-tenant office exposure. The regional malls, which include Empire Mall (7.1% of pool) and Springfield Mall (4.3%), have experienced sustained performance declines since issuance and the single-tenant office loan, Element LA (8.7% of the pool), has an imminent lease termination option prior to loan maturity. The Outlook revisions for classes B, C, and X-B in CFCRE 2016-C4 to Positive from Stable reflect the potential for upgrades with continued stable performance and additional paydown resulting in increased credit enhancement. The Positive outlooks also consider higher probability of default on the FLOCs which include the office loans with performance declines. Office loans comprise a total of 20.6% of the pool, seven of which (11.6%) are considered FLOCs and assumed to have a high likelihood of defaulting at maturity. While the majority of loans in the CFCRE 2016-C4 transaction continue to exhibit stable performance, the largest FLOCs are Renaissance Cincinnati (4.0%), Broadstone Plaza II (3.1%), 5353 West Bell Road (2.8%), and Travelers Office Tower II (2.3%). They were identified as FLOCs due to declines in performance from increased vacancy, availability rates or upcoming rollover. The CFCRE 2016-C3 transaction includes two regional malls, Empire Mall and the Springfield Mall, which have continued to underperform since issuance. Occupancy at the Empire Mall rebounded to 84.8% as of September 2023 from 67.8% at YE 2022, but remains below pre-pandemic levels of 87% at YE 2018 and 98% at issuance. Despite the rebound in occupancy, the annualized YTD September 2023 NOI and YE 2022 NOI remain 25.2% and 20.8% below NOI at issuance, respectively. The Springfield Mall is jointly sponsored by Simon Properties and Pennsylvania Real Estate Investment Trust (PREIT). PREIT has recently filed for bankruptcy in December 2023 for the second time. Despite stable occupancy of 92% as of September 2023, NOI DSCR remains lower at 1.42x for the YTD September 2023 reporting period. The most recent sales report for in-line tenants declined to $397 psf at YE 2022 from $486 psf at YE 2021. Due to concerns regarding performance, sponsorship, and refinance risk, Fitch's analysis reflects heightened probability of default for both malls with 'Bsf' ratings case of 40.1% for the Empire Mall and 33.7% for the Springfield Mall prior to concentration add-ons. The CFCRE 2016-C3 transaction reflects a sensitivity analysis addressing binary risk of the largest loan in the pool, Element LA loan (8.7% of the pool), a single-tenant office property located in Los Angeles, CA. The subject is occupied by Riot Games, which utilizes the location as their global headquarters. The loan was identified as a FLOC due to an approaching lease termination option scheduled for February 2025 with 12 months' notice. According to the servicer, the tenant has not indicated intentions to exercise their termination option. The tenant's lease extends through March 2030, beyond the loan's November 2025 maturity date. Fitch's base case 'Bsf' ratings case loss of 3.3% (prior to concentration add-ons) reflects a stress to the most recent cash flow that considers higher submarket vacancy rates and a sensitivity analysis to account for the tenant's lease termination option. Loan-level sensitivity losses increase to 24.0%, prior to concentration add-ons, with deal losses increasing to 8.0%. Defeasance: The CFCRE 2016-C3 transaction includes loans (20.1% of the pool) that have fully defeased while CFCRE 2016-C4 has eleven loans (13.6% of the pool). Since the prior review the NMS Los Angeles Multifamily portfolio (4.7% of the CFCRE 2016-C3 transaction and 3.6% of CFCRE 2016-C4 transaction) has fully defeased. Change to Credit Enhancement: As of the December 2023 remittance report, the aggregate balances of the CFCRE 2016-C3 and CFCRE 2016-C4 transactions have been reduced by about 9.2% and 15.9%, respectively. CFCRE 2016-C3 loan maturities are concentrated in 2025 (28 loans for 77.5% of the pool), and 2026 (10 loans for 22.5%). CFCRE 2016-C4 loan maturities are concentrated in 2024 (1 loan for 6.7% of the pool), 2025 (13 loans (21.9%), and 2026 (31 loans for 71.5%). Interest Shortfalls: Interest shortfalls of about $80,000 are affecting the non-rated class H in the CFCRE 2016-C3 transaction and about $94,300 are affecting the non-rated G class in the CFCRE 2016-C4 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated 'AAAsf' are not likely due to the position in the capital structure, but may occur should interest shortfalls occur or there are substantial increases in deal-level losses. Downgrades to classes rated 'AAsf' or 'Asf' are possible should overall pool losses increase significantly and additional loans experience performance declines or transfer to special servicing. Downgrades to classes rated 'BBBsf' or 'BBsf' would occur should loss expectations increase due to a continued performance decline of FLOCs and/or if loans transfer to special servicing. Downgrades to 'Bsf'-rated classes and distressed class are possible as more loans fail to repay at maturity and losses become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Classes rated 'AAsf' and 'Asf' could face upgrades as loans defease and or pay-off at maturity, improving credit enhancement. Upgrades to classes 'BBBsf' and 'BBsf' may occur with improvements in credit enhancement and/or defeasance. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades to distressed classes or classes rated 'Bsf' are unlikely absent significant performance improvements from FLOCs or loans in special servicing. 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. CHASE HOME 2024-1: DBRS Gives Prov. B(low) Rating on B-5 Certs -------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2024-1 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2024-1 (CHASE 2024-1): -- $570.2 million Class A-2 at AAA (sf) -- $570.2 million Class A-3 at AAA (sf) -- $570.2 million Class A-3-X at AAA (sf) -- $427.6 million Class A-4 at AAA (sf) -- $427.6 million Class A-4-A at AAA (sf) -- $427.6 million Class A-4-X at AAA (sf) -- $142.5 million Class A-5 at AAA (sf) -- $142.5 million Class A-5-A at AAA (sf) -- $142.5 million Class A-5-X at AAA (sf) -- $342.1 million Class A-6 at AAA (sf) -- $342.1 million Class A-6-A at AAA (sf) -- $342.1 million Class A-6-X at AAA (sf) -- $228.1 million Class A-7 at AAA (sf) -- $228.1 million Class A-7-A at AAA (sf) -- $228.1 million Class A-7-X at AAA (sf) -- $85.5 million Class A-8 at AAA (sf) -- $85.5 million Class A-8-A at AAA (sf) -- $85.5 million Class A-8-X at AAA (sf) -- $68.1 million Class A-9 at AAA (sf) -- $68.1 million Class A-9-A at AAA (sf) -- $68.1 million Class A-9-X at AAA (sf) -- $638.2 million Class A-X-1 at AAA (sf) -- $13.8 million Class B-1 at AA (low) (sf) -- $13.8 million Class B-1-A at AA (low) (sf) -- $13.8 million Class B-1-X at AA (low) (sf) -- $8.1 million Class B-2 at A (low) (sf) -- $8.1 million Class B-2-A at A (low) (sf) -- $8.1 million Class B-2-X at A (low) (sf) -- $4.7 million Class B-3 at BBB (low) (sf) -- $3.0 million Class B-4 at BB (low)(sf) -- $1.0 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, and A-8-A are super senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-9 and Class A-9-A certificates) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 4.85% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 2.80%, 1.60%, 0.90%, 0.45%, and 0.30% 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 first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 554 loans with a total principal balance of $670,770,499 as of the Cut-Off Date (January 1, 2024). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of six months. All of the loans are traditional, nonagency, prime jumbo mortgage loans. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. J.P. Morgan 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 (high) with a Negative trend by Morningstar DBRS) will act as Securities Administrator. U.S. Bank Trust National Association will act as and Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. 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 for each of the rated Certificates are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS's 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. CHASE HOME 2024-RPL1: Moody's Gives (P)Ba2 Rating to Cl. B-2 Certs ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to eight classes of residential mortgage-backed securities (RMBS) to be issued by Chase Home Lending Mortgage Trust 2024-RPL1 Trust (Chase 2024-RPL1 Trust) and sponsored by JPMorgan Chase Bank, N.A. The securities are backed by a pool of seasoned performing and re-performing residential mortgages serviced and originated (or acquired) by JP Morgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2024-RPL1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-A, Assigned (P)Aaa (sf) Cl. A-1-B, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. M-1, Assigned (P)A2 (sf) Cl. M-2, Assigned (P)A3 (sf) Cl. B-1, Assigned (P)Baa3 (sf) Cl. B-2, Assigned (P)Ba2 (sf) RATINGS RATIONALE The ratings are based on the credit quality and historical performance of the mortgage loans, the structural features of the transaction, the origination quality, the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario is 1.00%, and reaches 6.50% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The methodologies used in these ratings were "Non-Performing and Re-Performing Loans Securitizations Methodology" published in July 2022. 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. CITIGROUP COMMERCIAL 2014-GC21: DBRS Cuts F Credit Rating to C -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-GC21 issued by Citigroup Commercial Mortgage Trust 2014-GC21 as follows: -- Class X-C to B (high) (sf) from BB (high) (sf) -- Class E to B (sf) from BB (sf) -- Class X-D to C (sf) from B (sf) -- Class F to C (sf) from B (low) (sf) Morningstar DBRS also confirmed its credit ratings on the remaining classes as follows: -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class PEZ at A (sf) -- Class D at BBB (low) (sf) The trend on Classes C, D, E, X-B, X-C, and PEZ was changed to Negative from Stable. Classes F and X-D have credit ratings that do not generally carry a trend in Commercial Mortgage-Backed Security (CMBS) credit ratings. All other classes have Stable trends. The credit rating downgrades reflect Morningstar DBRS' concerns regarding a number of loans at increased risk of maturity default. All of the remaining 34 loans in the pool are scheduled to mature in the next six months. While Morningstar DBRS expects the majority will repay from the pool, a concentrated number of loans have either already defaulted or have exhibited increased default risk given declining credit metrics, prior default, or borrower communication indicating a possible modification request. One loan, Greene Town Center (Prospectus ID#3; 8.2% of the pool balance), has already transferred to special servicing following a failure to repay at its December 2023 maturity and is delinquent. An additional seven loans, including the largest loan in the pool, representing 39.1% of the pool balance in aggregate are current on payments but have been identified by Morningstar DBRS to be at risk for maturity default. The Negative trends reflect the potential for Morningstar DBRS' loss projections to increase should these loans default. As of the January 2024 remittance, 34 of the original 70 loans remain in the trust, with an aggregate balance of $483.1 million, representing a collateral reduction of 53.6% since issuance. Nine loans representing 17.1% of the pool are fully defeased. An additional 17 loans, representing 35.5% of the pool, are current on payments with a weighted-average (WA) debt yield of 11.2% and a WA debt service coverage ratio (DSCR) of 1.60 times (x). There is one loan in special servicing as noted above. Greene Town Center transferred to the special servicer in December 2023 due to maturity default and is past due for the December and January payments. It is secured by an 18 building mixed-use lifestyle center comprising of retail, office, and multifamily space located in Beavercreek, Ohio. According to the servicer, the lender, and borrower are discussing a maturity date extension. The annualized net cash flow (NCF) was $11.0 million (a DSCR of 1.25x) based on reporting for the trailing nine months (T-9) ended September 30, 2023, compared with the YE2022 figure of $10.7 million (a DSCR of 1.21x) and the Issuer's figure of $13.2 million (a DSCR of 1.50x). Occupancy has remained stable to improving over the life of the loan, most recently reported at 88.6% as of October 2023, down slightly from 91.1% at YE2022 and 88.8% at issuance. Additionally, as per the October 2023 rent roll, 37 leases, representing 22.2% of the total net rentable area (NRA), are scheduled to rollover in the next 12 months within the retail and office portion of the complex. Given the loan's delinquency, uncertain workout strategy. and upcoming rollover, Morningstar DBRS analyzed this loan with a liquidation strategy resulting in a loss severity approaching 25%. The largest loan in the pool is the Brookfield Properties-sponsored Maine Mall (Prospectus ID#1; 25.9% of the pool), which is secured by a 730,444 square foot (sf) portion of a 1.0 million-sf super-regional mall in Portland, Maine. The mall is anchored by Jordan Furniture Gallery (12.1% of the NRA, lease expiring in July 2030), JCPenney (8.6% of the NRA, lease expiring in July 2028), and a Macy's, which is not collateral for the loan. Another non-collateral anchor space which was previously occupied by Sears remains vacant since the store closed in 2020. The loan is on the servicer's watchlist, being monitored for low DSCR and upcoming maturity in April 2024. In November 2020, the servicer and the sponsor executed a forbearance agreement wherein Brookfield provided rent deferrals to multiple tenants. Although the deferred amounts have been repaid, the mall performance has not rebounded to pre-pandemic levels. The annualized NCF was $14.8 million (a DSCR of 1.33x) based on reporting for the T-9 ended September 30, 2023, compared with YE2022 NCF of $15.4 million (a DSCR of 1.39x), and well below the Issuer's NCF of $20.3 million (a DSCR of 1.83x). The loan is currently in cash management as the DSCR is below 1.50x. As of November 2023, the loan had a cash trap balance of $10 million. The loan also has a total reserve balance of $16.1 million as per the January 2024 remittance. Although there is cash in reserve, given the property type, secondary market location, year-over-year decline in revenue, and near-term maturity, Morningstar DBRS' analysis considered a stressed value based on a 10% cap rate applied to the YE2022 NCF in the event of default. Notes: All figures are in U.S. dollars unless otherwise noted. COLLEGE LOAN I - 2007-2: Fitch Affirms B Rating on Class B-1 Debt ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings assigned to notes issued by College Loan Trust - I Amended and Restated 2003 Indenture of Trust (2002). The Rating Outlook for all class A notes and the 2007-2B-1 notes remain Stable, while the Outlooks for 2002-1B-1, 2002-2B-4, 2003-1B-1, 2004-1B-1, 2005-1B-1 and 2006-1B-1 notes have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- College Loan Trust I - Amended and Restated 2003 Indenture of Trust (2002) 2002-1 A-4 194262AD3 LT AA+sf Affirmed AA+sf A-5 194262AE1 LT AA+sf Affirmed AA+sf B-1 194262AK7 LT BBBsf Affirmed BBBsf College Loan Trust I - Amended and Restated 2003 Indenture of Trust (2002) 2002-2 A-11 194262AM3 LT AA+sf Affirmed AA+sf A-16 194262AS0 LT AA+sf Affirmed AA+sf A-21 194262AX9 LT AA+sf Affirmed AA+sf A-22 194262AY7 LT AA+sf Affirmed AA+sf A-23 194262AZ4 LT AA+sf Affirmed AA+sf A-24 194262BA8 LT AA+sf Affirmed AA+sf A-25 194262BB6 LT AA+sf Affirmed AA+sf A-26 194262BC4 LT AA+sf Affirmed AA+sf A-27 194262BD2 LT AA+sf Affirmed AA+sf A-28 194262BE0 LT AA+sf Affirmed AA+sf A-29 194262BF7 LT AA+sf Affirmed AA+sf A-30 194262BG5 LT AA+sf Affirmed AA+sf B-4 194262BK6 LT BBBsf Affirmed BBBsf College Loan Trust I - Amended and Restated 2003 Indenture of Trust (2002) 2003-1 A-2 194262BM2 LT AA+sf Affirmed AA+sf A-3 194262BN0 LT AA+sf Affirmed AA+sf A-4 194262BP5 LT AA+sf Affirmed AA+sf A-5 194262BQ3 LT AA+sf Affirmed AA+sf A-6 194262BR1 LT AA+sf Affirmed AA+sf A-7 194262BS9 LT AA+sf Affirmed AA+sf A-8 194262BT7 LT AA+sf Affirmed AA+sf B-1 194262BW0 LT BBBsf Affirmed BBBsf College Loan Trust I - Amended and Restated 2003 Indenture of Trust (2002) 2004-1 B-1 194262CF6 LT BBsf Affirmed BBsf College Loan Trust I - Amended and Restated 2003 Indenture of Trust (2002) 2005-1 B-1 194262CM1 LT BBsf Affirmed BBsf College Loan Trust I - Amended and Restated 2003 Indenture of Trust (2002) 2006-1 A-7A 194262CW9 LT AA+sf Affirmed AA+sf A-7B 194262CX7 LT AA+sf Affirmed AA+sf B-1 194262CV1 LT BBsf Affirmed BBsf College Loan Trust I - Amended and Restated 2003 Indenture of Trust (2002) 2007-2 A-10 194262DH1 LT AA+sf Affirmed AA+sf A-11 194262DJ7 LT AA+sf Affirmed AA+sf A-12 194262DK4 LT AA+sf Affirmed AA+sf A-13 194262DL2 LT AA+sf Affirmed AA+sf A-14 194262DM0 LT AA+sf Affirmed AA+sf B-1 194262DN8 LT Bsf Affirmed Bsf TRANSACTION SUMMARY The senior notes are performing as expected, and credit metrics and trust performance did not change significantly from the last annual review. The notes pass Fitch's credit and maturity stresses in cash flow modeling for their respective ratings with sufficient hard credit enhancement (CE). The class A notes have been affirmed at 'AA+sf' and maintain the Stable Outlook. The 2002-1B-1 notes, 2002-2B-4 notes, 2003-1B-1, 2004-1B-1, 2005-1B-1, 2006-1B-1 and 2007-2B-1 notes have been affirmed at 'BBBsf', 'BBBsf', 'BBBsf', 'BBsf', 'BBsf', 'BBsf' and 'Bsf', respectively. The Outlook for the 2007-2B-1 notes remains Stable, while the Outlooks for 2002-1B-1, 2002-2B-4, 2003-1B-1, 2004-1B-1, 2005-1B-1 and 2006-1B-1 notes have been revised to Negative Outlook from Stable. The Negative Outlooks for the notes reflect a shift in expected performance in the current rate environment, which has caused a deterioration in the excess spread performance of the subordinate notes, resulting in a collateral shortfall under the credit stress scenario in Fitch's cash flow modelling. The potential for significant negative excess spread is a credit negative for the subordinate notes, which will continue if interest rates remain at their current levels or move higher and for these classes there is possibility of further negative rating pressure in the next one to two years. In cashflow modelling, Fitch assumed the junior classes are paid in order of maturity date, thus class 2007-2B1 is the most impacted by the negative excess spread in cashflow modeling. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% FFELP loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 15.25% under the base case scenario, which is 45.75% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch maintained the sustainable constant default rate (sCDR) of 3.00% and revised the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) to 10.00% in cash flow modelling. The increase in CPR is reflective of higher levels of pre-payment since the 2020 not considering the much higher levels of prepayments observed last year driven by the Public Service Loan Forgiveness program, which has now run its course. As of Sept. 30, 2023, the TTM CDR was 3.14%, higher than 2.41% at the last review, considered to by normalization from pandemic levels, and the TTM CPR was 18.26% (22.28% at Dec. 31, 2022). Defaults have returned to pre-pandemic levels, resulting in the recent rise in CDR, while consolidation from the Public Service Loan Forgiveness Program is driving the short-term inflation of CPR. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 3.22% (3.24% at Dec. 31, 2022), 5.06% (5.48%) and 20.75% (20.61%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have increased from one year ago and are currently 2.74% for 31 DPD and 1.04% for 91 DPD compared to 2.17% and 0.89% at Dec. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.09%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As September 2023, 15.46% of principal balance is indexed to three-month SOFR, with 84.54% currently indexed to either 91-day T-bill rate or one-month SOFR as auction rate notes. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: CE is provided by overcollateralization, excess spread, and for the class A notes, subordination provided by the class B notes. As of the September 2023 distribution date, the reported total parity/asset percentage was 100.01%. Liquidity support is provided by a reserve account maintained at the greater of 0.75% of the note balance and $3,000,000. The transaction will release cash when the reported total and senior parity rations are at least 100.50% and 107.00%, respectively, and the reported overcollateralization amount is at least $5,000,000. As the 2004-1 LIBOR notes are paid in full, no cash is currently released until the other LIBOR notes are paid down to meet their respective amortization schedules. Operational Capabilities: Day-to-day servicing is provided by Nelnet Inc., (Nelnet). Fitch believes Nelnet to be an adequate servicer due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2002-1 Current Ratings: class A 'AA+sf'; class B 'BBBsf' Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'BBsf' (Credit Stress and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf', class B 'Bsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis spread increase 0.25%: class A 'AA+sf'; class B 'Bsf'; - Basis spread increase 0.50%: class A 'AA+sf', class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'BBBsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'BBBsf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'BBBsf'; - IBR usage increase 50%: class A 'AA+sf; class B 'BBBsf'; - Remaining Term increase 25%: class Asf 'AA+sf'; class B 'BBsf'; - Remaining Term increase 50%: class Asf 'AA+sf'; class B 'Bsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2002-2 Current Ratings: class A 'AA+sf'; class B 'BBBsf' Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'BBsf' (Credit Stress and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf', class B 'Bsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis spread increase 0.25%: class A 'AA+sf'; class B 'Bsf'; - Basis spread increase 0.50%: class A 'AA+sf', class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'BBBsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'BBBsf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'BBBsf'; - IBR usage increase 50%: class A 'AA+sf; class B 'BBBsf'; - Remaining Term increase 25%: class Asf 'AA+sf'; class B 'BBsf'; - Remaining Term increase 50%: class Asf 'AA+sf'; class B 'Bsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2003-1 Current Ratings: class A 'AA+sf'; class B 'BBBsf' Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'BBsf' (Credit Stress and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf', class B 'Bsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis spread increase 0.25%: class A 'AA+sf'; class B 'Bsf'; - Basis spread increase 0.50%: class A 'AA+sf', class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'BBBsf'; - CPR decrease 50%: class A 'AAsf'; class B 'BBBsf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'BBBsf'; - IBR usage increase 50%: class A 'AA+sf; class B 'BBBsf'; - Remaining Term increase 25%: class Asf 'AA+sf'; class B 'BBsf'; - Remaining Term increase 50%: class Asf 'AA+sf'; class B 'Bsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2004-1 Current Ratings: class B 'BBsf' Current Model-Implied Ratings: class B 'Bsf' (Credit Stress and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class B 'Bsf'; - Default increase 50%: class B 'CCCsf'; - Basis spread increase 0.25%: class B 'CCCsf'; - Basis spread increase 0.50%: class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class B 'Bsf'; - CPR decrease 50%: class B 'Bsf'; - IBR usage increase 25%: class B 'Bsf'; - IBR usage increase 50%: class B 'Bsf'; - Remaining Term increase 25%: class B 'CCCsf'; - Remaining Term increase 50%: class B 'CCCsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2005-1 Current Ratings: class B 'BBsf' Current Model-Implied Ratings: class B 'Bsf' (Credit Stress and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class B 'Bsf'; - Default increase 50%: class B 'Bsf'; - Basis spread increase 0.25%: class B 'CCCsf'; - Basis spread increase 0.50%: class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class B 'Bsf'; - CPR decrease 50%: class B 'BBsf'; - IBR usage increase 25%: class B 'BBsf'; - IBR usage increase 50%: class B 'BBsf'; - Remaining Term increase 25%: class B 'CCCsf'; - Remaining Term increase 50%: class B 'CCCsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2006-1 Current Ratings: class B 'BBsf' Current Model-Implied Ratings: class B 'Bsf' (Credit Stress and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class B 'Bsf'; - Default increase 50%: class B 'Bsf'; - Basis spread increase 0.25%: class B 'CCCsf'; - Basis spread increase 0.50%:class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class B 'Bsf'; - CPR decrease 50%: class B 'BBsf'; - IBR usage increase 25%: class B 'BBsf'; - IBR usage increase 50%: class B 'Bsf'; - Remaining Term increase 25%: class B 'CCCsf'; - Remaining Term increase 50%: class B 'CCCsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2007-2 Current Ratings: class A 'AA+sf'; class B 'Bsf' Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'CCCsf'; - Default increase 50%: class A 'AA+sf'; class B 'CCCsf'; - Basis spread increase 0.25%: class A 'AA+sf'; class B 'CCCsf'; - Basis spread increase 0.50%: class A 'AA+sf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'CCCsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'AA+sf'; class B 'CCCsf'; - Remaining Term increase 25%: class A 'AA+sf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2002-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'BBsf'; - Basis Spread decrease 0.25%: class B 'BBBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'BBsf'; - IBR usage decrease 25%: class B 'BBBsf'; - Remaining term decrease 25%: class B 'Asf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2002-2 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'BBsf'; - Basis Spread decrease 0.25%: class B 'BBBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'BBsf'; - IBR usage decrease 25%: class B 'BBBsf'; - Remaining term decrease 25%: class B 'Asf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2003-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'BBsf'; - Basis Spread decrease 0.25%: class B 'BBBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'BBsf'; - IBR usage decrease 25%: class B 'BBBsf'; - Remaining term decrease 25%: class B 'Asf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2004-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'Bsf'; - Basis Spread decrease 0.25%: class B 'BBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'Bsf'; - IBR usage decrease 25%: class B 'Bsf'; - Remaining term decrease 25%: class B 'BBBsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2005-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'Bsf'; - Basis Spread decrease 0.25%: class B 'BBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'Bsf'; - IBR usage decrease 25%: class B 'BBsf'; - Remaining term decrease 25%: class B 'BBBsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2006-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'Bsf'; - Basis Spread decrease 0.25%: class B 'BBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'Bsf'; - IBR usage decrease 25%: class B 'Bsf'; - Remaining term decrease 25%: class B 'BBBsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2007-2 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'CCCsf'; - Basis Spread decrease 0.25%: class B 'CCCsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'CCCsf'; - IBR usage decrease 25%: class B 'CCCsf'; - Remaining term decrease 25%: class B '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. COMM 2013-CCRE6: DBRS Confirms C Credit Rating on Class F Certs --------------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6 issued by COMM 2013-CCRE6 Mortgage Trust as follows: -- Class B at AAA (sf) -- Class X-B at AA (high) (sf) -- Class C at AA (sf) -- Class PEZ at AA (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at C (sf) The trends on all classes are Stable with the exception of Class F, which has a rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Since the last credit rating action, 10 loans have exited the trust, including nine loans that repaid in full. One loan that was previously in special servicing was liquidated with a loss that was in line with Morningstar DBRS' expectations. Currently just two loans remain in the trust, both of which defaulted at their February 2023 maturity dates and have since been extended. Given that both remaining loans defaulted at maturity, Morningstar DBRS' expected loss for each was based on stressed value estimates for both collateral properties backing the loans. Morningstar DBRS' expected losses are also generally stressed given the increased propensity for interest shortfalls should either of the remaining loans default again and become delinquent. The largest of the remaining loans is Federal Center Plaza (Prospectus ID#1; 54.2% of the pool), which is secured by the borrower's fee-simple interest in two adjoining eight-story office buildings, 400 C Street SW and 500 C Street SW in Washington, D.C., totaling 725,317 square feet (sf), as well as a 57.1% interest in a three-level, connected, subgrade parking garage. At issuance, The General Services Administration (GSA) leased more than 93.0% of the property on behalf of multiple federal agencies, including the Federal Emergency Management Agency (FEMA or the agency). The property was built to suit the agency in the early 1980s and has been continuously occupied by GSA tenants ever since; however, the GSA has downsized over the past several years. FEMA occupies the majority of the GSA space, with 162,293 sf (22.4% of net rentable area (NRA)) at 400 C Street SW and 303,546 sf (41.9% of NRA) at 500 C Street SW on a lease that was recently extended through August 2027. Total property occupancy is 74.4% as of September 2023. In December 2023, it was announced that FEMA would be relocating its headquarters to a federally owned building at 301 Seventh Street SW. That building is said to be in need of renovation, and FEMA is not expected to take occupancy until the work is complete. The agency's recent extension of its lease at the collateral properties indicate that build-out of the new space is likely to take some time. The loan transferred to the special servicer in December 2022 for imminent default after the borrower delivered notice stating that it would not be able to repay the loan upon maturity in February 2023. A modification was finalized in November 2023, the terms of which included an extension of the maturity date to February 2025 with an additional one-year extension option. The loan was returned to the master servicer and, as of December 2023, the loan has approximately $15.5 million in reserves, including $8.8 million in a tenant reserve. The loan continues to cover debt obligations with a debt service coverage ratio (DSCR) of 2.19x for the trailing nine months ended September 30, 2023, although this is down from the DSCR of 2.59x at YE2022. Although the value at issuance of $309 million implies a low loan-to-value ratio (LTV) of 42.1%, Morningstar DBRS believes it is likely the as-is value has fallen significantly in recent years given the developments described above and the general stress on the office property type, particularly in the Washington D.C. market. The second remaining loan is The Avenues (Prospectus ID#3; 45.8% of the pool), which is secured by 599,030 sf of inline space within a 1.1 million sf regional mall in Jacksonville, Florida. The noncollateral anchors are Dillard's, Belk, and JCPenney. The collateral anchors include Forever 21, which occupies 116,298 sf (representing 19.4% of the collateral NRA), and a vacant former Sears box totaling 121,208 sf (representing 20.2% of the NRA) that closed in 2019. The collateral's occupancy rate as of the June 2023 rent roll was 63%, down from 91.3% at issuance. There are no large rollover concentrations in the near term as Forever 21's lease, previously scheduled to expire in January 2023, was extended through January 2026. The subject is considered inferior to the favored mall in the area, St. Johns Town Center, which shares common sponsorship with the subject in Simon Property Group. The loan transferred to special servicing in November 2022 for imminent default and failed to repay ahead of its February 2023 maturity date. A modification was finalized in April 2023, the terms of which included an extension of the maturity date to February 2026. The loan transferred back to the master servicer with the loan modification, which also called for all excess cash flow to be swept into a lockbox reserve through maturity; the reserve has a balance of $5.5 million as of December 2023. Although the DSCR is high at 3.10x as of June 2023 compared with 2.92x at YE2022 and 2.76x at YE2021, net cash flow (NCF) remains nearly 30% below issuance figures. In its analysis, Morningstar DBRS considered a range of values for both assets. For Federal Center Plaza, Morningstar DBRS applied various capitalization rates, ranging from 8.75% to 9.50%, given the property type, location, the asset's declining occupancy rate, and single-tenant concentration, on the annualized September 2023 cash flow, resulting in implied LTVs between 95% and 104%. Morningstar DBRS also conducted a dark-value analysis to reflect the possibility that FEMA, which has a lease that expires within 18 months of the loan's final maturity, vacates, leaving the property nearly completely empty. Morningstar DBRS' concluded dark value of $104.1 million, which assumed a market rental rate of $42.00 per sf and one year of down time, resulted in an implied LTV of 125%. Federal Center Plaza's appraised value at issuance was $309 million. For The Avenues, which had an issuance appraised value of $244 million, Morningstar DBRS also considered a range of capitalization rates between 9.0% and 9.75% applied to the YE2022 NCF, resulting in implied LTVs of 84% to 92%. As an additional stress, given Forever 21's lease expiration one month prior to the extended loan maturity as well as the declining inline occupancy rate and the loan's prior default, Morningstar DBRS applied a 65% haircut to the issuance appraised value, resulting in an implied LTV of 129%. Using these value estimates, Morningstar DBRS concluded that there are likely to be sufficient funds to repay classes B through E, with losses anticipated for Class F. Morningstar DBRS notes that, given the pool concentration and prior default of the remaining loans, there is increased propensity of interest shortfalls for investment-grade rated bonds. Should the performance of the assets stagnate and vacancies remain unfilled, Morningstar DBRS's value estimates may be reduced and classes could be subject to downgrade pressure. Although the timeline to maturity has been extended, there is no monthly amortization, and if either of the loans again default or become delinquent, all classes would be at risk of unpaid interest. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE20: DBRS Cuts Credit Rating of 2 Classes to CCC ------------------------------------------------------------- DBRS Limited downgraded its credit ratings on the following two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE20 issued by COMM 2014-CCRE20 Commercial Mortgage Trust: -- Class X-C to CCC (sf) from B (high) (sf) -- Class D to CCC (sf) from B (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) -- Class E at C (sf) Morningstar DBRS changed the trends on Classes X-B, C, and PEZ to Negative from Stable. All other trends are Stable, with the exception of Classes X-C, D, and E, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss projections for the pool, primarily driven by the largest loan in special servicing, Harwood Center (Prospectus ID#4, 6.1% of the pool), which has received an updated appraisal indicating further value deterioration since the last credit rating action. Additionally, all loans are scheduled to mature in 2024 with two loans, Jacksonville Medical Centers (Prospectus ID#54, 0.5% of the pool balance) and Rite Aid Woodhaven (Prospectus ID#61, 0.3% of the pool balance), exhibiting elevated refinance risk given the underlying collateral's weak operating performance and/or exposure to a bankrupt tenant. Additional details of these loans are discussed below. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis in its review. Overall, the pool continues to exhibit healthy credit metrics, as evidenced by the weighted-average debt service coverage ratio (DSCR), which was slightly above 2.0 times (x) as of the most recent financial reporting available, thereby supporting the credit rating confirmations and Stable trends on the remaining classes. As of the January 2024 remittance, 51 of the original 64 loans remain in the pool with a trust balance of $852.0 million, representing collateral reduction of 28.0% since issuance. Since the last review, the Crowne Plaza Houston Katy Freeway loan, which was previously in special servicing, was liquidated from the trust at a realized loss of approximately $24.0 million, generally in line with Morningstar DBRS' expectation. To date, the trust has incurred a total loss of $56.7 million, which affected Classes F, G, and H. There are 25 loans that are fully defeased, representing 28.7% of the pool balance. Seven loans, representing 4.9% of the pool balance, are on the servicer's watchlist, and two loans, representing 11.4% of the pool balance, are in special servicing. One of the specially serviced loans, Beverly Connection (Prospectus ID#7, 5.1% of the pool) is likely to be returned to the master servicer in the near term. The largest specially serviced loan, Harwood Center, is secured by an office building in downtown Dallas. The loan transferred to special servicing in 2020 after the former largest tenant, Omnicom Group Inc., significantly reduced its footprint by almost 50.0% at the property as part of a lease extension to 2030. The loan was last paid through July 2020 and became real estate owned in November 2021. According to the servicer, the lender and property manager are working toward leasing up the property while completing a renovation plan that includes a new amenity floor and white boxing vacant space for future leases. As of January 2024, approximately $5.7 million is being held in reserve accounts and $14.0 million is being held in other property accounts. The April 2023 appraisal reported a value of $69.8 million, a decrease from the June 2022 value of $75.9 million and a steep decline from the issuance appraised value of $124.0 million. According to Reis, office properties in the Dallas central business district submarket reported a Q3 2023 vacancy rate of 32.4%, compared with the Q3 2022 vacancy rate of 30.3%. Given the collateral's depressed value, sustained high vacancy rate, weak submarket fundamentals, and generally low investor appetite for this asset type, Morningstar DBRS analyzed this loan with a liquidation scenario, resulting in a loss severity above 60.0%. Another loan of concern is Jacksonville Medical Centers, which is secured by two cross-collateralized, cross-defaulted medical office properties in Jacksonville, Florida. The loan is on the servicer's watchlist for a low occupancy rate and DSCR, most recently reported at 48.9% and 0.4x as of YE2022, respectively. Likewise, cash flow has continued to fall, plummeting to $134,272 at YE2022 from $509,990 at issuance. Given the collateral's low occupancy rate and the general challenges for office properties in today's environment, Morningstar DBRS notes that the collateral's as-is value has likely declined significantly. As such, the borrower may have difficulty refinancing the loan by maturity in November 2024, suggesting a transfer to special servicing may be forthcoming. The Rite Aid Woodhaven loan is secured by a retail property in Woodhaven, Michigan. The property is leased to a single tenant, Rite Aid, through February 2029. Rite Aid filed for bankruptcy protection on October 15, 2023, with its restructuring plan focused on closing underperforming stores. To date, the company, which currently operates more than 1,700 locations across 17 states, has announced it will be shuttering more than 200 stores. Although the subject property does not appear to be included in the initial list of store closures, The Wall Street Journal reported in September 2023 that Rite Aid was negotiating with its creditors over a plan to close 400 to 500 stores. According to the most recent servicer commentary, Rite Aid submitted a request to have its lease at the property amended, which was approved, but the terms have yet to be disclosed. Given the uncertainty surrounding Rite Aid's lease and the possibility of additional store closures in the future, refinance risk is elevated as the loan is scheduled to mature in October 2024. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE21: DBRS Confirms C Rating on 2 Classes ------------------------------------------------------ DBRS Limited confirmed all credit ratings on the Commercial Mortgage Pass-Through Certificates issued by COMM 2014-CCRE21 as follows: -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class PEZ at A (sf) -- Class X-C at BB (low) (sf) -- Class D at B (high) (sf) -- Class E at B (low) (sf) -- Class F at C (sf) -- Class G at C (sf) All trends are Stable, with the exception of Class F and Class G, which are assigned credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). Morningstar DBRS' expectations for the pool remain in line with the last rating action in February 2023. The transaction is winding down with the majority of loans well positioned to repay at or ahead of the scheduled 2024 maturity; however, there remain challenges for loans in special servicing and select loans displaying elevated levels of refinance risk. Since last review, one specially serviced loan (previously 1.6% of the pool) was disposed from the trust with a slightly better recovery than Morningstar DBRS previously anticipated; however, two loans (2.3% of the pool) have transferred to special servicing. As of the January 2024 reporting, the unrated bonds had been reduced by approximately 72.6% since issuance to $15.0 million, while interest shortfalls had accrued to $3.6 million through to the first-rated Class G certificate. In its analysis for this review, Morningstar DBRS considered liquidation scenarios for all four specially serviced loans (14.6% of the pool) and, based on those scenarios, Morningstar DBRS expects losses to write down the principal balance of Class G by nearly 50%, significantly eroding the credit support to Class F, supporting the C (sf) ratings for those certificates. As of the January 2024 reporting, 47 of the original 59 loans remain in the pool, representing a collateral reduction of approximately 30.5% since issuance as a result of loan amortization, repayments, and liquidations. Since Morningstar DBRS' last credit rating action, four loans have been fully defeased, increasing trust defeasance to 38.2%. By property type, the transaction is most concentrated by loans backed by retail properties (21.7% of the pool) and benefits from minimal exposure to loans backed by office properties (4.8% of the pool). There are 12 loans (18.8% of the pool) on the servicer's watchlist being monitored primarily for low debt service coverage ratios (DSCRs) and/or items of deferred maintenance. The loan with the largest loss projection is Kings' Shops (Prospectus ID#3, 8.4% of the pool), which is secured by a 69,023 square foot retail property in Waikoloa, Hawaii. Kings' Shops is an upscale retail center located within walking distance of the Waikoloa Beach Marriott Resort & Spa and the Hilton Waikoloa Village. The loan transferred to special servicing in September 2020 for payment default and became real estate owned in February 2023. According to the special servicer's most recent update, a potential purchase and sale agreement is currently in the works. At issuance, the property was anchored by Macy's, which closed in early 2020 and led occupancy to drop to 78% as of June 2020, down from 91.0% at YE2019 and 94.0% at issuance. Since then, several short-term leases have been signed, resulting in an occupancy rate of 81.1% as of September 2023 and a DSCR that is slightly above breakeven. An October 2023 appraisal valued the property at $49.1 million, slightly above the previous two appraisals of $49.0 million and $47.5 million from February 2023 and May 2022, respectively, but well below the issuance appraised value of $84.0 million. Morningstar DBRS views the relatively stable valuations as evidence that the outlook for economies with reliance on tourism has improved. However, given the loan's exposure relative to the value, reflecting a loan-to-value (LTV) above 100%, Morningstar DBRS liquidated the loan in its analysis with an implied loss of nearly 25%. The second-largest specially serviced loan is Marine Club Apartments (Prospectus ID#9; 3.9% of the pool), which is secured by a fractured condominium community in Philadelphia, with 204 of the total 301 units serving as collateral. The loan was transferred to special servicing in October 2020 for payment default. Following the special servicer's objection to the borrower's two settlement offers in April 2022, the preferred equity holder has replaced the manager of the borrower. Given the ongoing appeals, the foreclosure sale, which was originally scheduled in March 2023, has been delayed. As such, the lender continues to dual track foreclosure and discuss workout alternatives. A March 2023 appraisal valued the property at $35.8 million, a moderate improvement over the issuance value of $35.0 million and above the outstanding loan amount of $22.2 million. However, the loan has accrued $7.2 million of advances to date, with an increasing exposure growing from $4.5 million from the prior review, resulting in an LTV nearing 90.0%. Based on a stressed value of the property, Morningstar DBRS liquidated the loan in its analysis with an implied loss of nearly 20%. The Santa Fe Arcade (Prospectus ID#22; 1.9% of the current pool) is secured by a mixed-use property that consists of office and retail space in Santa Fe, New Mexico. The loan has been in special servicing twice, with the most recent transfer in October 2023 due to payment default. While the property reported healthy performance metrics, over 20.0% of the net rentable area (NRA) is scheduled to expire through the end of 2024, and according to January 2024 reporting, the workout strategy has yet to be specified. As a new appraisal is currently pending, the most recent appraisal Morningstar DBRS has on hand is dated as of August 2020, which valued the property at $12.3 million, below the current loan exposure of $12.6 million. As such, Morningstar DBRS does not expect the loan amount to be fully recovered at disposition. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2018-HOME: Fitch Lowers Rating on Class HRR Certs to 'BBsf' ---------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed three classes of COMM 2018-HOME Mortgage Trust (COMM 2018-HOME) commercial mortgage pass through certificates. The Rating Outlook for the class C notes remains Negative and the Outlooks for the class A and B notes remain Stable. Negative Outlooks were assigned to classes D and H-RR following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- COMM 2018-HOME A 20048JAA8 LT AAAsf Affirmed AAAsf B 20048JAE0 LT AA-sf Affirmed AA-sf C 20048JAG5 LT A-sf Affirmed A-sf D 20048JAJ9 LT BBBsf Downgrade BBB+sf HRR 20048JAL4 LT BBsf Downgrade BB+sf KEY RATING DRIVERS The Gateway; Sustained Performance Decline: The downgrades and Negative Outlooks reflect sustained underperformance from issuance expectations and slow improvement of property-level net cash flow (NCF) on The Gateway loan, secured by a 1,254-unit San Francisco, CA multifamily property, which represents approximately 30% of the transaction. Fitch does not expect NCF will recover to issuance levels given lower rents, higher operating expenses and softness of the San Francisco multifamily submarket since issuance. This has resulted in Fitch revising its sustainable NCF to $22.4 million, which is 28% below Fitch's issuance NCF of $31.2 million. While property occupancy has slightly increased to 94% as of September 2023 from 93.2% at YE 2022 and 91.4% at YE 2021, it remains below the 97% reported at issuance. As of September 2023, the servicer-reported NCF debt service coverage ratio (DSCR) was 2.15x, compared with 1.82x at YE 2022, 2.03x at YE 2021, 2.59x at YE 2020 and 3.01x at YE 2019. The updated Fitch NCF of $22.4 million reflects rental leases in-place as of November 2023 rent roll and significantly higher operating expenses, which are 35% above issuance. In-place average rent per unit as of the November 2023 rent roll is $2,963, up from $2,810 at YE 2022 and $2,738 at YE 2021, but remains below $3,049 at issuance. Recent leasing activity at the property in the three-month period between September through November 2023 has shown improved rental rates of $3,401 per unit. Fitch has requested additional details on the borrower's strategy to improve performance at The Gateway; however, they were not provided. Fitch relied upon September 2023 reporting for the majority of the operating expenses, with insurance, utilities and repairs and maintenance expenses being considerably higher than issuance and real estate taxes being in line with issuance assumptions, reflecting Fitch's Proposition 13 analysis. TriBeCa House (503-units; TriBeCa neighborhood of Manhattan): Occupancy was 95% as of September 2023, compared with 98.2% at YE 2022 and 93% at issuance. Fitch's updated NCF of $20.7 million has improved 18% from issuance NCF of $17.5 million due to improved occupancy and higher in-place rents. The September 2023 servicer-reported NCF DSCR increased to 2.77x from 2.41x at YE 2022, 1.36x at YE 2021, 2.13x at YE 2020 and 2.62x at YE 2019. Fitch's updated NCF factored in leases in place as of September 2023 and incorporated a 15% increase in insurance expense to address the expectation for future increase in premiums. Aalto57 (169-units; Sutton Place neighborhood of Manhattan's Upper East Side): Occupancy improved to 99.4% as of September 2023 from 96.5% at YE 2022 and 76.3% at YE 2020, exceeding 96% at issuance. Overall property performance and Fitch NCF remains in line with issuance expectations. Fitch's current NCF of $10.1 million, which factored in a 15% increase in insurance expense, is consistent with the $10.2 million Fitch NCF at issuance. The September 2023 servicer-reported NCF DSCR was 2.57x compared with 2.18x at YE 2022, 1.90x at YE 2021, 2.11x at YE 2020 and 2.54x at YE 2019. Low Fixed Rate Coupons: The loans have fixed rate coupons between 3.72% and 3.92%. In its analysis, Fitch applied an upward loan-to-value (LTV) hurdle adjustment due to the low coupons. The loans mature in 2028. Trust Leverage: The Fitch stressed DSCR and loan-to-value for the transaction were 1.14x and 79.5%, respectively, with a trust debt psf of $327,103. Concentrated Pool: The pool is secured by three loans, all of which are secured by multifamily properties, one in San Francisco, CA and two in Manhattan. Fitch's analysis considered an additional sensitivity scenario which assumed the Tribeca House and Aalton57 loans would refinance at maturity given their stable to improved performance since issuance, with The Gateway loan as the remaining asset. The current ratings and Outlooks reflect this sensitivity scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes C, D and HRR are possible if cash flow fails to improve at The Gateway within the next 12-24 months. Should average rents and NCF demonstrate sustainable growth, the Rating Outlooks maybe revised to Stable. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade While upgrades are considered unlikely, should The Gateway demonstrate significant and sustained performance improvement exceeding Fitch's expectation of sustainable performance, future upgrades are possible. 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. COREVEST AMERICAN 2017-1: DBRS Confirms B(sf) Rating on Class G --------------------------------------------------------------- DBRS Limited conducted a surveillance review of nine multi-borrower single-family rental (MB SFR) transactions. Most of the rating actions were credit rating confirmations, with a few credit ratings being upgraded. One transaction had three classes for which trends were changed from Stable to Negative. All other trends are Stable. Debt Rated Rating Trend Action ---------- ------ ----- ------ B2R Mortgage Trust 2015-1 Class C AAA (sf) Stb Confirmed Class D AAA (sf) Stb Upgraded Class X-B AA (sf) Stb Upgraded Class E AA (low) (sf) Stb Upgraded Class F BB (high) (sf) Stb Confirmed Class G B (high) (sf) Stb Confirmed B2R Mortgage Trust 2015-2 Class D AA (low) (sf) Stb Confirmed Class E BBB (sf) Stb Confirmed Class F B (high) (sf) Stb Confirmed CoreVest American Finance 2017-1 Trust Class E AAA (sf) Stb Upgraded Class F BBB (sf) Stb Upgraded Class G B (sf) Stb Confirmed CoreVest American Finance 2018-1 Trust Class C AAA (sf) Stb Upgraded Class X-B A (low) (sf) Stb Upgraded Class D BBB (high) (sf) Stb Upgraded Class E BBB (low) (sf) Stb Upgraded Class F BB (sf) Stb Confirmed Class G B (sf) Stb Confirmed CoreVest American Finance 2018-2 Trust Class F B (sf) Stb Trend Change, Confirmed Class B AAA (sf) Stb Upgraded Class C AA (sf) Stb Upgraded Class X-B BBB (sf) Stb Confirmed Class D BBB (low) (sf) Stb Confirmed Class E BB (high) (sf) Stb Confirmed Class G CCC (sf) -- Confirmed CoreVest American Finance 2019-1 Trust Class B AAA (sf) Stb Upgraded Class C A (high) (sf) Stb Upgraded Class X-B BBB (high) (sf) Stb Confirmed Class D BBB (sf) Stb Confirmed Class E BBB (low) (sf) Stb Confirmed Class F BB (sf) Stb Confirmed Class G B (sf) Stb Confirmed CoreVest American Finance 2019-3 Trust Class E BBB (sf) Neg Trend Change, Confirmed Class F BB (high) (sf) Neg Trend Change, Confirmed Class G B (high) (sf) Neg Trend Change, Confirmed Class A AAA (sf) Stb Confirmed Class X-A AAA (sf) Stb Confirmed Class B AA (sf) Stb Confirmed Class C A (low) (sf) Stb Confirmed Class D BBB (sf) Stb Confirmed CoreVest American Finance 2020-1 Trust Class A-1 AAA (sf) Stb Confirmed Class A-2 AAA (sf) Stb Confirmed Class X-A AAA (sf) Stb Confirmed Class B A (high) (sf) Stb Confirmed Class C A (low) (sf) Stb Confirmed Class D BBB (sf) Stb Confirmed Class E BB (high) (sf) Stb Confirmed Class F BB (sf) Stb Confirmed Class G B (sf) Stb Confirmed CoreVest American Finance 2020-3 Trust Mortgage Pass-Through Certificates Class A AAA (sf) Stb Confirmed Class X-A AAA (sf) Stb Confirmed Class B AA (low) (sf) Stb Confirmed Class C A (low) (sf) Stb Confirmed Class X-B BBB (high) (sf) Stb Confirmed Class D BBB (sf) Stb Confirmed Class E BBB (low) (sf) Stb Confirmed Class F BB (low) (sf) Stb Confirmed Class G B (sf) Stb Confirmed The rating confirmations reflect the overall stable performance of the transactions with the reported cash flows and other performance metrics for most loans generally in line Morningstar DBRS' expectations. The credit rating upgrades generally reflect the significantly increased credit support, whether through principal repayments or increased loan payoffs coupled with a lack of a significant concentration of loans showing performance declines since issuance. Performance data for each transaction was analyzed, including loan repayments, cash flow and/or occupancy changes for the collateral properties, special servicing transfers, and watchlist additions. In the case of larger loans in special servicing that were exhibiting performance declines from issuance and/or were reporting payment or maturity defaults, Morningstar DBRS considered liquidation scenarios based on a value stress that was determined based on the severity of the performance decline. For some loans exhibiting increased risks that were not liquidated in the analysis, a higher probability of default was analyzed to increase the expected loss. The January 2024 remittance reports showed servicer's watchlist concentrations between 7.6% and 51.7%, with concentrations of delinquent loans between 0% and 11.1% across the nine transactions. Realized losses to date have been generally minimal. Historically, liquidations across these pools have shown somewhat binary outcomes, with many loans reporting no or very small losses at disposition, while other loans report high loss severities that can sometimes even exceed 100%. Weighted-average loss severities ranged between 0% and 43.6%. The CAF 2019-1 transaction had the highest watchlist concentration, with most of the loans on that its watchlist being monitored for an upcoming maturity in February 2024. The CAFL 2019-3 transaction reported the second-highest delinquency rate across the nine transactions; this was a contributing factor for the credit rating actions for that transaction, which included a change of the trends on Classes E, F, and G to Negative from Stable. The increased delinquency rate since the last review could translate to increased losses over the near to moderate term, providing support for the Negative trend. The delinquency rate of 8.1% is up from 7.6% in January 2023 and is fully contained to five loans, all of which are with the special server and are in various stages of workout. Two of the loans, representing 6.0% of the pool balance, have near-term maturities in H2 2024; in both cases, the special servicer has noted there are cash flow and possible liquidity issues that could impair the ability to refinance or cure the outstanding defaults. Based on the increased risks for those loans, both were liquidated in Morningstar DBRS' analysis, with implied losses of $5.5 million. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1C: DBRS Finalizes B Rating on Class C Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Class X Notes, the Class A Notes, the Class B Notes, and the Class C Notes (collectively, the Notes) issued by Cornhusker Funding 1C LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association as follows: -- Class X Notes at AAA (sf) -- Class A Notes at BBB (sf) -- Class B Notes at BB (sf) -- Class C Notes at B (sf) At the same time, Morningstar DBRS removed the credit ratings on the Notes from Under Review with Developing Implications, where they had been placed on November 9, 2023. The credit rating on the Class X Notes addresses the timely payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Mount Logan Management, LLC, which is a subsidiary of Mount Logan Capital Inc. Morningstar DBRS considers Mount Logan Management, LLC an acceptable collateralized loan obligation (CLO) manager. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology), released on October 22, 2023. On November 9, 2023, the credit ratings were placed Under Review with Developing Implications to allow Morningstar DBRS to review the credit ratings using the CLO Methodology. The Reinvestment Period ends on April 8, 2030. The Stated Maturity is September 15, 2036. The finalization of the ratings reflect that certain conditions after the Closing Date, such as compliance with Effective Date conditions (as defined in the Indenture) have been satisfied. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Indenture, dated as of April 22, 2022. (2) The integrity of the transaction's structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Mount Logan Management, LLC. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Minimum Weighted-Average Spread (WAS) Test, and Maximum Morningstar DBRS Risk Score Test. Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modelled during its analysis are presented below. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization (OC) Ratio: Subject to CQM; actual 136.65%; threshold 124.50% Class B OC Ratio: Subject to CQM; actual 126.59%; threshold 116.80% Class C OC Ratio: Subject to CQM; actual 122.09%; threshold 113.40% Class A Interest Coverage (IC) Ratio: actual 176.86%; threshold 115.00% Class B IC Ratio: actual 156.09%; threshold 110.00% Class C IC Ratio: actual 145.86%; threshold 105.00% Collateral Quality Tests: Minimum DScore: Subject to CQM; actual 22.35; threshold 17.00 Maximum DBRS Morningstar Risk Score: Subject to CQM; actual 28.00%; threshold 33.60% Minimum WAS: Subject to CQM; actual 5.58%; threshold 5.10% Some particular strengths of the transaction are (1) the collateral quality that consists of at least 95% senior-secured middle-market loans and (2) the adequate diversification of the portfolio of collateral obligations (matrix-driven Diversity Score). Some challenges are (1) up to 5% of the portfolio pool may consist of long-dated assets, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. As of December 5, 2023, the Borrower is in compliance with all Coverage and Collateral Quality Tests. There were no defaulted obligations registered in the underlying portfolio as of the December 5, 2023, trustee report date. Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2024-A: DBRS Finalizes BB Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the classes of notes issued by CPS Auto Receivables Trust 2024-A (the Issuer) as follows: -- $128,512,000 Class A Notes at AAA (sf) -- $37,870,000 Class B Notes at AA (sf) -- $48,557,000 Class C Notes at A (sf) -- $33,218,000 Class D Notes at BBB (sf) -- $32,767,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The 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 is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- Unlike prior CPS transactions, the series 2024-A does not include an CNL trigger. -- The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update," published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. -- The Morningstar DBRS CNL assumption is 17.00% based on the expected pool composition. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The consistent operational history of Consumer Portfolio Services, Inc. (CPS or the Company) and the strength of the overall Company and its management team. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry. (4) The capabilities of CPS with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of CPS and considers the Company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (5) Morningstar DBRS exclusively used the static pool approach because CPS has enough data to generate a sufficient amount of static pool projected losses. -- Morningstar DBRS was conservative in the loss forecast analysis that it performed on the static pool data. (6) The Company indicated that there is no material pending or threatened litigation. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS's "Legal Criteria for U.S. Structured Finance." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 58.25% of initial hard credit enhancement provided by the subordinated notes in the pool (50.70%), the reserve account (1.00%), and OC (6.55%). The ratings on the Class B, C, D, and E Notes reflect 45.65%, 29.50%, 18.45%, and 7.55% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. 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, the associated contractual payment obligation that is not a financial obligation is interest on unpaid interest for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. DBWF 2016-85T: S&P Lowers Class E Certs Rating to 'B- (sf)' ----------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from DBWF 2016-85T Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its 'AAA (sf)' rating on class A from the transaction. This U.S. CMBS transaction is backed by a portion of a 10-year, fixed-rate, interest-only (IO) mortgage whole loan secured by an 11-story, 632,584-sq.-ft. office building with ground-floor retail and restaurant spaces located at 85 10th Avenue in Manhattan's Chelsea office submarket. Rating Actions The downgrades on classes B, C, D, and E reflect: -- S&P's revised expected-case valuation, which is 17.3% lower than the valuation we derived in its last review in May 2022 due primarily to reported decreases in occupancy and net cash flow (NCF) at the property. -- S&P's assessment that the largest tenant, Google (46.4% of net rentable area [NRA]), may downsize or fully vacate the premises upon its lease expiration in February 2026. In September 2021, Google purchased St. John's Terminal, a 12-story, 1.3 million-sq.-ft. building in the nearby Hudson Square office submarket for $2.1 billion, which, with two other adjacent buildings totaling approximately 400,000 sq. ft., serve as its headquarters and Hudson Square campus. In S&P's current analysis, it accounted for this risk by increasing its vacancy, tenant improvement cost, and capitalization rate assumptions. -- S&P's belief that, due to weakened office submarket fundamentals, the borrower will continue to face challenges re-tenanting vacant spaces in a timely manner. -- The affirmation on class A considers the moderate debt per sq. ft. (about $323 per sq. ft.), among other factors. S&P said, "We lowered our rating on the class X-A IO certificates based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. Class X-A's notional amount references classes A and B. "In our May 27, 2022, review, we noted that the property was 89.2% leased according to the Dec. 31, 2021, rent roll, after it fell to 70.7% in 2020 due partly to the then second-largest tenant, the GSA (28.1% of NRA), vacating at the end of its September 2020 lease term. The sponsor re-leased most of the GSA's space to a new tenant, Clear (18.8%), at a higher net base rent. Consequently, at that time, assuming a 15.0% vacancy rate, a $92.14 per sq. ft. gross rent, as calculated by S&P Global Ratings, and a 36.2% operating expense ratio, we derived a long-term sustainable NCF of $29.3 million. Using a 6.25% S&P Global Ratings capitalization rate, we arrived at an expected case value of $489.2 million or $773 per sq. ft. "As of the Sept. 30, 2023, rent roll, the property's occupancy rate was 83.5%, including new tenant Shopify (5.5% of NRA), whose lease commenced on Oct. 1, 2023. However, we assessed that the occupancy rate may decline because approximately 56.0% of the NRA, mainly attributable to Google (46.4%), rolls in 2026. We believe there is a strong probability that Google may downsize or fully vacate the subject property upon its lease expiration in February 2026. According to CoStar, in June 2023, Google leased, at $72.95 per sq. ft. base rent, the entire 1.3 million-sq.-ft. newly redeveloped office building at 550 Washington Street in the Hudson Square office submarket, about a mile from the subject property. In our current analysis, to account for this risk, we utilized a higher vacancy rate of 20.0%, a $89.13 per sq. ft. gross rent as calculated by S&P Global Ratings, a 39.2% operating expense ratio, and higher tenant improvement costs to arrive at our long-term sustainable NCF of $26.3 million, 10.3% lower than our last review NCF of $29.3 million. Using a 6.50% S&P Global Ratings capitalization rate, up 25 basis points from the 6.25% rate in our last review, we arrived at an S&P Global Ratings expected-case value of $404.4 million or $639 per sq. ft., 17.3% lower than our last review value of $489.2 million and 51.6% below the issuance appraisal value of $835.0 million. This yielded an S&P Global Ratings loan-to-value (LTV) ratio of 97.9% on the whole loan balance, up from 80.9% in our last review." Although the model-indicated ratings were lower than the current or revised ratings on classes A, B, and C, S&P tempered its downgrades on classes B and C, and affirmed our rating on class A because S&P weighed certain qualitative considerations. These include: -- The potential that the property's operating performance could improve above our expectations. According to the September 2023 rent roll, the sponsor signed three leases representing 24.2% of NRA at base rent of $103.98 per sq. ft., as calculated by S&P Global Ratings. As of the February 2024 reporting period, there is $11.3 million in various lender-controlled reserve accounts, a portion of which is earmarked for tenant leasing activities. -- The moderate debt per sq. ft. for class A ($323 per sq. ft.). -- The significant market value decline that would need to occur before these classes experience principal losses. -- The temporary liquidity support provided in the form of servicer advancing. -- The relative position of the classes in the payment waterfall. S&P said, "We will continue to monitor the tenancy and performance of the property and loan, as well as the borrower's ability to refinance the loan by its maturity date in December 2026. If we receive information that differs materially from our expectations, such as reported negative changes in the performance beyond what we already considered or the loan is transferred to special servicing and the workout strategy negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take rating actions as we deem appropriate." Property-Level Analysis The loan collateral consists of an 11-story, 632,584-sq.-ft. office building with ground-floor restaurants and retailers that was originally built in 1914 as an expansion of the Nabisco Factory, located at 85 10th Avenue in Manhattan's Chelsea office submarket. Level 3 Communications acquired the subject property in 1999 and invested over $150.0 million ($237 per sq. ft.) to convert it into a telecommunications facility. The property was then acquired by Somerset Partners in 2005 and redeveloped as an office and retail building. Somerset Partners added new oversized windows, a new entranceway and lobby, new elevators, and a new heating system, as well as upgraded electricals. The building has views of the Hudson River and open floor plans with ceiling heights ranging from 14 ft. to approximately 19 ft. Amenities include 11 emergency generators with 22 megawatts of backup power, 320 tons of cooling capacity per floor, access to Chelsea Market via a skybridge, and its proximity to the West Side Highway. The current sponsor, a joint venture between principals of the Related Companies L.P. and Vornado Realty Trust, acquired the property in 2007 and spent over $22.0 million on a tenant improvement allowance and landlord work specific to the buildout of Google's space. Google also invested approximately $100 per sq. ft. of its own funds into its space at the property. As S&P previously discussed, Google purchased a nearby 1.3 million-sq.-ft. office building in September 2021 for $2.1 billion. According to CoStar, Google took possession in June 2023. The property's occupancy rate was 83.5% as of the Sept. 30, 2023, rent roll, inclusive of a new tenant (5.5% of NRA) with an October 2023 lease commencement date, compared with 89.0% in 2022, 89.2% in 2021, and 79.7% in 2020. The reported NCF was $16.8 million as of the nine months ended Sept. 30, 2023, $20.6 million in 2022, $19.4 million in 2021, and $35.7 million in 2020. According to the September 2023 rent roll, the five largest tenants at the property comprised 83.3% of NRA and included: -- Google (46.4% of NRA, 50.8% of in-place gross rent, as calculated by S&P Global Ratings, February 2026 lease expiration); -- Clear (18.5%, 24.0%, April 2038); -- Telehouse International Corp. (9.6%, 12.5%, January 2026); -- Shopify (5.5%, 7.6%, April 2034); and -- 85 Tenth Restaurant LLC (3.3%, 2.2%, January 2030). The property faces significant tenant rollover risk in 2026 (56.0% of NRA; 63.4% of S&P Global Ratings' in-place gross rent), a majority of which is attributable to the largest tenant, Google. According to CoStar, the Chelsea office submarket, like other New York City office submarkets, has experienced high vacancies and low demand mainly driven by companies adopting hybrid or remote work arrangements and/or a flight to quality (i.e., newer and modern office buildings). As of year-to-date February 2024, the four- and five-star office properties in the submarket had a reported 24.8% vacancy rate, 35.6% availability rate, and $86.09 per sq. ft. asking rent, compared with 13.0%, 19.7%, and $95.29 per sq. ft., respectively, that S&P noted in its last review. The property is currently 83.5% leased with a gross rent of $89.13 per sq. ft., as calculated by S&P Global Ratings. CoStar projects submarket vacancy to decrease to 21.0% in 2024, 21.8% in 2025, and 21.6% in 2026, and asking rent to contract to $85.40 per sq. ft., $82.44 per sq. ft., and $83.08 per sq. ft. for the same periods. Transaction Summary The IO mortgage whole loan had an initial and current balance of $396.0 million, pays a per annum fixed interest rate of 3.82%, and matures on Dec. 6, 2026. The whole loan is split into six senior A and two subordinate B notes. The $271.0 million trust balance (according to the Feb. 12, 2024, trustee remittance report) comprises: -- The $78.0 million senior note A-1-S; -- The $52.0 million senior note A-2-S; -- The $84.6 million subordinate note B-1; and -- The $56.4 million subordinate note B-2. The $50.0 million nontrust senior notes are in Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3, and the $75.0 million nontrust senior notes are in CD 2017-CD3 Mortgage Trust, both U.S. CMBS transactions. The A notes are pari passu to each other and senior to the B notes. In addition, there are two mezzanine loans totaling $229.0 million. Including the mezzanine loans, the S&P Global Ratings LTV ratio increases to 154.6%. To date, the trust has not incurred any principal losses. The master servicer, Wells Fargo Bank N.A., reported a 1.46x debt service coverage for the whole loan as of year-to-date September 2023, up from 1.34x as of year-end 2022. Ratings Lowered DBWF 2016-85T Mortgage Trust Class B to 'A (sf)' from 'AA- (sf)' Class C to 'BBB- (sf)' from 'A- (sf)' Class D to 'BB- (sf)' from 'BBB- (sf)' Class E to 'B- (sf)' from 'BB- (sf)' Class X-A to 'A (sf)' from 'AA- (sf)' Rating Affirmed DBWF 2016-85T Mortgage Trust Class A: AAA (sf) ELMWOOD CLO I: S&P Assigns BB- (sf) Rating on Class E-RR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-RR, A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR replacement debt from Elmwood CLO I Ltd./Elmwood CLO I LLC, a CLO originally issued in March 2019 and refinanced in October 2020. The transaction is managed by Elmwood Asset Management LLC. At the same time, S&P withdrew its ratings on the original class A-R, B-R, C-R, D-R, E-R, and F-R debt following payment in full on the Feb. 15, 2024, refinancing date. The class A-2-R debt is not rated by S&P Global Ratings. The replacement debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-RR, A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The reinvestment period was extended to April 20, 2029, from Oct. 20, 2025. -- The stated maturity was extended to April 20, 2037, from Oct. 20, 2033. -- The weighted average life test was extended to 9.0 years from the refinancing date. -- The class X-RR notes were issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 15 payment dates beginning with the payment date in July 2024. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction added the ability to delay the redemption date of one or more classes of secured notes. Replacement And Original Debt Issuances Replacement debt -- Class X-RR, $3.00 million: Three-month CME term SOFR + 1.00% -- Class A-1-RR, $308.75 million: Three-month CME term SOFR + 1.52% -- Class A-2-RR, $8.75 million: Three-month CME term SOFR + 1.72% -- Class B-RR, $62.50 million: Three-month CME term SOFR + 2.00% -- Class C-RR (deferrable), $30.00 million: Three-month CME term SOFR + 2.40% -- Class D-RR (deferrable), $30.00 million: Three-month CME term SOFR + 3.75% -- Class E-RR (deferrable), $20.00 million: Three-month CME term SOFR + 6.40% Original debt -- Class A-R, $300.00 million: Three-month CME term SOFR + 1.45% + CSA(i) -- Class A-2-R, $10.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class B-R, $70.00 million: Three-month CME term SOFR + 1.95% + CSA(i) -- Class C-R, $30.00 million: Three-month CME term SOFR + 2.70% + CSA(i) -- Class D-R, $30.00 million: Three-month CME term SOFR + 4.40% + CSA(i) -- Class E-R, $16.25 million: Three-month CME term SOFR + 7.71% + CSA(i) -- Class F-R, $7.50 million: Three-month CME term SOFR + 8.98% + CSA(i) Subordinated notes, $40.15 million: Not applicable (i)The CSA equals 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "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 Elmwood CLO I Ltd./Elmwood CLO I LLC Class X-RR, $3.00 million: AAA (sf) Class A-1-RR , $308.75 million: AAA (sf) Class A-2-RR, $8.75 million: AAA (sf) Class B-RR, $62.50 million: AA (sf) Class C-RR (deferrable), $30.00 million: A (sf) Class D-RR (deferrable), $30.00 million: BBB- (sf) Class E-RR (deferrable), $20.00 million: BB- (sf) Subordinated notes, $40.15 million: NR Ratings Withdrawn Elmwood CLO I Ltd./Elmwood CLO I LLC Class A-R: to NR from 'AAA (sf)' Class B-R: to NR from 'AA (sf)' Class C-R: to NR from 'A (sf)' Class D-R: to NR from 'BBB- (sf)' Class E-R: to NR from 'BB- (sf)' Class F-R: to NR from 'B- (sf)' NR--Not rated. FORTRESS CREDIT XXIII: S&P Assigns Prelim BB- (sf) Rating E Loans ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Fortress Credit Opportunities XXIII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by FCOD CLO Management LLC. The preliminary ratings are based on information as of Feb. 16, 2024. 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 collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Fortress Credit Opportunities XXIII LLC Class A-1R loans(i), $64.80 million: AAA (sf) Class A-1T notes, $151.20 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $20.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $28.00 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Subordinated notes, $71.00 million: Not rated (i)Revolving loan tranche. GOODLEAP 2022-4: S&P Places 'BB+' Rating on C Notes on Watch Neg. ----------------------------------------------------------------- S&P Global Ratings affirmed its rating on the class A notes from GoodLeap Sustainable Home Solutions Trust 2022-4, an ABS securitization. At the same time, S&P placed its ratings on the class B and C notes on CreditWatch with negative implications. S&P said, "The affirmation and CreditWatch placements reflect the transaction's collateral performance to date. At the time of closing, we assumed a gross default rate of 13.67% for the 'A' rating level, 10.86% for the 'BBB' rating level, and 7.23% for the 'BB+' rating level. Based on the cumulative net loss (CNL) reflected in the performance report, we see that the transaction's CNL to be trending higher than our original expectations, with an elevated loss rate reflected from the June 2023 payment distribution date onward." "Beginning in July 2023, we have observed a prepayment rate below our low prepayment speed assumption used at closing, namely 4.00% in a 'BBB' scenario and 5.00% in a 'BB+' scenario. A lower-than-expected prepayment rate coupled with the low weighted average yield of the assets causes the excess spread, after covering net losses, to be insufficient to build overcollateralization, causing the overcollateralization amount to be stagnant or declining in recent months." The current cumulative net default percentage is still within the transaction's cumulative default trigger. In the event the cumulative default trigger has been breached, class B and C interest payments will be subordinate to class A principal payments. Currently, only class A has been receiving principal payments as the transaction builds toward the specified class A overcollateralization amount through regular principal distribution payments. S&P said, "We expect to resolve the CreditWatch negative placements as soon as practically possible. In doing so, we expect to apply various prepayment and default assumptions for each rating level. In setting the assumptions, we expect to consider the ongoing delinquency, default, and prepayment performance of the collateral, as well as general macroeconomic conditions. During this time, we will continue to review the transaction-level performance reports, review any additional information that may be available to us, and take any additional rating actions as we deem appropriate. " Table 1 Cumulative net defaults Cumulative net Month(i) default (%) Trigger level (%) January 2024 1.443340 3.500000 December 2023 1.295028 3.500000 November 2023 1.155992 3.000000 October 2023 0.966517 3.000000 September 2023 0.777406 3.000000 August 2023 0.484571 3.000000 July 2023 0.400858 3.000000 June 2023 0.270516 3.000000 May 2023 0.055899 2.000000 April 2023 0.033160 2.000000 March 2023 0.025412 2.000000 February 2023 0.025411 2.000000 January 2023 0.000000 2.000000 December 2022 0.000000 2.000000 November 2022 0.000000 2.000000 (i)Payment distribution date. Table 2 Overcollateralization (%) Month(i) Class A Class B Class C January 2024 17.32 11.78 5.52 December 2023 19.40 14.04 7.97 November 2023 20.42 15.16 9.20 October 2023 21.31 16.13 10.28 September 2023 22.12 17.02 11.25 August 2023 22.93 17.91 12.23 July 2023 23.26 18.28 12.65 June 2023 23.60 18.66 13.08 May 2023 23.81 18.93 13.40 April 2023 23.83 18.98 13.49 March 2023 23.68 18.89 13.46 February 2023 23.67 18.89 13.48 January 2023 23.74 18.97 13.57 December 2022 23.73 18.98 13.59 November 2022 23.72 18.97 13.60 (i)Payment distribution date. Table 3 Constant prepayment Constant prepayment Month(i) rate (%)(ii) January 2024 3.20414908 December 2023 3.389187 November 2023 3.35648049 October 2023 2.52854622 September 2023 2.99788727 August 2023 3.14725822 July 2023 2.93507568 June 2023 4.71556165 May 2023 4.6574251 April 2023 5.40992411 March 2023 2.78185172 February 2023 1.02197439 January 2023 1.70836945 December 2022 1.88587444 November 2022 1.87893126 (i)Payment distribution date. (ii)Annualized. RATING AFFIRMED GoodLeap Sustainable Home Solutions Trust 2022-4 Class Rating A A (sf) RATINGS PLACED ON CREDITWATCH NEGATIVE GoodLeap Sustainable Home Solutions Trust 2022-4 Rating Class To From B BBB (sf)/Watch Neg BBB (sf) C BB+ (sf)/Watch Neg BB+ (sf) GS MORTGAGE 2024-PJ1: DBRS Gives Prov. B(high) Rating on B-5 Notes ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2024-PJ1 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2024-PJ1: -- $295.0 million Class A-1 at AAA (sf) -- $295.0 million Class A-1-X at AAA (sf) -- $295.0 million Class A-2 at AAA (sf) -- $280.6 million Class A-3 at AAA (sf) -- $280.6 million Class A-3A at AAA (sf) -- $280.6 million Class A-3L at AAA (sf) -- $280.6 million Class A-3-X at AAA (sf) -- $280.6 million Class A-4 at AAA (sf) -- $280.6 million Class A-4A at AAA (sf) -- $280.6 million Class A-4L at AAA (sf) -- $140.3 million Class A-5 at AAA (sf) -- $140.3 million Class A-5-X at AAA (sf) -- $140.3 million Class A-6 at AAA (sf) -- $168.4 million Class A-7 at AAA (sf) -- $168.4 million Class A-7-X at AAA (sf) -- $168.4 million Class A-8 at AAA (sf) -- $28.1 million Class A-9 at AAA (sf) -- $28.1 million Class A-9-X at AAA (sf) -- $28.1 million Class A-10 at AAA (sf) -- $70.2 million Class A-11 at AAA (sf) -- $70.2 million Class A-11-X at AAA (sf) -- $70.2 million Class A-12 at AAA (sf) -- $42.1 million Class A-13 at AAA (sf) -- $42.1 million Class A-13-X at AAA (sf) -- $42.1 million Class A-14 at AAA (sf) -- $210.5 million Class A-15 at AAA (sf) -- $210.5 million Class A-15-X at AAA (sf) -- $210.5 million Class A-16 at AAA (sf) -- $210.5 million Class A-16L at AAA (sf) -- $140.3 million Class A-17 at AAA (sf) -- $140.3 million Class A-17-X at AAA (sf) -- $140.3 million Class A-18 at AAA (sf) -- $112.2 million Class A-19 at AAA (sf) -- $112.2 million Class A-19-X at AAA (sf) -- $112.2 million Class A-20 at AAA (sf) -- $70.2 million Class A-21 at AAA (sf) -- $70.2 million Class A-21-X at AAA (sf) -- $70.2 million Class A-22 at AAA (sf) -- $70.2 million Class A-22L at AAA (sf) -- $14.4 million Class A-23 at AAA (sf) -- $14.4 million Class A-23-X at AAA (sf) -- $14.4 million Class A-24 at AAA (sf) -- $295.0 million Class A-X at AAA (sf) -- $13.0 million Class B-1 at AA (high) (sf) -- $13.0 million Class B-1-A at AA (high) (sf) -- $13.0 million Class B-1-X at AA (high) (sf) -- $8.7 million Class B-2 at A (high) (sf) -- $8.7 million Class B-2-A at A (high) (sf) -- $8.7 million Class B-2-X at A (high) (sf) -- $5.8 million Class B-3 at BBB (high) (sf) -- $5.8 million Class B-3-A at BBB (high) (sf) -- $5.8 million Class B-3-X at BBB (high) (sf) -- $3.3 million Class B-4 at BB (high) (sf) -- $1.8 million Class B-5 at B (high) (sf) -- $27.6 million Class B at BBB (high) (sf) -- $27.6 million Class B-X at BBB (high) (sf) Classes A-1-X, A-3-X, A-5-X, A-7-X, A-9-X, A-11-X, A-13-X, A-15-X, A-17-X, A-19-X, A-21-X, A-23-X, A-X, B-1-X, B-2-X, B-3-X, and B-X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-1-X, A-2, A-3, A-3A, A-3-X, A-4, A-4A, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X, A-12, A-14, A-15, A-15-X, A-16, A-17, A-17-X, A-18, A-19, A-19-X, A-20, A-22, A-24, B, B-1, B-2, B-3, and B-X are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-3L, A-4L, A-16L, and A-22L are loans that may be funded at the Closing Date as specified in the offering documents. Classes A-3, A-3A, A-4, A-4A, 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-19, A-20, A-21, A-22, A-3L, A-4L, A-16L, and A-22L are super senior notes. These classes benefit from additional protection from the senior support notes (Classes A-23 and A-24) with respect to loss allocation. The AAA (sf) credit ratings on the Notes reflect 10.65% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 6.70%, 4.05%, 2.30%, 1.30%, and 0.75% 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 first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 294 loans with a total principal balance of $330,118,389 as of the Cut-Off Date (January 1, 2024). The pool consists of first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined loan-to-value (CLTV) ratio for the portfolio is 74.6% and a minority of the pool (10.5%) comprises loans with Morningstar DBRS calculated current CLTV ratios greater than 80.0%, but not higher than 90.0%. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM; 53.5%), Cross Country Mortgage, LLC (11.3%), Guaranteed Rate, Inc. (7.7%), and various other originators, each representing less than 5.0% of the pool. The mortgage loans will be serviced by Newrez, LLC doing business as Shellpoint Mortgage Servicing (98.2%) and UWM (1.8%). Cenlar FSB will act as the Subservicer for UWM-serviced loans. Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, Loan Agent, Note Registrar, Rule 17g-5 Information Provider, and Custodian. U.S. Bank Trust National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as the Delaware Trustee. Pentalpha Surveillance LLC will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of the Class A-3L, A-4L, A-16L, and A-22L loans, which are the equivalent of ownership of Classes A-3, A-4, A-16, and A-22, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. HUDSON'S BAY 2015-HBS: DBRS Confirms B Rating on X-2-FL Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-HBS issued by Hudson's Bay Simon JV Trust 2015-HBS as follows: -- Class A-FL at AA (high) (sf) -- Class B-FL at A (low) (sf) -- Class C-FL at BB (sf) -- Class X-2-FL at B (sf) -- Class D-FL at B (low) (sf) -- Class E-FL at CCC (sf) -- Class X-A-7 at AAA (sf) -- Class A-7 at AA (high) (sf) -- Class X-B-7 at A (sf) -- Class B-7 at A (low) (sf) -- Class C-7 at BB (sf) -- Class D-7 at B (low) (sf) -- Class E-7 at CCC (sf) -- Class X-A-10 at AAA (sf) -- Class A-10 at AA (high) (sf) -- Class X-B-10 at A (sf) -- Class B-10 at A (low) (sf) -- Class C-10 at BB (sf) -- Class D-10 at B (low) (sf) -- Class E-10 at CCC (sf) All trends are Stable with the exception of Classes E-FL, E-7, and E-10, which have credit ratings that do not typically carry trends in Commercial Mortgage Backed Securities (CMBS) credit ratings. The credit ratings confirmation and Stable trends reflect Morningstar DBRS' expectations for the portfolio, which remain in line with the last rating action in February 2023. Since then, the trust has paid down by approximately 16.4% as a result of loan amortization and the release of two properties in the portfolio, increasing the total principal paydown to $166.1 million (reflecting a collateral reduction of 19.6% since issuance). The two released properties, Garden State Plaza and Garden City (freestanding), were released with the September 2023 and December 2023 payments, respectively. These properties were previously occupied by Lord & Taylor and collectively represented 7.4% of the issuance allocated loan amount (ALA), and based on the release provisions, paid a combined release premium of $73.2 million, which was well above each respective property's 2019 go-dark values. Property releases are subject to release premiums of 115.0% of the ALA. Although the principal reduction is noteworthy, Morningstar DBRS remains concerned with the resolution of the vacant stores, which represents more than 70.0% of the ALA. At issuance, the transaction consisted of an $846.2 million first-mortgage loan secured by 34 cross-collateralized properties previously leased to 24 Lord & Taylor stores and 10 Saks Fifth Avenue stores in 15 states. The collateral properties represented 19 fee-simple ownership interests (64.1% of the pool balance) and 15 leasehold interests (35.9% of the pool balance), totaling 4.5 million square feet. Individual tenant storefronts are located in various malls and freestanding locations with a concentration in New Jersey and New York. The loan is sponsored by a joint venture between Hudson's Bay Company (HBC) and Simon Property Group (SPG). The loan includes a $149.9 million floating-rate Component A, a $371.2 million fixed-rate Component B, and a $324.9 million fixed-rate Component C. Whole loan proceeds of $846.2 million, SPG equity of $63.0 million, and implied equity of $609.5 million from the contribution of HBC's then-owned properties financed the acquisition of the properties for $1.4 billion and funded tenant improvements totaling $63.0 million. The portfolio was formerly 100% leased to Lord & Taylor and Saks Fifth Avenue on two master leases with 20-year initial terms and six five-year extension options for each store. The operating leases are fully guaranteed by HBC. Following Lord & Taylor's bankruptcy filing in 2020, all Lord & Taylor stores were closed, resulting in 24 of the 34 collateral properties becoming fully vacant. While all 22 unreleased Lord & Taylor properties remain mostly vacant as of January 2024, discussions regarding another release is ongoing on a property that represents about 3.5% of the ALA. Another mitigating factor is the sponsor's commitment to the collateral by keeping current on its debt service payments and abiding by the terms of a loan modification that was executed in October 2021, which resulted in added structural features to mitigate ongoing default risk, the loan's return to the master servicer in January 2022, and the resolution of previous ongoing litigation with the borrower and the lender. As part of the loan modification, the borrower repaid all accrued and unpaid debt service from the date of default through September 30, 2021. Various reserves have been funded in order to help reposition the dark collateral properties, with excess cash flow to be applied to the principal balance of the loan on a pro rata basis, effective June 2022. As a result of the monthly paydowns and property releases, loan Component A should have paid off as monthly payments are now paying down loan Component B. However, due to fees associated with the LIBOR conversion that were passed through the trust, an aggregate balance of approximately $3,000 remains outstanding for loan Component A. According to the certificate administrator, revisions are expected to the December 2023 and subsequent remittances once funds are received from the borrower. Morningstar DBRS' expects to discontinue the credit ratings on loan Component A upon the completion of the revisions to the applicable monthly reports. As of January 2024, the loan reported a total of $8.2 million across all reserves. Terms of the modification also included an extension of the maturity dates for loan Components A and B to August 2024, with a 12-month extension option to bring the fully extended maturity dates co-terminus with Component C in August 2025. According to the most recent financials, the portfolio reported an annualized consolidated net cash flow (NCF) of $84.7 million for the trailing three-month (T-3) through March 31, 2023, period, which is inclusive of released properties and reflects a debt service coverage ratio (DSCR) of 2.00 times (x). Although this is below the T-12 January 31, 2022, NCF of $87.8 million (reflecting a DSCR of 2.05x), it is above the Morningstar DBRS NCF of $75.8 million that was derived during the August 2021 review. The decline from the prior year is driven by a dip in base rental revenue. Given the prolonged vacant status of the properties, as well as dated appraisals obtained by the loan sponsor and finalized in 2019, Morningstar DBRS maintained a stressed scenario in evaluating the support for the current credit ratings given the increased propensity for adverse selection. An updated Morningstar DBRS value was derived to exclude the released properties, and a haircut was applied to the 2019 appraisal values, resulting in a stressed value of $678.4 million, representing a -41.1% variance from the issuance appraised value of $1.2 billion for the remaining collateral. The credit ratings assigned to Classes B-FL, C-FL, D-FL, B-7, C-7, D-7, B-10, C-10, and D-10 are lower than the results implied by the loan-to-value sizing benchmarks by three or more notches. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more variances from the credit rating stress(es) implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material variances is uncertain loan-level event risk, primarily tied to the unreleased vacant properties as noted above. In addition, as the pool continues to season and properties continue to be released, there could be risks associated with cash flow volatility and adverse selection. Notes: All figures are in U.S. dollars unless otherwise noted. IVY HILL XXII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Ivy Hill Middle Market Credit Fund XXII Ltd./Ivy Hill Middle Market Credit Fund XXII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Ivy Hill Asset Management L.P., a subsidiary of Ares Capital Corp. The preliminary ratings are based on information as of Feb. 15, 2024. 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 collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Ivy Hill Middle Market Credit Fund XXII Ltd./ Ivy Hill Middle Market Credit Fund XXII LLC Class A, $231.00 million: AAA (sf) Class A loans(i), $30.00 million: AAA (sf) Class B, $45.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $27.00 million: BB- (sf) Subordinate notes, $54.80 million: Not rated (i)All or a portion of the class A loans may be converted into class A notes. JP MORGAN 2011-C3: DBRS Cuts Class E Credit Rating to C ------------------------------------------------------- DBRS Limited downgraded its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2011-C3 issued by JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 as follows: -- Class B to A (high) (sf) from AAA (sf) -- Class C to BBB (high) (sf) from AA (low) -- Class D to CCC (sf) from BBB (high) (sf) -- Class E to C (sf) from B (sf) Morning DBRS also confirmed the credit ratings on the remaining classes as follows: -- Class F at C (sf) -- Class G at C (sf) -- Class H at C (sf) -- Class J at C (sf) The trend on Classes B and C was changed to Negative from Stable. Classes D, E, F, G, H, and J have credit ratings that do not generally carry a trend in commercial mortgage-backed security (CMBS) credit ratings. The credit rating actions reflect the increased loss expectations for the two remaining loans in the pool, both of which have previously been modified and are backed by regional malls with declining performance. In addition, Morningstar DBRS notes the increased propensity for interest shortfalls given the likelihood that both loans will become delinquent in the near term, at which point there will be no distributable interest available to the bonds. Although the transaction is in wind-down with significant credit support in the remaining structure for the most senior certificates, Morningstar DBRS notes that the two remaining loans in the pool exhibit increased credit risks because of expected or recent defaults that have resulted in an extremely concentrated risk profile. Both of these loans are secured by regional malls located in tertiary markets, and are owned and operated by affiliates of Pyramid Management Group, a privately held shopping mall developer that owns and operates 15 shopping centers, many of which have been in and out of delinquency and faced significant value declines over the past few years. The analysis for this review considered liquidation scenarios for both loans and based on those scenarios, Morningstar DBRS' projected losses may reach the Class D certificate. The resulting reduction in credit support, Morningstar DBRS' recoverability outlook on weak malls outside core markets, and increased likelihood of shorted interest in the near to medium term support the credit rating actions with this review. As of the January 2024 remittance, the transaction had an aggregate balance of $217.9 million, representing a collateral reduction of 85.4% since issuance. The remaining loans in the pool are Holyoke Mall (Prospectus ID#1; 76.4% of the current pool balance) and Sangertown Square (Prospectus ID#6; 23.6% of the current pool balance). Holyoke Mall is secured by a 1.6 million square foot (sf) regional mall in Holyoke, Massachusetts, anchored by collateral tenants Target (11.6% of the net rentable area (NRA), lease expiry in January 2025), JCPenney (11.0% of the NRA, lease expiry in May 2028), and non-collateral tenant Macy's. A collateral anchor space that was previously occupied by Sears remains vacant. Other major tenants include Burlington Coat Factory (4.7% of the NRA, lease expiry in February 2025) and Best Buy (3.8% of the NRA, lease expiry in January 2025). There is $35.0 million of mezzanine debt that amortizes pro rata with the $215.0 million first mortgage debt. The loan was originally scheduled to mature in February 2021 but was granted maturity extension until February 2024. However, the loan transferred to the special servicer on January 18, 2024, for imminent maturity default. The property was reappraised in August 2020 at a value of $200.0 million, representing a 50% decline from the issuance appraised value of $400.0 million. The updated value represents a loan-to-value (LTV) ratio of 83.2% based on the outstanding senior note and a whole-loan LTV of 100.7% when factoring in the $35.0 million mezzanine loan. Occupancy at the subject fell following the 2018 departure of anchor tenant Sears. The June 2023 occupancy rate was reported at 61.0% compared with the YE2021 occupancy rate of 69.1%. The debt service coverage ratio (DSCR) for the trailing six-month period ended June 30, 2023, was reported at 1.05 times (x), compared with the YE2021 DSCR of 1.40x. Additional concerns include concentrated upcoming rollover, with leases representing approximately 28.6% of the NRA scheduled to expire in the next 12 months, including three of the top five tenants. As part of the loan's previous modification, there is a cash sweep in effect until all amounts due on the loan have been paid in full. As of the December 2023 remittance, the loan has an aggregate reserve balance of $6.7 million. Given the year-over-year occupancy rate and cash flow declines, and significant near-term rollover risk, it is likely the property value has deteriorated further since the 2020 appraisal. Given the recent default and transfer to the special servicer, the workout strategy is uncertain at this time. Based on a liquidation scenario that considered a haircut to the 2020 appraisal, Morningstar DBRS projects a loss severity nearing 50% in the event of default. Sangertown Square is secured by an 894,127-sf regional mall in New Hartford, New York, approximately halfway between Syracuse and Albany. The two active anchor tenants are Boscov's (19.3% of the NRA, lease expiry in January 2037) and Target (14.1% of the NRA, lease expiry in January 2028). The remaining two anchor spaces, previously occupied by JCPenney and Macy's, remain vacant. The loan was modified in July 2021, and the terms of which include a conversion to interest-only (IO) payments for a 24-month period through May 2023. Upon completion of the IO period, the loan was again transferred to the special servicer for imminent monetary default. As per the January 2024 remittance, the loan, which was scheduled to mature in January 2024, remains current on its debt obligations; however, the borrower has requested a three-year maturity extension, which is currently being reviewed. The special servicer is also dual tracking foreclosure. The property was 57.0% occupied as of September 2023, down significantly from the occupancy rate of 76.0% at YE2020 because of the 2021 departure of JCPenney. A tenant sales report indicated in-line sales of $319.80 per sf (psf) for the trailing 12-month period ended June 20, 2023, compared with $338.20 psf for the year prior. The most recent appraisal, dated November 2021, valued the property at $19.1 million, representing a decline of 82.1% from the issuance appraised value of $107.0 million. Given the loan's declining year-over-year performance and prolonged vacancy of two anchor spaces, it is likely the value of the property has declined further. Although the loan is current as of the January 2024 remittance, Morningstar DBRS considered a haircut to the 2021 appraisal and expects a loss severity exceeding 80.0% in the event of default. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2024-2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 33 classes of residential mortgage-backed securities (RMBS) to be issued by J.P. Morgan Mortgage Trust 2024-2 and sponsored by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC) The securities are backed by a pool of prime jumbo (91.6% by balance) and GSE-eligible (8.4% by balance) residential mortgages aggregated by JPMMAC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 10.8% by loan balance) and Verus Mortgage Trust 1A (Verus; 0.3% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-2 Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-X*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-A, Assigned (P)Aaa (sf) Cl. A-4-X*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-A, Assigned (P)Aaa (sf) Cl. A-5-X*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-A, Assigned (P)Aaa (sf) Cl. A-6-X*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-A, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-8-A, Assigned (P)Aaa (sf) Cl. A-8-X*, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aa1 (sf) Cl. A-9-A, Assigned (P)Aa1 (sf) Cl. A-9-X*, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aa1 (sf) Cl. A-X-3*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-2-X*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *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 0.55%, in a baseline scenario-median is 0.27% and reaches 7.96% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. 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. LCM XXII: S&P Affirms B+ (sf) Rating on Class D-R Notes ------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2-R, B-R, and C-R notes from LCM XXII Ltd., a U.S. CLO transaction. S&P also removed the ratings on the class A-2-R and B-R notes from CreditWatch, where it placed them with positive implications on Jan 18, 2024. At the same time, S&P affirmed its ratings on the class A-1-R and D-R notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the January 2024 trustee report. S&P said, "Since our August 2020 rating actions, the transaction has paid down $186.52 million to the class A-1-R notes. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the June 2020 trustee report, which we used for our previous rating actions." The changes in the reported O/C ratios are as follows: -- The class A (class A-1-R and A-2-R, collectively) O/C ratio improved to 149.75% from 128.21%. -- The class B-R O/C ratio improved to 126.25% from 117.40%. -- The class C-R O/C ratio improved to 113.52% from 110.73%. -- The class D-R O/C ratio declined to 105.05% from 105.91%. While the senior O/C ratios experienced positive movement due to the lower balances of the senior notes, the class D-R O/C ratio declined marginally due to excess 'CCC' haircuts and overall negative par movement. The upgrades reflect the improved credit support at the prior rating levels, while the affirmation reflects our view that the credit support available is commensurate with the current rating level. S&P said, "The affirmations on the class A-R-1 and D-R notes also reflect that they passed our cash flow stresses at their current ratings. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B-R and C-R notes. However, because the transaction currently has higher-than-average exposures to 'CCC' and 'D' rated collateral obligations, our rating actions reflect additional sensitivity runs that consider such exposures and offset future potential credit migration in the underlying collateral. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "LCM XXII Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. Our cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, our cash flow analysis considered the same. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive LCM XXII Ltd. Class A-2-R: to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class B-R: to 'AA (sf)' from 'A (sf)/Watch Pos' Ratings Raised LCM XXII Ltd. Class C-R: to 'BBB (sf)' from 'BBB- (sf)' Ratings Affirmed LCM XXII Ltd. Class A-1-R: AAA (sf) Class D-R: B+ (sf) MCR 2024-HTL: S&P Affirms BB- (sf) Rating on Class E Certificates ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to MCR 2024-HTL Mortgage Trust's commercial mortgage pass-through certificates. Since the issuance of the preliminary ratings on Feb. 5, 2023, the mortgage loan's spread has been finalized at approximately 3.27%. This resulted in an S&P Global Ratings' debt service coverage ratio (DSCR) of 1.32x, based on the LIBOR cap of 5.29% plus the spread and S&P Global Ratings' net cash flow. S&P's DSCR, based on the spread plus the current SOFR rate of 5.31%, is also 1.32x. The certificate issuance is a CMBS securitization backed by the borrowers' fee simple interest in 16 hotel properties (nine limited service, five extended stay, and two full service hotels) located across 11 U.S. states. The ratings reflect the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan terms, and the transaction structure. S&P determined that the loan has a beginning and ending loan-to-value ratio of 86.7%, based on our value of the properties backing the transaction. Ratings Assigned MCR 2024-HTL Mortgage Trust (Series 2024-HTL) Class A, $101,920,000: AAA (sf) Class B, $36,560,000: AA- (sf) Class C, $27,180,000: A- (sf) Class D, $35,920,000: BBB- (sf) Class E, $56,620,000: BB- (sf) Class F, $8,247,000: B+ (sf) Class HRR interest(i), $14,053,000: B (sf) (i)Horizontal interest certificate. LTV--Loan-to-value ratio, based on S&P Global Ratings' values. HRR--Horizontal risk retention. MF1 2024-FL14: DBRS Gives Prov. B(low) Rating on 3 Classes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by MF1 2024-FL14 LLC (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class F-E at BB (high) (sf) -- Class F-X at BB (high) (sf) -- Class G at BB (low) (sf) -- Class G-E at BB (low) (sf) -- Class G-X at BB (low) (sf) -- Class H at B (low) (sf) -- Class H-E at B (low) (sf) -- Class H-X at B (low) (sf) All trends are Stable. The initial collateral consists of 22 floating-rate mortgage loans secured by 21 transitional multifamily properties and five cross-collateralized manufactured housing properties, for a total of 26 properties. The collateral is encumbered by $1.7 billion of debt, composed of $966.9 million going into the trust, $98.2 million in future funding, and $680.0 million of funded pari passu debt. Two loans in the pool, Solamar Apartments and Sawbuck, representing 6.7% of the initial pool balance, are delayed-close mortgage assets, which are identified in the tape and included in the Morningstar DBRS analysis. The Issuer has 45 days post-closing to acquire the delayed-close assets. The transaction is a managed vehicle, which includes a 24-month reinvestment period. As part of the reinvestment period, the transaction includes a 120-day ramp-up acquisition period that will be used to increase the trust balance by $223.1 million to a total target collateral principal balance of $1.1 billion. Morningstar DBRS assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses above the pool weighted-average loan expected losses. Reinvestment of principal proceeds during the reinvestment period is subject to Eligibility Criteria, which, among other criteria, includes a rating agency no-downgrade confirmation (RAC) by Morningstar DBRS for all new mortgage assets and funded companion participations exceeding $500,000. If a delayed-close asset is not expected to close or fund prior to the purchase termination date, then the Issuer may acquire any delayed closed collateral interest at any time during the ramp-up acquisition period. The eligibility criteria indicates that only multifamily, manufactured housing, student housing, and senior housing properties can be brought into the pool during the stated ramp-up acquisition period. Additionally, the eligibility criteria establishes minimum debt service coverage ratio (DSCR), loan-to-value ratio, and Herfindahl requirements. Furthermore, certain events within the transaction require the Issuer to obtain RAC. Morningstar DBRS will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current credit rating. The Issuer is not required to obtain RAC for acquisitions of companion participations less than $500,000. The loans are secured by cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. In total, 16 loans, representing 80.9% of the pool, have remaining future funding participations totaling $98.2 million, which the Issuer may acquire in the future. All of the loans in the pool have floating rates, and Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is net cash flow (NCF), 21 of the 22 loans, representing 98.1% of the initial pool balance, had a Morningstar DBRS As-Is DSCR of 1.00 times (x) or below, a threshold indicative of default risk. Additionally, the Morningstar DBRS Stabilized NCF for 19 of the 22 loans, representing 92.6% of the initial pool balance, was below 1.00x, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels 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 listed at the end of this press release. 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, Default Interest and Interest on Unpaid Interest. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. MIDOCEAN CREDIT VIII: Fitch Affirms 'B+sf' Rating on Class F Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class A-1-R, A-2 and F notes of MidOcean Credit CLO VIII (MidOcean VIII). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO VIII A-1-R 59801MAL2 LT AAAsf Affirmed AAAsf A-2 59801MAC2 LT AAAsf Affirmed AAAsf F 59801NAC0 LT B+sf Affirmed B+sf TRANSACTION SUMMARY MidOcean VIII is a broadly syndicated collateralized loan obligation (CLO) managed by MidOcean Credit Fund Management LP. The CLO closed in February 2018, partially refinanced in April 2021 and exited its reinvestment period in February 2023. The CLO is secured primarily by first lien, senior secured leveraged loans. KEY RATING DRIVERS Sufficient Credit Enhancement And Updated Cash Flow Analysis The affirmations are supported by credit enhancement (CE) levels against relevant rating stress loss levels. Approximately 13.5% of the original balance of the class A-1-R notes has amortized since the last review in March 2023, slightly increasing credit enhancement levels on the rated classes. Fitch conducted an updated cash flow analysis based on a stressed portfolio that incorporated a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. In addition, the stressed analysis extended the current WAL from 3.55 to four years. The ratings are in line with their respective model-implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. Credit Quality, Asset Security and Portfolio Composition As of January 2024 reporting, the Fitch weighted average rating factor (WARF) of the performing portfolio remains in the 'B'/'B-' rating level at 26.2 compared with 25.9 at last review. Fitch classified three obligors comprising 1.2% of the total portfolio notional as defaulted. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 16.0% and 15.7% compared to 20.1% and 13.1% at last review, respectively. The Fitch weighted average recovery rating (WARR) increased to 77.4% from 76.6% and the portfolio consists of 99.6% first lien senior secured loans. The portfolio remains fairly diversified with 254 obligors, and the largest 10 obligors represent 12.5% of the portfolio. The transaction is passing all coverage tests, collateral quality tests (CQTs), and concentration limitations, except the S&P "CCC+" and below limit and the weighted average life (WAL) test are not in compliance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' CE do not compensate for the higher loss expectation than initially assumed. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to no rating impact for the class A-1-R and A-2 notes and downgrade of at least three notches for the class F notes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than expected portfolio credit quality and transaction performance. A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to six notches for the class F notes, based on MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. MORGAN STANLEY 2013-C7: DBRS Confirms C Credit Rating on 4 Classes ------------------------------------------------------------------ DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-C7 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 as follows: -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class PST at A (low) (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) Morningstar DBRS changed the trends on Classes X-B, C, and PST to Negative from Stable to reflect increased loss expectations for the loans in special servicing, which represent more than 90.0% of the pool balance. Classes D, E, F, and G have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. As of the January 2024 remittance, 11 loans remain in the pool, representing a collateral reduction of 88.2% since issuance. Since the last credit rating action, the 3555 Timmons Lane (Prospectus ID#16) and North Ridge Shopping Center (Prospectus ID#30) loans were repaid in full, while the Hampton Inn Lexington loan (Prospectus ID#35) was liquidated with no loss to the trust. The credit rating actions are driven primarily by the two largest remaining loans, both of which are in special servicing and are backed by regional malls located in tertiary/secondary markets and have reported significant value declines from issuance. The largest loan is Solomon Pond Mall (Prospectus ID#2, 51.3% of the pool), which is backed by 399,266 square feet (sf) of in-line space in an 884,758 sf regional mall in Marlborough, Massachusettes, approximately 30 miles west of downtown Boston. The mall is anchored by JCPenney and Macy's. A third anchor space previously occupied by Sears has been dark since the store closed in 2021. None of the anchor spaces are collateral for the loan. The loan transferred to special servicing in June 2020 for imminent monetary default and a receiver was appointed in September 2021. Since occupancy bottomed out at 69% in June 2021, the borrower has made leasing traction with leases representing 44.5% of the net rentable area (NRA) newly executed since January 2022. Occupancy has increased to 83.7% as of February 2023; however, the majority of these leases are short term and are scheduled to expire through 2024. Net cash flow (NCF) has improved, with an annualized cash flow of $9.2 million based on financials for the trailing six-month period ended June 30, 2023, above the year-end (YE) 2022 and YE2021 figures of $6.7 million and $7.7 million, respectively, but still below $13.2 million at issuance. A March 2023 appraisal valued the property at $30.4 million, a steep decline from the issuance appraised value of $200.0 million. The sponsor, Simon Property Group, has missed the last two debt service payments according to most recent reporting, and the special servicer's disposition strategy remains unclear. Given the significant value decline, concentrated tenant rollover risk, and NCF (which remains well below issuance expectations), Morningstar DBRS assumed a stressed scenario in its analysis, resulting in a full projected loss to the loan. The second-largest loan is Valley West Mall (Prospectus ID#7, 23.4% of the pool), an 856,248 sf, regional mall in West Des Moines, Iowa. The loan transferred to special servicing in September 2019 for imminent default and a receiver was appointed in 2020. The special servicer is currently pursuing a foreclosure although a note sale is also being contemplated. Occupancy remains low at 62.0% as of September 2023 compared with 98.0% at issuance. At issuance, the subject was anchored by JC Penney, Younkers, and Von Maur; however, only JC Penney remains at the property, as Younkers vacated in 2018 and Von Maur relocated in 2022 to a competing mall located five miles from the subject. Performance had been declining prior to the pandemic, and the September 2023 and YE2022 net cash flows are negative, according to servicer reporting. The February 2023 appraisal valued the property at $18.0 million compared with $95 million at issuance. Given the significant value decline, persistent low occupancy, and inferior market positioning relative to a proximate competing mall, Morningstar DBRS assumed a stressed scenario in its liquidation analysis, resulting in a full projected loss to the loan. The final two specially serviced loans are secured by 494 Broadway (Prospectus ID#19, 11.3% of the pool) and 440 Broadway (Prospectus ID#28, 6.2% of the pool), two retail properties located in the Soho neighborhood of New York City. Both loans transferred to special servicing for maturity default and are expected to be foreclosed. Both loans received appraisal values in 2023 that are below the issuance value and were liquidated from the pool in Morningstar DBRS's analysis at a cumulative loss approaching $21.5 million. There are a remaining seven loans, representing approximately 7.0% of the pool, that are not in special servicing, all of which are secured by single-tenant retail properties, 100% leased to Walgreens. These loans are all fully amortizing fixed-rate loans that have maturity dates ranging from June 2025 until November 2035. Morningstar DBRS expects these loans to continue to perform, although their extended maturity profile poses some concerns relative to the disposition timing of the specially serviced loans. A recovery of the Class C certificate is reliant on the full repayment of the performing loans as well as the proceeds from the liquidations from the specially serviced loans. Considering the pool is concentrated, susceptible to adverse selection and volatility to further value/performance decline, the Negative trends are warranted. Notes: All figures are in U.S. dollars unless otherwise noted. MSC 2011-C3: DBRS Confirms B Rating on Class X-B Certs ------------------------------------------------------ DBRS Limited confirmed the credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2011-C3 issued by MSC 2011-C3 Mortgage Trust as follows: -- Class E at BBB (sf) -- Class F at BB (high) (sf) -- Class X-B at B (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect Morningstar DBRS' recoverability expectations for the transaction, which is in the final stages of wind-down with only four loans remaining. Since the last rating action, one loan was repaid in full and another loan, Freedom Village Shopping Center (Prospectus ID#42; 4.2% of the pool) has been fully defeased. As of the January 2024 reporting, the pool's collateral has been reduced by approximately 93.4% since issuance. Realized losses to the trust total $6.5 million and have eroded 13.3% of the unrated Class H certificate since issuance. None of the remaining loans are in special servicing and all are scheduled to mature in 2026. The largest loan remaining is Westfield Belden Village (Prospectus ID#2; 91.7% of the current pool balance), which is secured by a 419,000 square foot (sf) portion of an 827,000-sf regional mall in Canton, Ohio. The loan was previously in special servicing in May 2020 for imminent monetary default related to a downgrade of Israeli bonds that backed the subject and other Starwood Retail Partners malls. The loan was ultimately resolved when an agreement was reached to allow holders of the Israeli bonds to take control of the subject mall. The loan was brought current under the modification agreement, with terms including interest-only (IO) payments from July 2021 through December 2022, and a maturity extension to July 2026. The modification also required the loan to be cash managed, with excess funds swept and held for a minimum of 18 months from the November 2021 execution date or until a debt service coverage ratio (DSCR) threshold of 1.25 times (x) was met for six consecutive months. The loan was returned to the master servicer in April 2022. According to the September 2023 financials, the annualized 2023 net cash flow (NCF) was $9.1 million (reflecting a DSCR of 1.41x ), a slight increase from the YE2022 figure of $8.5 million (a DSCR of 1.32x) but below the NCF of $10.7 million that Morningstar DBRS derived at issuance. The mall is anchored by a collateral Macy's (29.3% of the collateral net rentable area (NRA), lease expiring in February 2026) and a non-collateral Dillard's. The noncollateral anchor Sears downsized from approximately 190,000 sf to 73,000 sf in 2019, and the remaining space was substantially backfilled by a combination of three tenants including Dave & Buster's. Collateral occupancy was 91.8% as of June 2023, stable from the prior year. However, the property's rollover schedule is concentrated with 77 leases, representing 24.4% of the NRA and 34.6% of base rent, scheduled to expire over the next 12 months. As of January 2024, there is approximately $466,000 in reserves. At issuance, the collateral was appraised at $159.0 million. An updated appraisal conducted in August 2021 valued the property at $81.6 million. As part of this analysis, Morningstar DBRS stressed the August 2021 appraised value by 15% to test the durability of the ratings, resulting in a stressed value of $69.4 million, implying a loan-to-value ratio of 149.0%. Morningstar DBRS expects that in a default scenario, losses associated with this loan would be contained to the unrated Class H, with implied proceeds sufficient to repay all remaining rated classes. As such, Morningstar DBRS finds that the rated classes are sufficiently insulated from losses, supporting the rating confirmations. Notes: All figures are in U.S. dollars unless otherwise noted. NORTHWOODS 22: S&P Assigns Prelim BB-(sf) Rating on Cl. E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-RR, A-2-RR, B-RR, C-RR, D-RR and E-RR replacement debt from Northwoods Capital 22 Ltd./Northwoods Capital 22 LLC, a CLO originally issued in August 2020 that is managed by Angelo, Gordon & Co. L.P., a privately held investment firm. This is a proposed second refinancing of its original transaction. The preliminary ratings are based on information as of Feb. 15, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 1, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to withdraw S&P's ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, it may affirm its ratings on the original debt and withdraw our preliminary ratings on the replacement debt. Based on provisions in the transaction documents and the portfolio characteristics: -- The replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-RR and E-RR debt is expected to be issued at a floating spread, replacing the current floating spread. -- The class D-1-R and D-2-R debt will be consolidated into a single class D-RR tranche, whereas the class A-R debt will be split into the A-1-RR and A-2-RR replacement classes. -- The non-call period will be extended by 2.84 years to March 2026. -- The reinvestment period and stated maturity will be extended by 5.54 years. -- A limited number of new features will be added, including but not limited to a new effective date, additional flexibility for certain exchange transactions, amendments to the concentration limitation buckets, the ability to use an index to classify an asset as a discount obligation, and the ability to delay the redemption date of one or more classes of secured debt. -- Of the identified underlying collateral obligations, 99.51% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 94.92% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. Replacement And Original Debt Issuances Replacement debt -- Class A-1-RR, $300.000 million: Three-month CME term SOFR + 1.70 -- Class A-2-RR, $10.000 million: Three-month CME term SOFR + 2.00 -- Class B-RR, $70.000 million: Three-month CME term SOFR + 2.45 -- Class C-RR (deferrable), $30.000 million: Three-month CME term SOFR + 2.85 -- Class D-RR (deferrable), $30.000 million: Three-month CME term SOFR + 4.95 -- Class E-RR (deferrable), $15.000 million: Three-month CME term SOFR + 7.70 Subordinated notes, $54.825 million: Residual Original debt -- Class A-R, $180.00 million: Three-month term CME SOFR + 1.45% -- Class B-R, $48.00 million: Three-month term CME SOFR + 2.05% -- Class C-R (deferrable), $18.00 million: Three-month term CME SOFR + 2.59% -- Class D-1-R (deferrable), $12.00 million: Three-month term CME SOFR + 4.00% -- Class D-2-R (deferrable), $6.00 million: Three-month term CME SOFR + 5.65% -- Class E-R (deferrable), $12.00 million: Three-month term CME SOFR + 8.19% -- Subordinated notes, $24.80 million: Residual S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Northwoods Capital 22 Ltd./Northwoods Capital 22 LLC Class A-1-RR, $300.000 million: AAA (sf) Class A-2-RR, $10.000 million: AAA (sf) Class B-RR, $70.000 million: AA (sf) Class C-RR (deferrable), $30.000 million: A (sf) Class D-RR (deferrable), $30.000 million: BBB- (sf) Class E-RR (deferrable), $15.000 million: BB- (sf) Subordinated notes, $54.825 million: Not rated OCTAGON 49: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X, B-R, C-R, D-1-R, D-2-R, and E-R replacement notes from Octagon Investment Partners 49 Ltd./Octagon Investment Partners 49 LLC, a CLO originally issued in January 2021 that is managed by Octagon Credit Investors LLC. The preliminary ratings are based on information as of Feb. 16, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 22, 2024, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. At that time, we expect to withdraw our ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, we may withdraw our preliminary ratings on the replacement notes. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class notes are expected to be issued at a higher weighted-average cost of debt than the original notes. -- The reinvestment period will be extended by 5.25 years. -- The class X notes issued in connection with this refinancing are expected to be paid down using interest proceeds over 19 payment dates beginning with the second payment date. -- Of the identified underlying collateral obligations, 99.76% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 94.32% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. -- All or some of the notes issued by this CLO transaction contain stated interest at SOFR plus a fixed margin. 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 notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Octagon Investment Partners 49 Ltd./ Octagon Investment Partners 49 LLC Class X, $4.70 million: AAA (sf) Class A-R, $300.80 million: NR Class B-R, $56.40 million: AA (sf) Class C-R (deferrable), $28.20 million: A (sf) Class D-1-R (deferrable), $13.20 million: BBB- (sf) Class D-2-R (deferrable), $15.00 million: BBB- (sf) Class E-R (deferrable), $17.63 million: BB- (sf) Class Subordinated notes, $52.50 million: NR NR--Not rated. OZLM FUNDING II: S&P Affirms BB- (sf) Rating on Class D-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1a-R2, A-1b-R2, A-2-R3, A-2-R3F, and B-R3 replacement debt from OZLM Funding II Ltd./OZLM Funding II LLC, a CLO originally issued in October 2012 that is managed by Sculptor Loan Management L.P. At the same time, S&P withdrew its ratings on the original class A-1a-R, A-1b-R, A-2-R2, A-2-RFR, and B-R2 debt following payment in full on the Feb. 15, 2024, refinancing date. S&P also affirmed its ratings on the class A-1a-FR, C-R2, and D-R2 debt, which was 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 replacement class A-1b-R2 replaced the previously the unrated class A-1b-R and was assigned a 'AAA (sf)' rating. -- The non-call period was extended to Aug. 15, 2024, for the refinanced debt. -- No additional assets will be purchased on the Feb. 15, 2024, refinancing date. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 30, 2024. -- No additional subordinated debt will be issued on the refinancing date. Replacement And Original Note Issuances Replacement debt -- Class A-1a-R2, $250.44 million: Three-month CME term SOFR + 1.20% -- Class A-1b-R2, $21.70 million: Three-month CME term SOFR + 1.50% -- Class A-2-R3, $40.00 million: Three-month CME term SOFR + 1.80% -- Class A-2-R3F, $19.20 million: Three-month CME term SOFR + 1.80% -- Class B-R3, $32.40 million: Three-month CME term SOFR + 2.30% Original Debt -- Class A-1a-R, $250.44 million(i): Three-month CME term SOFR + 1.16% + CSA(ii) -- Class A-1b-R, $21.70 million: Three-month CME term SOFR + 1.50% + CSA(ii) -- Class A-2-R2, $40.00 million: Three-month CME term SOFR + 1.75% + CSA(ii) -- Class A-2-RFR, $19.20 million: Three-month CME term SOFR + 2.30% + CSA(ii) -- Class B-R2, $32.40 million: Three-month CME term SOFR + 2.30% + CSA(ii) (i)Class A-1a-R shows the current balance as of Feb 15, 2024. The original balance was $297.84 million. (ii)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "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 OZLM Funding II Ltd./OZLM Funding II LLC Class A-1a-R2, $250.44 million: AAA (sf) Class A-1b-R2, $21.70 million: AAA (sf) Class A-2-R3, $40.00 million: AA (sf) Class A-2-R3F, $19.20 million: AA (sf) Class B-R3 (deferrable), $32.40 million: A (sf) Ratings Affirmed OZLM Funding II Ltd./ OZLM Funding II LLC Class A-1a-FR: AAA (sf) Class C-R2: BBB- (sf) Class D-R2: BB- (sf) Ratings Withdrawn OZLM Funding II Ltd./OZLM Funding II LLC Class A-1a-R to not rated from 'AAA (sf)' Class A-2-R2 to not rated from 'AA (sf)' Class A-2-RFR to not rated from 'AA (sf)' Class B-R2 to not rated from 'A (sf)' Other Outstanding Debt OZLM Funding II Ltd./ OZLM Funding II LLC Subordinated notes: Not rated PRKCM 2024-AFC1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to PRKCM 2024-AFC1 Trust's mortgage-backed notes. The note issuance is an RMBS transaction backed by first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned unit developments, condominiums, townhomes, and two- to four-family residential properties. The pool consists of 872 loans, which are qualified mortgage (QM) safe harbor, QM rebuttable presumption, ability-to-repay-exempt (ATR-exempt) loans and non-QM/ATR-compliant loans. The preliminary ratings are based on information as of Feb. 16, 2024. 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 originator, AmWest Funding Corp.; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On Oct. 13, 2023, we updated our market outlook as it relates to the 'B' projected archetypal loss level and therefore revised and lowered our 'B' foreclosure frequency to 2.50% from 3.25%, which reflects the level prior to April 2020, preceding the COVID-19 pandemic. The update reflects our benign view of the mortgage and housing markets as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting. Per our latest macroeconomic update, the U.S. economy has outperformed expectations following consecutive quarters of contraction in the first half of 2022." Preliminary Ratings(i) Assigned PRKCM 2024-AFC1 Trust Class A-1, $205,972,000: AAA (sf) Class A-2, $32,563,000: AA (sf) Class A-3, $35,725,000: A (sf) Class M-1, $15,650,000: BBB (sf) Class B-1, $11,697,000: BB (sf) Class B-2, $8,852,000: B (sf) Class B-3, $5,691,615: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $316,150,615. PRPM 2024-RCF1: DBRS Finalizes BB Rating on Class M-2 Notes ----------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Asset-Backed Notes, Series 2024-RCF1 (the Notes) issued by PRPM 2024-RCF1, LLC (PRPM 2024-RCF1 or the Trust) as follows: -- $130.7 million Class A-1 at AAA (sf) -- $17.8 million Class A-2 at AA (sf) -- $18.2 million Class A-3 at A (sf) -- $15.1 million Class M-1 at BBB (sf) -- $23.2 million Class M-2 at BB (sf) The AAA (sf) rating on the Class A-1 Notes reflects 44.20% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), and BB (sf) ratings reflect 36.60%, 28.85%, 22.40%, and 12.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization of a portfolio of newly originated and seasoned, performing and reperforming, first-lien residential mortgages, to be funded by the issuance of the Notes. The Notes are backed by 667 loans with a total principal balance of $234,229,553 as of the Cut-Off Date (December 31, 2023). Morningstar DBRS calculated the portfolio to be approximately 33 months seasoned on average, though the age of the loans is quite diverse, ranging from five months to 296 months. The majority of the loans (95.1%) had origination guideline or document deficiencies that prevented them from being sold to Fannie Mae, Freddie Mac, or another purchaser, and those loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, consequently increasing expected losses on the mortgage pool. Fairway Independent Mortgage Corp. originated 21.0% of the pool and United Wholesale Mortgage originated 13.6%, with the majority of the loans having guideline or document deficiencies. The remaining originators each accounted for less than 10.0% of the pool. In the portfolio, 7.4% of the loans are modified. The modifications happened less than two years ago for 51.3% of the modified loans. Within the portfolio, 19 mortgages have non-interest-bearing deferred amounts, equating to 0.2% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (7.4%) are not subject to or are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (89.0%), QM Rebuttable Presumption (2.6%), and Non-QM (1.1%) by UPB. BMCF-EG II, LLC (the Sponsor) acquired the mortgage loans prior to the up-coming Closing Date and, through a wholly owned subsidiary, PRP Depositor 2024-RCF1, LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, BMCF-EG II, LLC or one of its majority-owned affiliates will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2024-RCF1 is the third scratch and dent rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and non-performing securitizations. SN Servicing Corporation ( 95.4%) and Fay Servicing, LLC ( 4.6%) will act as the Servicers of the mortgage loans. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in January 2026. Additionally, a failure to pay the Notes in full by the Payment Date in December 2028 will trigger a mandatory auction of the underlying certificates. If the auction fails to elicit sufficient proceeds to make whole the Notes, another auction will follow every four months for the first year and subsequently auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Redemption Date. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in January 2028, the Class A-1 and the other offered Notes will be entitled to its initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in January 2031 or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on the Class A-2 and the other offered Notes will be paid as principal to the Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Notes: All figures are in U.S. dollars unless otherwise noted. RAD CLO 2: Moody's Lowers Rating on $6MM Class F Notes to Caa1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Rad CLO 2, Ltd.: US$43,000,000 Class B-R Senior Secured Floating Rate Notes Due 2031 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on February 17, 2021 Assigned Aa1 (sf) US$20,600,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes Due 2031 (the "Class C-R Notes"), Upgraded to A1 (sf); previously on February 17, 2021 Assigned A2 (sf) US$24,400,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes Due 2031 (the "Class D-R Notes"), Upgraded to Baa2 (sf); previously on February 17, 2021 Assigned Baa3 (sf) Moody's has also downgraded the rating on the following notes: US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes Due 2031 (the "Class F Notes"), Downgraded to Caa1 (sf); previously on February 17, 2021 Assigned B3 (sf) Rad CLO 2, Ltd., originally issued in October 2018 and refinanced in February 2021 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes since January 2023. The Class A-R notes have been paid down by 7.61% or approximately $19.5 million since then. The upgrade rating actions also reflect the benefit of the end of the deal's reinvestment period in October 2023. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF), higher weighted average spread (WAS) and diversity levels compared to their respective current covenant levels. Moody's modeled a WARF of 2880, WAS of 3.48%, and diversity of 82 compared to their respective current covenant levels of 2936, 3.30%, and 75. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class F notes, calculated from reported data, is currently 105.21% versus January 2023 level of 105.90%. No actions were taken on the Class A-R and Class E-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $372,857,108 Defaulted par: $563,386 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2880 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.48% Weighted Average Recovery Rate (WARR): 47.44% Weighted Average Life (WAL): 4.1 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, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. 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. READY CAPITAL 2018-4: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the following classes of Ready Capital Mortgage Trust 2018-4 Commercial Mortgage Pass-Through Certificates issued by Ready Capital Mortgage Trust 2018-4: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class IO-A at AAA (sf) -- Class IO-B/C at AAA (sf) -- Class C at AAA (sf) -- Class D at A (sf) -- Class E at BBB (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since the previous Morningstar DBRS rating action in February 2023. As of the January 2024 remittance, 23 of the original 50 loans remain in the pool as there has been collateral reduction of 59.8% since issuance. Since the previous credit rating action, one loan has been repaid and two loans have been liquidated from the trust, incurring total realized trust losses of $1.4 million. Loans secured by retail properties represent the greatest property type concentration, accounting for 33.4% of the current pool balance, followed by multifamily properties at 23.9%. The largest geographic concentration is North Carolina, accounting for 19.2% of the current pool balance, followed by Georgia at 10.1%. As of January 2024 reporting, there are no specially serviced or delinquent loans; however, there are eight loans on the servicer's watchlist, representing 32.9% of the current pool balance. The loans remain current and have generally been flagged for performance-related reasons, including low debt service coverage ratios (DSCRs) and low occupancy rates. The largest loan on the servicer's watchlist, The Shops at Northgate (Prospectus ID#5; 8.3% of the pool), is secured by an 86,526-square foot unanchored retail center in Durham, North Carolina. The loan has been flagged for a low DSCR, reported at 1.03x as of Q3 2023, a slight improvement from the YE2022 figure of 0.95x. The decline in performance stems from a decrease in the occupancy rate, which was reported at 64.1% as of the September 2023 rent roll, down from 81.3% as reported in the September 2022 rent roll and 89.8% at loan closing. Former tenant, C&H Kitchen, was the third largest tenant at loan closing, occupying 11.7% of the net rentable area (NRA) and contributing total rental revenue of approximately $160,000. The tenant's lease expired in August 2021; however, the tenant appeared to remain in occupancy on a temporary basis after lease expiration as it was listed on the September 2022 rent roll. The space was listed as vacant on the September 2023 rent roll. The current largest tenants include Sky Zone (27.2% of NRA; lease expiring October 2029) and Planet Fitness (21.7% of NRA; lease expiring in July 2027). According to the September 2023 rent roll, Sky Zone has executed a five-year renewal; however, details on its future rental rate, which will begin in November 2024, were not provided. The tenant currently pays a NNN rental rate of $9.87 per square foot, contributing total rental revenue of approximately $230,000. The remaining tenant roster primarily consists of local retailers and service providers. Property performance is subject to further tenant rollover risk, as according to the September 2023 rent roll, five tenants, combining to occupy 8.1% of NRA were operating on month-to-month leases or leases that have since expired. To account for this risk and the prolonged increased vacancy rate at the subject, Morningstar DBRS applied an increased Probability of Default penalty to the loan, resulting in an increased loan expected loss approximately two times greater than the expected loss for the pool. Notes: All figures are in U.S. dollars unless otherwise noted. READY CAPITAL 2019-6: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by Ready Capital Mortgage Trust 2019-6: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class IO-A at AAA (sf) -- Class IO-B/C at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (sf) -- Class F at BB (sf) -- Class G at B (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since the previous Morningstar DBRS credit rating action in March 2023. As of the January 2024 remittance, 52 of the original 89 loans remain in the pool with a current trust balance of $248.6 million, reflecting a collateral reduction of 42.3% since issuance as a result of loan amortization, loan repayment, and one loan liquidation resulting in a loss of $1.3 million. The collateral reduction continues to provide credit support to the bonds even though two loans, representing 7.9% of the current pool balance, are in special servicing. Since the previous credit rating action, three loans have been repaid. Loans secured by mixed-use properties represent the greatest property type concentration, accounting for 36.0% of the current pool balance, followed by multifamily properties at 23.6%. The largest geographic concentration is Texas, accounting for 39.3% of the current pool balance, followed by California at 29.3%. The largest loan in special servicing, 777 E 12th St (Prospectus ID#5; 7.5% of the pool balance), is secured by a mixed-use property in the Fashion District of downtown Los Angeles. The loan transferred to special servicing in October 2023 after the borrower informed the servicer it would no longer be able to fund operating shortfalls to keep the loan current. The loan is paid through October 2023 and is now 90 days delinquent. Property performance has struggled in recent years as year-over-year net cash flow (NCF) has declined since loan closing to $1.0 million at YE2022 from $1.7 million. The most recently reported Q3 2023 annualized NCF provided by the servicer remained depressed at $1.0 million, equating to a debt service coverage ratio (DSCR) of 0.84 times (x), despite an occupancy rate of 91.6%. The largest tenant, Pacific City Bank (18.8% of the net rentable area), recently executed a five-year lease extension through August 2028; however, tenancy at the property is primarily concentrated by wholesale retailers in the fashion industry, which have historically utilized individual spaces for display, office, and storage uses. The individual spaces generally range in size from 700 square feet (sf) to 2,300 sf with tenant leases often not longer than one to two years, elevating rollover risk and cash flow volatility. Morningstar DBRS has yet to receive an updated appraised value from the servicer; however, at issuance, the property's value was $31.6 million. Given the prolonged decline in operating cash flow, Morningstar DBRS believes the property's current market value has significantly declined. In its analysis, Morningstar DBRS calculated an updated property value utilizing the Q3 2023 annualized NCF and a market capitalization rate. The implied property value indicates a value decline of more than 50.0% from the original appraised value. Morningstar DBRS assumed a hypothetical liquidation scenario in its analysis of the loan, resulting in a loss severity above 35.0%. The other loan in special servicing, Lakeland Medical Office Building (Prospectus ID#81; 0.4% of the pool balance), is secured by an office property in Niles, Michigan. The loan has been in special servicing since September 2020 and became real estate owned in July 2022. The servicer has deemed the loan nonrecoverable with the current outstanding loan exposure, including all outstanding advances as of January 2024, totaling $1.7 million, above the updated August 2023 appraised value of $1.5 million. Morningstar DBRS also assumed a hypothetical liquidation scenario in its analysis of this loan, resulting in a loss severity above 40.0%. The cumulative hypothetical losses from both specially serviced loans are likely to be contained to the unrated bond, Class H. There are also 21 loans on the servicer's watchlist, representing 46.3% of the current pool balance. The loans remain current and have generally been flagged for performance-related reasons, including low DSCRs, low occupancy rates, upcoming major tenant rollover risk, and deferred maintenance concerns. The largest loan on the servicer's watchlist, 1001 Ross (Prospectus ID#2; 9.8% of the pool), is secured by a 204-unit multifamily property with a 30,164-sf retail component in downtown Dallas. The loan has been flagged for a low DSCR, reported at 0.73x for the trailing 12 months (T-12) ended September 30, 2023, according to the servicer. At loan closing in 2019, the borrower had a value-accretive business plan centered around renovating the multifamily units and backfilling the anchor retail suite, which was occupied by CVS and was expected to vacate in 2020. The borrower was expected to spend $3.5 million across the property with $2.4 million ($16,597 per unit) allocated for multifamily unit upgrades. The borrower projected an average stabilized rental rate of $1,625 per unit, which implied a premium of $165 per unit at closing. According to the September 2023 rent roll, the multifamily component was 91.7% occupied with an average rental rate of $1,577 per unit; however, the total rental rate increases to approximately the borrower's targeted rate of $1,625 per unit when including miscellaneous fees such as trash pickup, package room, and others. Despite the increase, the rental rate continues to trail the Central Dallas submarket's average effective rental rate of $2,822 per unit as reported by Reis as of Q3 2023. The provided rent roll did not include the retail component, which was last reported as 44.3% occupied following the departure of CVS. Cash flow has not materially changed since loan closing as the T-12 ended September 2023 figure of $1.1 million remains unchanged from closing. In its original analysis, Morningstar DBRS assumed a stabilized NCF of $2.3 million, below the issuer's assumption of $2.7 million. The credit risk of the loan has not only increased since closing because of the stalled business plan, but also from the loan's September 2024 maturity date. The loan does not contain any extension options and given the low cash flow current financing market, the borrower will likely need to inject additional cash equity into the transaction to successfully exit the loan. While the loan remains current, in its current analysis, Morningstar DBRS applied increased loan-to-value ratio and probability of default adjustments to reflect the current credit risk of the loan. The adjustments resulted in a loan expected loss approximately 2x greater than the expected loss for the pool. Notes: All figures are in U.S. dollars unless otherwise noted. RFMSI TRUST 2007-S4: Moody's Lowers Rating on Cl. A-8 Certs to Caa3 ------------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Class A-8 issued by RFMSI Series 2007-S4 Trust. The collateral backing this deal consists of prime jumbo mortgages. The complete rating action is as follow: Issuer: RFMSI Series 2007-S4 Trust Cl. A-8, Downgraded to Caa3 (sf); previously on Apr 2, 2013 Upgraded to Caa2 (sf) RATING RATIONALE The rating action reflects the recent performance as well as Moody's updated loss expectations on the underlying pool. The rating downgrade is primarily due to a deterioration in collateral performance. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ROCKFORD TOWER 2020-1: S&P Assigns BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and new class X debt from Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC, a CLO originally issued in December 2020 that is managed by Rockford Tower Capital Management LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the Feb. 20, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month SOFR than the original debt. -- The replacement class D-1-R and D-2-R debt was issued at a floating spread and fixed coupon, respectively, replacing the original floating spread. -- The reinvestment period and non-call period was extended by three years and stated maturity by four years. -- The new guidelines include a 2.0% limit for the senior unsecured bonds, which were previously prohibited. -- The class X debt was issued in connection with this refinancing. The debt is to be paid down using interest proceeds during the first 16 payment dates, beginning with the payment date in period two. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $240.00 million: Three-month term SOFR + 1.52% -- Class A-2-R, $20.00 million: Three-month term SOFR + 1.80% -- Class B-R, $44.00 million: Three-month term SOFR + 2.10% -- Class C-R (deferrable), $24.00 million: Three-month term SOFR + 2.70% -- Class D-1-R (deferrable), $24.00 million: Three-month term SOFR + 4.60% -- Class D-2-R (deferrable), $5.00 million: 10.50% -- Class E-R (deferrable), $10.00 million: Three-month term SOFR + 8.00% Original debt -- Class A, $240.00 million: Three-month term SOFR + 1.5416% -- Class B, $64.00 million: Three-month term SOFR + 2.0616% -- Class C (deferrable), $24.00 million: Three-month term SOFR + 2.6116% -- Class D (deferrable), $24.00 million: Three-month term SOFR + 4.0116% -- Class E (deferrable), $14.00 million: Three-month term SOFR + 7.1616% -- Subordinated notes, $35.15 million: Residual 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 Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC Class X, $1.00 million: AAA (sf) Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $20.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB (sf) Class D-2-R (deferrable), $5.00 million: BBB- (sf) Class E-R (deferrable), $10.00 million: BB- (sf) Ratings Withdrawn Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Outstanding Debt Rockford Tower CLO 2020-1 Ltd./Rockford Tower CLO 2020-1 LLC Subordinated notes: Not rated SHACKLETON CLO 2017-X: Moody's Cuts Rating on $25MM E Notes to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Shackleton 2017-X CLO, Ltd.: US$60,000,000 Class B-R Senior Floating Rate Notes Due 2029 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on December 1, 2021 Upgraded to Aa1 (sf) US$30,000,000 Class C-R2 Mezzanine Deferrable Floating Rate Notes Due 2029 (the "Class C-R2 Notes"), Upgraded to Aa3 (sf); previously on December 1, 2021 Assigned A2 (sf) Moody's has also downgraded the rating on the following notes: US$25,000,000 Class E Junior Deferrable Floating Rate Notes Due 2029 (the "Class E Notes"), Downgraded to B1 (sf); previously on March 29, 2017 Definitive Rating Assigned Ba3 (sf) Shackleton 2017-X CLO, Ltd., originally issued in March 2017 and partially refinanced in December 2021 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2021. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2023. The Class A-R2 notes have been paid down by approximately 40.3% or $116.5 million since then. Based on the trustee's January 2024 report [1], the OC ratios for the Class A-R2/B-R and Class C-R2 notes are reported at 136.02% and 122.16%, respectively, versus February 2023 [2] levels of 129.10% and 118.90%, respectively. Moody's notes that the January 2024 trustee-reported OC ratios do not reflect the January 2024 payment distribution, when approximately $31.3 million of principal proceeds were used to pay down the Class A-R2 Notes. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's January 2024 report [3], the OC ratio for the Class E notes is reported at 104.42% versus February 2023 [4] level of 105.05%. Also, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 2958 [5], compared to 2780 [6] in February 2023. No actions were taken on the Class A-R2 and Class D-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 "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $328,507,564 Defaulted par: $1,507,519 Diversity Score: 68 Weighted Average Rating Factor (WARF): 2953 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.27% Weighted Average Recovery Rate (WARR): 47.38% Weighted Average Life (WAL): 3.18 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, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. 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. SYMPHONY CLO XVII: Moody's Ups Rating on $25MM E-R Notes From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Symphony CLO XVII, Ltd.: US$31,500,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class D-R Notes"), Upgraded to Aa1 (sf); previously on May 26, 2023 Upgraded to A1 (sf) US$25,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class E-R Notes"), Upgraded to Baa3 (sf); previously on June 2, 2022 Upgraded to Ba1 (sf) Symphony CLO XVII, Ltd., originally issued in March 2016 and refinanced in April 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2020. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2023. The Class A-R notes have been paid off in full and the Class B-R notes have been paid down by approximately 12.94% or $6.6 million since that time. Based on Moody's calculation, the OC ratios for the Class D-R and Class E-R notes are currently 141.16% and 114.56%, respectively, versus May 2023 levels of 126.58% and 112.09%, respectively. Nevertheless Moody's notes that the quality of the portfolio has deteriorated, and the deal is reported [1] to be failing its weighted average rating factor (WARF) and Diversity Score tests, while also reporting exposures to collateral rated Caa1 or below of 15.09%. No actions were taken on the Class B-R notes, Class C-R notes, Class 2 Combination Notes, and the Class 3 Combination Notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $156,130,119 Defaulted par: $1,492,784 Diversity Score: 39 Weighted Average Rating Factor (WARF): 3198 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.35% Weighted Average Coupon (WAC): 10.00% Weighted Average Recovery Rate (WARR): 48.28% Weighted Average Life (WAL): 2.60 years Par haircut in OC tests and interest diversion test: 3.99% 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, decrease in overall WAS or net interest income, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. 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. TPR FUNDING 2022-1: DBRS Confirms B(low) Rating on E Advances ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings and removed the Under Review with Developing Implications status on the Class A-1 Advances, the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances (together, the Advances) issued by TPR Funding 2022-1, LLC pursuant to the Loan, Security and Servicing Agreement, dated as of December 15, 2022 (the Loan Agreement), entered into by and among TPR Funding 2022-1, LLC as the Borrower; Delaware Life Insurance Company as the Servicer; Capital One, National Association (rated "A" with a Stable trend by Morningstar DBRS) as the Administrative Agent, Hedge Counterparty, and Arranger; Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) as the Collateral Custodian and Document Custodian; Virtus Group, LP as the Collateral Administrator; and each of the Lenders and Subordinated Lenders from time to time party thereto: -- Class A-1 Advances at AA (sf) -- Class A-2 Advances at AA (low) (sf) -- Class B Advances at A (low) (sf) -- Class C Advances at BBB (low) (sf) -- Class D Advances at BB (low) (sf) -- Class E Advances at B (low) (sf) The credit rating on the Class A-1 Advances addresses the timely payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement referred to above) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement referred to above). The credit ratings on the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances address the ultimate payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement referred to above) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement referred to above). The Advances are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The servicer for TPR Funding 2022-1, LLC is Delaware Life Insurance Company. Morningstar DBRS considers Delaware Life Insurance Company to be an acceptable collateralized loan obligation (CLO) servicer. CREDIT RATING RATIONALE The confirmations are the result of Morningstar DBRS' review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology), released on October 22, 2023. On November 9, 2023, the credit ratings were placed Under Review with Developing Implications to allow for Morningstar DBRS to review the credit ratings using the CLO Methodology. The Scheduled Revolving Period End Date is December 15, 2025. The Facility Maturity Date is December 15, 2032. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction'’s reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of October 15, 2023, the Issuer is in compliance with all performance metrics except its non-BSL Covenant-Lite Loan Concentration Limit. However, as the Issuer is passing its Minimum Weighted-Average Recovery Rate Test and is still in the Revolving Period, Morningstar DBRS considers the test failure to not be material and therefore confirmed its credit ratings on the Advances, as the current transaction performance is within Morningstar DBRS' expectation. Some of the performance metrics that Morningstar DBRS reviewed are listed below: Collateral Quality Tests Minimum Weighted-Average Spread Test: Threshold 5.25%; Current 5.93% Minimum Weighted-Average Recovery Rate Test: Threshold 51.90%; Current 52.72% Minimum Diversity Test: Threshold 20; Current 21 Maximum Weighted-Average Life Test: Threshold 5.00 Years; Current 3.43 Years Maximum Morningstar DBRS Risk Test: Threshold 29.70; Current 27.01 Coverage Tests Total Interest Coverage Ratio Test: Threshold 150.00%; Current 198.89% Class A-1 Overcollateralization Ratio Test: Threshold 142.86%; Current 148.70% Class A-2 Overcollateralization Ratio Test: Threshold 138.15%; Current 148.16% Class B Overcollateralization Ratio Test: Threshold 118.21%; Current 128.21% Class C Overcollateralization Ratio Test: Threshold 113.21%; Current 121.22% Class D Overcollateralization Ratio Test: Threshold 112.68%; Current 106.68% Class E Overcollateralization Ratio Test: Threshold 150.00%; Current 198.89% In its analysis, Morningstar DBRS also considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Advances to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Delaware Life Insurance Company. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule V of the Loan Agreement). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score and Weighted-Average Spread. Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS credit rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below. Some particular strengths of the transaction are (1) the collateral quality, which will consist mostly of senior-secured middle-market loans; and (2) the expected adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven). Some challenges are (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public credit ratings once purchased and (2) the underlying collateral portfolio may be insufficient to redeem the Advances in an Event of Default. The transaction is performing according to the contractual requirements of the Loan, Security and Servicing Agreement. There were no defaults registered in the underlying portfolio to date. Considering the transaction performance, its legal aspects and structure, Morningstar DBRS confirmed its credit ratings on the Advances. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not credit ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Advances. Notes: All figures are in U.S. dollars unless otherwise noted. TRTX 2019-FL3: DBRS Cuts Class G Credit Rating to CCC ----------------------------------------------------- DBRS, Inc. downgraded its credit rating on the following class of notes issued by TRTX 2019-FL3 Issuer, Ltd. as follows: -- Class G to CCC (sf) from BB (low) (sf) Morningstar DBRS also confirmed its credit ratings on the following classes of notes: -- Class C at AA (sf) -- Class D at A (high) (sf) -- Class E at A (low) (sf) -- Class F at BBB (low) (sf) The trends on all classes are Stable with the exception of Class G, which has a credit rating that does not carry a trend. The credit rating downgrade on Class G reflects the increased credit risk to the largest loan in the pool, City Plaza (Prospectus ID #32, 21.4% of the pool), which is secured by an 18-story, office property in Orange, California. The loan is now 90 days delinquent after transferring to special servicing in November 2023 for maturity default. According to the collateral manager, the loan is now categorized as real estate owned and the property is negatively cash flowing, with occupancy most recently reported at 14.2% as of the October 2023 rent roll. An updated appraisal is currently pending; however, at loan closing, the property was valued on an as-is basis at $90.3 million. In its analysis, Morningstar DBRS assumed a stressed value and liquidated the loan from the trust, resulting in a hypothetical loss severity on the loan in excess of 45.0%. The loss is projected to be contained to the unrated equity bond. Morningstar DBRS also notes the outstanding accumulated interest shortfalls to Class G totaling $0.4 million as of January 2024 reporting. Interest shortfalls first occurred with November 2023 reporting and are a direct result of the City Plaza loan delinquency. Given the current status and outlook on the resolution process of the loan, Morningstar DBRS expects accumulated interest shortfalls to Class G to continue to increase. The credit rating confirmations on the remaining classes reflect the increased credit support to the bonds as there has been collateral reduction of 76.1% since issuance as a result of successful loan repayment, principal proceeds recovered on liquidated loans, and realized losses from the resolution of liquidated loans. The collateral reduction serves as a mitigant to the increased concentration of loans secured by office properties across the transaction, as the select borrowers of these loans are behind in the respective business plans, and all borrowers of these loans are likely to face difficulties in securing refinance capital or selling the properties at respective loan maturity. As of January 2023 reporting, there are five loans secured by office properties in the transaction, representing 83.4% of the current trust balance. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. As of the January 2024 remittance, the trust reported an outstanding balance of $293.9 million with six loans remaining in the trust. The transaction had a 24-month reinvestment period that ended in October 2021. Two of the remaining six loans, representing 26.1% of the current trust balance, were in the transaction at closing. Since the previous Morningstar DBRS credit rating action in April 2023, there has been a collateral reduction of $190.8 million, including the full repayment of the 1825 Park Avenue loan. In addition, two loans, 300 Lafayette Street and 1525 Wilson, were liquidated resulting in a combined loss of $50.6 million to the trust. The remaining loan in the transaction beyond the office concentration noted above is secured by a multifamily property (16.6% of the current trust balance). The transaction's property type concentration has remained relatively stable since March 2023 when 64.4% of the trust balance was secured by office collateral, 13.4% of the trust balance was secured by multifamily collateral, and 22.6% of the trust balance was secured by mixed-use collateral. The remaining loans are primarily secured by properties in urban and suburban markets. Four loans, representing 76.6% of the pool, are secured by properties in urban markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 6, 7, or 8, and two loans representing 23.4% of the pool are secured by properties with a Morningstar DBRS Market Rank of 4 or 5, which denotes a suburban market. In comparison with the pool composition in March 2022, properties in urban markets represented 81.9% of the collateral, and properties in suburban markets represented 18.1% of the collateral. The location of the assets within urban markets potentially serves as a mitigant to loan maturity risk, as urban markets have historically shown greater liquidity and investor demand. The collateral pool exhibits elevated leverage from issuance with a current weighted-average (WA) appraised loan-to-value ratio (LTV) of 72.4% and a WA stabilized LTV of 63.9%. In comparison, these figures were 77.4% and 64.4%, respectively, at closing. As the majority of individual property appraisals were conducted between 2019 and 2022, and the pool composition has changed significantly from closing with only two of the original loans remaining, it is possible select individual property values may have decreased given the current interest rate and capitalization rate environment. In the analysis for this review, Morningstar DBRS applied a recoverability analysis using in place property level financial reporting with stressed market and property type specific capitalization rates to determine if individual property valuations can support the respective outstanding debt load. Morningstar DBRS determined in its current analysis that any potential cumulative exposure to loans with loan to value ratios of more than 100.0% would be contained to the unrated equity bond, which has a current balance of $44.8 million. Through December 2023, the lender had advanced cumulative loan future funding of $153.3 million to all six of the outstanding individual borrowers. The largest advance ($45.8 million) has been made to the borrower of the Lenox Park Portfolio loan (Prospectus ID #2, 5.8% of the pool), which is secured by four office properties in Brookhaven, Georgia. The portfolio originally consisted of five properties; however, one of the larger assets was sold in Q2 2022, and the A note was paid down by $72.0 million with an additional $65.3 million swept into a leasing reserve. In March 2023, the A note was paid down by an additional $75.6 million from existing reserves, resulting in a currently funded A note of $35.1 million. The property's largest tenant, AT&T, vacated its leased space at the 1057 Lenox and 2180 Lake buildings upon the May 2023 lease expiration decreasing portfolio occupancy from 81.8% to 19.2% as of June 2023. AT&T most recently executed a new lease totaling 120,500 square feet at the 1277 Lenox building, increasing the portfolio's overall occupancy to 35.1% as of the September 2023 rent roll. The two-year lease expires in July 2025 and includes a starting rental rate of $32.00 per square foot. According to the collateral manager, the portfolio is expected to generate net cash flow (NCF) of $5.5 million of NCF and a debt service coverage ratio of 2.21 times inclusive of the new lease. The loan is being monitored on the servicer's watchlist for maturity risk as the loan matured in December 2023; however, the loan includes one final extension option through August 2024. The four remaining properties had a combined property value of $174.5 million at loan closing in 2018 implying an LTV of 20.1% based on the current whole loan exposure. Given the low in-place leverage, Morningstar DBRS is not forecasting a value deficiency. An additional $13.2 million of unadvanced loan future funding allocated to two individual borrowers remains outstanding. The largest portion of unadvanced future funding dollars ($9.4 million) is allocated to the borrower of the aforementioned Lenox Park Portfolio loan for leasing costs. The remaining loan with available future funding ($3.7 million), Del Amo Crossing loan, secured by an eight-building office and retail property totaling 418,555 square feet in Torrance, California. Since issuance, occupancy has decreased to 67.3% from 72.8% as of the September 2023 rent roll. In March 2023, the borrower acquired land adjoining the property that was added to the collateral. The land, which was valued at $7.0 million, was sold in Q2 2023 resulting in a principal curtailment of $6.8 million with an additional $1.6 million deposited into the debt service reserve account. Additionally, the restaurant building was sold in November 2023 for $25.2 million resulting in a curtailment of $22.1 million with $2.5 million deposited into the debt service reserve account. The loan has a final maturity date of January 2025. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2024-1: DBRS Finalizes B Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2024-1 (the Notes) issued by Verus Securitization Trust 2024-1 (VERUS 2024-1 or the Trust) as follows: -- $433.2 million Class A-1 at AAA (sf) -- $69.1 million Class A-2 at AA (high) (sf) -- $87.7 million Class A-3 at A (high) (sf) -- $47.7 million Class M-1 at BBB (sf) -- $28.8 million Class B-1 at BB (high) (sf) -- $17.5 million Class B-2 at B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Class A-1 certificates reflects 38.25% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (high) (sf), BBB (sf), BB (high) (sf), and B (sf) credit ratings reflect 28.40%, 15.90%, 9.10%, 5.00%, and 2.50% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2024-1 (the Notes). The Notes are backed by 1,360 mortgage loans with a total principal balance of $701,556,565 as of the Cut-Off Date (January 1, 2024). Through various entities, Invictus Capital Partners, LP (Invictus) began acquiring loans in 2015, and Verus 2024-1 represents the 54th rated securitization issued from the Verus shelf. The pool was originated by Hometown Equity Mortgage, LLC (15.8%) as well as various other originators (84.2%), each contributing less than 10.0% of the loans to the Trust. Shellpoint Mortgage Servicing will act as the Servicer for all loans. The loans were acquired by the Mortgage Loan Sellers or their affiliates and underwritten to Sponsor approved underwriting standards, which correspond to certain programs. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, 32.5% of the loans are designated as non-QM, 13.6% are designated as QM Rebuttable Presumption, and 11.9% are designated as QM Safe Harbor. Approximately 42.0% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. Approximately 29.7% of the loans were originated under a Property Focused Investor Loan Debt Service Coverage Ratio (DSCR) program and 0.2% were originated under a Property Focused Investor Loan program. Certain loans (9.2%) within the DSCR program had a DSCR less than 1.00 times (x). 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 B-3, A-IO-S, and XS Notes. On or after the earlier of (1) the Payment Date occurring in January 2027 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 Advancing Party will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent. The Advancing Party has no obligation to advance P&I on a mortgage approved for a forbearance plan during its related forbearance period. The Servicer, however, is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. This transaction incorporates 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 (Trigger Event). Prior to a Trigger Event, principal proceeds can be used to cover interest shortfalls on the Class A-1, A-2, and A-3 before being applied sequentially to amortize the balances of the senior and subordinate Notes. After a Trigger Event, principal proceeds can be used to cover interest shortfalls on the Class A-1 and A-2 sequentially (IIPP). Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 102 Classes From 15 US Rental Transactions ----------------------------------------------------------- DBRS, Inc. reviewed 102 classes from 15 U.S. single-family rental transactions. Of the 102 classes reviewed, Morningstar DBRS confirmed 101 credit ratings and discontinued one credit rating because of full repayment of the outstanding bond balance. American Homes 4 Rent 2014-SFR2 Trust -- AH4R 2014-SFR2, Class A confirmed at AAA (sf) -- AH4R 2014-SFR2, Class B confirmed at AAA (sf) -- AH4R 2014-SFR2, Class C confirmed at AAA (sf) -- AH4R 2014-SFR2, Class D confirmed at AAA (sf) -- AH4R 2014-SFR2, Class E confirmed at AA (high) (sf) American Homes 4 Rent 2014-SFR3 Trust -- AH4R 2014-SFR3, Class A confirmed at AAA (sf) -- AH4R 2014-SFR3, Class B confirmed at AAA (sf) -- AH4R 2014-SFR3, Class C confirmed at AAA (sf) -- AH4R 2014-SFR3, Class D confirmed at AAA (sf) -- AH4R 2014-SFR3, Class E confirmed at AA (high) (sf) American Homes 4 Rent 2015-SFR1 Trust -- AH4R 2015-SFR1, Class A confirmed at AAA (sf) -- AH4R 2015-SFR1, Class B confirmed at AAA (sf) -- AH4R 2015-SFR1, Class C confirmed at AAA (sf) -- AH4R 2015-SFR1, Class D confirmed at AAA (sf) -- AH4R 2015-SFR1, Class E confirmed at AA (low) (sf) -- AH4R 2015-SFR1, Class F confirmed at A (sf) American Homes 4 Rent 2015-SFR2 Trust -- AH4R 2015-SFR2, Class A confirmed at AAA (sf) -- AH4R 2015-SFR2, Class B confirmed at AAA (sf) -- AH4R 2015-SFR2, Class C confirmed at AAA (sf) -- AH4R 2015-SFR2, Class D confirmed at AAA (sf) -- AH4R 2015-SFR2, Class E confirmed at AA (low) (sf) AMSR 2020-SFR1 Trust -- AMSR 2020-SFR1 Trust, Class A confirmed at AAA (sf) -- AMSR 2020-SFR1 Trust, Class B confirmed at AAA (sf) -- AMSR 2020-SFR1 Trust, Class C confirmed at AAA (sf) -- AMSR 2020-SFR1 Trust, Class D confirmed at AA (high) (sf) -- AMSR 2020-SFR1 Trust, Class E confirmed at BBB (low) (sf) -- AMSR 2020-SFR1 Trust, Class F confirmed at BB (sf) -- AMSR 2020-SFR1 Trust, Class G confirmed at B (sf) AMSR 2020-SFR2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at AA (sf) -- Single-Family Rental Pass-Through Certificate, Class E1 confirmed at A (sf) -- Single-Family Rental Pass-Through Certificate, Class E2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class H confirmed at B (low) (sf) AMSR 2020-SFR3 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (low) (sf) AMSR 2020-SFR4 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class G-1 confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G-2 confirmed at B (sf) AMSR 2020-SFR5 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (sf) AMSR 2021-SFR2 Trust -- Single Family Rental Pass Through Certificates, Class A confirmed at AAA (sf) -- Single Family Rental Pass Through Certificates, Class B confirmed at AA (low) (sf) -- Single Family Rental Pass Through Certificates, Class C confirmed at A (low) (sf) -- Single Family Rental Pass Through Certificates, Class D confirmed at BBB (high) (sf) -- Single Family Rental Pass Through Certificates, Class E-1 confirmed at BBB (sf) -- Single Family Rental Pass Through Certificates, Class E-2 confirmed at BBB (low) (sf) -- Single Family Rental Pass Through Certificates, Class F-1 confirmed at BB (high) (sf) -- Single Family Rental Pass Through Certificates, Class F-2 confirmed at BB (low) (sf) AMSR 2021-SFR3 Trust -- Single-Family Rental Pass-Through Certificate A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate C confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate D confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate E-1 confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate G confirmed at B (low) (sf) AMSR 2021-SFR4 Trust -- Single Family Rental Pass Through Certificate, Class A confirmed at AAA (sf) -- Single Family Rental Pass Through Certificate, Class B confirmed at AA (high) (sf) -- Single Family Rental Pass Through Certificate, Class C confirmed at A (high) (sf) -- Single Family Rental Pass Through Certificate, Class D confirmed at A (low) (sf) -- Single Family Rental Pass Through Certificate, Class E-1 confirmed at BBB (sf) -- Single Family Rental Pass Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single Family Rental Pass Through Certificate, Class F-1 confirmed at BB (high) (sf) -- Single Family Rental Pass Through Certificate, Class F-2 confirmed at BB (low) (sf) Home Partners of America 2022-1 Trust -- Single-Family Rental Pass-Through Certificate, Class E discontinued New Residential Mortgage Loan Trust 2022-SFR1 -- Single-Family Rental Pass-Through Certificates, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificates, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificates, Class C confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificates, Class D confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificates, Class E-1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificates, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class G confirmed at B (low) (sf) STAR 2021-SFR1 Trust -- Class A confirmed at AAA (sf) -- Class B confirmed at AAA (sf) -- Class C confirmed at AA (sf) -- Class D confirmed at A (low) (sf) -- Class E confirmed at BBB (low) (sf) -- Class F confirmed at BB (low) (sf) -- Class G confirmed at B (low) (sf) The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' credit rating actions are based on the following analytical consideration: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. 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: The principal methodology applicable to the credit ratings is Rating and Monitoring U.S. Single-Family Rental Securitizations (November 23, 2022; https://dbrs.morningstar.com/research/405662). [*] DBRS Reviews 116 Classes From 8 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. Reviewed 116 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of seasoned reperforming mortgage collateral. Of the 116 classes reviewed, Morningstar DBRS upgraded 52 credit ratings and confirmed 64 credit ratings. The Affected Ratings are available at https://bit.ly/3uruCCZ The Issuers are: CIM Trust 2022-R1 Towd Point Mortgage Trust 2020-2 Towd Point Mortgage Trust 2023-1 BRAVO Residential Funding Trust 2022-RPL1 GS Mortgage-Backed Securities Trust 2022-RPL1 Mill City Mortgage Loan Trust 2021-NMR1 BINOM Securitization Trust 2022-RPL1 GS Mortgage-Backed Securities Trust 2021-RPL1 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update," published on December 19, 2023 (https://dbrs.morningstar.com/research/425506). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on March 3, 2023. 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: The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023), https://dbrs.morningstar.com/research/410498. [*] DBRS Reviews 143 Classes From 27 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 143 classes from 27 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 143 classes reviewed, Morningstar DBRS upgraded 27 credit ratings, confirmed 105 credit ratings, and discontinued 11 credit ratings. Boston Lending Trust 2021-1 -- Asset-Backed Notes, Series 2021-1 Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-1 Class M-1 confirmed at AA (sf) -- Asset-Backed Notes, Series 2021-1 Class M-2 confirmed at A (sf) -- Asset-Backed Notes, Series 2021-1 Class M-3 confirmed at BBB (sf) Boston Lending Trust 2022-1 -- Asset-Backed Note, Series 2022-1, Class A confirmed at AAA (sf) -- Asset-Backed Note, Series 2022-1, Class M-1 confirmed at AA (sf) -- Asset-Backed Note, Series 2022-1, Class M-2 confirmed at A (sf) -- Asset-Backed Note, Series 2022-1, Class M-3 confirmed at BBB (sf) Boston Lending Trust 2022-2 -- Asset-Backed Notes, Series 2022-2, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-2, Class M-1 upgrade to AA (high) (sf) from AA (sf) -- Asset-Backed Notes, Series 2022-2, Class M-2 upgrade to A (high) (sf) from A (sf) -- Asset-Backed Notes, Series 2022-2, Class M-3 upgrade to BBB (high) (sf) from BBB (sf) Boston Lending Trust 2022-3 -- Asset-Backed Notes, Series 2022-3, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-3, Class M-1 upgrade to AA (high) (sf) from AA (sf) -- Asset-Backed Notes, Series 2022-3, Class M-2 upgrade to AA (high) (sf) from A (sf) -- Asset-Backed Notes, Series 2022-3, Class M-3 confirmed at BBB (sf) Brean Asset-Backed Securities Trust 2023-RM6 -- Mortgage-backed Notes, Series 2023-RM6, Class A1 confirmed at AAA (sf) -- Mortgage-backed Notes, Series 2023-RM6, Class A2 confirmed at AAA (sf) -- Mortgage-backed Notes, Series 2023-RM6, Class AM confirmed at AAA (sf) -- Mortgage-backed Notes, Series 2023-RM6, Class M1 confirmed at AA (sf) -- Mortgage-backed Notes, Series 2023-RM6, Class M2 confirmed at A (sf) -- Mortgage-backed Notes, Series 2023-RM6, Class M3 confirmed at BBB (sf) -- Mortgage-backed Notes, Series 2023-RM6, Class M4 confirmed at BB (sf) -- Mortgage-backed Notes, Series 2023-RM6, Class M5 confirmed at B (sf) Cascade Funding Mortgage Trust 2018-RM2 -- Mortgage-Backed Securities, Series 2018-RM2, Class A confirmed at AAA (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class B confirmed at AAA (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class C confirmed at AAA (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class D confirmed at A (high) (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class E confirmed at A (low) (sf) -- Mortgage-Backed Securities, Series 2018-RM2, Class F confirmed at BB (sf) Cascade Funding Mortgage Trust 2022-RM4 -- Asset-Backed Notes, Series 2022-RM4, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-RM4, Class M-1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2022-RM4, Class M-2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2022-RM4, Class M-3 confirmed at BBB (low) (sf) -- Asset-Backed Notes, Series 2022-RM4, Class M-4 confirmed at BB (low) (sf) -- Asset-Backed Notes, Series 2022-RM4, Class M-5 confirmed at B (sf) CFMT 2020-AB1, LLC -- Asset-Backed Notes, Series 2020-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-1, Class M-1 confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-1, Class M-2 upgraded to AA (high) (sf) from AA (sf) -- Asset-Backed Notes, Series 2020-1, Class M-3 upgraded to A (high) (sf) from A (sf) -- Asset-Backed Notes, Series 2020-1, Class M-4 upgraded to BBB (high) (sf) from BBB (sf) Cascade Funding Mortgage Trust 2022-AB2 -- Asset-Backed Notes, Series 2022-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-1, Class M1 upgraded to AAA (sf) from AA (sf) -- Asset-Backed Notes, Series 2022-1, Class M2 upgraded to AA (sf) from A (high) (sf) -- Asset-Backed Notes, Series 2022-1, Class M3 upgraded to AA (low) (sf) from A (sf) -- Asset-Backed Notes, Series 2022-1, Class M4 upgraded to A (low) (sf) from BBB (sf) -- Asset-Backed Notes, Series 2022-1, Class M5 upgraded to BB (high) (sf) from BB (low) (sf) CFMT 2021-HB5, LLC -- Asset-Backed Notes, Series 2021-1, Class A discontinued -- Asset-Backed Notes, Series 2021-1, Class M1 discontinued -- Asset-Backed Notes, Series 2021-1, Class M2 discontinued -- Asset-Backed Notes, Series 2021-1, Class M3 discontinued -- Asset-Backed Notes, Series 2021-1, Class M4 discontinued CFMT 2021-HB6, LLC -- Asset-Backed Notes, Series 2021-2, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-2, Class M1 upgraded to AAA (sf) from AA (low) (sf) -- Asset-Backed Notes, Series 2021-2, Class M2 upgraded to A (high) (sf) from A (low) (sf) -- Asset-Backed Notes, Series 2021-2, Class M3 upgraded to BBB (high) (sf) from BBB (low) (sf) -- Asset-Backed Notes, Series 2021-2, Class M4 upgraded to BB (high) (sf) from BB (low) (sf) -- Asset-Backed Notes, Series 2021-2, Class M5 upgraded to BB (sf) from B (high) (sf) CFMT 2021-HB7, LLC -- Asset-Backed Notes, Series 2021-3, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-3, Class M1 upgraded to AA (sf) from AA (low) (sf) -- Asset-Backed Notes, Series 2021-3, Class M2 upgraded to A (sf) from A (low) (sf) -- Asset-Backed Notes, Series 2021-3, Class M3 upgraded to BBB (sf) from BBB (low) (sf) -- Asset-Backed Notes, Series 2021-3, Class M4 upgraded to BB (sf) from BB (low) (sf) -- Asset-Backed Notes, Series 2021-3, Class M5 upgraded to B (high) (sf) from B (sf) CFMT 2022-HB8, LLC -- Asset-Backed Notes, Series 2022-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-1, Class M1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2022-1, Class M2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2022-1, Class M3 confirmed at BBB (low) (sf) -- Asset-Backed Notes, Series 2022-1, Class M4 confirmed at BB (sf) -- Asset-Backed Notes, Series 2022-1, Class M5 confirmed at BB (low) (sf) -- Asset-Backed Notes, Series 2022-1, Class M6 confirmed at B (sf) CFMT 2022-HB9, LLC -- Asset-Backed Notes, Series 2022-2, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-2, Class M1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2022-2, Class M2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2022-2, Class M3 confirmed at BBB (low) (sf) -- Asset-Backed Notes, Series 2022-2, Class M4 confirmed at BB (low) (sf) -- Asset-Backed Notes, Series 2022-2, Class M5 confirmed at B (sf) CFMT 2023-HB11, LLC -- Asset-Backed Notes, Series 2023-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2023-1, Class M1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2023-1, Class M2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2023-1, Class M3 confirmed at BBB (low) (sf) -- Asset-Backed Notes, Series 2023-1, Class M4 confirmed at BB (high) (sf) -- Asset-Backed Notes, Series 2023-1, Class M5 confirmed at BB (low) (sf) -- Asset-Backed Notes, Series 2023-1, Class M6 confirmed at B (sf) CFMT 2023-HB12, LLC -- Asset-Backed Notes, Series 2023-2, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2023-2, Class M1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2023-2, Class M2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2023-2, Class M3 confirmed at BBB (low) (sf) -- Asset-Backed Notes, Series 2023-2, Class M4 confirmed at BB (sf) -- Asset-Backed Notes, Series 2023-2, Class M5 confirmed at BB (low) (sf) -- Asset-Backed Notes, Series 2023-2, Class M6 confirmed at B (sf) Finance of America HECM Buyout 2020-HB2 -- Asset-Backed Notes, Series 2020-HB2, Class A discontinued -- Asset-Backed Notes, Series 2020-HB2, Class M1 discontinued -- Asset-Backed Notes, Series 2020-HB2, Class M2 discontinued -- Asset-Backed Notes, Series 2020-HB2, Class M3 discontinued -- Asset-Backed Notes, Series 2020-HB2, Class M4 discontinued -- Asset-Backed Notes, Series 2020-HB2, Class M5 discontinued RMF Buyout Issuance Trust 2020-HB1 -- Asset-Backed Notes, Series 2020-HB1, Class A1 confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-HB1, Class A2 confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-HB1, Class AB confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-HB1, Class M1 upgraded to AAA (sf) from AA (high) (sf) -- Asset-Backed Notes, Series 2020-HB1, Class M2 upgraded to AA (sf) from AA (low) (sf) -- Asset-Backed Notes, Series 2020-HB1, Class M3 upgraded to A (sf) from A (low) (sf) -- Asset-Backed Notes, Series 2020-HB1, Class M4 upgraded to BBB (high) (sf) from BBB (sf) RMF Buyout Issuance Trust 2021-HB1 -- Asset-Backed Notes, Series 2021-HB1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-HB1, Class M1 confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-HB1, Class M2 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2021-HB1, Class M3 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2021-HB1, Class M4 confirmed at BBB (low) (sf) -- Asset-Backed Notes, Series 2021-HB1, Class M5 confirmed at BB (low) (sf) RMF Buyout Issuance Trust 2022-HB1 -- Asset-Backed Notes, Series 2022-HB1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-HB1, Class M1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2022-HB1, Class M2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2022-HB1, Class M3 confirmed at BBB (low) (sf) -- Asset-Backed Notes, Series 2022-HB1, Class M4 confirmed at BB (low) (sf) -- Asset-Backed Notes, Series 2022-HB1, Class M5 confirmed at B (sf) RMF Proprietary Issuance Trust 2019-1 -- Asset-Backed Notes, Series 2019-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2019-1, Class M-1 confirmed at AAA (sf) -- Asset-Backed Notes, Series 2019-1, Class M-2 confirmed at AA (low) (sf) RMF Proprietary Issuance Trust 2020-1 -- Asset-Backed Notes, Series 2020-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-1, Class M-1 confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-1, Class M-2 confirmed at AAA (sf) -- Asset-Backed Notes, Series 2020-1, Class M-3 confirmed at A (low) (sf) RMF Proprietary Issuance Trust 2021-1 -- Asset-Backed Notes, Series 2021-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-1, Class M-1 confirmed at AA (high) (sf) -- Asset-Backed Notes, Series 2021-1, Class M-2 confirmed at AA (sf) -- Asset-Backed Notes, Series 2021-1, Class M-3 confirmed at BBB (high) (sf) RMF Proprietary Issuance Trust 2021-2 -- Asset-Backed Notes, Series 2021-2, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2021-2, Class M-1 confirmed at AA (high) (sf) -- Asset-Backed Notes, Series 2021-2, Class M-2 confirmed at A (high) (sf) -- Asset-Backed Notes, Series 2021-2, Class M-3 confirmed at BBB (sf) RMF Proprietary Issuance Trust 2022-1 -- Asset-Backed Notes, Series 2022-1, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-1, Class M-1 confirmed at AA (sf) -- Asset-Backed Notes, Series 2022-1, Class M-2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2022-1, Class M-3 confirmed at BB (low) (sf) RMF Proprietary Issuance Trust 2022-2 -- Asset-Backed Notes, Series 2022-2, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-2, Class M-1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2022-2, Class M-2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2022-2, Class M-3 confirmed at BBB (low) (sf) RMF Proprietary Issuance Trust 2022-3 -- Asset-Backed Notes, Series 2022-3, Class A confirmed at AAA (sf) -- Asset-Backed Notes, Series 2022-3, Class M-1 confirmed at AA (low) (sf) -- Asset-Backed Notes, Series 2022-3, Class M-2 confirmed at A (low) (sf) -- Asset-Backed Notes, Series 2022-3, Class M-3 confirmed at BBB (low) (sf) These credit rating actions reflect asset performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' credit rating actions are based on the following analytical considerations: -- Key performance measures, as reflected in credit enhancement increases since deal inception and running total cumulative loss percentages. -- The pools backing the reviewed RMBS transactions consist of RM collateral. Morningstar DBRS notes that Reverse Mortgage Funding, LLC (RMF) filed for Chapter 11 bankruptcy protection on November 30, 2022. Subsequently, RMF obtained court approvals and funding to allow it to continue its servicing operations, including collecting servicing fees and making advances. Details can be found in the December 13, 2022, press release titled "DBRS Morningstar Comments on Impact of RMF's Bankruptcy on Rated Securitizations." In accordance with the analysis outlined in the above press release, Morningstar DBRS made adjustments to its surveillance reviews of the rated RMF securitizations to account for a potential servicing transfer. The adjustments pertain to (1) increases in servicing fees and (2) to the extent applicable, such fees and reimbursement of servicing advances being moved to the top of the waterfall, ahead of any payments to the notes. The resulting credit rating actions reflect the incorporation of the above adjustments. Morningstar DBRS recognizes the uncertainties surrounding RMF's bankruptcy proceedings and the potential challenges it may have on the rated securitizations as described above. Morningstar DBRS will continue to monitor the ongoing developments in the bankruptcy proceedings and transaction performance, conduct pool-level credit analysis, and take appropriate credit rating actions as warranted. RM LOANS Lenders typically offer RM loans to people who are at least 62 years old. Through RM 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 if (1) the borrower dies, (2) the borrower sells the related residence, (3) the borrower no longer occupies the related residence for a period (usually a year), (4) it is no longer the borrower's primary residence, (5) a tax or insurance default occurs, or (6) the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. RMs 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. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 514 Classes From 14 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 514 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions. The 14 transactions are generally classified as prime jumbo and agency credit risk transfer transactions. Of the 514 classes reviewed, Morningstar DBRS upgraded 41 credit ratings and confirmed 473 credit ratings. The Affected Ratings are available at https://bit.ly/49KIkQo The Issuers are: Citigroup Mortgage Loan Trust 2022-J1 Mello Mortgage Capital Acceptance 2021-INV3 Mello Mortgage Capital Acceptance 2021-INV4 Mello Mortgage Capital Acceptance 2022-INV2 Citigroup Mortgage Loan Trust 2014-J1 Citigroup Mortgage Loan Trust 2014-J2 Citigroup Mortgage Loan Trust 2013-J1 Connecticut Avenue Securities Trust 2023-R02 GS Mortgage-Backed Securities Trust 2022-MM1 GS Mortgage-Backed Securities Trust 2020-PJ3 GS Mortgage-Backed Securities Trust 2020-PJ6 GS Mortgage-Backed Securities Trust 2021-PJ3 Mello Mortgage Capital Acceptance 2021-MTG1 Flagstar Mortgage Trust 2019-2 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. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology. [*] Fitch Affirms Ratings on 11 Sierra Timeshare Trusts -------------------------------------------------------- Fitch Ratings, on Feb. 5, 2024, affirmed the ratings of Sierra Timeshare Receivables Funding Trust series 2019-1, 2019-2, 2019-3, 2020-2, 2021-1, 2021-2, 2022-1, 2022-2, 2022-3, 2023-1 and 2023-2. The Rating Outlooks on all classes remain Stable. Rating Prior ------ ----- Sierra Timeshare 2019-1 Receivables Funding LLC A 82653EAA5 LT AAAsf Affirmed AAAsf B 82653EAB3 LT Asf Affirmed Asf C 82653EAC1 LT BBBsf Affirmed BBBsf D 82653EAD9 LT BBsf Affirmed BBsf Sierra Timeshare 2019-2 Receivables Funding LLC A 82652MAA8 LT AAAsf Affirmed AAAsf B 82652MAB6 LT Asf Affirmed Asf C 82652MAC4 LT BBBsf Affirmed BBBsf D 82652MAD2 LT BBsf Affirmed BBsf Sierra Timeshare 2019-3 Receivables Funding LLC A 82652NAA6 LT AAAsf Affirmed AAAsf B 82652NAB4 LT Asf Affirmed Asf C 82652NAC2 LT BBBsf Affirmed BBBsf D 82652NAD0 LT BBsf Affirmed BBsf Sierra Timeshare 2020-2 Receivables Funding LLC A 826525AA5 LT AAAsf Affirmed AAAsf B 826525AB3 LT Asf Affirmed Asf C 826525AC1 LT BBBsf Affirmed BBBsf D 826525AD9 LT BBsf Affirmed BBsf Sierra Timeshare 2021-1 Receivables Funding LLC A 82652QAA9 LT AAAsf Affirmed AAAsf B 82652QAB7 LT Asf Affirmed Asf C 82652QAC5 LT BBBsf Affirmed BBBsf D 82652QAD3 LT BBsf Affirmed BBsf Sierra Timeshare 2021-2 Receivables Funding LLC A 82652RAA7 LT AAAsf Affirmed AAAsf B 82652RAB5 LT Asf Affirmed Asf C 82652RAC3 LT BBBsf Affirmed BBBsf D 82652RAD1 LT BBsf Affirmed BBsf Sierra Timeshare 2022-1 Receivables Funding LLC A 82652TAA3 LT AAAsf Affirmed AAAsf B 82652TAB1 LT Asf Affirmed Asf C 82652TAC9 LT BBBsf Affirmed BBBsf D 82652TAD7 LT BBsf Affirmed BBsf Sierra Timeshare 2022-2 Receivables Funding LLC A 82650TAA5 LT AAAsf Affirmed AAAsf B 82650TAB3 LT Asf Affirmed Asf C 82650TAC1 LT BBBsf Affirmed BBBsf D 82650TAD9 LT BBsf Affirmed BBsf Sierra Timeshare 2022-3 Receivables Funding LLC A 826934AA9 LT AAAsf Affirmed AAAsf B 826934AB7 LT Asf Affirmed Asf C 826934AC5 LT BBBsf Affirmed BBBsf D 826934AD3 LT BB-sf Affirmed BB-sf Sierra Timeshare 2023-1 Receivables Funding LLC A 826943AA0 LT AAAsf Affirmed AAAsf B 826943AB8 LT Asf Affirmed Asf C 826943AC6 LT BBBsf Affirmed BBBsf D 826943AD4 LT BB-sf Affirmed BB-sf Sierra Timeshare 2023-2 Receivables Funding LLC A 82650BAA4 LT AAAsf Affirmed AAAsf B 82650BAB2 LT Asf Affirmed Asf C 82650BAC0 LT BBBsf Affirmed BBBsf D 82650BAD8 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS The affirmation of the class A, B, C (when applicable), and D (when applicable) notes, for each transaction, reflects loss coverage levels consistent with their current ratings. The Stable Outlooks for all classes of notes reflect Fitch's expectation that loss coverage levels will remain supportive of these ratings. To date, transactions preceding 2020-2 have performed weaker than Fitch's initial expectations, while later transactions are performing slightly better than initial expectations. As of the December 2023 collection period, the 61+ day delinquency rates for 2019-1, 2019-2, 2019-3, 2020-2, 2021-1, 2021-2, 2022-1, 2022-2, 2022-3, 2023-1 and 2023-2 are 1.16%, 2.26%, 1.96%, 2.30%, 1.63%, 2.37%, 3.26%, 2.02%, 2.69%, 2.82% and 2.72%, respectively. Cumulative gross defaults (CGDs) are currently at 23.22%, 24.07%, 24.07%, 17.15%, 16.07%, 14.23%, 13.78%, 12.21%, 11.28%, 7.95% and 4.03%, respectively. The 2019-1, 2019-2 and 2019-3 transactions are tracking above their initial base case proxies of 19.40%, 19.40% and 19.45%, respectively. The 2020-2, 2021-1, 2021-2, 2022-1, 2022-2, 2022-3, 2023-1 and 2023-2 transactions are tracking below their initial base cases of 22.50%, 22.40%, 21.50%, 22.25%, 22.50%, 23.00%, 22.25% and 22.00%, respectively. Due to optional repurchases by the seller, none of the transactions have experienced a net loss to date. To account for recent performance, the CGD proxies for 2020-2, 2021-1, 2021-2, 2022-1 and 2022-2 were revised to 20.0%, 20.0%, 20.0%, 22.0% and 22.0%, respectively, given the stabilizing performance trends for these transactions. The CGD proxies for 2019-1, 2019-2, and 2019-3 were increased to 25.0%, 25.8% and 26.0%, respectively, given their worse performance. The lifetime proxies of 23.0%, 22.25% and 22.0% for 2022-3, 2023-1 and 2023-2 were not changed due to low seasoning of the pool. Under Fitch's stressed cash flow assumptions, for the 2019-1, 2019-2, 2019-3, 2020-2, 2021-1 and 2021-2 transactions, loss coverages for the class A, B, C, and D notes are able to support multiples in excess of 3.25x, 2.25x, 1.50x, and 1.25x for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf', respectively. For 2022-1, loss coverages for the class A, class B, and class C notes are able to support multiples in excess of 3.25x, 2.25x and 1.50x for 'AAAsf', 'Asf' and 'BBBsf'; however, the current multiple for the class D notes is short of the 1.25x for 'BBsf' but within the one category tolerance permitted by the criteria. For 2022-2, the class A loss coverage is slightly short of the 3.25x multiple for AAAsf' but still within the 3.00-4.50x range; the loss coverages for class B and class C are able to support multiples in excess of 2.25x and 1.50x for 'Asf' and 'BBBsf'; however, the current multiple for the class D notes is short of the 1.25x for 'BBsf' but within the one category tolerance permitted by the criteria. For 2022-3, the class A loss coverage is slightly short of the 3.25x multiple for 'AAAsf' but still within the 3.00-4.50x range; the class B loss coverage is able to support a multiple in excess of 2.25x for 'Asf'; however, the current multiples for the class C and the class D notes are short of the 1.50x for 'BBBsf' and the 1.17x for 'BB-sf' respectively, but within the one category tolerance permitted by the criteria. For 2023-1, the class A loss coverage is slightly short of the 3.25x multiple for 'AAAsf' but still within the 3.00-4.50x range; the class B, class C and class D loss coverages are able to support multiples in excess of 2.25x, 1.50x and 1.17x for 'Asf', 'BBBsf', and 'BB-sf'. For 2023-2, the current multiples for the class A, class C and class D notes are short of the 3.25x, 1.50x and 1.17x for 'AAAsf', 'BBBsf', and 'BB-sf', respectively, but within the one category tolerance permitted by the criteria; the class B loss coverage is slightly short of the 2.25x multiple for 'Asf' but still within the 2.00-2.75x range. The shortfalls are considered marginal and are still within the range of the multiples for their current ratings. Additionally, Fitch also accounted for the seller's optional repurchase activities across all these transactions, resulting in zero net losses to date. The ratings also reflect the quality of Travel + Leisure Co. timeshare receivable originations, the sound financial and legal structure of the transactions, and the strength of the servicing provided by Wyndham Consumer Finance, Inc. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare asset-backed securities and the trust level performance variables and update the ratings accordingly. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy and affect available loss coverage and multiples levels for the transaction; - Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement (CE) levels. Lower loss coverage could affect ratings and Rating Outlooks, depending on the extent of the decline in coverage; - In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the base case loss expectation and the results suggest consistent ratings for the outstanding notes and in the event of such a stress, these notes could be downgraded by up to three rating categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch applied an up sensitivity, by reducing the base case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to two categories of upgrades or affirmations of ratings with stronger multiples. 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. [*] Fitch Affirms Ratings on 31 Classes From Four CDOs ------------------------------------------------------ Fitch Ratings has affirmed the ratings on 31 classes from four collateralized debt obligations (CDOs). The Rating Outlooks for 15 of the classes remain Stable. Rating actions and performance metrics for each CDO are reported in the accompanying rating action report. Entity/Debt Rating Prior ----------- ------ ----- ALESCO Preferred Funding VI, Ltd./Inc. Class A-1 Floating Rate Notes 01448XAA3 LT AA-sf Affirmed AA-sf Class A-2 Floating Rate Notes 01448XAB1 LT A+sf Affirmed A+sf Class A-3 Fixed/Floating Note 01448XAG0 LT A+sf Affirmed A+sf Class B-1 Deferrable Notes 01448XAC9 LT BBB+sf Affirmed BBB+sf Class B-2 Deferrable Notes 01448XAH8 LT BBB+sf Affirmed BBB+sf Class C-1 Deferrable Notes 01448XAD7 LT Csf Affirmed Csf Class C-2 Deferrable Notes 01448XAE LT Csf Affirmed Csf Class C-3 Deferrable Notes 01448XAJ4 LT Csf Affirmed Csf Class C-4 Deferrable Notes 01448XAL9 LT Csf Affirmed Csf Class D-1 Deferrable Notes 01448XAF2 LT Csf Affirmed Csf Class D-2 Deferrable Notes 01448XAK1 LT Csf Affirmed Csf Tropic CDO V Ltd. A-1L1 89708BAA1 LT A+sf Affirmed A+sf A-1L2 89708BAB9 LT A+sf Affirmed A+sf A-1LB 89708BAC7 LT BBB-sf Affirmed BBB-sf A-2L 89708BAD5 LT B+sf Affirmed B+sf A-3F 89708BAF0 LT Csf Affirmed Csf A-3L 89708BAE3 LT Csf Affirmed Csf B-1L 89708BAG8 LT Csf Affirmed Csf B-2L 89708CAA9 LT Csf Affirmed Csf ALESCO Preferred Funding IV, Ltd./Inc. A-1 01448QAA8 LT AAsf Affirmed AAsf A-2 01448QAB6 LT AAsf Affirmed AAsf A-3 01448QAC4 LT AAsf Affirmed AAsf B-1 01448QAD2 LT Csf Affirmed Csf B-2 01448QAE0 LT Csf Affirmed Csf B-3 01448QAF7 LT Csf Affirmed Csf Soloso CDO 2007-1 Ltd./Corp. A-1LA 83438JAA4 LT A+sf Affirmed A+sf A-1LB 83438JAC0 LT A-sf Affirmed A-sf A-2L 83438JAE6 LT B+sf Affirmed B+sf A-3F 83438JAJ5 LT Csf Affirmed Csf A-3L 83438JAG1 LT Csf Affirmed Csf B-1L 83438JAL0 LT Csf Affirmed Csf TRANSACTION SUMMARY The CDOs are collateralized primarily by trust preferred securities issued by banks and insurance companies. KEY RATING DRIVERS All of the transactions deleveraged from collateral redemptions and/or excess spread, which led to the senior classes of notes receiving paydowns ranging from 1% to 84% of their last review note balances. The magnitude of the deleveraging for each CDO is reported in the accompanying rating action report. For all of the transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, remained stable or deteriorated. One insurance issuer deferred for the third time. The issuer had previously deferred in 2009 and 2011, curing after approximately 18 months and 30 months, respectively. No new cures or defaults have been reported. The ratings for the class A-1LB and A-2L notes in Tropic V CLO Ltd. and the class A-2L notes in Soloso 2007-1 Ltd./Corp are one notch lower than their MIR given the limited cushions at their MIR. Additionally in Alesco Preferred Funding VI, Ltd./Inc., the ratings for the class B-1 and B-2 notes are one notch above their MIR due to the MIR being driven by the sector-wide migration sensitivity scenario. The Stable Outlooks on 15 tranches in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with the classes' ratings. Fitch considered the rating of the issuer account bank in the ratings for the class A-1, A-2 and A-3 notes in Alesco Preferred Funding IV, Ltd. due to the transaction documents not conforming to Fitch's Counterparty Criteria. These transactions are allowed to hold cash, and their transaction account bank (TAB) does not collateralize cash. Therefore, these classes of notes are capped at the same rating as that of its TAB. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. [*] Moody's Takes Action on $104MM of US RMBS Issued 2001-2007 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of five bonds and downgraded the ratings of two bonds from four US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Amortizing Residential Collateral Trust Mortgage Pass-Through Certificates, Series 2001-BC6 Cl. A, Upgraded to Baa2 (sf); previously on Jun 1, 2022 Upgraded to B1 (sf) Issuer: Chase Funding Trust, Series 2004-1 Cl. IA-5, Upgraded to Aaa (sf); previously on Apr 24, 2023 Upgraded to A2 (sf) Cl. IA-7, Upgraded to Aaa (sf); previously on Apr 24, 2023 Upgraded to A2 (sf) Issuer: EquiFirst Loan Securitization Trust 2007-1 Cl. A-1, Upgraded to Ba1 (sf); previously on Feb 27, 2018 Upgraded to B2 (sf) Cl. A-2B, Upgraded to Caa1 (sf); previously on Feb 27, 2018 Upgraded to Caa2 (sf) Issuer: Fremont Home Loan Trust 2004-3 Cl. M2, Downgraded to B1 (sf); previously on Aug 1, 2019 Upgraded to Ba1 (sf) Cl. M3, Downgraded to Caa1 (sf); previously on Aug 1, 2019 Upgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to a deterioration in collateral performance. 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. These include the potential impact of collateral performance volatility on ratings, and sensitivity to excess spread. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. 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 Takes Action on $64.6MM of US RMBS Issued 2004-2006 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two bonds and downgraded the ratings of three bonds from three US residential mortgage-backed transactions (RMBS), backed by option ARM mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Bear Stearns Mortgage Funding Trust 2006-AR3 Cl. I-A-1, Upgraded to B1 (sf); previously on Dec 18, 2019 Upgraded to Caa1 (sf) Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2004-3 Cl. A-1, Downgraded to B1 (sf); previously on Apr 19, 2012 Downgraded to Ba2 (sf) Underlying Rating: Downgraded to B1 (sf); previously on Apr 19, 2012 Downgraded to Ba2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. A-2, Downgraded to B1 (sf); previously on Apr 19, 2012 Downgraded to Ba2 (sf) Cl. A-NA, Downgraded to B1 (sf); previously on Apr 19, 2012 Downgraded to Ba2 (sf) Underlying Rating: Downgraded to B1 (sf); previously on Apr 19, 2012 Downgraded to Ba2 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Luminent Mortgage Trust 2006-6 Cl. A-1, Upgraded to Ba1 (sf); previously on Jun 28, 2016 Upgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to decline in credit enhancement available to 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. These include the potential impact of collateral performance volatility on ratings. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 106 Classes From 41 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 106 ratings from 41 U.S. RMBS transactions issued between 2001 and 2007. The review yielded 14 upgrades, 11 downgrades, 57 affirmations, seven discontinuances, and 17 withdrawals. The Affected Ratings can be viewed at: https://rb.gy/jhhurh Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. These considerations may include: -- Collateral performance or delinquency trends, -- An increase or decrease in available credit support, -- Historical and/or outstanding missed interest payments or interest shortfalls, -- Available subordination and/or overcollateralization, -- Expected duration, -- Tail risk, -- Principal write-downs, -- Interest-only criteria, -- A small loan count, and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationale associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections." The upgrades primarily reflect the classes' increased credit support. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. Most of these classes are also receiving all of the principal payments or are next in the payment priority when the more senior class pays down. S&P said, "In applying our ratings definitions, "S&P Global Ratings Definitions," published June 9, 2023, 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. Six classes from three transactions were affected in this review. "We lowered our ratings on four classes from four transactions that reflect our assessment of the principal write-downs' impact on the affected classes during recent remittance periods. All the classes with ratings lowered to 'D (sf)' were rated 'CCC (sf)' before the rating action. "In addition, we lowered our rating to 'A+ (sf)' from 'AA (sf)' on class A-4-B from TBW Mortgage-Backed Trust 2007-2 after our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for this security, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect over the remaining term of the security. "In accordance with our surveillance and withdrawal policies, we discontinued seven ratings from two transactions with missed interest payments during recent remittance periods. We previously lowered our ratings on these classes to 'D (sf)' because of missed interest payments. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review. "We also withdrew our ratings on 15 classes from six transactions due to the small remaining loan count on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***